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xmaker: refactor profit stats

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This commit is contained in:
c9s 2021-06-26 20:11:20 +08:00
parent cef28fa651
commit b58b48d668
1 changed files with 106 additions and 40 deletions
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146
pkg/strategy/xmaker/strategy.go
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@ -14,6 +14,7 @@ import (
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
)
@ -42,12 +43,81 @@ type State struct {
HedgePosition fixedpoint.Value `json:"hedgePosition"`
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
Position *bbgo.Position `json:"position,omitempty"`
AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
AccumulatedPnL fixedpoint.Value `json:"accumulatedPnL,omitempty"`
AccumulatedNetProfit fixedpoint.Value `json:"accumulatedNetProfit,omitempty"`
AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty"`
AccumulatedLoss fixedpoint.Value `json:"accumulatedLoss,omitempty"`
AccumulatedSince int64 `json:"accumulatedSince,omitempty"`
ProfitStats ProfitStats `json:"profitStats,omitempty"`
}
type ProfitStats struct {
MakerExchange types.ExchangeName `json:"makerExchange"`
AccumulatedMakerVolume fixedpoint.Value `json:"accumulatedMakerVolume,omitempty"`
AccumulatedMakerBidVolume fixedpoint.Value `json:"accumulatedMakerBidVolume,omitempty"`
AccumulatedMakerAskVolume fixedpoint.Value `json:"accumulatedMakerAskVolume,omitempty"`
AccumulatedPnL fixedpoint.Value `json:"accumulatedPnL,omitempty"`
AccumulatedNetProfit fixedpoint.Value `json:"accumulatedNetProfit,omitempty"`
AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty"`
AccumulatedLoss fixedpoint.Value `json:"accumulatedLoss,omitempty"`
AccumulatedSince int64 `json:"accumulatedSince,omitempty"`
TodayMakerVolume fixedpoint.Value `json:"todayMakerVolume,omitempty"`
TodayMakerBidVolume fixedpoint.Value `json:"todayMakerBidVolume,omitempty"`
TodayMakerAskVolume fixedpoint.Value `json:"todayMakerAskVolume,omitempty"`
TodayPnL fixedpoint.Value `json:"todayPnL,omitempty"`
TodayNetProfit fixedpoint.Value `json:"todayNetProfit,omitempty"`
TodayProfit fixedpoint.Value `json:"todayProfit,omitempty"`
TodayLoss fixedpoint.Value `json:"todayLoss,omitempty"`
TodaySince int64 `json:"todaySince,omitempty"`
}
func (s *ProfitStats) AddProfit(profit, netProfit fixedpoint.Value) {
s.AccumulatedPnL += profit
s.AccumulatedNetProfit += netProfit
s.TodayPnL += profit
s.TodayNetProfit += netProfit
if profit < 0 {
s.AccumulatedLoss += profit
s.TodayLoss += profit
} else if profit > 0 {
s.AccumulatedProfit += profit
s.TodayProfit += profit
}
}
func (s *ProfitStats) AddTrade(trade types.Trade) {
if trade.Exchange == s.MakerExchange {
s.AccumulatedMakerVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
switch trade.Side {
case types.SideTypeSell:
s.AccumulatedMakerAskVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerAskVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
case types.SideTypeBuy:
s.AccumulatedMakerBidVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerBidVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
}
}
}
func (s *ProfitStats) IsOver24Hours() bool {
return time.Now().Sub(time.Unix(s.TodaySince, 0)) >= 24*time.Hour
}
func (s *ProfitStats) ResetToday() {
s.TodayMakerVolume = 0
s.TodayMakerBidVolume = 0
s.TodayMakerAskVolume = 0
s.TodayPnL = 0
s.TodayNetProfit = 0
s.TodayProfit = 0
s.TodayLoss = 0
var beginningOfTheDay = util.BeginningOfTheDay(time.Now().Local())
s.TodaySince = beginningOfTheDay.Unix()
}
type Strategy struct {
@ -456,13 +526,6 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
s.orderStore.Add(makerOrders...)
