Merge pull request #1703 from c9s/c9s/core/position-metrics

FEATURE: [core] add position metrics

pkg/exchange/binance/convert_futures.go

@@ -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"
 
@@ -42,11 +43,10 @@ func toGlobalFuturesPositions(futuresPositions []*binanceapi.FuturesAccountPosit
 	retFuturesPositions := make(types.FuturesPositionMap)
 	for _, futuresPosition := range futuresPositions {
 		retFuturesPositions[futuresPosition.Symbol] = types.FuturesPosition{ // TODO: types.FuturesPosition
-			Isolated:               futuresPosition.Isolated,
+			Isolated:    futuresPosition.Isolated,
-			AverageCost:            fixedpoint.MustNewFromString(futuresPosition.EntryPrice),
+			AverageCost: fixedpoint.MustNewFromString(futuresPosition.EntryPrice),
-			ApproximateAverageCost: fixedpoint.MustNewFromString(futuresPosition.EntryPrice),
+			Base:        fixedpoint.MustNewFromString(futuresPosition.PositionAmt),
-			Base:                   fixedpoint.MustNewFromString(futuresPosition.PositionAmt),
+			Quote:       fixedpoint.MustNewFromString(futuresPosition.Notional),
-			Quote:                  fixedpoint.MustNewFromString(futuresPosition.Notional),
 
 			PositionRisk: &types.PositionRisk{
 				Leverage: fixedpoint.MustNewFromString(futuresPosition.Leverage),

pkg/strategy/drift/strategy.go

@@ -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 {

pkg/strategy/elliottwave/strategy.go

@@ -354,12 +354,12 @@ 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 = 0
 		} else {
-			s.sellPrice = s.Position.ApproximateAverageCost.Float64()
+			s.sellPrice = s.Position.AverageCost.Float64()
 			s.buyPrice = 0
 			s.highestPrice = 0
 			if s.lowestPrice == 0 {

pkg/types/position.go

@@ -5,6 +5,7 @@ import (
 	"sync"
 	"time"
 
+	"github.com/prometheus/client_golang/prometheus"
 	"github.com/slack-go/slack"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -43,16 +44,16 @@ 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"`
 
 	// TotalFee stores the fee currency -> total fee quantity
 	TotalFee map[string]fixedpoint.Value `json:"totalFee" db:"-"`
 
+	// FeeAverageCosts stores the fee currency -> average cost of the fee
+	// e.g. BNB -> 341.0
+	FeeAverageCosts map[string]fixedpoint.Value `json:"feeAverageCosts" db:"-"`
+
 	OpenedAt  time.Time `json:"openedAt,omitempty" db:"-"`
 	ChangedAt time.Time `json:"changedAt,omitempty" db:"changed_at"`
 
@@ -277,10 +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"`
 
@@ -306,7 +303,10 @@ func NewPositionFromMarket(market Market) *Position {
 		BaseCurrency:  market.BaseCurrency,
 		QuoteCurrency: market.QuoteCurrency,
 		Market:        market,
-		TotalFee:      make(map[string]fixedpoint.Value),
+
+		FeeAverageCosts:  make(map[string]fixedpoint.Value),
+		TotalFee:         make(map[string]fixedpoint.Value),
+		ExchangeFeeRates: make(map[ExchangeName]ExchangeFee),
 	}
 }
 
@@ -315,7 +315,10 @@ func NewPosition(symbol, base, quote string) *Position {
 		Symbol:        symbol,
 		BaseCurrency:  base,
 		QuoteCurrency: quote,
-		TotalFee:      make(map[string]fixedpoint.Value),
+
+		TotalFee:         make(map[string]fixedpoint.Value),
+		FeeAverageCosts:  make(map[string]fixedpoint.Value),
+		ExchangeFeeRates: make(map[ExchangeName]ExchangeFee),
 	}
 }
 
@@ -345,6 +348,10 @@ func (p *Position) SetExchangeFeeRate(ex ExchangeName, exchangeFee ExchangeFee)
 	p.ExchangeFeeRates[ex] = exchangeFee
 }
 
+func (p *Position) SetFeeAverageCost(currency string, cost fixedpoint.Value) {
+	p.FeeAverageCosts[currency] = cost
+}
+
 func (p *Position) IsShort() bool {
 	return p.Base.Sign() < 0
 }
@@ -489,6 +496,34 @@ func (p *Position) AddTrades(trades []Trade) (fixedpoint.Value, fixedpoint.Value
 	return totalProfitAmount, totalNetProfit, !totalProfitAmount.IsZero()
 }
 
