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grid2: calculate grid profit

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c9s 2022-12-04 15:01:52 +08:00
parent 9506516ea3
commit bf62fb7d2d
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1 changed files with 34 additions and 5 deletions
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39
pkg/strategy/grid2/strategy.go
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@ -4,6 +4,7 @@ import (
"context"
"fmt"
"sync"
"time"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
@ -26,7 +27,9 @@ func init() {
}
type GridProfit struct {
Profit fixedpoint.Value
Currency string
Profit fixedpoint.Value
Time time.Time
}
type GridProfitStats struct {
@ -176,6 +179,30 @@ func (s *Strategy) handleOrderCanceled(o types.Order) {
}
}
// TODO: consider order fee
func (s *Strategy) calculateProfit(o types.Order, buyPrice, buyQuantity fixedpoint.Value) *GridProfit {
if s.EarnBase {
// sell quantity - buy quantity
profitQuantity := o.Quantity.Sub(buyQuantity)
profit := &GridProfit{
Currency: s.Market.BaseCurrency,
Profit: profitQuantity,
Time: o.UpdateTime.Time(),
}
return profit
}
// earn quote
// (sell_price - buy_price) * quantity
profitQuantity := o.Price.Sub(buyPrice).Mul(o.Quantity)
profit := &GridProfit{
Currency: s.Market.QuoteCurrency,
Profit: profitQuantity,
Time: o.UpdateTime.Time(),
}
return profit
}
func (s *Strategy) handleOrderFilled(o types.Order) {
if s.grid == nil {
return
@ -183,14 +210,13 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
s.logger.Infof("GRID ORDER FILLED: %s", o.String())
var profit *GridProfit = nil
// var profit *GridProfit = nil
// check order fee
newSide := types.SideTypeSell
newPrice := o.Price
newQuantity := o.Quantity
// quantityReduction := fixedpoint.Zero
quoteQuantity := o.Quantity.Mul(o.Price)
switch o.Side {
case types.SideTypeSell:
@ -206,10 +232,13 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
// use the profit to buy more inventory in the grid
if s.Compound || s.EarnBase {
quoteQuantity := o.Quantity.Mul(o.Price)
newQuantity = quoteQuantity.Div(newPrice)
}
// calculate profit
profit := s.calculateProfit(o, newPrice, newQuantity)
s.logger.Infof("GENERATED GRID PROFIT: %+v", profit)
case types.SideTypeBuy:
newSide = types.SideTypeSell
if !s.ProfitSpread.IsZero() {