package bbgo import ( "fmt" "math" "sort" "strconv" "strings" "sync" "github.com/c9s/bbgo/types" ) func zero(a float64) bool { return int(math.Round(a*1e8)) == 0 } func round(a float64) float64 { return math.Round(a*1e8) / 1e8 } type Stock types.Trade func (stock *Stock) String() string { return fmt.Sprintf("%f (%f)", stock.Price, stock.Quantity) } func (stock *Stock) Consume(quantity float64) float64 { q := math.Min(stock.Quantity, quantity) stock.Quantity = round(stock.Quantity - q) return q } type StockSlice []Stock func (slice StockSlice) QuantityBelowPrice(price float64) (quantity float64) { for _, stock := range slice { if stock.Price < price { quantity += stock.Quantity } } return round(quantity) } func (slice StockSlice) Quantity() (total float64) { for _, stock := range slice { total += stock.Quantity } return round(total) } type StockDistribution struct { mu sync.Mutex Symbol string TradingFeeCurrency string Stocks StockSlice PendingSells StockSlice } type DistributionStats struct { PriceLevels []string `json:"priceLevels"` TotalQuantity float64 `json:"totalQuantity"` Quantities map[string]float64 `json:"quantities"` Stocks map[string]StockSlice `json:"stocks"` } func (m *StockDistribution) DistributionStats(level int) *DistributionStats { var d = DistributionStats{ Quantities: map[string]float64{}, Stocks: map[string]StockSlice{}, } for _, stock := range m.Stocks { n := math.Ceil(math.Log10(stock.Price)) digits := int(n - math.Max(float64(level), 1.0)) div := math.Pow10(digits) priceLevel := math.Floor(stock.Price/div) * div key := strconv.FormatFloat(priceLevel, 'f', 2, 64) d.TotalQuantity += stock.Quantity d.Stocks[key] = append(d.Stocks[key], stock) d.Quantities[key] += stock.Quantity } var priceLevels []float64 for priceString := range d.Stocks { price, _ := strconv.ParseFloat(priceString, 32) priceLevels = append(priceLevels, price) } sort.Float64s(priceLevels) for _, price := range priceLevels { d.PriceLevels = append(d.PriceLevels, strconv.FormatFloat(price, 'f', 2, 64)) } sort.Float64s(priceLevels) return &d } func (m *StockDistribution) stock(stock Stock) error { m.mu.Lock() m.Stocks = append(m.Stocks, stock) m.mu.Unlock() return m.flushPendingSells() } func (m *StockDistribution) squash() { m.mu.Lock() defer m.mu.Unlock() var squashed StockSlice for _, stock := range m.Stocks { if !zero(stock.Quantity) { squashed = append(squashed, stock) } } m.Stocks = squashed } func (m *StockDistribution) flushPendingSells() error { if len(m.Stocks) == 0 || len(m.PendingSells) == 0 { return nil } pendingSells := m.PendingSells m.PendingSells = nil for _, sell := range pendingSells { if err := m.consume(sell); err != nil { return err } } return nil } func (m *StockDistribution) consume(sell Stock) error { m.mu.Lock() defer m.mu.Unlock() if len(m.Stocks) == 0 { m.PendingSells = append(m.PendingSells, sell) return nil } idx := len(m.Stocks) - 1 for ; idx >= 0; idx-- { stock := m.Stocks[idx] // find any stock price is lower than the sell trade if stock.Price >= sell.Price { continue } if zero(stock.Quantity) { continue } delta := stock.Consume(sell.Quantity) sell.Consume(delta) m.Stocks[idx] = stock if zero(sell.Quantity) { return nil } } idx = len(m.Stocks) - 1 for ; idx >= 0; idx-- { stock := m.Stocks[idx] if zero(stock.Quantity) { continue } delta := stock.Consume(sell.Quantity) sell.Consume(delta) m.Stocks[idx] = stock if zero(sell.Quantity) { return nil } } if sell.Quantity > 0.0 { m.PendingSells = append(m.PendingSells, sell) } return nil } func (m *StockDistribution) AddTrades(trades []types.Trade) (checkpoints []int, err error) { feeSymbol := strings.HasPrefix(m.Symbol, m.TradingFeeCurrency) for idx, trade := range trades { // for other market trades // convert trading fee trades to sell trade if trade.Symbol != m.Symbol { if feeSymbol && trade.FeeCurrency == m.TradingFeeCurrency { trade.Symbol = m.Symbol trade.IsBuyer = false trade.Quantity = trade.Fee trade.Fee = 0.0 } } if trade.Symbol != m.Symbol { continue } if trade.IsBuyer { if idx > 0 && len(m.Stocks) == 0 { checkpoints = append(checkpoints, idx) } stock := toStock(trade) if err := m.stock(stock); err != nil { return checkpoints, err } } else { stock := toStock(trade) if err := m.consume(stock); err != nil { return checkpoints, err } } } err = m.flushPendingSells() m.squash() return checkpoints, err } func toStock(trade types.Trade) Stock { if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) { if trade.IsBuyer { trade.Quantity -= trade.Fee } else { trade.Quantity += trade.Fee } trade.Fee = 0.0 } return Stock(trade) }