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add dnum as the fixedpoint implementation. change types float64 to fi…
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…xedpoint.Value

change pnl report to use fixedpoint

fix: migrate kline to use fixedpoint
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@zenixls2
zenixls2 committed Feb 15, 2022
1 parent 336d868 commit e221f54
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Showing 26 changed files with 1,619 additions and 812 deletions.
58 changes: 30 additions & 28 deletions pkg/accounting/cost_distribution.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -9,6 +9,7 @@ import (
"sync"

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

func zero(a float64) bool {
Expand All @@ -25,30 +26,30 @@ func (stock *Stock) String() string {
return fmt.Sprintf("%f (%f)", stock.Price, stock.Quantity)
}

func (stock *Stock) Consume(quantity float64) float64 {
q := math.Min(stock.Quantity, quantity)
stock.Quantity = round(stock.Quantity - q)
func (stock *Stock) Consume(quantity fixedpoint.Value) fixedpoint.Value {
q := fixedpoint.Min(stock.Quantity, quantity)
stock.Quantity = stock.Quantity.Sub(q).Round(0, fixedpoint.Down)
return q
}

type StockSlice []Stock

func (slice StockSlice) QuantityBelowPrice(price float64) (quantity float64) {
func (slice StockSlice) QuantityBelowPrice(price fixedpoint.Value) (quantity fixedpoint.Value) {
for _, stock := range slice {
if stock.Price < price {
quantity += stock.Quantity
if stock.Price.Compare(price) < 0 {
quantity = quantity.Add(stock.Quantity)
}
}

return round(quantity)
return quantity.Round(0, fixedpoint.Down)
}

func (slice StockSlice) Quantity() (total float64) {
func (slice StockSlice) Quantity() (total fixedpoint.Value) {
for _, stock := range slice {
total += stock.Quantity
total = total.Add(stock.Quantity)
}

return round(total)
return total.Round(0, fixedpoint.Down)
}

type StockDistribution struct {
Expand All @@ -62,27 +63,28 @@ type StockDistribution struct {

type DistributionStats struct {
PriceLevels []string `json:"priceLevels"`
TotalQuantity float64 `json:"totalQuantity"`
Quantities map[string]float64 `json:"quantities"`
TotalQuantity fixedpoint.Value `json:"totalQuantity"`
Quantities map[string]fixedpoint.Value `json:"quantities"`
Stocks map[string]StockSlice `json:"stocks"`
}

func (m *StockDistribution) DistributionStats(level int) *DistributionStats {
var d = DistributionStats{
Quantities: map[string]float64{},
Quantities: map[string]fixedpoint.Value {},
Stocks: map[string]StockSlice{},
}

for _, stock := range m.Stocks {
n := math.Ceil(math.Log10(stock.Price))
n := math.Ceil(math.Log10(stock.Price.Float64()))
digits := int(n - math.Max(float64(level), 1.0))
// TODO: use Round function in fixedpoint
div := math.Pow10(digits)
priceLevel := math.Floor(stock.Price/div) * div
priceLevel := math.Floor(stock.Price.Float64()/div) * div
key := strconv.FormatFloat(priceLevel, 'f', 2, 64)

d.TotalQuantity += stock.Quantity
d.TotalQuantity = d.TotalQuantity.Add(stock.Quantity)
d.Stocks[key] = append(d.Stocks[key], stock)
d.Quantities[key] += stock.Quantity
d.Quantities[key] = d.Quantities[key].Add(stock.Quantity)
}

var priceLevels []float64
Expand Down Expand Up @@ -114,7 +116,7 @@ func (m *StockDistribution) squash() {

var squashed StockSlice
for _, stock := range m.Stocks {
if !zero(stock.Quantity) {
if !stock.Quantity.IsZero() {
squashed = append(squashed, stock)
}
}
Expand Down Expand Up @@ -152,19 +154,19 @@ func (m *StockDistribution) consume(sell Stock) error {
stock := m.Stocks[idx]

// find any stock price is lower than the sell trade
if stock.Price >= sell.Price {
if stock.Price.Compare(sell.Price) >= 0 {
continue
}

if zero(stock.Quantity) {
if stock.Quantity.IsZero() {
continue
}

delta := stock.Consume(sell.Quantity)
sell.Consume(delta)
m.Stocks[idx] = stock

if zero(sell.Quantity) {
if sell.Quantity.IsZero() {
return nil
}
}
Expand All @@ -173,20 +175,20 @@ func (m *StockDistribution) consume(sell Stock) error {
for ; idx >= 0; idx-- {
stock := m.Stocks[idx]

if zero(stock.Quantity) {
if stock.Quantity.IsZero() {
continue
}

delta := stock.Consume(sell.Quantity)
sell.Consume(delta)
m.Stocks[idx] = stock

if zero(sell.Quantity) {
if sell.Quantity.IsZero() {
return nil
}
}

if sell.Quantity > 0.0 {
if sell.Quantity.Sign() > 0 {
m.PendingSells = append(m.PendingSells, sell)
}

