use position to calculate the pnl

config/grid.yaml

@@ -25,12 +25,14 @@ riskControls:
               minBaseAssetBalance: 0.0
               maxOrderAmount: 1000.0
 
+# example command:
+#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
 backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2020-10-01"
-  endTime: "2021-10-01"
+  startTime: "2021-01-10"
+  endTime: "2021-01-21"
   symbols:
   - BTCUSDT
   account:
@@ -43,15 +45,15 @@ exchangeStrategies:
 - on: max
   grid:
     symbol: BTCUSDT
-    # quantity: 0.001
-    scaleQuantity:
-      byPrice:
-        exp:
-          domain: [20_000, 30_000]
-          range: [0.2, 0.001]
+    quantity: 0.001
+    # scaleQuantity:
+    #   byPrice:
+    #     exp:
+    #       domain: [20_000, 30_000]
+    #       range: [0.2, 0.001]
     gridNumber: 30
     profitSpread: 50.0
-    upperPrice: 20_000.0
-    lowerPrice: 30_000.0
+    upperPrice: 50_000.0
+    lowerPrice: 20_000.0
     long: true
 

pkg/accounting/pnl/avg_cost.go

@@ -1,26 +1,23 @@
 package pnl
 
 import (
-	"strings"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
 type AverageCostCalculator struct {
 	TradingFeeCurrency string
+	Market             types.Market
 }
 
 func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, currentPrice float64) *AverageCostPnlReport {
 	// copy trades, so that we can truncate it.
 	var bidVolume = 0.0
-	var bidAmount = 0.0
-
 	var askVolume = 0.0
-
 	var feeUSD = 0.0
-	var bidFeeUSD = 0.0
-	var feeRate = 0.0015
 
 	if len(trades) == 0 {
 		return &AverageCostPnlReport{
@@ -35,64 +32,41 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 
 	var currencyFees = map[string]float64{}
 
+	var position = bbgo.NewPositionFromMarket(c.Market)
+	position.SetFeeRate(bbgo.ExchangeFee{
+		// binance vip 0 uses 0.075%
+		MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
+		TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
+	})
+
+	// TODO: configure the exchange fee rate here later
+	// position.SetExchangeFeeRate()
+	var totalProfit fixedpoint.Value
+	var totalNetProfit fixedpoint.Value
+
 	for _, trade := range trades {
 		if trade.Symbol == symbol {
-			if trade.IsBuyer && trade.Side != types.SideTypeSelf {
+			profit, netProfit, madeProfit := position.AddTrade(trade)
+			if madeProfit {
+				totalProfit += profit
+				totalNetProfit += netProfit
+			}
+
+			if trade.IsBuyer {
 				bidVolume += trade.Quantity
-				bidAmount += trade.Price * trade.Quantity
-			}
-
-			// since we use USDT as the quote currency, we simply check if it matches the currency symbol
-			if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
-				bidVolume -= trade.Fee
-				feeUSD += trade.Price * trade.Fee
-				if trade.IsBuyer {
-					bidFeeUSD += trade.Price * trade.Fee
-				}
-			} else if trade.FeeCurrency == "USDT" {
-				feeUSD += trade.Fee
-				if trade.IsBuyer {
-					bidFeeUSD += trade.Fee
-				}
-			}
-
-		} else {
-			if trade.FeeCurrency == c.TradingFeeCurrency {
-				bidVolume -= trade.Fee
+			} else {
+				askVolume += trade.Quantity
 			}
 		}
 
 		if _, ok := currencyFees[trade.FeeCurrency]; !ok {
-			currencyFees[trade.FeeCurrency] = 0.0
+			currencyFees[trade.FeeCurrency] = trade.Fee
+		} else {
+			currencyFees[trade.FeeCurrency] += trade.Fee
 		}
-		currencyFees[trade.FeeCurrency] += trade.Fee
-	}
-
-	profit := 0.0
-	averageCost := (bidAmount + bidFeeUSD) / bidVolume
-
-	for _, t := range trades {
-		if t.Symbol != symbol {
-			continue
-		}
-
-		if t.IsBuyer || t.Side == types.SideTypeSelf {
-			continue
-		}
-
-		profit += (t.Price - averageCost) * t.Quantity
-		askVolume += t.Quantity
-	}
-
-	profit -= feeUSD
-	unrealizedProfit := profit
-
-	stock := bidVolume - askVolume
-	if stock > 0 {
-		stockFee := currentPrice * stock * feeRate
-		unrealizedProfit += (currentPrice-averageCost)*stock - stockFee
 	}
 
