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fixedpoint for exchange and indicators, some fixes in types
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@zenixls2
zenixls2 committed Feb 15, 2022
1 parent e221f54 commit b8bf2af
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Showing 37 changed files with 646 additions and 430 deletions.
4 changes: 2 additions & 2 deletions pkg/accounting/pnl/report.go
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Original file line number Diff line number Diff line change
Expand Up @@ -70,8 +70,8 @@ func (report AverageCostPnlReport) SlackAttachment() slack.Attachment {
Fields: []slack.AttachmentField{
{Title: "Profit", Value: types.USD.FormatMoney(report.Profit)},
{Title: "Unrealized Profit", Value: types.USD.FormatMoney(report.UnrealizedProfit)},
{Title: "Current Price", Value: report.Market.FormatPrice(report.LastPrice.Float64()), Short: true},
{Title: "Average Cost", Value: report.Market.FormatPrice(report.AverageCost.Float64()), Short: true},
{Title: "Current Price", Value: report.Market.FormatPrice(report.LastPrice), Short: true},
{Title: "Average Cost", Value: report.Market.FormatPrice(report.AverageCost), Short: true},

// FIXME:
// {Title: "Fee (USD)", Value: types.USD.FormatMoney(report.FeeInUSD), Short: true},
Expand Down
2 changes: 1 addition & 1 deletion pkg/bbgo/config.go
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Original file line number Diff line number Diff line change
Expand Up @@ -124,7 +124,7 @@ func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap {
balances[currency] = types.Balance{
Currency: currency,
Available: value,
Locked: 0,
Locked: fixedpoint.Zero,
}
}
return balances
Expand Down
84 changes: 41 additions & 43 deletions pkg/exchange/binance/convert.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,6 @@ package binance

import (
"fmt"
"strconv"
"strings"
"time"

Expand All @@ -12,7 +11,6 @@ import (

"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)

func toGlobalMarket(symbol binance.Symbol) types.Market {
Expand All @@ -26,8 +24,8 @@ func toGlobalMarket(symbol binance.Symbol) types.Market {
}

if f := symbol.MinNotionalFilter(); f != nil {
market.MinNotional = util.MustParseFloat(f.MinNotional)
market.MinAmount = util.MustParseFloat(f.MinNotional)
market.MinNotional = fixedpoint.MustNewFromString(f.MinNotional)
market.MinAmount = fixedpoint.MustNewFromString(f.MinNotional)
}

// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
Expand All @@ -36,15 +34,15 @@ func toGlobalMarket(symbol binance.Symbol) types.Market {
// maxQty defines the maximum quantity/icebergQty allowed.
// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
if f := symbol.LotSizeFilter(); f != nil {
market.MinQuantity = util.MustParseFloat(f.MinQuantity)
market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
market.StepSize = util.MustParseFloat(f.StepSize)
market.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
}

if f := symbol.PriceFilter(); f != nil {
market.MaxPrice = util.MustParseFloat(f.MaxPrice)
market.MinPrice = util.MustParseFloat(f.MinPrice)
market.TickSize = util.MustParseFloat(f.TickSize)
market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
}

return market
Expand All @@ -62,8 +60,8 @@ func toGlobalFuturesMarket(symbol futures.Symbol) types.Market {
}

if f := symbol.MinNotionalFilter(); f != nil {
market.MinNotional = util.MustParseFloat(f.Notional)
market.MinAmount = util.MustParseFloat(f.Notional)
market.MinNotional = fixedpoint.MustNewFromString(f.Notional)
market.MinAmount = fixedpoint.MustNewFromString(f.Notional)
}

// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
Expand All @@ -72,15 +70,15 @@ func toGlobalFuturesMarket(symbol futures.Symbol) types.Market {
// maxQty defines the maximum quantity/icebergQty allowed.
// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
if f := symbol.LotSizeFilter(); f != nil {
market.MinQuantity = util.MustParseFloat(f.MinQuantity)
market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
market.StepSize = util.MustParseFloat(f.StepSize)
market.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
}

if f := symbol.PriceFilter(); f != nil {
market.MaxPrice = util.MustParseFloat(f.MaxPrice)
market.MinPrice = util.MustParseFloat(f.MinPrice)
market.TickSize = util.MustParseFloat(f.TickSize)
market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
}

return market
Expand Down Expand Up @@ -236,13 +234,13 @@ func toGlobalFuturesUserAssets(assets []*futures.AccountAsset) (retAssets types.

