qbtrade/pkg/types/profit.go
2024-06-27 22:42:38 +08:00

375 lines
12 KiB
Go

package types
import (
"fmt"
"time"
"github.com/slack-go/slack"
"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
"git.qtrade.icu/lychiyu/qbtrade/pkg/style"
)
// Profit struct stores the PnL information
type Profit struct {
// --- position related fields
// -------------------------------------------
// Symbol is the symbol of the position
Symbol string `json:"symbol"`
QuoteCurrency string `json:"quoteCurrency" db:"quote_currency"`
BaseCurrency string `json:"baseCurrency" db:"base_currency"`
AverageCost fixedpoint.Value `json:"averageCost" db:"average_cost"`
// profit related fields
// -------------------------------------------
// Profit is the profit of this trade made. negative profit means loss.
Profit fixedpoint.Value `json:"profit" db:"profit"`
// NetProfit is (profit - trading fee)
NetProfit fixedpoint.Value `json:"netProfit" db:"net_profit"`
// ProfitMargin is a percentage of the profit and the capital amount
ProfitMargin fixedpoint.Value `json:"profitMargin" db:"profit_margin"`
// NetProfitMargin is a percentage of the net profit and the capital amount
NetProfitMargin fixedpoint.Value `json:"netProfitMargin" db:"net_profit_margin"`
// trade related fields
// --------------------------------------------
// TradeID is the exchange trade id of that trade
Trade *Trade `json:"trade,omitempty" db:"-"`
TradeID uint64 `json:"tradeID" db:"trade_id"`
OrderID uint64 `json:"orderID,omitempty"`
Side SideType `json:"side" db:"side"`
IsBuyer bool `json:"isBuyer" db:"is_buyer"`
IsMaker bool `json:"isMaker" db:"is_maker"`
Price fixedpoint.Value `json:"price" db:"price"`
Quantity fixedpoint.Value `json:"quantity" db:"quantity"`
QuoteQuantity fixedpoint.Value `json:"quoteQuantity" db:"quote_quantity"`
// FeeInUSD is the summed fee of this profit,
// you will need to convert the trade fee into USD since the fee currencies can be different.
FeeInUSD fixedpoint.Value `json:"feeInUSD" db:"fee_in_usd"`
Fee fixedpoint.Value `json:"fee" db:"fee"`
FeeCurrency string `json:"feeCurrency" db:"fee_currency"`
Exchange ExchangeName `json:"exchange" db:"exchange"`
IsMargin bool `json:"isMargin" db:"is_margin"`
IsFutures bool `json:"isFutures" db:"is_futures"`
IsIsolated bool `json:"isIsolated" db:"is_isolated"`
TradedAt time.Time `json:"tradedAt" db:"traded_at"`
PositionOpenedAt time.Time `json:"positionOpenedAt" db:"-"`
// strategy related fields
Strategy string `json:"strategy" db:"strategy"`
StrategyInstanceID string `json:"strategyInstanceID" db:"strategy_instance_id"`
}
func (p *Profit) SlackAttachment() slack.Attachment {
var color = style.PnLColor(p.Profit)
var title = fmt.Sprintf("%s PnL ", p.Symbol)
title += style.PnLEmojiMargin(p.Profit, p.ProfitMargin, style.DefaultPnLLevelResolution) + " "
title += style.PnLSignString(p.Profit) + " " + p.QuoteCurrency
var fields []slack.AttachmentField
if !p.NetProfit.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Net Profit",
Value: style.PnLSignString(p.NetProfit) + " " + p.QuoteCurrency,
Short: true,
})
}
if !p.ProfitMargin.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Profit Margin",
Value: p.ProfitMargin.Percentage(),
Short: true,
})
}
if !p.NetProfitMargin.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Net Profit Margin",
Value: p.NetProfitMargin.Percentage(),
Short: true,
})
}
if !p.QuoteQuantity.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Trade Amount",
Value: p.QuoteQuantity.String() + " " + p.QuoteCurrency,
Short: true,
})
}
if !p.FeeInUSD.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Fee In USD",
Value: p.FeeInUSD.String() + " USD",
