Merge pull request #1547 from c9s/refactor/tradingutil

REFACTOR: move trading related utility functions to the tradingutil package

Author: c9s

pkg/strategy/grid2/grid.go

@@ -35,8 +35,8 @@ type Grid struct {
 
 type Pin fixedpoint.Value
 
-// filterPrice filters price with the given precision
-func filterPrice(p fixedpoint.Value, prec int) fixedpoint.Value {
+// roundAndTruncatePrice rounds the given price at prec-1 and then truncate the price at prec
+func roundAndTruncatePrice(p fixedpoint.Value, prec int) fixedpoint.Value {
 	var pow10 = math.Pow10(prec)
 	pp := math.Round(p.Float64()*pow10*10.0) / 10.0
 	pp = math.Trunc(pp) / pow10
@@ -71,12 +71,12 @@ func calculateArithmeticPins(lower, upper, spread, tickSize fixedpoint.Value) []
 	var ts = tickSize.Float64()
 	var prec = int(math.Round(math.Log10(ts) * -1.0))
 	for p := lower; p.Compare(upper.Sub(spread)) <= 0; p = p.Add(spread) {
-		price := filterPrice(p, prec)
+		price := roundAndTruncatePrice(p, prec)
 		pins = append(pins, Pin(price))
 	}
 
 	// this makes sure there is no error at the upper price
-	upperPrice := filterPrice(upper, prec)
+	upperPrice := roundAndTruncatePrice(upper, prec)
 	pins = append(pins, Pin(upperPrice))
 
 	return pins

pkg/strategy/grid2/grid_test.go

@@ -243,8 +243,8 @@ func Test_filterPrice1(t *testing.T) {
 	}
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
-			rst := filterPrice(tt.args.p, tt.args.prec)
-			assert.Equalf(t, tt.want, rst.String(), "filterPrice(%v, %v)", tt.args.p, tt.args.prec)
+			rst := roundAndTruncatePrice(tt.args.p, tt.args.prec)
+			assert.Equalf(t, tt.want, rst.String(), "roundAndTruncatePrice(%v, %v)", tt.args.p, tt.args.prec)
 		})
 	}
 }

pkg/strategy/grid2/strategy.go

@@ -22,6 +22,7 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
+	"github.com/c9s/bbgo/pkg/util/tradingutil"
 )
 
 const ID = "grid2"
@@ -351,7 +352,7 @@ func (s *Strategy) calculateProfit(o types.Order, buyPrice, buyQuantity fixedpoi
 }
 
 func (s *Strategy) verifyOrderTrades(o types.Order, trades []types.Trade) bool {
-	tq := aggregateTradesQuantity(trades)
+	tq := tradingutil.AggregateTradesQuantity(trades)
 
 	// on MAX: if order.status == filled, it does not mean order.executedQuantity == order.quantity
 	// order.executedQuantity can be less than order.quantity
@@ -400,8 +401,8 @@ func (s *Strategy) aggregateOrderQuoteAmountAndFee(o types.Order) (fixedpoint.Va
 		// if one of the trades is missing, we need to query the trades from the RESTful API
 		if s.verifyOrderTrades(o, orderTrades) {
 			// if trades are verified
-			quoteAmount := aggregateTradesQuoteQuantity(orderTrades)
-			fees := collectTradeFee(orderTrades)
+			quoteAmount := tradingutil.AggregateTradesQuoteQuantity(orderTrades)
+			fees := tradingutil.CollectTradeFee(orderTrades)
 			if fee, ok := fees[feeCurrency]; ok {
 				return quoteAmount, fee, feeCurrency
 			}
@@ -428,9 +429,9 @@ func (s *Strategy) aggregateOrderQuoteAmountAndFee(o types.Order) (fixedpoint.Va
 		}
 	}
 
-	quoteAmount := aggregateTradesQuoteQuantity(orderTrades)
+	quoteAmount := tradingutil.AggregateTradesQuoteQuantity(orderTrades)
 	// still try to aggregate the trades quantity if we can:
-	fees := collectTradeFee(orderTrades)
+	fees := tradingutil.CollectTradeFee(orderTrades)
 	if fee, ok := fees[feeCurrency]; ok {
 		return quoteAmount, fee, feeCurrency
 	}

pkg/strategy/grid2/trade.go

@@ -9,20 +9,39 @@ import (
 func CollectTradeFee(trades []types.Trade) map[string]fixedpoint.Value {
 	fees := make(map[string]fixedpoint.Value)
 	for _, t := range trades {
+		if t.FeeDiscounted {
+			continue
+		}
+
 		if fee, ok := fees[t.FeeCurrency]; ok {
 			fees[t.FeeCurrency] = fee.Add(t.Fee)
 		} else {
 			fees[t.FeeCurrency] = t.Fee
 		}
 	}
-
 	return fees
 }
 
+// AggregateTradesQuantity sums up the quantity from the given trades
+// totalQuantity = SUM(trade1.Quantity, trade2.Quantity, ...)
 func AggregateTradesQuantity(trades []types.Trade) fixedpoint.Value {
 	tq := fixedpoint.Zero
 	for _, t := range trades {
 		tq = tq.Add(t.Quantity)
 	}
 	return tq
 }
+
+// AggregateTradesQuoteQuantity aggregates the quote quantity from the given trade slice
+func AggregateTradesQuoteQuantity(trades []types.Trade) fixedpoint.Value {
+	quoteQuantity := fixedpoint.Zero
+	for _, t := range trades {
+		if t.QuoteQuantity.IsZero() {
+			quoteQuantity = quoteQuantity.Add(t.Price.Mul(t.Quantity))
+		} else {
+			quoteQuantity = quoteQuantity.Add(t.QuoteQuantity)
+		}
+	}
+
+	return quoteQuantity
+}