Merge pull request #1824 from c9s/c9s/xdepthmaker-maker-metrics

FEATURE: [xdepthmaker] add maker metrics

pkg/metrics/maker.go

@@ -0,0 +1,88 @@
+package metrics
+
+import (
+	"github.com/prometheus/client_golang/prometheus"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+var OpenOrderBidExposureInUsdMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_maker_open_order_bid_exposure_in_usd",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var OpenOrderAskExposureInUsdMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_maker_open_order_ask_exposure_in_usd",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var OpenOrderBidOrderCountMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_maker_open_order_bid_count",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var OpenOrderAskOrderCountMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_maker_open_order_ask_count",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var MakerBestBidPriceMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_maker_best_bid_price",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var MakerBestAskPriceMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_maker_best_ask_price",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+func UpdateOpenOrderMetrics(strategyType, strategyId, exchangeName, symbol string, submitOrders []types.SubmitOrder) {
+	bidOrderCount := 0
+	askOrderCount := 0
+	bidExposureQuoteAmount := fixedpoint.Zero
+	askExposureQuoteAmount := fixedpoint.Zero
+	for _, submitOrder := range submitOrders {
+		quoteAmount := submitOrder.Quantity.Mul(submitOrder.Price)
+
+		switch submitOrder.Side {
+		case types.SideTypeSell:
+			askExposureQuoteAmount = askExposureQuoteAmount.Add(quoteAmount)
+			askOrderCount++
+
+		case types.SideTypeBuy:
+			bidExposureQuoteAmount = bidExposureQuoteAmount.Add(quoteAmount)
+			bidOrderCount++
+
+		}
+	}
+
+	labels := prometheus.Labels{
+		"strategy_type": strategyType,
+		"strategy_id":   strategyId,
+		"exchange":      exchangeName,
+		"symbol":        symbol,
+	}
+
+	OpenOrderBidExposureInUsdMetrics.With(labels).Set(bidExposureQuoteAmount.Float64())
+	OpenOrderAskExposureInUsdMetrics.With(labels).Set(askExposureQuoteAmount.Float64())
+	OpenOrderBidOrderCountMetrics.With(labels).Set(float64(bidOrderCount))
+	OpenOrderAskOrderCountMetrics.With(labels).Set(float64(askOrderCount))
+}
+
+func init() {
+	prometheus.MustRegister(
+		OpenOrderAskExposureInUsdMetrics,
+		OpenOrderBidExposureInUsdMetrics,
+		MakerBestAskPriceMetrics,
+		MakerBestBidPriceMetrics,
+		OpenOrderAskOrderCountMetrics,
+		OpenOrderBidOrderCountMetrics,
+	)
+}

pkg/strategy/xdepthmaker/strategy.go

@@ -16,6 +16,7 @@ import (
 	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/metrics"
 	"github.com/c9s/bbgo/pkg/pricesolver"
 	"github.com/c9s/bbgo/pkg/sigchan"
 	"github.com/c9s/bbgo/pkg/strategy/common"
@@ -1193,6 +1194,8 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
 
 	s.logger.Infof("%d orders are generated, placing...", len(submitOrders))
 
+	metrics.UpdateOpenOrderMetrics(ID, s.InstanceID(), s.MakerExchange, s.Symbol, submitOrders)
+
 	_, err = s.MakerOrderExecutor.SubmitOrders(ctx, submitOrders...)
 	if err != nil {
 		s.logger.WithError(err).Errorf("submit order error: %s", err.Error())