types: refactor Position and related files

pkg/accounting/pnl/avg_cost.go

@@ -3,7 +3,6 @@ package pnl
 import (
 	"time"
 
-	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -33,8 +32,8 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 
 	var currencyFees = map[string]float64{}
 
-	var position = bbgo.NewPositionFromMarket(c.Market)
-	position.SetFeeRate(bbgo.ExchangeFee{
+	var position = types.NewPositionFromMarket(c.Market)
+	position.SetFeeRate(types.ExchangeFee{
 		// binance vip 0 uses 0.075%
 		MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
 		TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),

pkg/bbgo/session.go

@@ -199,7 +199,7 @@ type ExchangeSession struct {
 	// marketDataStores contains the market data store of each market
 	marketDataStores map[string]*MarketDataStore
 
-	positions map[string]*Position
+	positions map[string]*types.Position
 
 	// standard indicators of each market
 	standardIndicatorSets map[string]*StandardIndicatorSet
@@ -236,7 +236,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
 		markets:               make(map[string]types.Market),
 		startPrices:           make(map[string]float64),
 		lastPrices:            make(map[string]float64),
-		positions:             make(map[string]*Position),
+		positions:             make(map[string]*types.Position),
 		marketDataStores:      make(map[string]*MarketDataStore),
 		standardIndicatorSets: make(map[string]*StandardIndicatorSet),
 		orderStores:           make(map[string]*OrderStore),
@@ -388,7 +388,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 		session.Trades[symbol].Append(trade)
 	})
 
-	position := &Position{
+	position := &types.Position{
 		Symbol:        symbol,
 		BaseCurrency:  market.BaseCurrency,
 		QuoteCurrency: market.QuoteCurrency,
@@ -475,7 +475,7 @@ func (session *ExchangeSession) StandardIndicatorSet(symbol string) (*StandardIn
 	return set, ok
 }
 
-func (session *ExchangeSession) Position(symbol string) (pos *Position, ok bool) {
+func (session *ExchangeSession) Position(symbol string) (pos *types.Position, ok bool) {
 	pos, ok = session.positions[symbol]
 	if ok {
 		return pos, ok
@@ -486,7 +486,7 @@ func (session *ExchangeSession) Position(symbol string) (pos *Position, ok bool)
 		return nil, false
 	}
 
-	pos = &Position{
+	pos = &types.Position{
 		Symbol:        symbol,
 		BaseCurrency:  market.BaseCurrency,
 		QuoteCurrency: market.QuoteCurrency,
@@ -496,7 +496,7 @@ func (session *ExchangeSession) Position(symbol string) (pos *Position, ok bool)
 	return pos, ok
 }
 
-func (session *ExchangeSession) Positions() map[string]*Position {
+func (session *ExchangeSession) Positions() map[string]*types.Position {
 	return session.positions
 }
 
@@ -712,7 +712,7 @@ func InitExchangeSession(name string, session *ExchangeSession) error {
 	session.lastPrices = make(map[string]float64)
 	session.startPrices = make(map[string]float64)
 	session.marketDataStores = make(map[string]*MarketDataStore)
-	session.positions = make(map[string]*Position)
+	session.positions = make(map[string]*types.Position)
 	session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
 	session.orderStores = make(map[string]*OrderStore)
 	session.OrderExecutor = &ExchangeOrderExecutor{

pkg/bbgo/tradecollector.go

@@ -16,15 +16,15 @@ type TradeCollector struct {
 
 	tradeStore *TradeStore
 	tradeC     chan types.Trade
-	position   *Position
+	position   *types.Position
 	orderStore *OrderStore
 
 	tradeCallbacks          []func(trade types.Trade)
-	positionUpdateCallbacks []func(position *Position)
+	positionUpdateCallbacks []func(position *types.Position)
 	profitCallbacks         []func(trade types.Trade, profit, netProfit fixedpoint.Value)
 }
 
