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