+func (p *Position) calculateFeeInQuote(td Trade) fixedpoint.Value {
+	var quoteQuantity = td.QuoteQuantity
+
+	if cost, ok := p.FeeAverageCosts[td.FeeCurrency]; ok {
+		return td.Fee.Mul(cost)
+	}
+
+	if p.ExchangeFeeRates != nil {
+		if exchangeFee, ok := p.ExchangeFeeRates[td.Exchange]; ok {
+			if td.IsMaker {
+				return exchangeFee.MakerFeeRate.Mul(quoteQuantity)
+			} else {
+				return exchangeFee.TakerFeeRate.Mul(quoteQuantity)
+			}
+		}
+	}
+
+	if p.FeeRate != nil {
+		if td.IsMaker {
+			return p.FeeRate.MakerFeeRate.Mul(quoteQuantity)
+		} else {
+			return p.FeeRate.TakerFeeRate.Mul(quoteQuantity)
+		}
+	}
+
+	return fixedpoint.Zero
+}
+
 func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedpoint.Value, madeProfit bool) {
 	price := td.Price
 	quantity := td.Quantity
@@ -502,6 +537,7 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
 	switch td.FeeCurrency {
 
 	case p.BaseCurrency:
+		// USD-M futures use the quote currency as the fee currency.
 		if !td.IsFutures {
 			quantity = quantity.Sub(fee)
 		}
@@ -513,27 +549,15 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
 
 	default:
 		if !td.Fee.IsZero() {
-			if p.ExchangeFeeRates != nil {
+			feeInQuote = p.calculateFeeInQuote(td)
-				if exchangeFee, ok := p.ExchangeFeeRates[td.Exchange]; ok {
-					if td.IsMaker {
-						feeInQuote = feeInQuote.Add(exchangeFee.MakerFeeRate.Mul(quoteQuantity))
-					} else {
-						feeInQuote = feeInQuote.Add(exchangeFee.TakerFeeRate.Mul(quoteQuantity))
-					}
-				}
-			} else if p.FeeRate != nil {
-				if td.IsMaker {
-					feeInQuote = feeInQuote.Add(p.FeeRate.MakerFeeRate.Mul(quoteQuantity))
-				} else {
-					feeInQuote = feeInQuote.Add(p.FeeRate.TakerFeeRate.Mul(quoteQuantity))
-				}
-			}
 		}
 	}
 
 	p.Lock()
 	defer p.Unlock()
 
+	defer p.updateMetrics()
+
 	// update changedAt field before we unlock in the defer func
 	defer func() {
 		p.ChangedAt = td.Time.Time()
@@ -551,11 +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
@@ -564,7 +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
 			}
@@ -578,11 +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
@@ -593,11 +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
@@ -605,7 +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
 			}
@@ -619,13 +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)
@@ -635,3 +655,18 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
 
 	return fixedpoint.Zero, fixedpoint.Zero, false
 }
+
+func (p *Position) updateMetrics() {
+	// update the position metrics only if the position defines the strategy ID
+	if p.StrategyInstanceID == "" || p.Strategy == "" {
+		return
+	}
+
+	labels := prometheus.Labels{
+		"strategy_id":   p.StrategyInstanceID,
+		"strategy_type": p.Strategy,
+	}
+	positionAverageCostMetrics.With(labels).Set(p.AverageCost.Float64())
+	positionBaseQuantityMetrics.With(labels).Set(p.Base.Float64())
+	positionQuoteQuantityMetrics.With(labels).Set(p.Quote.Float64())
+}

pkg/types/position_metrics.go

@@ -0,0 +1,29 @@
+package types
+
+import "github.com/prometheus/client_golang/prometheus"
+
+var positionAverageCostMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_position_avg_cost",
+		Help: "bbgo position average cost metrics",
+	}, []string{"strategy_id", "strategy_type", "symbol"})
+
+var positionBaseQuantityMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_position_base_qty",
+		Help: "bbgo position base quantity metrics",
+	}, []string{"strategy_id", "strategy_type", "symbol"})
+
+var positionQuoteQuantityMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_position_quote_qty",
+		Help: "bbgo position quote quantity metrics",
+	}, []string{"strategy_id", "strategy_type", "symbol"})
+
+func init() {
+	prometheus.MustRegister(
+		positionAverageCostMetrics,
+		positionBaseQuantityMetrics,
+		positionQuoteQuantityMetrics,
+	)
+}