package accounting import ( "strings" "time" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/types" ) type ProfitAndLossCalculator struct { Symbol string StartTime time.Time CurrentPrice float64 Trades []types.Trade TradingFeeCurrency string } func (c *ProfitAndLossCalculator) AddTrade(trade types.Trade) { c.Trades = append(c.Trades, trade) } 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 askVolume = 0.0 var feeUSD = 0.0 var bidFeeUSD = 0.0 var feeRate = 0.0015 var currencyFees = map[string]float64{} for _, trade := range trades { if trade.Symbol == c.Symbol { if trade.IsBuyer { 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 } logrus.Infof("average bid price = (total amount %f + total feeUSD %f) / volume %f", bidAmount, bidFeeUSD, bidVolume) profit := 0.0 averageCost := (bidAmount + bidFeeUSD) / bidVolume for _, t := range trades { if t.Symbol != c.Symbol { continue } if t.IsBuyer { continue } profit += (t.Price - averageCost) * t.Quantity askVolume += t.Quantity } profit -= feeUSD unrealizedProfit := profit stock := bidVolume - askVolume if stock > 0 { stockFee := c.CurrentPrice * stock * feeRate unrealizedProfit += (c.CurrentPrice-averageCost)*stock - stockFee } return &ProfitAndLossReport{ Symbol: c.Symbol, StartTime: c.StartTime, CurrentPrice: c.CurrentPrice, NumTrades: len(trades), BidVolume: bidVolume, AskVolume: askVolume, Stock: stock, Profit: profit, UnrealizedProfit: unrealizedProfit, AverageBidCost: averageCost, FeeUSD: feeUSD, CurrencyFees: currencyFees, } }