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90 lines
2.2 KiB
Go
90 lines
2.2 KiB
Go
package pnl
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import (
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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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 AverageCostCalculator struct {
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TradingFeeCurrency string
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Market types.Market
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}
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func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, currentPrice float64) *AverageCostPnlReport {
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// copy trades, so that we can truncate it.
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var bidVolume = 0.0
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var askVolume = 0.0
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var feeUSD = 0.0
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if len(trades) == 0 {
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return &AverageCostPnlReport{
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Symbol: symbol,
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Market: c.Market,
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LastPrice: currentPrice,
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NumTrades: 0,
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BuyVolume: bidVolume,
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SellVolume: askVolume,
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FeeInUSD: feeUSD,
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}
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}
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var currencyFees = map[string]float64{}
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var position = bbgo.NewPositionFromMarket(c.Market)
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position.SetFeeRate(bbgo.ExchangeFee{
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// binance vip 0 uses 0.075%
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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})
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// TODO: configure the exchange fee rate here later
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// position.SetExchangeFeeRate()
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var totalProfit fixedpoint.Value
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var totalNetProfit fixedpoint.Value
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for _, trade := range trades {
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if trade.Symbol == symbol {
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profit, netProfit, madeProfit := position.AddTrade(trade)
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if madeProfit {
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totalProfit += profit
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totalNetProfit += netProfit
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}
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if trade.IsBuyer {
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bidVolume += trade.Quantity
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} else {
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askVolume += trade.Quantity
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}
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}
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if _, ok := currencyFees[trade.FeeCurrency]; !ok {
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currencyFees[trade.FeeCurrency] = trade.Fee
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} else {
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currencyFees[trade.FeeCurrency] += trade.Fee
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}
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}
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unrealizedProfit := (fixedpoint.NewFromFloat(currentPrice) - position.AverageCost).Mul(position.Base)
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return &AverageCostPnlReport{
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Symbol: symbol,
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Market: c.Market,
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LastPrice: currentPrice,
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NumTrades: len(trades),
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StartTime: time.Time(trades[0].Time),
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BuyVolume: bidVolume,
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SellVolume: askVolume,
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Stock: position.Base.Float64(),
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Profit: totalProfit,
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NetProfit: totalNetProfit,
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UnrealizedProfit: unrealizedProfit,
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AverageCost: position.AverageCost.Float64(),
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FeeInUSD: (totalProfit - totalNetProfit).Float64(),
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CurrencyFees: currencyFees,
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}
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}
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