package bbgo import ( "github.com/c9s/bbgo/pkg/bbgo/types" "github.com/c9s/bbgo/pkg/slack/slackstyle" log "github.com/sirupsen/logrus" "github.com/slack-go/slack" "strconv" "strings" "time" ) type ProfitAndLossCalculator struct { Symbol string StartTime time.Time CurrentPrice float64 Trades []types.Trade CurrencyPrice map[string]float64 } func (c *ProfitAndLossCalculator) AddTrade(trade types.Trade) { c.Trades = append(c.Trades, trade) } func (c *ProfitAndLossCalculator) SetCurrencyPrice(symbol string, price float64) { if c.CurrencyPrice == nil { c.CurrencyPrice = map[string]float64{} } c.CurrencyPrice[symbol] = price } func (c *ProfitAndLossCalculator) SetCurrentPrice(price float64) { c.CurrentPrice = price } func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport { // copy trades, so that we can truncate it. var trades = c.Trades var bidVolume = 0.0 var bidAmount = 0.0 var bidFee = 0.0 var askVolume = 0.0 var feeRate = 0.001 var askFee = 0.0 for _, t := range trades { if t.IsBuyer { bidVolume += t.Volume bidAmount += t.Price * t.Volume // since we use USDT as the quote currency, we simply check if it matches the currency symbol if strings.HasPrefix(t.Symbol, t.FeeCurrency) { bidFee += t.Price * t.Fee } else if t.FeeCurrency == "USDT" { bidFee += t.Fee } } } log.Infof("average bid price = (total amount %f + total fee %f) / volume %f", bidAmount, bidFee, bidVolume) profit := 0.0 averageBidPrice := (bidAmount + bidFee) / bidVolume for _, t := range trades { if !t.IsBuyer { profit += (t.Price - averageBidPrice) * t.Volume askVolume += t.Volume // since we use USDT as the quote currency, we simply check if it matches the currency symbol if strings.HasPrefix(t.Symbol, t.FeeCurrency) { askFee += t.Price * t.Fee } else if t.FeeCurrency == "USDT" { askFee += t.Fee } } } profit -= askFee stock := bidVolume - askVolume futureFee := 0.0 if stock > 0 { stockFee := c.CurrentPrice * feeRate * stock profit += (c.CurrentPrice-averageBidPrice)*stock - stockFee futureFee += stockFee } fee := bidFee + askFee + futureFee return &ProfitAndLossReport{ Symbol: c.Symbol, StartTime: c.StartTime, CurrentPrice: c.CurrentPrice, NumTrades: len(trades), BidVolume: bidVolume, AskVolume: askVolume, Profit: profit, AverageBidPrice: averageBidPrice, Stock: stock, Fee: fee, } } type ProfitAndLossReport struct { CurrentPrice float64 StartTime time.Time Symbol string NumTrades int Profit float64 AverageBidPrice float64 BidVolume float64 AskVolume float64 Stock float64 Fee float64 } func (report ProfitAndLossReport) Print() { log.Infof("trades since: %v", report.StartTime) log.Infof("average bid price: %s", USD.FormatMoneyFloat64(report.AverageBidPrice)) log.Infof("total bid volume: %f", report.BidVolume) log.Infof("total ask volume: %f", report.AskVolume) log.Infof("stock volume: %f", report.Stock) log.Infof("current price: %s", USD.FormatMoneyFloat64(report.CurrentPrice)) log.Infof("overall profit: %s", USD.FormatMoneyFloat64(report.Profit)) } func (report ProfitAndLossReport) SlackAttachment() slack.Attachment { var color = "" if report.Profit > 0 { color = slackstyle.Green } else { color = slackstyle.Red } market, ok := types.FindMarket(report.Symbol) if !ok { return slack.Attachment{} } return slack.Attachment{ Title: "Profit and Loss report of " + report.Symbol, Color: color, // Pretext: "", // Text: "", Fields: []slack.AttachmentField{ {Title: "Symbol", Value: report.Symbol, Short: true,}, {Title: "Profit", Value: USD.FormatMoney(report.Profit), Short: true,}, {Title: "Current Price", Value: USD.FormatMoney(report.CurrentPrice), Short: true,}, {Title: "Average Bid Price", Value: USD.FormatMoney(report.AverageBidPrice), Short: true,}, {Title: "Inventory", Value: market.FormatVolume(report.Stock), Short: true,}, {Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true,}, }, Footer: report.StartTime.Format(time.RFC822), FooterIcon: "", } }