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add more pnl details to the state

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This commit is contained in:
c9s 2021-05-10 20:22:33 +08:00
parent 95d58e9385
commit af8f718228
1 changed files with 26 additions and 8 deletions
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34
pkg/strategy/xmaker/strategy.go
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@ -20,8 +20,6 @@ import (
var defaultMargin = fixedpoint.NewFromFloat(0.01) var defaultMargin = fixedpoint.NewFromFloat(0.01)
var defaultQuantity = fixedpoint.NewFromFloat(0.001)
const ID = "xmaker" const ID = "xmaker"
const stateKey = "state-v1" const stateKey = "state-v1"
@ -36,7 +34,10 @@ type State struct {
HedgePosition fixedpoint.Value `json:"hedgePosition"` HedgePosition fixedpoint.Value `json:"hedgePosition"`
Position *bbgo.Position `json:"position,omitempty"` Position *bbgo.Position `json:"position,omitempty"`
AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"` AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
AccumulatedPnL fixedpoint.Value `json:"accumulatedPnL,omitempty"`
AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty"` AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty"`
AccumulatedLoss fixedpoint.Value `json:"accumulatedLoss,omitempty"`
AccumulatedSince int64 `json:"accumulatedSince,omitempty"`
} }
type Strategy struct { type Strategy struct {
@ -355,16 +356,16 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
case types.SideTypeBuy: case types.SideTypeBuy:
// check quote quantity // check quote quantity
if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency) ; ok { if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
if quote.Available < notional { if quote.Available < notional {
qf := bbgo.AdjustQuantityByMinAmount(quantity.Float64(), lastPrice, quote.Available.Float64() * 0.99999) qf := bbgo.AdjustQuantityByMinAmount(quantity.Float64(), lastPrice, quote.Available.Float64()*0.99999)
quantity = fixedpoint.NewFromFloat(qf) quantity = fixedpoint.NewFromFloat(qf)
} }
} }
case types.SideTypeSell: case types.SideTypeSell:
// check quote quantity // check quote quantity
if base, ok := account.Balance(s.sourceMarket.BaseCurrency) ; ok { if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
if base.Available < quantity { if base.Available < quantity {
quantity = base.Available quantity = base.Available
} }
@ -422,11 +423,24 @@ func (s *Strategy) handleTradeUpdate(trade types.Trade) {
s.state.AccumulatedVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity)) s.state.AccumulatedVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
if profit, madeProfit := s.state.Position.AddTrade(trade); madeProfit { if profit, madeProfit := s.state.Position.AddTrade(trade); madeProfit {
s.state.AccumulatedProfit.AtomicAdd(profit) s.state.AccumulatedPnL.AtomicAdd(profit)
s.Notify("%s trade just made profit %f %s, accumulated profit %f %s", s.Symbol, if profit < 0 {
s.state.AccumulatedLoss.AtomicAdd(profit)
} else if profit > 0 {
s.state.AccumulatedProfit.AtomicAdd(profit)
}
var since time.Time
if s.state.AccumulatedSince > 0 {
since = time.Unix(s.state.AccumulatedSince, 0)
}
s.Notify("%s trade just made profit %f %s, accumulated profit %f %s since %s", s.Symbol,
profit.Float64(), s.state.Position.QuoteCurrency, profit.Float64(), s.state.Position.QuoteCurrency,
s.state.AccumulatedProfit.Float64(), s.state.Position.QuoteCurrency) s.state.AccumulatedPnL.Float64(), s.state.Position.QuoteCurrency,
since.Format(time.RFC822))
} else { } else {
s.Notify("%s trade modified the position: average cost = %f %s, base = %f", s.Symbol, s.state.Position.AverageCost.Float64(), s.state.Position.QuoteCurrency, s.state.Position.Base.Float64()) s.Notify("%s trade modified the position: average cost = %f %s, base = %f", s.Symbol, s.state.Position.AverageCost.Float64(), s.state.Position.QuoteCurrency, s.state.Position.Base.Float64())
} }
@ -536,6 +550,10 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
} }
} }
if s.state.AccumulatedSince == 0 {
s.state.AccumulatedSince = time.Now().Unix()
}
s.book = types.NewStreamBook(s.Symbol) s.book = types.NewStreamBook(s.Symbol)
s.book.BindStream(s.sourceSession.Stream) s.book.BindStream(s.sourceSession.Stream)