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42 lines
902 B
Go
42 lines
902 B
Go
package bbgo
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type Position struct {
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Base fixedpoint.Value `json:"base"`
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Quote fixedpoint.Value `json:"quote"`
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AverageCost fixedpoint.Value `json:"averageCost"`
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}
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func (p *Position) AddTrade(t types.Trade) (fixedpoint.Value, bool) {
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price := fixedpoint.NewFromFloat(t.Price)
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quantity := fixedpoint.NewFromFloat(t.Quantity)
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switch t.Side {
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case types.SideTypeBuy:
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if p.AverageCost == 0 {
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p.AverageCost = price
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} else {
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p.AverageCost = (p.AverageCost.Mul(p.Base) + price.Mul(quantity)).Div(p.Base + quantity)
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}
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p.Base += quantity
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p.Quote -= fixedpoint.NewFromFloat(t.QuoteQuantity)
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return 0, false
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case types.SideTypeSell:
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p.Base -= quantity
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p.Quote += fixedpoint.NewFromFloat(t.QuoteQuantity)
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return (price - p.AverageCost).Mul(quantity), true
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}
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return 0, false
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}
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