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

627 lines
16 KiB
Go

package types
import (
"fmt"
"sync"
"time"
"github.com/slack-go/slack"
"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
"git.qtrade.icu/lychiyu/qbtrade/pkg/util/templateutil"
)
type PositionType string
const (
PositionShort = PositionType("Short")
PositionLong = PositionType("Long")
PositionClosed = PositionType("Closed")
)
type ExchangeFee struct {
MakerFeeRate fixedpoint.Value
TakerFeeRate fixedpoint.Value
}
type PositionRisk struct {
Leverage fixedpoint.Value `json:"leverage"`
LiquidationPrice fixedpoint.Value `json:"liquidationPrice"`
}
type Position struct {
Symbol string `json:"symbol" db:"symbol"`
BaseCurrency string `json:"baseCurrency" db:"base"`
QuoteCurrency string `json:"quoteCurrency" db:"quote"`
Market Market `json:"market,omitempty"`
Base fixedpoint.Value `json:"base" db:"base"`
Quote fixedpoint.Value `json:"quote" db:"quote"`
AverageCost fixedpoint.Value `json:"averageCost" db:"average_cost"`
// ApproximateAverageCost adds the computed fee in quote in the average cost
// This is used for calculating net profit
ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
FeeRate *ExchangeFee `json:"feeRate,omitempty"`
ExchangeFeeRates map[ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
// TotalFee stores the fee currency -> total fee quantity
TotalFee map[string]fixedpoint.Value `json:"totalFee" db:"-"`
OpenedAt time.Time `json:"openedAt,omitempty" db:"-"`
ChangedAt time.Time `json:"changedAt,omitempty" db:"changed_at"`
Strategy string `json:"strategy,omitempty" db:"strategy"`
StrategyInstanceID string `json:"strategyInstanceID,omitempty" db:"strategy_instance_id"`
AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty" db:"accumulated_profit"`
// closing is a flag for marking this position is closing
closing bool
sync.Mutex
// Modify position callbacks
modifyCallbacks []func(baseQty fixedpoint.Value, quoteQty fixedpoint.Value, price fixedpoint.Value)
// ttl is the ttl to keep in persistence
ttl time.Duration
}
func (s *Position) SetTTL(ttl time.Duration) {
if ttl.Nanoseconds() <= 0 {
return
}
s.ttl = ttl
}
func (s *Position) Expiration() time.Duration {
return s.ttl
}
func (p *Position) CsvHeader() []string {
return []string{
"symbol",
"time",
"average_cost",
"base",
"quote",
"accumulated_profit",
}
}
func (p *Position) CsvRecords() [][]string {
if p.AverageCost.IsZero() && p.Base.IsZero() {
return nil
}
return [][]string{
{
p.Symbol,
p.ChangedAt.UTC().Format(time.RFC1123),
p.AverageCost.String(),
p.Base.String(),
p.Quote.String(),
p.AccumulatedProfit.String(),
},
}
}
// NewProfit generates the profit object from the current position
func (p *Position) NewProfit(trade Trade, profit, netProfit fixedpoint.Value) Profit {
return Profit{
Symbol: p.Symbol,
QuoteCurrency: p.QuoteCurrency,
BaseCurrency: p.BaseCurrency,
AverageCost: p.AverageCost,
// profit related fields
Profit: profit,
NetProfit: netProfit,
ProfitMargin: profit.Div(trade.QuoteQuantity),
NetProfitMargin: netProfit.Div(trade.QuoteQuantity),
// trade related fields
Trade: &trade,
TradeID: trade.ID,
OrderID: trade.OrderID,
Side: trade.Side,
IsBuyer: trade.IsBuyer,
IsMaker: trade.IsMaker,
Price: trade.Price,
Quantity: trade.Quantity,
QuoteQuantity: trade.QuoteQuantity,
// FeeInUSD: 0,
Fee: trade.Fee,
FeeCurrency: trade.FeeCurrency,
Exchange: trade.Exchange,
IsMargin: trade.IsMargin,
IsFutures: trade.IsFutures,
IsIsolated: trade.IsIsolated,
TradedAt: trade.Time.Time(),
Strategy: p.Strategy,
StrategyInstanceID: p.StrategyInstanceID,
PositionOpenedAt: p.OpenedAt,
}
}
// ROI -- Return on investment (ROI) is a performance measure used to evaluate the efficiency or profitability of an investment
// or compare the efficiency of a number of different investments.
