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86 lines
2.3 KiB
Go
86 lines
2.3 KiB
Go
package common
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import (
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"time"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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log "github.com/sirupsen/logrus"
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)
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type FeeBudget struct {
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DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
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State *State `persistence:"state"`
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}
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func (f *FeeBudget) Initialize() {
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if f.State == nil {
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f.State = &State{}
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f.State.Reset()
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}
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if f.State.IsOver24Hours() {
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log.Warn("[FeeBudget] state is over 24 hours, resetting to zero")
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f.State.Reset()
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}
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}
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func (f *FeeBudget) IsBudgetAllowed() bool {
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if f.DailyFeeBudgets == nil {
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return true
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}
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if f.State.AccumulatedFees == nil {
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return true
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}
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for asset, budget := range f.DailyFeeBudgets {
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if fee, ok := f.State.AccumulatedFees[asset]; ok {
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if fee.Compare(budget) >= 0 {
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log.Warnf("[FeeBudget] accumulative fee %s exceeded the fee budget %s, skipping...", fee.String(), budget.String())
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return false
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}
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}
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}
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return true
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}
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func (f *FeeBudget) HandleTradeUpdate(trade types.Trade) {
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log.Infof("[FeeBudget] received trade %s", trade.String())
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if f.State.IsOver24Hours() {
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f.State.Reset()
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}
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// safe check
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if f.State.AccumulatedFees == nil {
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f.State.AccumulatedFees = make(map[string]fixedpoint.Value)
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}
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f.State.AccumulatedFees[trade.FeeCurrency] = f.State.AccumulatedFees[trade.FeeCurrency].Add(trade.Fee)
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f.State.AccumulatedVolume = f.State.AccumulatedVolume.Add(trade.Quantity)
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log.Infof("[FeeBudget] accumulated fee: %s %s", f.State.AccumulatedFees[trade.FeeCurrency].String(), trade.FeeCurrency)
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}
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type State struct {
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AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"`
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AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"`
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AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
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}
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func (s *State) IsOver24Hours() bool {
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return time.Since(s.AccumulatedFeeStartedAt) >= 24*time.Hour
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}
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func (s *State) Reset() {
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t := time.Now()
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dateTime := time.Date(t.Year(), t.Month(), t.Day(), 0, 0, 0, 0, t.Location())
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log.Infof("[State] resetting accumulated started time to: %s", dateTime)
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s.AccumulatedFeeStartedAt = dateTime
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s.AccumulatedFees = make(map[string]fixedpoint.Value)
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s.AccumulatedVolume = fixedpoint.Zero
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}
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