package bbgo import ( "github.com/c9s/bbgo/pkg/types" log "github.com/sirupsen/logrus" "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 // find the first buy trade var firstBidIndex = -1 for idx, t := range trades { if t.IsBuyer { firstBidIndex = idx break } } if firstBidIndex > 0 { trades = trades[firstBidIndex:] } 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 var feeRate = 0.001 var askVolume = 0.0 var askFee = 0.0 for _, t := range trades { if !t.IsBuyer { profit += (t.Price - averageBidPrice) * t.Volume askVolume += t.Volume switch t.FeeCurrency { case "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), Profit: profit, AverageBidPrice: averageBidPrice, Stock: stock, Fee: fee, } } type ProfitAndLossReport struct { CurrentPrice float64 StartTime time.Time Symbol string NumTrades int Profit float64 AverageBidPrice 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("stock volume: %f", report.Stock) log.Infof("current price: %s", USD.FormatMoneyFloat64(report.CurrentPrice)) log.Infof("overall profit: %s", USD.FormatMoneyFloat64(report.Profit)) }