-func NewTradeCollector(symbol string, position *Position, orderStore *OrderStore) *TradeCollector {
+func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
 	return &TradeCollector{
 		Symbol:   symbol,
 		orderSig: sigchan.New(1),

pkg/bbgo/twap_order_executor.go

@@ -37,7 +37,7 @@ type TwapExecution struct {
 
 	activeMakerOrders *LocalActiveOrderBook
 	orderStore        *OrderStore
-	position          *Position
+	position          *types.Position
 
 	executionCtx    context.Context
 	cancelExecution context.CancelFunc
@@ -444,7 +444,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
 
 	e.userDataStream = e.Session.Exchange.NewStream()
 	e.userDataStream.OnTradeUpdate(e.handleTradeUpdate)
-	e.position = &Position{
+	e.position = &types.Position{
 		Symbol:        e.Symbol,
 		BaseCurrency:  e.market.BaseCurrency,
 		QuoteCurrency: e.market.QuoteCurrency,

pkg/strategy/bollpp/strategy.go

@@ -30,7 +30,7 @@ func init() {
 }
 
 type State struct {
-	Position    *bbgo.Position   `json:"position,omitempty"`
+	Position    *types.Position  `json:"position,omitempty"`
 	ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
 }
 
@@ -119,7 +119,7 @@ func (s *Strategy) LoadState() error {
 
 	// if position is nil, we need to allocate a new position for calculation
 	if s.state.Position == nil {
-		s.state.Position = bbgo.NewPositionFromMarket(s.market)
+		s.state.Position = types.NewPositionFromMarket(s.market)
 	}
 
 	// init profit states
@@ -297,7 +297,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.state.ProfitStats.AddTrade(trade)
 	})
 
-	s.tradeCollector.OnPositionUpdate(func(position *bbgo.Position) {
+	s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
 		log.Infof("position changed: %s", s.state.Position)
 		s.Notify(s.state.Position)
 	})

pkg/strategy/grid/strategy.go

@@ -31,7 +31,7 @@ type State struct {
 	Orders          []types.SubmitOrder           `json:"orders,omitempty"`
 	FilledBuyGrids  map[fixedpoint.Value]struct{} `json:"filledBuyGrids"`
 	FilledSellGrids map[fixedpoint.Value]struct{} `json:"filledSellGrids"`
-	Position        *bbgo.Position                `json:"position,omitempty"`
+	Position        *types.Position               `json:"position,omitempty"`
 
 	AccumulativeArbitrageProfit fixedpoint.Value `json:"accumulativeArbitrageProfit"`
 
@@ -511,7 +511,7 @@ func (s *Strategy) LoadState() error {
 				FilledBuyGrids:  make(map[fixedpoint.Value]struct{}),
 				FilledSellGrids: make(map[fixedpoint.Value]struct{}),
 				ArbitrageOrders: make(map[uint64]types.Order),
-				Position:        bbgo.NewPositionFromMarket(s.Market),
+				Position:        types.NewPositionFromMarket(s.Market),
 			}
 		} else {
 			s.state = &state
@@ -591,16 +591,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	})
 
 	/*
-	if s.TradeService != nil {
-		s.tradeCollector.OnTrade(func(trade types.Trade) {
-			if err := s.TradeService.Mark(ctx, trade.ID, ID); err != nil {
-				log.WithError(err).Error("trade mark error")
-			}
-		})
-	}
+		if s.TradeService != nil {
+			s.tradeCollector.OnTrade(func(trade types.Trade) {
+				if err := s.TradeService.Mark(ctx, trade.ID, ID); err != nil {
+					log.WithError(err).Error("trade mark error")
+				}
+			})
+		}
 	*/
 
