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grid2: add profitFixer and tests
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parent
d0ea7d8b47
commit
e8a761e331
78
pkg/strategy/grid2/profit_fixer.go
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78
pkg/strategy/grid2/profit_fixer.go
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@ -0,0 +1,78 @@
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package grid2
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import (
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"context"
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"time"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ProfitFixer struct {
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symbol string
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grid *Grid
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historyService types.ExchangeTradeHistoryService
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}
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func newProfitFixer(grid *Grid, symbol string, historyService types.ExchangeTradeHistoryService) *ProfitFixer {
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return &ProfitFixer{
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symbol: symbol,
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grid: grid,
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historyService: historyService,
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}
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}
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// Fix fixes the total quote profit of the given grid
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func (f *ProfitFixer) Fix(ctx context.Context, since, until time.Time, initialOrderID uint64, profitStats *GridProfitStats) error {
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profitStats.TotalQuoteProfit = fixedpoint.Zero
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profitStats.ArbitrageCount = 0
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q := &batch.ClosedOrderBatchQuery{ExchangeTradeHistoryService: f.historyService}
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orderC, errC := q.Query(ctx, f.symbol, since, until, initialOrderID)
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for {
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select {
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case <-ctx.Done():
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if errors.Is(ctx.Err(), context.Canceled) {
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return nil
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}
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return ctx.Err()
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case order, ok := <-orderC:
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if !ok {
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return <-errC
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}
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if !f.grid.HasPrice(order.Price) {
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continue
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}
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if profitStats.InitialOrderID == 0 {
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profitStats.InitialOrderID = order.OrderID
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}
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if order.Status != types.OrderStatusFilled {
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continue
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}
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if order.Type != types.OrderTypeLimit {
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continue
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}
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if order.Side != types.SideTypeSell {
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continue
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}
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quoteProfit := order.Quantity.Mul(f.grid.Spread)
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profitStats.TotalQuoteProfit = profitStats.TotalQuoteProfit.Add(quoteProfit)
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profitStats.ArbitrageCount++
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log.Debugf("profitFixer: filledSellOrder=%#v", order)
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log.Debugf("profitFixer: profitStats=%#v", profitStats)
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}
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}
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}
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102
pkg/strategy/grid2/profit_fixer_test.go
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102
pkg/strategy/grid2/profit_fixer_test.go
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@ -0,0 +1,102 @@
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package grid2
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import (
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"context"
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"testing"
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"time"
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"github.com/golang/mock/gomock"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types/mocks"
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)
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func mustNewTime(v string) time.Time {
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t, err := time.Parse(time.RFC3339, v)
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if err != nil {
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panic(err)
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}
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return t
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}
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var testClosedOrderID = uint64(0)
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func newClosedLimitOrder(symbol string, side types.SideType, price, quantity fixedpoint.Value, ta ...time.Time) types.Order {
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testClosedOrderID++
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creationTime := time.Now()
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updateTime := creationTime
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if len(ta) > 0 {
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creationTime = ta[0]
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if len(ta) > 1 {
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updateTime = ta[1]
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}
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}
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return types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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},
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Exchange: types.ExchangeBinance,
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OrderID: testClosedOrderID,
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Status: types.OrderStatusFilled,
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ExecutedQuantity: quantity,
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CreationTime: types.Time(creationTime),
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UpdateTime: types.Time(updateTime),
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}
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}
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func TestProfitFixer(t *testing.T) {
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testOrderID = 0
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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ctx := context.Background()
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mockHistoryService := mocks.NewMockExchangeTradeHistoryService(mockCtrl)
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mockHistoryService.EXPECT().QueryClosedOrders(ctx, "ETHUSDT", mustNewTime("2022-01-01T00:00:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(0)).
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Return([]types.Order{
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1700.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:03:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1905.0), number(0.1), mustNewTime("2022-01-01T00:03:00Z")),
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}, nil)
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mockHistoryService.EXPECT().QueryClosedOrders(ctx, "ETHUSDT", mustNewTime("2022-01-01T00:03:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(5)).
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Return([]types.Order{
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1700.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:08:00Z")),
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}, nil)
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mockHistoryService.EXPECT().QueryClosedOrders(ctx, "ETHUSDT", mustNewTime("2022-01-01T00:08:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(10)).
