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106 lines
2.6 KiB
Go
106 lines
2.6 KiB
Go
package grid2
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import (
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"context"
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"time"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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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 ProfitFixer struct {
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symbol string
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grid *Grid
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historyService types.ExchangeTradeHistoryService
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logger logrus.FieldLogger
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}
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func newProfitFixer(grid *Grid, symbol string, historyService types.ExchangeTradeHistoryService) *ProfitFixer {
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return &ProfitFixer{
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symbol: symbol,
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grid: grid,
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historyService: historyService,
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logger: logrus.StandardLogger(),
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}
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}
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func (f *ProfitFixer) SetLogger(logger logrus.FieldLogger) {
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f.logger = logger
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}
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// Fix fixes the total quote profit of the given grid
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func (f *ProfitFixer) Fix(parent context.Context, since, until time.Time, initialOrderID uint64, profitStats *GridProfitStats) error {
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// reset profit
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profitStats.TotalQuoteProfit = fixedpoint.Zero
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profitStats.ArbitrageCount = 0
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defer f.logger.Infof("profitFixer: done")
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if profitStats.Since != nil && !profitStats.Since.IsZero() && profitStats.Since.Before(since) {
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f.logger.Infof("profitFixer: profitStats.since %s is earlier than the given since %s, setting since to %s", profitStats.Since, since, profitStats.Since)
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since = *profitStats.Since
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}
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ctx, cancel := context.WithTimeout(parent, 15*time.Minute)
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defer cancel()
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q := &batch.ClosedOrderBatchQuery{ExchangeTradeHistoryService: f.historyService}
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orderC, errC := q.Query(ctx, f.symbol, since, until, initialOrderID)
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defer func() {
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f.logger.Infof("profitFixer: fixed profitStats=%#v", profitStats)
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}()
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for {
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select {
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case <-ctx.Done():
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if errors.Is(ctx.Err(), context.Canceled) {
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return nil
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}
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return ctx.Err()
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case order, ok := <-orderC:
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if !ok {
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return <-errC
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}
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if !f.grid.HasPrice(order.Price) {
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continue
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}
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if profitStats.InitialOrderID == 0 || order.OrderID < profitStats.InitialOrderID {
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profitStats.InitialOrderID = order.OrderID
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}
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if profitStats.Since == nil || profitStats.Since.IsZero() || order.CreationTime.Time().Before(*profitStats.Since) {
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ct := order.CreationTime.Time()
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profitStats.Since = &ct
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}
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if order.Status != types.OrderStatusFilled {
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continue
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}
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if order.Type != types.OrderTypeLimit {
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continue
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}
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if order.Side != types.SideTypeSell {
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continue
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}
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quoteProfit := order.Quantity.Mul(f.grid.Spread)
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profitStats.TotalQuoteProfit = profitStats.TotalQuoteProfit.Add(quoteProfit)
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profitStats.ArbitrageCount++
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f.logger.Debugf("profitFixer: filledSellOrder=%#v", order)
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}
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}
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}
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