package priceresolver import ( "sync" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) // SimplePriceResolver implements a map-structure-based price index type SimplePriceResolver struct { // symbolPrices stores the latest trade price by mapping symbol to price symbolPrices map[string]fixedpoint.Value markets types.MarketMap // pricesByBase stores the prices by currency names as a 2-level map // BTC -> USDT -> 48000.0 // BTC -> TWD -> 1536000 pricesByBase map[string]map[string]fixedpoint.Value // pricesByQuote is for reversed pairs, like USDT/TWD or BNB/BTC // the reason that we don't store the reverse pricing in the same map is: // expression like (1/price) could produce precision issue since the data type is fixed-point, only 8 fraction numbers are supported. pricesByQuote map[string]map[string]fixedpoint.Value mu sync.Mutex } func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceResolver { return &SimplePriceResolver{ markets: markets, symbolPrices: make(map[string]fixedpoint.Value), pricesByBase: make(map[string]map[string]fixedpoint.Value), pricesByQuote: make(map[string]map[string]fixedpoint.Value), } } func (m *SimplePriceResolver) Update(symbol string, price fixedpoint.Value) { m.mu.Lock() defer m.mu.Unlock() m.symbolPrices[symbol] = price market, ok := m.markets[symbol] if !ok { log.Warnf("market info %s not found, unable to update price", symbol) return } quoteMap, ok2 := m.pricesByBase[market.BaseCurrency] if !ok2 { quoteMap = make(map[string]fixedpoint.Value) m.pricesByBase[market.BaseCurrency] = quoteMap } quoteMap[market.QuoteCurrency] = price baseMap, ok3 := m.pricesByQuote[market.QuoteCurrency] if !ok3 { baseMap = make(map[string]fixedpoint.Value) m.pricesByQuote[market.QuoteCurrency] = baseMap } baseMap[market.BaseCurrency] = price } func (m *SimplePriceResolver) UpdateFromTrade(trade types.Trade) { m.Update(trade.Symbol, trade.Price) } func (m *SimplePriceResolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) { // log.Infof("inferencePrice %s = %f", asset, assetPrice.Float64()) quotePrices, ok := m.pricesByBase[asset] if ok { for quote, price := range quotePrices { for _, fiat := range preferredFiats { if quote == fiat { return price.Mul(assetPrice), true } } } for quote, price := range quotePrices { if infPrice, ok := m.inferencePrice(quote, price.Mul(assetPrice), preferredFiats...); ok { return infPrice, true } } } // for example, quote = TWD here, we can get a price map with: // USDT: 32.0 (for USDT/TWD at 32.0) basePrices, ok := m.pricesByQuote[asset] if ok { for base, basePrice := range basePrices { // log.Infof("base %s @ %s", base, basePrice.String()) for _, fiat := range preferredFiats { if base == fiat { // log.Infof("ret %f / %f = %f", assetPrice.Float64(), basePrice.Float64(), assetPrice.Div(basePrice).Float64()) return assetPrice.Div(basePrice), true } } } for base, basePrice := range basePrices { if infPrice, ok2 := m.inferencePrice(base, assetPrice.Div(basePrice), preferredFiats...); ok2 { return infPrice, true } } } return fixedpoint.Zero, false } func (m *SimplePriceResolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) { m.mu.Lock() defer m.mu.Unlock() return m.inferencePrice(asset, fixedpoint.One, preferredFiats...) }