REFACTOR: refactor profit fixer

pkg/strategy/common/profit_fixer.go

@@ -0,0 +1,104 @@
+package common
+
+import (
+	"context"
+	"sync"
+	"time"
+
+	log "github.com/sirupsen/logrus"
+	"golang.org/x/sync/errgroup"
+
+	"github.com/c9s/bbgo/pkg/exchange/batch"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// ProfitFixerConfig is used for fixing profitStats and position by re-playing the trade history
+type ProfitFixerConfig struct {
+	TradesSince types.Time `json:"tradesSince,omitempty"`
+}
+
+// ProfitFixer implements a trade-history-based profit fixer
+type ProfitFixer struct {
+	market types.Market
+
+	sessions map[string]types.ExchangeTradeHistoryService
+}
+
+func NewProfitFixer(market types.Market) *ProfitFixer {
+	return &ProfitFixer{
+		market:   market,
+		sessions: make(map[string]types.ExchangeTradeHistoryService),
+	}
+}
+
+func (f *ProfitFixer) AddExchange(sessionName string, service types.ExchangeTradeHistoryService) {
+	f.sessions[sessionName] = service
+}
+
+func (f *ProfitFixer) batchQueryTrades(
+	ctx context.Context,
+	service types.ExchangeTradeHistoryService,
+	symbol string,
+	since, until time.Time,
+) ([]types.Trade, error) {
+	q := &batch.TradeBatchQuery{ExchangeTradeHistoryService: service}
+	return q.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
+		StartTime: &since,
+		EndTime:   &until,
+	})
+}
+
+func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, market types.Market, since, until time.Time) ([]types.Trade, error) {
+	var mu sync.Mutex
+	var allTrades = make([]types.Trade, 0, 1000)
+
+	g, subCtx := errgroup.WithContext(ctx)
+	for n, s := range f.sessions {
+		// allocate a copy of the iteration variables
+		sessionName := n
+		service := s
+		g.Go(func() error {
+			log.Infof("batch querying %s trade history from %s since %s until %s", market.Symbol, sessionName, since.String(), until.String())
+			trades, err := f.batchQueryTrades(subCtx, service, f.market.Symbol, since, until)
+			if err != nil {
+				log.WithError(err).Errorf("unable to batch query trades for fixer")
+				return err
+			}
+
+			mu.Lock()
+			allTrades = append(allTrades, trades...)
+			mu.Unlock()
+			return nil
+		})
+	}
+
+	if err := g.Wait(); err != nil {
+		return nil, err
+	}
+
+	allTrades = types.SortTradesAscending(allTrades)
+	return allTrades, nil
+}
+
+func (f *ProfitFixer) Fix(ctx context.Context, since, until time.Time, stats *types.ProfitStats, position *types.Position) error {
+	log.Infof("starting profitFixer with time range %s <=> %s", since, until)
+	allTrades, err := f.aggregateAllTrades(ctx, f.market, since, until)
+	if err != nil {
+		return err
+	}
+
+	return f.FixFromTrades(allTrades, stats, position)
+}
+
+func (f *ProfitFixer) FixFromTrades(allTrades []types.Trade, stats *types.ProfitStats, position *types.Position) error {
+	for _, trade := range allTrades {
+		profit, netProfit, madeProfit := position.AddTrade(trade)
+		if madeProfit {
+			p := position.NewProfit(trade, profit, netProfit)
+			stats.AddProfit(p)
+		}
+	}
+
+	log.Infof("profitFixer fix finished: profitStats and position are updated from %d trades", len(allTrades))
+	return nil
+}

pkg/strategy/xdepthmaker/profitfixer.go

@@ -1,89 +1 @@
 package xdepthmaker
-
-import (
-	"context"
-	"sync"
-	"time"
-
-	"golang.org/x/sync/errgroup"
-
-	"github.com/c9s/bbgo/pkg/exchange/batch"
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-type ProfitFixerConfig struct {
-	TradesSince types.Time `json:"tradesSince,omitempty"`
-}
-
-// ProfitFixer implements a trade history based profit fixer
-type ProfitFixer struct {
-	market types.Market
-
-	sessions map[string]types.ExchangeTradeHistoryService
-}
-
-func NewProfitFixer(market types.Market) *ProfitFixer {
-	return &ProfitFixer{
-		market:   market,
-		sessions: make(map[string]types.ExchangeTradeHistoryService),
-	}
-}
-
-func (f *ProfitFixer) AddExchange(sessionName string, service types.ExchangeTradeHistoryService) {
-	f.sessions[sessionName] = service
-}
-
-func (f *ProfitFixer) batchQueryTrades(
-	ctx context.Context,
-	service types.ExchangeTradeHistoryService,
-	symbol string,
-	since, until time.Time,
-) ([]types.Trade, error) {
-	q := &batch.TradeBatchQuery{ExchangeTradeHistoryService: service}
-	return q.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
-		StartTime: &since,
-		EndTime:   &until,
-	})
-}
-
-func (f *ProfitFixer) Fix(ctx context.Context, since, until time.Time, stats *types.ProfitStats, position *types.Position) error {
-	log.Infof("starting profitFixer with time range %s <=> %s", since, until)
-	var mu sync.Mutex
-	var allTrades = make([]types.Trade, 0, 1000)
-
-	g, subCtx := errgroup.WithContext(ctx)
-	for n, s := range f.sessions {
-		// allocate a copy of the iteration variables
-		sessionName := n
-		service := s
-		g.Go(func() error {
-			log.Infof("batch querying %s trade history from %s since %s until %s", f.market.Symbol, sessionName, since.String(), until.String())
-			trades, err := f.batchQueryTrades(subCtx, service, f.market.Symbol, since, until)
-			if err != nil {
-				log.WithError(err).Errorf("unable to batch query trades for fixer")
-				return err
-			}
-
-			mu.Lock()
-			allTrades = append(allTrades, trades...)
-			mu.Unlock()
-			return nil
-		})
-	}
-
-	if err := g.Wait(); err != nil {
-		return err
-	}
-
-	allTrades = types.SortTradesAscending(allTrades)
-	for _, trade := range allTrades {
-		profit, netProfit, madeProfit := position.AddTrade(trade)
-		if madeProfit {
-			p := position.NewProfit(trade, profit, netProfit)
-			stats.AddProfit(p)
-		}
-	}
-
-	log.Infof("profitFixer done: profitStats and position are updated from %d trades", len(allTrades))
-	return nil
-}

pkg/strategy/xdepthmaker/strategy.go

@@ -14,6 +14,7 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
 )
@@ -195,7 +196,7 @@ type Strategy struct {
 	// Pips is the pips of the layer prices
 	Pips fixedpoint.Value `json:"pips"`
 
-	ProfitFixerConfig *ProfitFixerConfig `json:"profitFixer"`
+	ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer"`
 
 	// --------------------------------
 	// private fields
@@ -332,7 +333,7 @@ func (s *Strategy) CrossRun(
 		s.CrossExchangeMarketMakingStrategy.Position = types.NewPositionFromMarket(makerMarket)
 		s.CrossExchangeMarketMakingStrategy.ProfitStats = types.NewProfitStats(makerMarket)
 
-		fixer := NewProfitFixer(makerMarket)
+		fixer := common.NewProfitFixer(makerMarket)
 		if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
 			log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
 			fixer.AddExchange(makerSession.Name, ss)