bbgo: refactor profit stats

This commit is contained in:
c9s 2021-10-08 14:57:44 +08:00
parent 9e1d28f3b3
commit d058125f78
2 changed files with 66 additions and 43 deletions

60
pkg/bbgo/profitstats.go Normal file
View File

@ -0,0 +1,60 @@
package bbgo
import (
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"time"
)
type ProfitStats struct {
MakerExchange types.ExchangeName `json:"makerExchange"`
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"`
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 s.IsOver24Hours() {
s.ResetToday()
}
}
func (s *ProfitStats) IsOver24Hours() bool {
return time.Since(time.Unix(s.TodaySince, 0)) > 24*time.Hour
}
func (s *ProfitStats) ResetToday() {
s.TodayPnL = 0
s.TodayNetProfit = 0
s.TodayProfit = 0
s.TodayLoss = 0
var beginningOfTheDay = util.BeginningOfTheDay(time.Now().Local())
s.TodaySince = beginningOfTheDay.Unix()
}

View File

@ -14,7 +14,6 @@ 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"
)
@ -42,52 +41,26 @@ func init() {
type State struct {
HedgePosition fixedpoint.Value `json:"hedgePosition"`
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
Position *bbgo.Position `json:"position,omitempty"`
ProfitStats ProfitStats `json:"profitStats,omitempty"`
Position *bbgo.Position `json:"position,omitempty"`
ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
}
type ProfitStats struct {
bbgo.ProfitStats
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 s.IsOver24Hours() {
s.ResetToday()
}
s.ProfitStats.AddTrade(trade)
if trade.Exchange == s.MakerExchange {
s.AccumulatedMakerVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
@ -107,21 +80,11 @@ func (s *ProfitStats) AddTrade(trade types.Trade) {
}
}
func (s *ProfitStats) IsOver24Hours() bool {
return time.Since(time.Unix(s.TodaySince, 0)) > 24*time.Hour
}
func (s *ProfitStats) ResetToday() {
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 {