Short: true,
})
}
if len(p.Strategy) != 0 {
fields = append(fields, slack.AttachmentField{
Title: "Strategy",
Value: p.Strategy,
Short: true,
})
}
return slack.Attachment{
Color: color,
Title: title,
Fields: fields,
// Footer: "",
}
}
func (p *Profit) PlainText() string {
var emoji string
if !p.ProfitMargin.IsZero() {
emoji = style.PnLEmojiMargin(p.Profit, p.ProfitMargin, style.DefaultPnLLevelResolution)
} else {
emoji = style.PnLEmojiSimple(p.Profit)
}
return fmt.Sprintf("%s trade profit %s %s %s (%s), net profit =~ %s %s (%s)",
p.Symbol,
emoji,
p.Profit.String(), p.QuoteCurrency,
p.ProfitMargin.Percentage(),
p.NetProfit.String(), p.QuoteCurrency,
p.NetProfitMargin.Percentage(),
)
}
// PeriodProfitStats defined the profit stats for a period
// TODO: replace AccumulatedPnL and TodayPnL fields from the ProfitStats struct
type PeriodProfitStats struct {
PnL fixedpoint.Value `json:"pnl,omitempty"`
NetProfit fixedpoint.Value `json:"netProfit,omitempty"`
GrossProfit fixedpoint.Value `json:"grossProfit,omitempty"`
GrossLoss fixedpoint.Value `json:"grossLoss,omitempty"`
Volume fixedpoint.Value `json:"volume,omitempty"`
VolumeInQuote fixedpoint.Value `json:"volumeInQuote,omitempty"`
MakerVolume fixedpoint.Value `json:"makerVolume,omitempty"`
TakerVolume fixedpoint.Value `json:"takerVolume,omitempty"`
// time fields
LastTradeTime time.Time `json:"lastTradeTime,omitempty"`
StartTime time.Time `json:"startTime,omitempty"`
EndTime time.Time `json:"endTime,omitempty"`
}
type ProfitStats struct {
Symbol string `json:"symbol"`
QuoteCurrency string `json:"quoteCurrency"`
BaseCurrency string `json:"baseCurrency"`
AccumulatedPnL fixedpoint.Value `json:"accumulatedPnL,omitempty"`
AccumulatedNetProfit fixedpoint.Value `json:"accumulatedNetProfit,omitempty"`
AccumulatedGrossProfit fixedpoint.Value `json:"accumulatedGrossProfit,omitempty"`
AccumulatedGrossLoss fixedpoint.Value `json:"accumulatedGrossLoss,omitempty"`
AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
AccumulatedSince int64 `json:"accumulatedSince,omitempty"`
TodayPnL fixedpoint.Value `json:"todayPnL,omitempty"`
TodayNetProfit fixedpoint.Value `json:"todayNetProfit,omitempty"`
TodayGrossProfit fixedpoint.Value `json:"todayGrossProfit,omitempty"`
TodayGrossLoss fixedpoint.Value `json:"todayGrossLoss,omitempty"`
TodaySince int64 `json:"todaySince,omitempty"`
}
func NewProfitStats(market Market) *ProfitStats {
return &ProfitStats{
Symbol: market.Symbol,
QuoteCurrency: market.QuoteCurrency,
BaseCurrency: market.BaseCurrency,
AccumulatedPnL: fixedpoint.Zero,
AccumulatedNetProfit: fixedpoint.Zero,
AccumulatedGrossProfit: fixedpoint.Zero,
AccumulatedGrossLoss: fixedpoint.Zero,
AccumulatedVolume: fixedpoint.Zero,
AccumulatedSince: 0,
TodayPnL: fixedpoint.Zero,
TodayNetProfit: fixedpoint.Zero,
TodayGrossProfit: fixedpoint.Zero,
TodayGrossLoss: fixedpoint.Zero,
TodaySince: 0,
// StartTime: time.Now().UTC(),
// EndTime: time.Now().UTC(),
}
}
// Init
// Deprecated: use NewProfitStats instead
func (s *ProfitStats) Init(market Market) {
s.Symbol = market.Symbol
s.BaseCurrency = market.BaseCurrency
s.QuoteCurrency = market.QuoteCurrency
if s.AccumulatedSince == 0 {
s.AccumulatedSince = time.Now().Unix()
}
}
func (s *ProfitStats) AddProfit(profit Profit) {
if s.IsOver24Hours() {
s.ResetToday(profit.TradedAt)
}
// since field guard
if s.AccumulatedSince == 0 {
s.AccumulatedSince = profit.TradedAt.Unix()
}
if s.TodaySince == 0 {
var beginningOfTheDay = BeginningOfTheDay(profit.TradedAt.Local())
s.TodaySince = beginningOfTheDay.Unix()
}
s.AccumulatedPnL = s.AccumulatedPnL.Add(profit.Profit)
s.AccumulatedNetProfit = s.AccumulatedNetProfit.Add(profit.NetProfit)
