mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 16:21:09 +00:00
117 lines
2.7 KiB
Go
117 lines
2.7 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"fmt"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type Position struct {
|
|
Symbol string `json:"symbol"`
|
|
BaseCurrency string `json:"baseCurrency"`
|
|
QuoteCurrency string `json:"quoteCurrency"`
|
|
|
|
Base fixedpoint.Value `json:"base"`
|
|
Quote fixedpoint.Value `json:"quote"`
|
|
AverageCost fixedpoint.Value `json:"averageCost"`
|
|
}
|
|
|
|
func (p Position) String() string {
|
|
return fmt.Sprintf("%s: average cost = %f, base = %f, quote = %f",
|
|
p.Symbol,
|
|
p.AverageCost.Float64(),
|
|
p.Base.Float64(),
|
|
p.Quote.Float64(),
|
|
)
|
|
}
|
|
|
|
func (p *Position) BindStream(stream types.Stream) {
|
|
stream.OnTradeUpdate(func(trade types.Trade) {
|
|
if p.Symbol == trade.Symbol {
|
|
p.AddTrade(trade)
|
|
}
|
|
})
|
|
}
|
|
|
|
func (p *Position) AddTrades(trades []types.Trade) (fixedpoint.Value, bool) {
|
|
var totalProfitAmount fixedpoint.Value
|
|
for _, trade := range trades {
|
|
if profitAmount, profit := p.AddTrade(trade); profit {
|
|
totalProfitAmount += profitAmount
|
|
}
|
|
}
|
|
|
|
return totalProfitAmount, totalProfitAmount != 0
|
|
}
|
|
|
|
func (p *Position) AddTrade(t types.Trade) (fixedpoint.Value, bool) {
|
|
price := fixedpoint.NewFromFloat(t.Price)
|
|
quantity := fixedpoint.NewFromFloat(t.Quantity)
|
|
quoteQuantity := fixedpoint.NewFromFloat(t.QuoteQuantity)
|
|
fee := fixedpoint.NewFromFloat(t.Fee)
|
|
|
|
switch t.FeeCurrency {
|
|
|
|
case p.BaseCurrency:
|
|
quantity -= fee
|
|
|
|
case p.QuoteCurrency:
|
|
quoteQuantity -= fee
|
|
|
|
}
|
|
|
|
// Base > 0 means we're in long position
|
|
// Base < 0 means we're in short position
|
|
switch t.Side {
|
|
|
|
case types.SideTypeBuy:
|
|
if p.Base < 0 {
|
|
// handling short-to-long position
|
|
if p.Base+quantity > 0 {
|
|
closingProfit := (p.AverageCost - price).Mul(-p.Base)
|
|
p.Base += quantity
|
|
p.Quote -= quoteQuantity
|
|
p.AverageCost = price
|
|
return closingProfit, true
|
|
} else {
|
|
// covering short position
|
|
p.Base += quantity
|
|
p.Quote -= quoteQuantity
|
|
return (p.AverageCost - price).Mul(quantity), true
|
|
}
|
|
}
|
|
|
|
p.AverageCost = (p.AverageCost.Mul(p.Base) + quoteQuantity).Div(p.Base + quantity)
|
|
p.Base += quantity
|
|
p.Quote -= quoteQuantity
|
|
|
|
return 0, false
|
|
|
|
case types.SideTypeSell:
|
|
if p.Base > 0 {
|
|
// long-to-short
|
|
if p.Base-quantity < 0 {
|
|
closingProfit := (price - p.AverageCost).Mul(p.Base)
|
|
p.Base -= quantity
|
|
p.Quote += quoteQuantity
|
|
p.AverageCost = price
|
|
return closingProfit, true
|
|
} else {
|
|
p.Base -= quantity
|
|
p.Quote += quoteQuantity
|
|
return (price - p.AverageCost).Mul(quantity), true
|
|
}
|
|
}
|
|
|
|
// handling short position
|
|
p.AverageCost = (p.AverageCost.Mul(-p.Base) + quoteQuantity).Div(-p.Base + quantity)
|
|
p.Base -= quantity
|
|
p.Quote += quoteQuantity
|
|
|
|
return 0, false
|
|
}
|
|
|
|
return 0, false
|
|
}
|