mirror of
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104 lines
2.8 KiB
Go
104 lines
2.8 KiB
Go
package common
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import (
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"context"
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"sync"
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"time"
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log "github.com/sirupsen/logrus"
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"golang.org/x/sync/errgroup"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/types"
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)
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// ProfitFixerConfig is used for fixing profitStats and position by re-playing the trade history
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type ProfitFixerConfig struct {
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TradesSince types.Time `json:"tradesSince,omitempty"`
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}
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// ProfitFixer implements a trade-history-based profit fixer
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type ProfitFixer struct {
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sessions map[string]types.ExchangeTradeHistoryService
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}
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func NewProfitFixer() *ProfitFixer {
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return &ProfitFixer{
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sessions: make(map[string]types.ExchangeTradeHistoryService),
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}
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}
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func (f *ProfitFixer) AddExchange(sessionName string, service types.ExchangeTradeHistoryService) {
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f.sessions[sessionName] = service
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}
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func (f *ProfitFixer) batchQueryTrades(
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ctx context.Context,
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service types.ExchangeTradeHistoryService,
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symbol string,
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since, until time.Time,
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) ([]types.Trade, error) {
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q := &batch.TradeBatchQuery{ExchangeTradeHistoryService: service}
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return q.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
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StartTime: &since,
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EndTime: &until,
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})
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}
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func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, symbol string, since, until time.Time) ([]types.Trade, error) {
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var mu sync.Mutex
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var allTrades = make([]types.Trade, 0, 1000)
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g, subCtx := errgroup.WithContext(ctx)
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for n, s := range f.sessions {
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// allocate a copy of the iteration variables
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sessionName := n
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service := s
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g.Go(func() error {
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log.Infof("batch querying %s trade history from %s since %s until %s", symbol, sessionName, since.String(), until.String())
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trades, err := f.batchQueryTrades(subCtx, service, symbol, since, until)
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if err != nil {
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log.WithError(err).Errorf("unable to batch query trades for fixer")
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return err
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}
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mu.Lock()
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allTrades = append(allTrades, trades...)
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mu.Unlock()
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return nil
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})
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}
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if err := g.Wait(); err != nil {
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return nil, err
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}
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allTrades = types.SortTradesAscending(allTrades)
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return allTrades, nil
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}
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func (f *ProfitFixer) Fix(
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ctx context.Context, symbol string, since, until time.Time, stats *types.ProfitStats, position *types.Position,
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) error {
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log.Infof("starting profitFixer with time range %s <=> %s", since, until)
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allTrades, err := f.aggregateAllTrades(ctx, symbol, since, until)
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if err != nil {
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return err
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}
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return f.FixFromTrades(allTrades, stats, position)
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}
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func (f *ProfitFixer) FixFromTrades(allTrades []types.Trade, stats *types.ProfitStats, position *types.Position) error {
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for _, trade := range allTrades {
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profit, netProfit, madeProfit := position.AddTrade(trade)
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if madeProfit {
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p := position.NewProfit(trade, profit, netProfit)
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stats.AddProfit(p)
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}
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}
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log.Infof("profitFixer fix finished: profitStats and position are updated from %d trades", len(allTrades))
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return nil
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}
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