mirror of
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106 lines
3.2 KiB
Go
106 lines
3.2 KiB
Go
package metrics
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import (
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"github.com/prometheus/client_golang/prometheus"
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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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var makerOpenOrderBidExposureInUsdMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "bbgo_maker_open_order_bid_exposure_in_usd",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var makerOpenOrderAskExposureInUsdMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "bbgo_maker_open_order_ask_exposure_in_usd",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var makerOpenOrderBidOrderCountMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "bbgo_maker_open_order_bid_count",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var makerOpenOrderAskOrderCountMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "bbgo_maker_open_order_ask_count",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var makerBestBidPriceMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "bbgo_maker_best_bid_price",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "bbgo_maker_best_ask_price",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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func UpdateMakerOpenOrderMetrics(strategyType, strategyId, exchangeName, symbol string, submitOrders []types.SubmitOrder) {
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bidOrderCount := 0
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askOrderCount := 0
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bidExposureQuoteAmount := fixedpoint.Zero
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askExposureQuoteAmount := fixedpoint.Zero
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bestAskPrice := fixedpoint.Zero
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bestBidPrice := fixedpoint.Zero
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for _, submitOrder := range submitOrders {
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quoteAmount := submitOrder.Quantity.Mul(submitOrder.Price)
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switch submitOrder.Side {
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case types.SideTypeSell:
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askExposureQuoteAmount = askExposureQuoteAmount.Add(quoteAmount)
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askOrderCount++
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if bestAskPrice.IsZero() {
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bestAskPrice = submitOrder.Price
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} else {
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bestAskPrice = fixedpoint.Min(bestAskPrice, submitOrder.Price)
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}
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case types.SideTypeBuy:
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bidExposureQuoteAmount = bidExposureQuoteAmount.Add(quoteAmount)
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bidOrderCount++
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if bestBidPrice.IsZero() {
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bestBidPrice = submitOrder.Price
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} else {
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bestBidPrice = fixedpoint.Max(bestBidPrice, submitOrder.Price)
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}
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}
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}
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labels := prometheus.Labels{
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"strategy_type": strategyType,
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"strategy_id": strategyId,
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"exchange": exchangeName,
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"symbol": symbol,
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}
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makerOpenOrderBidExposureInUsdMetrics.With(labels).Set(bidExposureQuoteAmount.Float64())
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makerOpenOrderAskExposureInUsdMetrics.With(labels).Set(askExposureQuoteAmount.Float64())
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makerOpenOrderBidOrderCountMetrics.With(labels).Set(float64(bidOrderCount))
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makerOpenOrderAskOrderCountMetrics.With(labels).Set(float64(askOrderCount))
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makerBestBidPriceMetrics.With(labels).Set(bestBidPrice.Float64())
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makerBestAskPriceMetrics.With(labels).Set(bestAskPrice.Float64())
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}
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func init() {
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prometheus.MustRegister(
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makerOpenOrderAskExposureInUsdMetrics,
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makerOpenOrderBidExposureInUsdMetrics,
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makerBestAskPriceMetrics,
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makerBestBidPriceMetrics,
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makerOpenOrderAskOrderCountMetrics,
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makerOpenOrderBidOrderCountMetrics,
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)
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}
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