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96 lines
2.6 KiB
Go
96 lines
2.6 KiB
Go
package report
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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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 ProfitTracker struct {
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types.IntervalWindow
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// Accumulated profit report
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AccumulatedProfitReport *AccumulatedProfitReport `json:"accumulatedProfitReport"`
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Market types.Market
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ProfitStatsSlice []*types.ProfitStats
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CurrentProfitStats **types.ProfitStats
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tradeStats *types.TradeStats
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}
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func (p *ProfitTracker) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, p.Market.Symbol, types.SubscribeOptions{Interval: p.Interval})
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}
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// InitOld is for backward capability. ps is the ProfitStats of the strategy, Market is the strategy Market
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func (p *ProfitTracker) InitOld(market types.Market, ps **types.ProfitStats, ts *types.TradeStats) {
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p.Market = market
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if *ps == nil {
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*ps = types.NewProfitStats(p.Market)
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}
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p.tradeStats = ts
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p.CurrentProfitStats = ps
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p.ProfitStatsSlice = append(p.ProfitStatsSlice, *ps)
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if p.AccumulatedProfitReport != nil {
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p.AccumulatedProfitReport.Initialize(p.Market.Symbol, p.Interval, p.Window)
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}
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}
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// Init initialize the tracker with the given Market
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func (p *ProfitTracker) Init(market types.Market, ts *types.TradeStats) {
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ps := types.NewProfitStats(p.Market)
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p.InitOld(market, &ps, ts)
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}
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func (p *ProfitTracker) Bind(session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
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tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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}
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p.AddProfit(*profit)
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})
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tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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p.AddTrade(trade)
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})
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// Rotate profitStats slice
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session.MarketDataStream.OnKLineClosed(types.KLineWith(p.Market.Symbol, p.Interval, func(kline types.KLine) {
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p.Rotate()
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}))
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}
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// Rotate the tracker to make a new ProfitStats to record the profits
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func (p *ProfitTracker) Rotate() {
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// Update report
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if p.AccumulatedProfitReport != nil {
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p.AccumulatedProfitReport.Rotate(*p.CurrentProfitStats, p.tradeStats)
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}
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*p.CurrentProfitStats = types.NewProfitStats(p.Market)
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p.ProfitStatsSlice = append(p.ProfitStatsSlice, *p.CurrentProfitStats)
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// Truncate
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if len(p.ProfitStatsSlice) > p.Window {
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p.ProfitStatsSlice = p.ProfitStatsSlice[len(p.ProfitStatsSlice)-p.Window:]
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}
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}
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func (p *ProfitTracker) AddProfit(profit types.Profit) {
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(*p.CurrentProfitStats).AddProfit(profit)
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}
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func (p *ProfitTracker) AddTrade(trade types.Trade) {
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(*p.CurrentProfitStats).AddTrade(trade)
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if p.AccumulatedProfitReport != nil {
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p.AccumulatedProfitReport.AddTrade(trade)
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}
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}
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