s.TodayPnL = s.TodayPnL.Add(profit.Profit)
s.TodayNetProfit = s.TodayNetProfit.Add(profit.NetProfit)
if profit.Profit.Sign() > 0 {
s.AccumulatedGrossProfit = s.AccumulatedGrossProfit.Add(profit.Profit)
s.TodayGrossProfit = s.TodayGrossProfit.Add(profit.Profit)
} else if profit.Profit.Sign() < 0 {
s.AccumulatedGrossLoss = s.AccumulatedGrossLoss.Add(profit.Profit)
s.TodayGrossLoss = s.TodayGrossLoss.Add(profit.Profit)
}
// s.EndTime = profit.TradedAt.UTC()
}
func (s *ProfitStats) AddTrade(trade Trade) {
if s.IsOver24Hours() {
s.ResetToday(trade.Time.Time())
}
s.AccumulatedVolume = s.AccumulatedVolume.Add(trade.Quantity)
}
// IsOver24Hours checks if the since time is over 24 hours
func (s *ProfitStats) IsOver24Hours() bool {
if s.TodaySince == 0 {
return false
}
return time.Since(time.Unix(s.TodaySince, 0)) >= 24*time.Hour
}
func (s *ProfitStats) ResetToday(t time.Time) {
s.TodayPnL = fixedpoint.Zero
s.TodayNetProfit = fixedpoint.Zero
s.TodayGrossProfit = fixedpoint.Zero
s.TodayGrossLoss = fixedpoint.Zero
var beginningOfTheDay = BeginningOfTheDay(t.Local())
s.TodaySince = beginningOfTheDay.Unix()
}
func (s *ProfitStats) PlainText() string {
since := time.Unix(s.AccumulatedSince, 0).Local()
return fmt.Sprintf("%s Profit Today\n"+
"Profit %s %s\n"+
"Net profit %s %s\n"+
"Gross Loss %s %s\n"+
"Summary:\n"+
"Accumulated Profit %s %s\n"+
"Accumulated Net Profit %s %s\n"+
"Accumulated Gross Loss %s %s\n"+
"Since %s",
s.Symbol,
s.TodayPnL.String(), s.QuoteCurrency,
s.TodayNetProfit.String(), s.QuoteCurrency,
s.TodayGrossLoss.String(), s.QuoteCurrency,
s.AccumulatedPnL.String(), s.QuoteCurrency,
s.AccumulatedNetProfit.String(), s.QuoteCurrency,
s.AccumulatedGrossLoss.String(), s.QuoteCurrency,
since.Format(time.RFC822),
)
}
func (s *ProfitStats) SlackAttachment() slack.Attachment {
var color = style.PnLColor(s.AccumulatedPnL)
var title = fmt.Sprintf("%s Accumulated PnL %s %s", s.Symbol, style.PnLSignString(s.AccumulatedPnL), s.QuoteCurrency)
since := time.Unix(s.AccumulatedSince, 0).Local()
title += " Since " + since.Format(time.RFC822)
var fields []slack.AttachmentField
if !s.TodayPnL.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "P&L Today",
Value: style.PnLSignString(s.TodayPnL) + " " + s.QuoteCurrency,
Short: true,
})
}
if !s.TodayNetProfit.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Net Profit Today",
Value: style.PnLSignString(s.TodayNetProfit) + " " + s.QuoteCurrency,
Short: true,
})
}
if !s.TodayGrossProfit.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Gross Profit Today",
Value: style.PnLSignString(s.TodayGrossProfit) + " " + s.QuoteCurrency,
Short: true,
})
}
if !s.TodayGrossLoss.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Gross Loss Today",
Value: style.PnLSignString(s.TodayGrossLoss) + " " + s.QuoteCurrency,
Short: true,
})
}
if !s.AccumulatedPnL.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Accumulated P&L",
Value: style.PnLSignString(s.AccumulatedPnL) + " " + s.QuoteCurrency,
})
}
if !s.AccumulatedGrossProfit.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Accumulated Gross Profit",
Value: style.PnLSignString(s.AccumulatedGrossProfit) + " " + s.QuoteCurrency,
})
}
if !s.AccumulatedGrossLoss.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Accumulated Gross Loss",
Value: style.PnLSignString(s.AccumulatedGrossLoss) + " " + s.QuoteCurrency,
})
}
if !s.AccumulatedNetProfit.IsZero() {
fields = append(fields, slack.AttachmentField{
Title: "Accumulated Net Profit",
Value: style.PnLSignString(s.AccumulatedNetProfit) + " " + s.QuoteCurrency,
})
}
return slack.Attachment{
Color: color,
Title: title,
Fields: fields,
// Footer: "",
}
}