}
func quantityToPosition(quantity fixedpoint.Value, side types.SideType) fixedpoint.Value {
if side == types.SideTypeSell {
return - quantity
}
return quantity
}
func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
side := types.SideTypeBuy
if pos == 0 {
@ -590,27 +653,21 @@ func (s *Strategy) processTrade(trade types.Trade) {
s.state.CoveredPosition.AtomicAdd(q)
}
s.state.AccumulatedVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.state.ProfitStats.AddTrade(trade)
if profit, netProfit, madeProfit := s.state.Position.AddTrade(trade); madeProfit {
s.state.AccumulatedPnL.AtomicAdd(profit)
s.state.AccumulatedNetProfit.AtomicAdd(netProfit)
if profit < 0 {
s.state.AccumulatedLoss.AtomicAdd(profit)
} else if profit > 0 {
s.state.AccumulatedProfit.AtomicAdd(profit)
}
s.state.ProfitStats.AddProfit(profit, netProfit)
profitMargin := profit.DivFloat64(trade.QuoteQuantity)
netProfitMargin := netProfit.DivFloat64(trade.QuoteQuantity)
var since time.Time
if s.state.AccumulatedSince > 0 {
since = time.Unix(s.state.AccumulatedSince, 0).In(localTimeZone)
}
since := time.Unix(s.state.ProfitStats.AccumulatedSince, 0).Local()
s.Notify("%s trade profit %s %f %s (%.2f%%), net profit =~ %f %s (%.2f%%),\n"+
"today profit %f %s,\n"+
"today net profit %f %s,\n"+
"today trade loss %f %s\n"+
"accumulated profit %f %s,\n"+
"accumulated net profit %f %s,\n"+
"accumulated trade loss %f %s\n"+
@ -621,9 +678,14 @@ func (s *Strategy) processTrade(trade types.Trade) {
profitMargin.Float64()*100.0,
netProfit.Float64(), s.state.Position.QuoteCurrency,
netProfitMargin.Float64()*100.0,
s.state.AccumulatedPnL.Float64(), s.state.Position.QuoteCurrency,
s.state.AccumulatedNetProfit.Float64(), s.state.Position.QuoteCurrency,
s.state.AccumulatedLoss.Float64(), s.state.Position.QuoteCurrency,
s.state.ProfitStats.TodayPnL.Float64(), s.state.Position.QuoteCurrency,
s.state.ProfitStats.TodayNetProfit.Float64(), s.state.Position.QuoteCurrency,
s.state.ProfitStats.TodayLoss.Float64(), s.state.Position.QuoteCurrency,
s.state.ProfitStats.AccumulatedPnL.Float64(), s.state.Position.QuoteCurrency,
s.state.ProfitStats.AccumulatedNetProfit.Float64(), s.state.Position.QuoteCurrency,
s.state.ProfitStats.AccumulatedLoss.Float64(), s.state.Position.QuoteCurrency,
since.Format(time.RFC822),
)
@ -670,6 +732,20 @@ func (s *Strategy) LoadState() error {
log.Infof("state is restored: %+v", s.state)
}
// if position is nil, we need to allocate a new position for calculation
if s.state.Position == nil {
s.state.Position = &bbgo.Position{
Symbol: s.Symbol,
BaseCurrency: s.makerMarket.BaseCurrency,
QuoteCurrency: s.makerMarket.QuoteCurrency,
}
}
s.state.ProfitStats.MakerExchange = s.makerSession.ExchangeName
if s.state.ProfitStats.AccumulatedSince == 0 {
s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
}
return nil
}
@ -772,14 +848,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.Notify("%s position is restored => %f", s.Symbol, s.state.HedgePosition.Float64())
}
// if position is nil, we need to allocate a new position for calculation
if s.state.Position == nil {
s.state.Position = &bbgo.Position{
Symbol: s.Symbol,
BaseCurrency: s.makerMarket.BaseCurrency,
QuoteCurrency: s.makerMarket.QuoteCurrency,
}
}
if s.makerSession.MakerFeeRate > 0 || s.makerSession.TakerFeeRate > 0 {
s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), bbgo.ExchangeFee{
@ -795,9 +864,6 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
})
}
if s.state.AccumulatedSince == 0 {
s.state.AccumulatedSince = time.Now().Unix()
}
s.book = types.NewStreamBook(s.Symbol)
s.book.BindStream(s.sourceSession.MarketDataStream)