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Return([]types.Order{}, nil)
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grid := NewGrid(number(1000.0), number(2000.0), number(11), number(0.01))
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grid.CalculateArithmeticPins()
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since, err := time.Parse(time.RFC3339, "2022-01-01T00:00:00Z")
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assert.NoError(t, err)
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until, err := time.Parse(time.RFC3339, "2022-01-07T00:00:00Z")
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assert.NoError(t, err)
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stats := &GridProfitStats{}
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fixer := newProfitFixer(grid, "ETHUSDT", mockHistoryService)
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err = fixer.Fix(ctx, since, until, 0, stats)
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assert.NoError(t, err)
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assert.Equal(t, "40", stats.TotalQuoteProfit.String())
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assert.Equal(t, 4, stats.ArbitrageCount)
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}
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@ -70,6 +70,20 @@ func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.Ex
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// emit ready after recover
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s.EmitGridReady()
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defer bbgo.Sync(ctx, s)
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if s.EnableProfitFixer {
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until := time.Now()
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since := until.Add(7 * 24 * time.Hour)
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if s.FixProfitSince != nil {
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since = s.FixProfitSince.Time()
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}
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fixer := newProfitFixer(s.grid, s.Symbol, historyService)
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// set initial order ID = 0 instead of s.GridProfitStats.InitialOrderID because the order ID could be incorrect
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return fixer.Fix(ctx, since, until, 0, s.GridProfitStats)
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}
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return nil
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}
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@ -165,6 +165,9 @@ type Strategy struct {
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SkipSpreadCheck bool `json:"skipSpreadCheck"`
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RecoverGridByScanningTrades bool `json:"recoverGridByScanningTrades"`
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EnableProfitFixer bool `json:"enableProfitFixer"`
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FixProfitSince *types.Time `json:"fixProfitSince"`
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// Debug enables the debug mode
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Debug bool `json:"debug"`
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@ -108,6 +108,7 @@ type ExchangeAmountFeeProtect interface {
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SetModifyOrderAmountForFee(ExchangeFee)
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}
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//go:generate mockgen -destination=mocks/mock_exchange_trade_history.go -package=mocks . ExchangeTradeHistoryService
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type ExchangeTradeHistoryService interface {
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QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
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QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []Order, err error)
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67
pkg/types/mocks/mock_exchange_trade_history.go
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67
pkg/types/mocks/mock_exchange_trade_history.go
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// Code generated by MockGen. DO NOT EDIT.
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// Source: github.com/c9s/bbgo/pkg/types (interfaces: ExchangeTradeHistoryService)
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// Package mocks is a generated GoMock package.
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package mocks
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import (
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context "context"
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reflect "reflect"
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time "time"
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types "github.com/c9s/bbgo/pkg/types"
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gomock "github.com/golang/mock/gomock"
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)
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// MockExchangeTradeHistoryService is a mock of ExchangeTradeHistoryService interface.
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type MockExchangeTradeHistoryService struct {
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ctrl *gomock.Controller
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recorder *MockExchangeTradeHistoryServiceMockRecorder
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}
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// MockExchangeTradeHistoryServiceMockRecorder is the mock recorder for MockExchangeTradeHistoryService.
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type MockExchangeTradeHistoryServiceMockRecorder struct {
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mock *MockExchangeTradeHistoryService
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}
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// NewMockExchangeTradeHistoryService creates a new mock instance.
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func NewMockExchangeTradeHistoryService(ctrl *gomock.Controller) *MockExchangeTradeHistoryService {
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mock := &MockExchangeTradeHistoryService{ctrl: ctrl}
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mock.recorder = &MockExchangeTradeHistoryServiceMockRecorder{mock}
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return mock
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}
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// EXPECT returns an object that allows the caller to indicate expected use.
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func (m *MockExchangeTradeHistoryService) EXPECT() *MockExchangeTradeHistoryServiceMockRecorder {
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return m.recorder
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}
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// QueryClosedOrders mocks base method.
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func (m *MockExchangeTradeHistoryService) QueryClosedOrders(arg0 context.Context, arg1 string, arg2, arg3 time.Time, arg4 uint64) ([]types.Order, error) {
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m.ctrl.T.Helper()
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ret := m.ctrl.Call(m, "QueryClosedOrders", arg0, arg1, arg2, arg3, arg4)
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ret0, _ := ret[0].([]types.Order)
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ret1, _ := ret[1].(error)
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return ret0, ret1
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}
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// QueryClosedOrders indicates an expected call of QueryClosedOrders.
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func (mr *MockExchangeTradeHistoryServiceMockRecorder) QueryClosedOrders(arg0, arg1, arg2, arg3, arg4 interface{}) *gomock.Call {
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mr.mock.ctrl.T.Helper()
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "QueryClosedOrders", reflect.TypeOf((*MockExchangeTradeHistoryService)(nil).QueryClosedOrders), arg0, arg1, arg2, arg3, arg4)
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}
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// QueryTrades mocks base method.
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func (m *MockExchangeTradeHistoryService) QueryTrades(arg0 context.Context, arg1 string, arg2 *types.TradeQueryOptions) ([]types.Trade, error) {
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m.ctrl.T.Helper()
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ret := m.ctrl.Call(m, "QueryTrades", arg0, arg1, arg2)
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ret0, _ := ret[0].([]types.Trade)
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ret1, _ := ret[1].(error)
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return ret0, ret1
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}
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// QueryTrades indicates an expected call of QueryTrades.
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func (mr *MockExchangeTradeHistoryServiceMockRecorder) QueryTrades(arg0, arg1, arg2 interface{}) *gomock.Call {
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mr.mock.ctrl.T.Helper()
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "QueryTrades", reflect.TypeOf((*MockExchangeTradeHistoryService)(nil).QueryTrades), arg0, arg1, arg2)
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}
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