package pnl import ( "strings" "time" "github.com/c9s/bbgo/pkg/types" ) type AverageCostCalculator struct { TradingFeeCurrency string } 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{ Symbol: symbol, CurrentPrice: currentPrice, NumTrades: 0, BuyVolume: bidVolume, SellVolume: askVolume, FeeInUSD: feeUSD, } } var currencyFees = map[string]float64{} for _, trade := range trades { if trade.Symbol == symbol { if trade.IsBuyer && trade.Side != types.SideTypeSelf { 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 } } if _, ok := currencyFees[trade.FeeCurrency]; !ok { currencyFees[trade.FeeCurrency] = 0.0 } 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 } return &AverageCostPnlReport{ Symbol: symbol, CurrentPrice: currentPrice, NumTrades: len(trades), StartTime: time.Time(trades[0].Time), BuyVolume: bidVolume, SellVolume: askVolume, Stock: stock, Profit: profit, UnrealizedProfit: unrealizedProfit, AverageBidCost: averageCost, FeeInUSD: feeUSD, CurrencyFees: currencyFees, } }