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types/position: drop approximateAverageCost

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c9s 2024-08-22 11:15:42 +08:00
parent 5635e31487
commit a900c72032
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3 changed files with 16 additions and 28 deletions
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4
pkg/exchange/binance/convert_futures.go
View File

@ -2,9 +2,10 @@ package binance
import (
"fmt"
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
"time"
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
"github.com/adshao/go-binance/v2/futures"
"github.com/pkg/errors"
@ -44,7 +45,6 @@ func toGlobalFuturesPositions(futuresPositions []*binanceapi.FuturesAccountPosit
retFuturesPositions[futuresPosition.Symbol] = types.FuturesPosition{ // TODO: types.FuturesPosition
Isolated: futuresPosition.Isolated,
AverageCost: fixedpoint.MustNewFromString(futuresPosition.EntryPrice),
ApproximateAverageCost: fixedpoint.MustNewFromString(futuresPosition.EntryPrice),
Base: fixedpoint.MustNewFromString(futuresPosition.PositionAmt),
Quote: fixedpoint.MustNewFromString(futuresPosition.Notional),

4
pkg/strategy/drift/strategy.go
View File

@ -854,12 +854,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.highestPrice = 0
s.lowestPrice = 0
} else if s.Position.IsLong() {
s.buyPrice = s.Position.ApproximateAverageCost.Float64()
s.buyPrice = s.Position.AverageCost.Float64()
s.sellPrice = 0
s.highestPrice = math.Max(s.buyPrice, s.highestPrice)
s.lowestPrice = s.buyPrice
} else if s.Position.IsShort() {
s.sellPrice = s.Position.ApproximateAverageCost.Float64()
s.sellPrice = s.Position.AverageCost.Float64()
s.buyPrice = 0
s.highestPrice = s.sellPrice
if s.lowestPrice == 0 {

28
pkg/types/position.go
View File

@ -44,10 +44,6 @@ type Position struct {
Quote fixedpoint.Value `json:"quote" db:"quote"`
AverageCost fixedpoint.Value `json:"averageCost" db:"average_cost"`
// ApproximateAverageCost adds the computed fee in quote in the average cost
// This is used for calculating net profit
ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
FeeRate *ExchangeFee `json:"feeRate,omitempty"`
ExchangeFeeRates map[ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
@ -282,10 +278,6 @@ type FuturesPosition struct {
Quote fixedpoint.Value `json:"quote"`
AverageCost fixedpoint.Value `json:"averageCost"`
// ApproximateAverageCost adds the computed fee in quote in the average cost
// This is used for calculating net profit
ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
FeeRate *ExchangeFee `json:"feeRate,omitempty"`
ExchangeFeeRates map[ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
@ -583,11 +575,10 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
// convert short position to long position
if p.Base.Add(quantity).Sign() > 0 {
profit = p.AverageCost.Sub(price).Mul(p.Base.Neg())
netProfit = p.ApproximateAverageCost.Sub(price).Mul(p.Base.Neg()).Sub(feeInQuote)
netProfit = p.AverageCost.Sub(price).Mul(p.Base.Neg()).Sub(feeInQuote)
p.Base = p.Base.Add(quantity)
p.Quote = p.Quote.Sub(quoteQuantity)
p.AverageCost = price
p.ApproximateAverageCost = price
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
p.OpenedAt = td.Time.Time()
return profit, netProfit, true
@ -596,7 +587,7 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
p.Base = p.Base.Add(quantity)
p.Quote = p.Quote.Sub(quoteQuantity)
profit = p.AverageCost.Sub(price).Mul(quantity)
netProfit = p.ApproximateAverageCost.Sub(price).Mul(quantity).Sub(feeInQuote)
netProfit = p.AverageCost.Sub(price).Mul(quantity).Sub(feeInQuote)
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
return profit, netProfit, true
}
@ -610,11 +601,12 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
// here the case is: base == 0 or base > 0
divisor := p.Base.Add(quantity)
p.ApproximateAverageCost = p.ApproximateAverageCost.Mul(p.Base).
p.AverageCost = p.AverageCost.Mul(p.Base).
Add(quoteQuantity).
Add(feeInQuote).
Div(divisor)
p.AverageCost = p.AverageCost.Mul(p.Base).Add(quoteQuantity).Div(divisor)
p.Base = p.Base.Add(quantity)
p.Quote = p.Quote.Sub(quoteQuantity)
return fixedpoint.Zero, fixedpoint.Zero, false
@ -625,11 +617,10 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
// convert long position to short position
if p.Base.Compare(quantity) < 0 {
profit = price.Sub(p.AverageCost).Mul(p.Base)
netProfit = price.Sub(p.ApproximateAverageCost).Mul(p.Base).Sub(feeInQuote)
netProfit = price.Sub(p.AverageCost).Mul(p.Base).Sub(feeInQuote)
p.Base = p.Base.Sub(quantity)
p.Quote = p.Quote.Add(quoteQuantity)
p.AverageCost = price
p.ApproximateAverageCost = price
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
p.OpenedAt = td.Time.Time()
return profit, netProfit, true
@ -637,7 +628,7 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
p.Base = p.Base.Sub(quantity)
p.Quote = p.Quote.Add(quoteQuantity)
profit = price.Sub(p.AverageCost).Mul(quantity)
netProfit = price.Sub(p.ApproximateAverageCost).Mul(quantity).Sub(feeInQuote)
netProfit = price.Sub(p.AverageCost).Mul(quantity).Sub(feeInQuote)
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
return profit, netProfit, true
}
@ -651,13 +642,10 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
// handling short position, since Base here is negative we need to reverse the sign
divisor := quantity.Sub(p.Base)
p.ApproximateAverageCost = p.ApproximateAverageCost.Mul(p.Base.Neg()).
Add(quoteQuantity).
Sub(feeInQuote).
Div(divisor)
p.AverageCost = p.AverageCost.Mul(p.Base.Neg()).
Add(quoteQuantity).
Sub(feeInQuote).
Div(divisor)
p.Base = p.Base.Sub(quantity)
p.Quote = p.Quote.Add(quoteQuantity)