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Merge pull request #1567 from c9s/c9s/refactor-profit-fixer
REFACTOR: refactor profit fixer
This commit is contained in:
c9s
GitHub
commit
f84aa2687c
104
pkg/strategy/common/profit_fixer.go
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104
pkg/strategy/common/profit_fixer.go
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@ -0,0 +1,104 @@
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package common
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import (
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"context"
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"sync"
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"time"
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log "github.com/sirupsen/logrus"
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"golang.org/x/sync/errgroup"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/types"
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)
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// ProfitFixerConfig is used for fixing profitStats and position by re-playing the trade history
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type ProfitFixerConfig struct {
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TradesSince types.Time `json:"tradesSince,omitempty"`
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}
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// ProfitFixer implements a trade-history-based profit fixer
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type ProfitFixer struct {
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market types.Market
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sessions map[string]types.ExchangeTradeHistoryService
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}
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func NewProfitFixer(market types.Market) *ProfitFixer {
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return &ProfitFixer{
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market: market,
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sessions: make(map[string]types.ExchangeTradeHistoryService),
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}
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}
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func (f *ProfitFixer) AddExchange(sessionName string, service types.ExchangeTradeHistoryService) {
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f.sessions[sessionName] = service
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}
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func (f *ProfitFixer) batchQueryTrades(
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ctx context.Context,
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service types.ExchangeTradeHistoryService,
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symbol string,
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since, until time.Time,
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) ([]types.Trade, error) {
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q := &batch.TradeBatchQuery{ExchangeTradeHistoryService: service}
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return q.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
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StartTime: &since,
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EndTime: &until,
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})
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}
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func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, market types.Market, since, until time.Time) ([]types.Trade, error) {
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var mu sync.Mutex
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var allTrades = make([]types.Trade, 0, 1000)
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g, subCtx := errgroup.WithContext(ctx)
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for n, s := range f.sessions {
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// allocate a copy of the iteration variables
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sessionName := n
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service := s
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g.Go(func() error {
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log.Infof("batch querying %s trade history from %s since %s until %s", market.Symbol, sessionName, since.String(), until.String())
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trades, err := f.batchQueryTrades(subCtx, service, f.market.Symbol, since, until)
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if err != nil {
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log.WithError(err).Errorf("unable to batch query trades for fixer")
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return err
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}
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mu.Lock()
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allTrades = append(allTrades, trades...)
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mu.Unlock()
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return nil
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})
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}
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if err := g.Wait(); err != nil {
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return nil, err
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}
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allTrades = types.SortTradesAscending(allTrades)
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return allTrades, nil
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}
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func (f *ProfitFixer) Fix(ctx context.Context, since, until time.Time, stats *types.ProfitStats, position *types.Position) error {
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log.Infof("starting profitFixer with time range %s <=> %s", since, until)
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allTrades, err := f.aggregateAllTrades(ctx, f.market, since, until)
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if err != nil {
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return err
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}
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return f.FixFromTrades(allTrades, stats, position)
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}
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func (f *ProfitFixer) FixFromTrades(allTrades []types.Trade, stats *types.ProfitStats, position *types.Position) error {
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for _, trade := range allTrades {
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profit, netProfit, madeProfit := position.AddTrade(trade)
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if madeProfit {
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p := position.NewProfit(trade, profit, netProfit)
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stats.AddProfit(p)
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}
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}
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log.Infof("profitFixer fix finished: profitStats and position are updated from %d trades", len(allTrades))
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return nil
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}
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@ -1,89 +1 @@
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package xdepthmaker
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import (
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"context"
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"sync"
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"time"
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"golang.org/x/sync/errgroup"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ProfitFixerConfig struct {
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TradesSince types.Time `json:"tradesSince,omitempty"`
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}
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// ProfitFixer implements a trade history based profit fixer
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type ProfitFixer struct {
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market types.Market
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sessions map[string]types.ExchangeTradeHistoryService
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}
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func NewProfitFixer(market types.Market) *ProfitFixer {
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return &ProfitFixer{
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market: market,
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sessions: make(map[string]types.ExchangeTradeHistoryService),
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}
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}
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func (f *ProfitFixer) AddExchange(sessionName string, service types.ExchangeTradeHistoryService) {
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f.sessions[sessionName] = service
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}
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func (f *ProfitFixer) batchQueryTrades(
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ctx context.Context,
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service types.ExchangeTradeHistoryService,
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symbol string,
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since, until time.Time,
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) ([]types.Trade, error) {
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q := &batch.TradeBatchQuery{ExchangeTradeHistoryService: service}
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return q.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
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StartTime: &since,
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EndTime: &until,
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})
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}
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func (f *ProfitFixer) Fix(ctx context.Context, since, until time.Time, stats *types.ProfitStats, position *types.Position) error {
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log.Infof("starting profitFixer with time range %s <=> %s", since, until)
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var mu sync.Mutex
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var allTrades = make([]types.Trade, 0, 1000)
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g, subCtx := errgroup.WithContext(ctx)
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for n, s := range f.sessions {
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// allocate a copy of the iteration variables
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sessionName := n
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service := s
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g.Go(func() error {
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log.Infof("batch querying %s trade history from %s since %s until %s", f.market.Symbol, sessionName, since.String(), until.String())
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trades, err := f.batchQueryTrades(subCtx, service, f.market.Symbol, since, until)
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if err != nil {
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log.WithError(err).Errorf("unable to batch query trades for fixer")
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return err
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}
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mu.Lock()
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allTrades = append(allTrades, trades...)
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mu.Unlock()
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return nil
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})
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}
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if err := g.Wait(); err != nil {
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return err
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}
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allTrades = types.SortTradesAscending(allTrades)
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for _, trade := range allTrades {
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profit, netProfit, madeProfit := position.AddTrade(trade)
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if madeProfit {
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p := position.NewProfit(trade, profit, netProfit)
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stats.AddProfit(p)
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}
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}
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log.Infof("profitFixer done: profitStats and position are updated from %d trades", len(allTrades))
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return nil
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}
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@ -14,6 +14,7 @@ import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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@ -195,7 +196,7 @@ type Strategy struct {
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// Pips is the pips of the layer prices
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Pips fixedpoint.Value `json:"pips"`
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ProfitFixerConfig *ProfitFixerConfig `json:"profitFixer"`
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ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer"`
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// --------------------------------
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// private fields
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@ -332,7 +333,7 @@ func (s *Strategy) CrossRun(
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s.CrossExchangeMarketMakingStrategy.Position = types.NewPositionFromMarket(makerMarket)
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s.CrossExchangeMarketMakingStrategy.ProfitStats = types.NewProfitStats(makerMarket)
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fixer := NewProfitFixer(makerMarket)
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fixer := common.NewProfitFixer(makerMarket)
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if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
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log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
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fixer.AddExchange(makerSession.Name, ss)
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