// ROI tries to directly measure the amount of return on a particular investment, relative to the investment's cost.
func (p *Position) ROI(price fixedpoint.Value) fixedpoint.Value {
unrealizedProfit := p.UnrealizedProfit(price)
cost := p.AverageCost.Mul(p.Base.Abs())
return unrealizedProfit.Div(cost)
}
func (p *Position) NewMarketCloseOrder(percentage fixedpoint.Value) *SubmitOrder {
base := p.GetBase()
quantity := base.Abs()
if percentage.Compare(fixedpoint.One) < 0 {
quantity = quantity.Mul(percentage)
}
if quantity.Compare(p.Market.MinQuantity) < 0 {
return nil
}
side := SideTypeSell
sign := base.Sign()
if sign == 0 {
return nil
} else if sign < 0 {
side = SideTypeBuy
}
return &SubmitOrder{
Symbol: p.Symbol,
Market: p.Market,
Type: OrderTypeMarket,
Side: side,
Quantity: quantity,
MarginSideEffect: SideEffectTypeAutoRepay,
}
}
func (p *Position) IsDust(a ...fixedpoint.Value) bool {
price := p.AverageCost
if len(a) > 0 {
price = a[0]
}
base := p.Base.Abs()
return p.Market.IsDustQuantity(base, price)
}
// GetBase locks the mutex and return the base quantity
// The base quantity can be negative
func (p *Position) GetBase() (base fixedpoint.Value) {
p.Lock()
base = p.Base
p.Unlock()
return base
}
// GetQuantity calls GetBase() and then convert the number into a positive number
// that could be treated as a quantity.
func (p *Position) GetQuantity() fixedpoint.Value {
base := p.GetBase()
return base.Abs()
}
func (p *Position) UnrealizedProfit(price fixedpoint.Value) fixedpoint.Value {
quantity := p.GetBase().Abs()
if p.IsLong() {
return price.Sub(p.AverageCost).Mul(quantity)
} else if p.IsShort() {
return p.AverageCost.Sub(price).Mul(quantity)
}
return fixedpoint.Zero
}
func (p *Position) OnModify(cb func(baseQty fixedpoint.Value, quoteQty fixedpoint.Value, price fixedpoint.Value)) {
p.modifyCallbacks = append(p.modifyCallbacks, cb)
}
func (p *Position) EmitModify(baseQty fixedpoint.Value, quoteQty fixedpoint.Value, price fixedpoint.Value) {
for _, cb := range p.modifyCallbacks {
cb(baseQty, quoteQty, price)
}
}
// ModifyBase modifies position base quantity with `qty`
func (p *Position) ModifyBase(qty fixedpoint.Value) error {
p.Base = qty
p.EmitModify(p.Base, p.Quote, p.AverageCost)
return nil
}
// ModifyQuote modifies position quote quantity with `qty`
func (p *Position) ModifyQuote(qty fixedpoint.Value) error {
p.Quote = qty
p.EmitModify(p.Base, p.Quote, p.AverageCost)
return nil
}
// ModifyAverageCost modifies position average cost with `price`
func (p *Position) ModifyAverageCost(price fixedpoint.Value) error {
p.AverageCost = price
p.EmitModify(p.Base, p.Quote, p.AverageCost)
return nil
}
type FuturesPosition struct {
Symbol string `json:"symbol"`
BaseCurrency string `json:"baseCurrency"`
QuoteCurrency string `json:"quoteCurrency"`
Market Market `json:"market"`
Base fixedpoint.Value `json:"base"`
Quote fixedpoint.Value `json:"quote"`
AverageCost fixedpoint.Value `json:"averageCost"`
// ApproximateAverageCost adds the computed fee in quote in the average cost
// This is used for calculating net profit
ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
FeeRate *ExchangeFee `json:"feeRate,omitempty"`
ExchangeFeeRates map[ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
// Futures data fields
Isolated bool `json:"isolated"`
UpdateTime int64 `json:"updateTime"`
PositionRisk *PositionRisk
}
func NewPositionFromMarket(market Market) *Position {
if len(market.BaseCurrency) == 0 || len(market.QuoteCurrency) == 0 {
panic("logical exception: missing market information, base currency or quote currency is empty")
}
return &Position{
Symbol: market.Symbol,
BaseCurrency: market.BaseCurrency,
QuoteCurrency: market.QuoteCurrency,
Market: market,
TotalFee: make(map[string]fixedpoint.Value),
}
}
func NewPosition(symbol, base, quote string) *Position {
return &Position{
Symbol: symbol,
BaseCurrency: base,