-	s.tradeCollector.OnPositionUpdate(func(position *bbgo.Position) {
+	s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
 		s.Notifiability.Notify(position)
 	})
 	s.tradeCollector.BindStream(session.UserDataStream)

pkg/strategy/support/strategy.go

@@ -27,7 +27,7 @@ func init() {
 }
 
 type State struct {
-	Position *bbgo.Position `json:"position,omitempty"`
+	Position *types.Position `json:"position,omitempty"`
 }
 
 type Target struct {
@@ -42,7 +42,7 @@ type PercentageTargetStop struct {
 }
 
 // GenerateOrders generates the orders from the given targets
-func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *bbgo.Position) []types.SubmitOrder {
+func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *types.Position) []types.SubmitOrder {
 	var price = pos.AverageCost
 	var quantity = pos.Base
 
@@ -62,12 +62,12 @@ func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *bbgo.
 		}
 
 		targetOrders = append(targetOrders, types.SubmitOrder{
-			Symbol:   market.Symbol,
-			Market:   market,
-			Type:     types.OrderTypeLimit,
-			Side:     types.SideTypeSell,
-			Price:    targetPrice,
-			Quantity: targetQuantity,
+			Symbol:           market.Symbol,
+			Market:           market,
+			Type:             types.OrderTypeLimit,
+			Side:             types.SideTypeSell,
+			Price:            targetPrice,
+			Quantity:         targetQuantity,
 			MarginSideEffect: target.MarginOrderSideEffect,
 			TimeInForce:      "GTC",
 		})
@@ -178,7 +178,7 @@ func (s *Strategy) LoadState() error {
 	}
 
 	if s.state.Position == nil {
-		s.state.Position = bbgo.NewPositionFromMarket(s.Market)
+		s.state.Position = types.NewPositionFromMarket(s.Market)
 	}
 
 	return nil

pkg/strategy/xmaker/strategy.go

@@ -41,7 +41,7 @@ func init() {
 type State struct {
 	HedgePosition   fixedpoint.Value `json:"hedgePosition"`
 	CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
-	Position        *bbgo.Position   `json:"position,omitempty"`
+	Position        *types.Position  `json:"position,omitempty"`
 	ProfitStats     ProfitStats      `json:"profitStats,omitempty"`
 }
 
@@ -680,7 +680,7 @@ func (s *Strategy) LoadState() error {
 
 	// if position is nil, we need to allocate a new position for calculation
 	if s.state.Position == nil {
-		s.state.Position = bbgo.NewPositionFromMarket(s.makerMarket)
+		s.state.Position = types.NewPositionFromMarket(s.makerMarket)
 	}
 
 	s.state.ProfitStats.Symbol = s.makerMarket.Symbol
@@ -794,14 +794,14 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
 	}
 
 	if s.makerSession.MakerFeeRate > 0 || s.makerSession.TakerFeeRate > 0 {
-		s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), bbgo.ExchangeFee{
+		s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), types.ExchangeFee{
 			MakerFeeRate: s.makerSession.MakerFeeRate,
 			TakerFeeRate: s.makerSession.TakerFeeRate,
 		})
 	}
 
 	if s.sourceSession.MakerFeeRate > 0 || s.sourceSession.TakerFeeRate > 0 {
-		s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), bbgo.ExchangeFee{
+		s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), types.ExchangeFee{
 			MakerFeeRate: s.sourceSession.MakerFeeRate,
 			TakerFeeRate: s.sourceSession.TakerFeeRate,
 		})

pkg/bbgo/position.go → pkg/types/position.go

@@ -1,12 +1,11 @@
-package bbgo
+package types
 
 import (
 	"fmt"
 	"sync"
 	"time"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
 	"github.com/slack-go/slack"
 )
@@ -21,7 +20,7 @@ type Position struct {
 	BaseCurrency  string `json:"baseCurrency"`
 	QuoteCurrency string `json:"quoteCurrency"`
 
-	Market types.Market `json:"market"`
+	Market Market `json:"market"`
 
 	Base        fixedpoint.Value `json:"base"`
 	Quote       fixedpoint.Value `json:"quote"`
@@ -31,13 +30,29 @@ type Position struct {
 	// This is used for calculating net profit
 	ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
 