Expand All @@ -203,7 +205,7 @@ func (m *StockDistribution) AddTrades(trades []types.Trade) (checkpoints []int,
trade.Symbol = m.Symbol
trade.IsBuyer = false
trade.Quantity = trade.Fee
trade.Fee = 0.0
trade.Fee = fixedpoint.Zero
}
}

Expand Down Expand Up @@ -238,11 +240,11 @@ func (m *StockDistribution) AddTrades(trades []types.Trade) (checkpoints []int,
func toStock(trade types.Trade) Stock {
if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
if trade.IsBuyer {
trade.Quantity -= trade.Fee
trade.Quantity = trade.Quantity.Sub(trade.Fee)
} else {
trade.Quantity += trade.Fee
trade.Quantity = trade.Quantity.Add(trade.Fee)
}
trade.Fee = 0.0
trade.Fee = fixedpoint.Zero
}
return Stock(trade)
}
29 changes: 15 additions & 14 deletions pkg/accounting/pnl/avg_cost.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -14,11 +14,11 @@ type AverageCostCalculator struct {
Market types.Market
}

func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, currentPrice float64) *AverageCostPnlReport {
func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, currentPrice fixedpoint.Value) *AverageCostPnlReport {
// copy trades, so that we can truncate it.
var bidVolume = 0.0
var askVolume = 0.0
var feeUSD = 0.0
var bidVolume = fixedpoint.Zero
var askVolume = fixedpoint.Zero
var feeUSD = fixedpoint.Zero

if len(trades) == 0 {
return &AverageCostPnlReport{
Expand All @@ -32,7 +32,7 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
}
}

var currencyFees = map[string]float64{}
var currencyFees = map[string]fixedpoint.Value{}

var position = types.NewPositionFromMarket(c.Market)
position.SetFeeRate(types.ExchangeFee{
Expand Down Expand Up @@ -60,26 +60,27 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c

profit, netProfit, madeProfit := position.AddTrade(trade)
if madeProfit {
totalProfit += profit
totalNetProfit += netProfit
totalProfit = totalProfit.Add(profit)
totalNetProfit = totalNetProfit.Add(netProfit)
}

if trade.IsBuyer {
bidVolume += trade.Quantity
bidVolume = bidVolume.Add(trade.Quantity)
} else {
askVolume += trade.Quantity
askVolume = askVolume.Add(trade.Quantity)
}

if _, ok := currencyFees[trade.FeeCurrency]; !ok {
currencyFees[trade.FeeCurrency] = trade.Fee
} else {
currencyFees[trade.FeeCurrency] += trade.Fee
currencyFees[trade.FeeCurrency] = currencyFees[trade.FeeCurrency].Add(trade.Fee)
}

tradeIDs[trade.ID] = trade
}

unrealizedProfit := (fixedpoint.NewFromFloat(currentPrice) - position.AverageCost).Mul(position.GetBase())
unrealizedProfit := currentPrice.Sub(position.AverageCost).
Mul(position.GetBase())
return &AverageCostPnlReport{
Symbol: symbol,
Market: c.Market,
Expand All @@ -90,12 +91,12 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
BuyVolume: bidVolume,
SellVolume: askVolume,

Stock: position.GetBase().Float64(),
Stock: position.GetBase(),
Profit: totalProfit,
NetProfit: totalNetProfit,
UnrealizedProfit: unrealizedProfit,
AverageCost: position.AverageCost.Float64(),
FeeInUSD: (totalProfit - totalNetProfit).Float64(),
AverageCost: position.AverageCost,
FeeInUSD: totalProfit.Sub(totalNetProfit),
CurrencyFees: currencyFees,
}
}
38 changes: 19 additions & 19 deletions pkg/accounting/pnl/report.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -14,7 +14,7 @@ import (
)