QuoteCurrency: quote,
TotalFee: make(map[string]fixedpoint.Value),
}
}
func (p *Position) addTradeFee(trade Trade) {
if p.TotalFee == nil {
p.TotalFee = make(map[string]fixedpoint.Value)
}
p.TotalFee[trade.FeeCurrency] = p.TotalFee[trade.FeeCurrency].Add(trade.Fee)
}
func (p *Position) Reset() {
p.Base = fixedpoint.Zero
p.Quote = fixedpoint.Zero
p.AverageCost = fixedpoint.Zero
p.TotalFee = make(map[string]fixedpoint.Value)
}
func (p *Position) SetFeeRate(exchangeFee ExchangeFee) {
p.FeeRate = &exchangeFee
}
func (p *Position) SetExchangeFeeRate(ex ExchangeName, exchangeFee ExchangeFee) {
if p.ExchangeFeeRates == nil {
p.ExchangeFeeRates = make(map[ExchangeName]ExchangeFee)
}
p.ExchangeFeeRates[ex] = exchangeFee
}
func (p *Position) IsShort() bool {
return p.Base.Sign() < 0
}
func (p *Position) IsLong() bool {
return p.Base.Sign() > 0
}
func (p *Position) IsClosed() bool {
return p.Base.Sign() == 0
}
func (p *Position) IsOpened(currentPrice fixedpoint.Value) bool {
return !p.IsClosed() && !p.IsDust(currentPrice)
}
func (p *Position) Type() PositionType {
if p.Base.Sign() > 0 {
return PositionLong
} else if p.Base.Sign() < 0 {
return PositionShort
}
return PositionClosed
}
func (p *Position) SlackAttachment() slack.Attachment {
p.Lock()
defer p.Unlock()
averageCost := p.AverageCost
base := p.Base
quote := p.Quote
var posType = p.Type()
var color = ""
sign := p.Base.Sign()
if sign == 0 {
color = "#cccccc"
} else if sign > 0 {
color = "#228B22"
} else if sign < 0 {
color = "#DC143C"
}
title := templateutil.Render(string(posType)+` Position {{ .Symbol }} `, p)
fields := []slack.AttachmentField{
{Title: "Average Cost", Value: averageCost.String() + " " + p.QuoteCurrency, Short: true},
{Title: p.BaseCurrency, Value: base.String(), Short: true},
{Title: p.QuoteCurrency, Value: quote.String()},
}
if p.TotalFee != nil {
for feeCurrency, fee := range p.TotalFee {
if fee.Sign() > 0 {
fields = append(fields, slack.AttachmentField{
Title: fmt.Sprintf("Fee (%s)", feeCurrency),
Value: fee.String(),
Short: true,
})
}
}
}
return slack.Attachment{
// Pretext: "",
// Text: text,
Title: title,
Color: color,
Fields: fields,
Footer: templateutil.Render("update time {{ . }}", time.Now().Format(time.RFC822)),
// FooterIcon: "",
}
}
func (p *Position) PlainText() (msg string) {
posType := p.Type()
msg = fmt.Sprintf("%s Position %s: average cost = %v, base = %v, quote = %v",
posType,
p.Symbol,
p.AverageCost,
p.Base,
p.Quote,
)
if p.TotalFee != nil {
for feeCurrency, fee := range p.TotalFee {
msg += fmt.Sprintf("\nfee (%s) = %v", feeCurrency, fee)
}
}
return msg
}
func (p *Position) String() string {
return fmt.Sprintf("POSITION %s: average cost = %v, base = %v, quote = %v",
p.Symbol,
p.AverageCost,
p.Base,
p.Quote,
)
}
func (p *Position) BindStream(stream Stream) {
stream.OnTradeUpdate(func(trade Trade) {
if p.Symbol == trade.Symbol {
p.AddTrade(trade)
}
})
}
func (p *Position) SetClosing(c bool) bool {
p.Lock()
defer p.Unlock()
if p.closing && c {
return false
}
p.closing = c
return true
}
func (p *Position) IsClosing() (c bool) {
p.Lock()
c = p.closing
p.Unlock()
return c
}
func (p *Position) AddTrades(trades []Trade) (fixedpoint.Value, fixedpoint.Value, bool) {
var totalProfitAmount, totalNetProfit fixedpoint.Value
for _, trade := range trades {
if profit, netProfit, madeProfit := p.AddTrade(trade); madeProfit {
totalProfitAmount = totalProfitAmount.Add(profit)
totalNetProfit = totalNetProfit.Add(netProfit)
}
}
return totalProfitAmount, totalNetProfit, !totalProfitAmount.IsZero()
}
func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedpoint.Value, madeProfit bool) {
price := td.Price
quantity := td.Quantity
quoteQuantity := td.QuoteQuantity
fee := td.Fee
// calculated fee in quote (some exchange accounts may enable platform currency fee discount, like BNB)
// convert platform fee token into USD values