+	unrealizedProfit := (fixedpoint.NewFromFloat(currentPrice) - position.AverageCost).Mul(position.Base)
 	return &AverageCostPnlReport{
 		Symbol:       symbol,
 		CurrentPrice: currentPrice,
@@ -102,11 +76,12 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 		BuyVolume:  bidVolume,
 		SellVolume: askVolume,
 
-		Stock:            stock,
-		Profit:           profit,
+		Stock:            position.Base.Float64(),
+		Profit:           totalProfit,
+		NetProfit:        totalNetProfit,
 		UnrealizedProfit: unrealizedProfit,
-		AverageBidCost:   averageCost,
-		FeeInUSD:         feeUSD,
+		AverageBidCost:   position.AverageCost.Float64(),
+		FeeInUSD:         (totalProfit - totalNetProfit).Float64(),
 		CurrencyFees:     currencyFees,
 	}
 }

pkg/accounting/pnl/report.go

@@ -4,6 +4,7 @@ import (
 	"strconv"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 	log "github.com/sirupsen/logrus"
 	"github.com/slack-go/slack"
 
@@ -18,8 +19,7 @@ type AverageCostPnlReport struct {
 	Market       types.Market
 
 	NumTrades        int
-	Profit           float64
-	UnrealizedProfit float64
+	Profit, NetProfit, UnrealizedProfit           fixedpoint.Value
 	AverageBidCost   float64
 	BuyVolume        float64
 	SellVolume       float64
@@ -35,14 +35,16 @@ func (report AverageCostPnlReport) Print() {
 	log.Infof("TOTAL BUY VOLUME: %f", report.BuyVolume)
 	log.Infof("TOTAL SELL VOLUME: %f", report.SellVolume)
 	log.Infof("STOCK: %f", report.Stock)
-	log.Infof("FEE (USD): %f", report.FeeInUSD)
+
+	// FIXME:
+	// log.Infof("FEE (USD): %f", report.FeeInUSD)
 	log.Infof("CURRENT PRICE: %s", types.USD.FormatMoneyFloat64(report.CurrentPrice))
 	log.Infof("CURRENCY FEES:")
 	for currency, fee := range report.CurrencyFees {
 		log.Infof(" - %s: %f", currency, fee)
 	}
-	log.Infof("PROFIT: %s", types.USD.FormatMoneyFloat64(report.Profit))
-	log.Infof("UNREALIZED PROFIT: %s", types.USD.FormatMoneyFloat64(report.UnrealizedProfit))
+	log.Infof("PROFIT: %s", types.USD.FormatMoneyFloat64(report.Profit.Float64()))
+	log.Infof("UNREALIZED PROFIT: %s", types.USD.FormatMoneyFloat64(report.UnrealizedProfit.Float64()))
 }
 
 func (report AverageCostPnlReport) SlackAttachment() slack.Attachment {
@@ -63,7 +65,9 @@ func (report AverageCostPnlReport) SlackAttachment() slack.Attachment {
 			{Title: "Unrealized Profit", Value: types.USD.FormatMoney(report.UnrealizedProfit)},
 			{Title: "Current Price", Value: report.Market.FormatPrice(report.CurrentPrice), Short: true},
 			{Title: "Average Cost", Value: report.Market.FormatPrice(report.AverageBidCost), Short: true},
-			{Title: "Fee (USD)", Value: types.USD.FormatMoney(report.FeeInUSD), Short: true},
+			
+			// FIXME:
+			// {Title: "Fee (USD)", Value: types.USD.FormatMoney(report.FeeInUSD), Short: true},
 			{Title: "Stock", Value: strconv.FormatFloat(report.Stock, 'f', 8, 64), Short: true},
 			{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true},
 		},

pkg/bbgo/environment.go

@@ -18,7 +18,6 @@ import (
 	"github.com/spf13/viper"
 	"gopkg.in/tucnak/telebot.v2"
 