func toGlobalTicker(stats *binance.PriceChangeStats) (*types.Ticker, error) {
return &types.Ticker{
Volume: util.MustParseFloat(stats.Volume),
Last: util.MustParseFloat(stats.LastPrice),
Open: util.MustParseFloat(stats.OpenPrice),
High: util.MustParseFloat(stats.HighPrice),
Low: util.MustParseFloat(stats.LowPrice),
Buy: util.MustParseFloat(stats.BidPrice),
Sell: util.MustParseFloat(stats.AskPrice),
Volume: fixedpoint.MustNewFromString(stats.Volume),
Last: fixedpoint.MustNewFromString(stats.LastPrice),
Open: fixedpoint.MustNewFromString(stats.OpenPrice),
High: fixedpoint.MustNewFromString(stats.HighPrice),
Low: fixedpoint.MustNewFromString(stats.LowPrice),
Buy: fixedpoint.MustNewFromString(stats.BidPrice),
Sell: fixedpoint.MustNewFromString(stats.AskPrice),
Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
}, nil
}
Expand Down Expand Up @@ -324,15 +322,15 @@ func toGlobalOrder(binanceOrder *binance.Order, isMargin bool) (*types.Order, er
Symbol: binanceOrder.Symbol,
Side: toGlobalSideType(binanceOrder.Side),
Type: toGlobalOrderType(binanceOrder.Type),
Quantity: util.MustParseFloat(binanceOrder.OrigQuantity),
Price: util.MustParseFloat(binanceOrder.Price),
Quantity: fixedpoint.MustNewFromString(binanceOrder.OrigQuantity),
Price: fixedpoint.MustNewFromString(binanceOrder.Price),
TimeInForce: string(binanceOrder.TimeInForce),
},
Exchange: types.ExchangeBinance,
IsWorking: binanceOrder.IsWorking,
OrderID: uint64(binanceOrder.OrderID),
Status: toGlobalOrderStatus(binanceOrder.Status),
ExecutedQuantity: util.MustParseFloat(binanceOrder.ExecutedQuantity),
ExecutedQuantity: fixedpoint.MustNewFromString(binanceOrder.ExecutedQuantity),
CreationTime: types.Time(millisecondTime(binanceOrder.Time)),
UpdateTime: types.Time(millisecondTime(binanceOrder.UpdateTime)),
IsMargin: isMargin,
Expand All @@ -349,14 +347,14 @@ func toGlobalFuturesOrder(futuresOrder *futures.Order, isMargin bool) (*types.Or
Type: toGlobalFuturesOrderType(futuresOrder.Type),
ReduceOnly: futuresOrder.ReduceOnly,
ClosePosition: futuresOrder.ClosePosition,
Quantity: util.MustParseFloat(futuresOrder.OrigQuantity),
Price: util.MustParseFloat(futuresOrder.Price),
Quantity: fixedpoint.MustNewFromString(futuresOrder.OrigQuantity),
Price: fixedpoint.MustNewFromString(futuresOrder.Price),
TimeInForce: string(futuresOrder.TimeInForce),
},
Exchange: types.ExchangeBinance,
OrderID: uint64(futuresOrder.OrderID),
Status: toGlobalFuturesOrderStatus(futuresOrder.Status),
ExecutedQuantity: util.MustParseFloat(futuresOrder.ExecutedQuantity),
ExecutedQuantity: fixedpoint.MustNewFromString(futuresOrder.ExecutedQuantity),
CreationTime: types.Time(millisecondTime(futuresOrder.Time)),
UpdateTime: types.Time(millisecondTime(futuresOrder.UpdateTime)),
IsMargin: isMargin,
Expand All @@ -376,27 +374,27 @@ func toGlobalTrade(t binance.TradeV3, isMargin bool) (*types.Trade, error) {
side = types.SideTypeSell
}

price, err := strconv.ParseFloat(t.Price, 64)
price, err := fixedpoint.NewFromString(t.Price)
if err != nil {
return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
}

quantity, err := strconv.ParseFloat(t.Quantity, 64)
quantity, err := fixedpoint.NewFromString(t.Quantity)
if err != nil {
return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
}

var quoteQuantity = 0.0
var quoteQuantity fixedpoint.Value
if len(t.QuoteQuantity) > 0 {
quoteQuantity, err = strconv.ParseFloat(t.QuoteQuantity, 64)
quoteQuantity, err = fixedpoint.NewFromString(t.QuoteQuantity)
if err != nil {
return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
}
} else {
quoteQuantity = price * quantity
quoteQuantity = price.Mul(quantity)
}

fee, err := strconv.ParseFloat(t.Commission, 64)
fee, err := fixedpoint.NewFromString(t.Commission)
if err != nil {
return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
}
Expand Down Expand Up @@ -429,27 +427,27 @@ func toGlobalFuturesTrade(t futures.AccountTrade) (*types.Trade, error) {
side = types.SideTypeSell
}

price, err := strconv.ParseFloat(t.Price, 64)
price, err := fixedpoint.NewFromString(t.Price)
if err != nil {
return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
}

quantity, err := strconv.ParseFloat(t.Quantity, 64)
quantity, err := fixedpoint.NewFromString(t.Quantity)
if err != nil {
return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
}

var quoteQuantity = 0.0
var quoteQuantity fixedpoint.Value
if len(t.QuoteQuantity) > 0 {
quoteQuantity, err = strconv.ParseFloat(t.QuoteQuantity, 64)
quoteQuantity, err = fixedpoint.NewFromString(t.QuoteQuantity)
if err != nil {
return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
}
} else {
quoteQuantity = price * quantity
quoteQuantity = price.Mul(quantity)
}

fee, err := strconv.ParseFloat(t.Commission, 64)
fee, err := fixedpoint.NewFromString(t.Commission)
if err != nil {
return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
}
Expand Down
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