var feeInQuote = fixedpoint.Zero
switch td.FeeCurrency {
case p.BaseCurrency:
if !td.IsFutures {
quantity = quantity.Sub(fee)
}
case p.QuoteCurrency:
if !td.IsFutures {
quoteQuantity = quoteQuantity.Sub(fee)
}
default:
if !td.Fee.IsZero() {
if p.ExchangeFeeRates != nil {
if exchangeFee, ok := p.ExchangeFeeRates[td.Exchange]; ok {
if td.IsMaker {
feeInQuote = feeInQuote.Add(exchangeFee.MakerFeeRate.Mul(quoteQuantity))
} else {
feeInQuote = feeInQuote.Add(exchangeFee.TakerFeeRate.Mul(quoteQuantity))
}
}
} else if p.FeeRate != nil {
if td.IsMaker {
feeInQuote = feeInQuote.Add(p.FeeRate.MakerFeeRate.Mul(quoteQuantity))
} else {
feeInQuote = feeInQuote.Add(p.FeeRate.TakerFeeRate.Mul(quoteQuantity))
}
}
}
}
p.Lock()
defer p.Unlock()
// update changedAt field before we unlock in the defer func
defer func() {
p.ChangedAt = td.Time.Time()
}()
p.addTradeFee(td)
// Base > 0 means we're in long position
// Base < 0 means we're in short position
switch td.Side {
case SideTypeBuy:
// was short position, now trade buy should cover the position
if p.Base.Sign() < 0 {
// convert short position to long position
if p.Base.Add(quantity).Sign() > 0 {
profit = p.AverageCost.Sub(price).Mul(p.Base.Neg())
netProfit = p.ApproximateAverageCost.Sub(price).Mul(p.Base.Neg()).Sub(feeInQuote)
p.Base = p.Base.Add(quantity)
p.Quote = p.Quote.Sub(quoteQuantity)
p.AverageCost = price
p.ApproximateAverageCost = price
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
p.OpenedAt = td.Time.Time()
return profit, netProfit, true
} else {
// after adding quantity it's still short position
p.Base = p.Base.Add(quantity)
p.Quote = p.Quote.Sub(quoteQuantity)
profit = p.AverageCost.Sub(price).Mul(quantity)
netProfit = p.ApproximateAverageCost.Sub(price).Mul(quantity).Sub(feeInQuote)
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
return profit, netProfit, true
}
}
// before adding the quantity, it's already a dust position
// then we should set the openedAt time
if p.IsDust(td.Price) {
p.OpenedAt = td.Time.Time()
}
// here the case is: base == 0 or base > 0
divisor := p.Base.Add(quantity)
p.ApproximateAverageCost = p.ApproximateAverageCost.Mul(p.Base).
Add(quoteQuantity).
Add(feeInQuote).
Div(divisor)
p.AverageCost = p.AverageCost.Mul(p.Base).Add(quoteQuantity).Div(divisor)
p.Base = p.Base.Add(quantity)
p.Quote = p.Quote.Sub(quoteQuantity)
return fixedpoint.Zero, fixedpoint.Zero, false
case SideTypeSell:
// was long position, the sell trade should reduce the base amount
if p.Base.Sign() > 0 {
// convert long position to short position
if p.Base.Compare(quantity) < 0 {
profit = price.Sub(p.AverageCost).Mul(p.Base)
netProfit = price.Sub(p.ApproximateAverageCost).Mul(p.Base).Sub(feeInQuote)
p.Base = p.Base.Sub(quantity)
p.Quote = p.Quote.Add(quoteQuantity)
p.AverageCost = price
p.ApproximateAverageCost = price
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
p.OpenedAt = td.Time.Time()
return profit, netProfit, true
} else {
p.Base = p.Base.Sub(quantity)
p.Quote = p.Quote.Add(quoteQuantity)
profit = price.Sub(p.AverageCost).Mul(quantity)
netProfit = price.Sub(p.ApproximateAverageCost).Mul(quantity).Sub(feeInQuote)
p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
return profit, netProfit, true
}
}
// before subtracting the quantity, it's already a dust position
// then we should set the openedAt time
if p.IsDust(td.Price) {
p.OpenedAt = td.Time.Time()
}
// handling short position, since Base here is negative we need to reverse the sign
divisor := quantity.Sub(p.Base)
p.ApproximateAverageCost = p.ApproximateAverageCost.Mul(p.Base.Neg()).
Add(quoteQuantity).
Sub(feeInQuote).
Div(divisor)
p.AverageCost = p.AverageCost.Mul(p.Base.Neg()).
Add(quoteQuantity).
Div(divisor)
p.Base = p.Base.Sub(quantity)
p.Quote = p.Quote.Add(quoteQuantity)
return fixedpoint.Zero, fixedpoint.Zero, false
}
return fixedpoint.Zero, fixedpoint.Zero, false
}