-	"github.com/c9s/bbgo/pkg/accounting/pnl"
 	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
 	"github.com/c9s/bbgo/pkg/notifier/slacknotifier"
 	"github.com/c9s/bbgo/pkg/notifier/telegramnotifier"
@@ -398,7 +397,9 @@ func (environ *Environment) ConfigureNotificationRouting(conf *NotificationConfi
 
 		}
 
-		// currently not used
+		// currently, not used
+		// FIXME: this is causing cyclic import
+		/*
 		switch conf.Routing.PnL {
 		case "$symbol":
 			environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) {
@@ -410,6 +411,7 @@ func (environ *Environment) ConfigureNotificationRouting(conf *NotificationConfi
 				return
 			})
 		}
+		 */
 
 	}
 	return nil

pkg/bbgo/position.go

@@ -31,6 +31,7 @@ type Position struct {
 	// This is used for calculating net profit
 	ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
 
+	FeeRate *ExchangeFee `json:"feeRate,omitempty"`
 	ExchangeFeeRates map[types.ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
 
 	sync.Mutex
@@ -59,6 +60,10 @@ func (p *Position) Reset() {
 	p.AverageCost = 0
 }
 
+func (p *Position) SetFeeRate(exchangeFee ExchangeFee) {
+	p.FeeRate = &exchangeFee
+}
+
 func (p *Position) SetExchangeFeeRate(ex types.ExchangeName, exchangeFee ExchangeFee) {
 	if p.ExchangeFeeRates == nil {
 		p.ExchangeFeeRates = make(map[types.ExchangeName]ExchangeFee)
@@ -168,6 +173,12 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
 					feeInQuote += exchangeFee.TakerFeeRate.Mul(quoteQuantity)
 				}
 			}
+		} else if p.FeeRate != nil {
+			if t.IsMaker {
+				feeInQuote += p.FeeRate.MakerFeeRate.Mul(quoteQuantity)
+			} else {
+				feeInQuote += p.FeeRate.TakerFeeRate.Mul(quoteQuantity)
+			}
 		}
 	}
 

pkg/bbgo/reporter.go

@@ -4,8 +4,6 @@ import (
 	"regexp"
 
 	"github.com/robfig/cron/v3"
-
-	"github.com/c9s/bbgo/pkg/accounting/pnl"
 )
 
 type PnLReporter interface {
@@ -67,17 +65,20 @@ func (reporter *AverageCostPnLReporter) When(specs ...string) *AverageCostPnLRep
 }
 
 func (reporter *AverageCostPnLReporter) Run() {
-	for _, sessionName := range reporter.Sessions {
-		session := reporter.environment.sessions[sessionName]
-		calculator := &pnl.AverageCostCalculator{
-			TradingFeeCurrency: session.Exchange.PlatformFeeCurrency(),
-		}
+	// FIXME: this is causing cyclic import
+	/*
+		for _, sessionName := range reporter.Sessions {
+			session := reporter.environment.sessions[sessionName]
+			calculator := &pnl.AverageCostCalculator{
+				TradingFeeCurrency: session.Exchange.PlatformFeeCurrency(),
+			}
 
-		for _, symbol := range reporter.Symbols {
-			report := calculator.Calculate(symbol, session.Trades[symbol].Copy(), session.lastPrices[symbol])
-			report.Print()
+			for _, symbol := range reporter.Symbols {
+				report := calculator.Calculate(symbol, session.Trades[symbol].Copy(), session.lastPrices[symbol])
+				report.Print()
+			}
 		}
-	}
+	*/
 }
 
 type PatternChannelRouter struct {

pkg/cmd/backtest.go

@@ -262,15 +262,17 @@ var BacktestCmd = &cobra.Command{
 		// put the logger back to print the pnl
 		log.SetLevel(log.InfoLevel)
 		for _, session := range environ.Sessions() {
-			calculator := &pnl.AverageCostCalculator{
-				TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
-			}
 			for symbol, trades := range session.Trades {
 				market, ok := session.Market(symbol)
 				if !ok {
 					return fmt.Errorf("market not found: %s", symbol)
 				}
 
+				calculator := &pnl.AverageCostCalculator{
+					TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
+					Market: market,
+				}
+
 				startPrice, ok := session.StartPrice(symbol)
 				if !ok {
 					return fmt.Errorf("start price not found: %s", symbol)