-	FeeRate *ExchangeFee `json:"feeRate,omitempty"`
-	ExchangeFeeRates map[types.ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
+	FeeRate          *ExchangeFee                 `json:"feeRate,omitempty"`
+	ExchangeFeeRates map[ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
+
+	// Futures data fields
+	Isolated               bool             `json:"isolated"`
+	Leverage               fixedpoint.Value `json:"leverage"`
+	InitialMargin          fixedpoint.Value `json:"initialMargin"`
+	MaintMargin            fixedpoint.Value `json:"maintMargin"`
+	OpenOrderInitialMargin fixedpoint.Value `json:"openOrderInitialMargin"`
+	PositionInitialMargin  fixedpoint.Value `json:"positionInitialMargin"`
+	UnrealizedProfit       fixedpoint.Value `json:"unrealizedProfit"`
+	EntryPrice             fixedpoint.Value `json:"entryPrice"`
+	MaxNotional            fixedpoint.Value `json:"maxNotional"`
+	PositionSide           string           `json:"positionSide"`
+	PositionAmt            fixedpoint.Value `json:"positionAmt"`
+	Notional               fixedpoint.Value `json:"notional"`
+	IsolatedWallet         fixedpoint.Value `json:"isolatedWallet"`
+	UpdateTime             int64            `json:"updateTime"`
 
 	sync.Mutex
 }
 
-func NewPositionFromMarket(market types.Market) *Position {
+func NewPositionFromMarket(market Market) *Position {
 	return &Position{
 		Symbol:        market.Symbol,
 		BaseCurrency:  market.BaseCurrency,
@@ -64,9 +79,9 @@ func (p *Position) SetFeeRate(exchangeFee ExchangeFee) {
 	p.FeeRate = &exchangeFee
 }
 
-func (p *Position) SetExchangeFeeRate(ex types.ExchangeName, exchangeFee ExchangeFee) {
+func (p *Position) SetExchangeFeeRate(ex ExchangeName, exchangeFee ExchangeFee) {
 	if p.ExchangeFeeRates == nil {
-		p.ExchangeFeeRates = make(map[types.ExchangeName]ExchangeFee)
+		p.ExchangeFeeRates = make(map[ExchangeName]ExchangeFee)
 	}
 
 	p.ExchangeFeeRates[ex] = exchangeFee
@@ -127,15 +142,15 @@ func (p *Position) String() string {
 	)
 }
 
-func (p *Position) BindStream(stream types.Stream) {
-	stream.OnTradeUpdate(func(trade types.Trade) {
+func (p *Position) BindStream(stream Stream) {
+	stream.OnTradeUpdate(func(trade Trade) {
 		if p.Symbol == trade.Symbol {
 			p.AddTrade(trade)
 		}
 	})
 }
 
-func (p *Position) AddTrades(trades []types.Trade) (fixedpoint.Value, fixedpoint.Value, bool) {
+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 {
@@ -147,7 +162,7 @@ func (p *Position) AddTrades(trades []types.Trade) (fixedpoint.Value, fixedpoint
 	return totalProfitAmount, totalNetProfit, totalProfitAmount != 0
 }
 
-func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit fixedpoint.Value, madeProfit bool) {
+func (p *Position) AddTrade(t Trade) (profit fixedpoint.Value, netProfit fixedpoint.Value, madeProfit bool) {
 	price := fixedpoint.NewFromFloat(t.Price)
 	quantity := fixedpoint.NewFromFloat(t.Quantity)
 	quoteQuantity := fixedpoint.NewFromFloat(t.QuoteQuantity)
@@ -189,7 +204,7 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
 	// Base < 0  means we're in short position
 	switch t.Side {
 
-	case types.SideTypeBuy:
+	case SideTypeBuy:
 		if p.Base < 0 {
 			// convert short position to long position
 			if p.Base+quantity > 0 {
@@ -217,7 +232,7 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
 
 		return 0, 0, false
 
-	case types.SideTypeSell:
+	case SideTypeSell:
 		if p.Base > 0 {
 			// convert long position to short position
 			if p.Base-quantity < 0 {