type AverageCostPnlReport struct {
LastPrice float64 `json:"lastPrice"`
LastPrice fixedpoint.Value `json:"lastPrice"`
StartTime time.Time `json:"startTime"`
Symbol string `json:"symbol"`
Market types.Market `json:"market"`
Expand All @@ -23,12 +23,12 @@ type AverageCostPnlReport struct {
Profit fixedpoint.Value `json:"profit"`
NetProfit fixedpoint.Value `json:"netProfit"`
UnrealizedProfit fixedpoint.Value `json:"unrealizedProfit"`
AverageCost float64 `json:"averageCost"`
BuyVolume float64 `json:"buyVolume,omitempty"`
SellVolume float64 `json:"sellVolume,omitempty"`
FeeInUSD float64 `json:"feeInUSD"`
Stock float64 `json:"stock"`
CurrencyFees map[string]float64 `json:"currencyFees"`
AverageCost fixedpoint.Value `json:"averageCost"`
BuyVolume fixedpoint.Value `json:"buyVolume,omitempty"`
SellVolume fixedpoint.Value `json:"sellVolume,omitempty"`
FeeInUSD fixedpoint.Value `json:"feeInUSD"`
Stock fixedpoint.Value `json:"stock"`
CurrencyFees map[string]fixedpoint.Value `json:"currencyFees"`
}

func (report *AverageCostPnlReport) JSON() ([]byte, error) {
Expand All @@ -38,26 +38,26 @@ func (report *AverageCostPnlReport) JSON() ([]byte, error) {
func (report AverageCostPnlReport) Print() {
log.Infof("TRADES SINCE: %v", report.StartTime)
log.Infof("NUMBER OF TRADES: %d", report.NumTrades)
log.Infof("AVERAGE COST: %s", types.USD.FormatMoneyFloat64(report.AverageCost))
log.Infof("TOTAL BUY VOLUME: %f", report.BuyVolume)
log.Infof("TOTAL SELL VOLUME: %f", report.SellVolume)
log.Infof("STOCK: %f", report.Stock)
log.Infof("AVERAGE COST: %s", types.USD.FormatMoney(report.AverageCost))
log.Infof("TOTAL BUY VOLUME: %s", report.BuyVolume.String())
log.Infof("TOTAL SELL VOLUME: %s", report.SellVolume.String())
log.Infof("STOCK: %s", report.Stock.String())

// FIXME:
// log.Infof("FEE (USD): %f", report.FeeInUSD)
log.Infof("CURRENT PRICE: %s", types.USD.FormatMoneyFloat64(report.LastPrice))
log.Infof("CURRENT PRICE: %s", types.USD.FormatMoney(report.LastPrice))
log.Infof("CURRENCY FEES:")
for currency, fee := range report.CurrencyFees {
log.Infof(" - %s: %f", currency, fee)
log.Infof(" - %s: %s", currency, fee.String())
}
log.Infof("PROFIT: %s", types.USD.FormatMoneyFloat64(report.Profit.Float64()))
log.Infof("UNREALIZED PROFIT: %s", types.USD.FormatMoneyFloat64(report.UnrealizedProfit.Float64()))
log.Infof("PROFIT: %s", types.USD.FormatMoney(report.Profit))
log.Infof("UNREALIZED PROFIT: %s", types.USD.FormatMoney(report.UnrealizedProfit))
}

func (report AverageCostPnlReport) SlackAttachment() slack.Attachment {
var color = slackstyle.Red

if report.UnrealizedProfit > 0 {
if report.UnrealizedProfit.Sign() > 0 {
color = slackstyle.Green
}

Expand All @@ -70,12 +70,12 @@ 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), Short: true},
{Title: "Average Cost", Value: report.Market.FormatPrice(report.AverageCost), Short: true},
{Title: "Current Price", Value: report.Market.FormatPrice(report.LastPrice.Float64()), Short: true},
{Title: "Average Cost", Value: report.Market.FormatPrice(report.AverageCost.Float64()), Short: true},

// FIXME:
// {Title: "Fee (USD)", Value: types.USD.FormatMoney(report.FeeInUSD), Short: true},
{Title: "Stock", Value: strconv.FormatFloat(report.Stock, 'f', 8, 64), Short: true},
{Title: "Stock", Value: report.Stock.String(), Short: true},
{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true},
},
Footer: report.StartTime.Format(time.RFC822),
Expand Down
4 changes: 3 additions & 1 deletion pkg/bbgo/scale.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -37,6 +37,7 @@ type ExponentialScale struct {
a float64
b float64
h float64
s float64
}

func (s *ExponentialScale) Solve() error {
Expand All @@ -51,6 +52,7 @@ func (s *ExponentialScale) Solve() error {
s.h = s.Domain[0]
s.a = s.Range[0]
s.b = math.Pow(s.Range[1]/s.Range[0], 1/(s.Domain[1]-s.h))
s.s = s.Domain[1] - s.h
return nil
}

Expand All @@ -73,7 +75,7 @@ func (s *ExponentialScale) Call(x float64) (y float64) {
x = s.Domain[1]
}

y = s.a * math.Pow(s.b, x-s.h)
y = s.a * math.Pow(s.Range[1]/s.Range[0], (x-s.h)/s.s)
return y
}

Expand Down
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