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Merge pull request #1644 from c9s/narumi/fee-budget
REFACTOR: Extract and move FeeBudget from xgap
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,92 @@ | ||
| package common | ||
|
|
||
| import ( | ||
| "sync" | ||
| "time" | ||
|
|
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| "github.com/c9s/bbgo/pkg/fixedpoint" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| log "github.com/sirupsen/logrus" | ||
| ) | ||
|
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| type FeeBudget struct { | ||
| DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"` | ||
| State *State `persistence:"state"` | ||
|
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| mu sync.Mutex | ||
| } | ||
|
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| func (f *FeeBudget) Initialize() { | ||
| if f.State == nil { | ||
| f.State = &State{} | ||
| f.State.Reset() | ||
| } | ||
|
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||
| if f.State.IsOver24Hours() { | ||
| log.Warn("[FeeBudget] state is over 24 hours, resetting to zero") | ||
| f.State.Reset() | ||
| } | ||
| } | ||
|
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| func (f *FeeBudget) IsBudgetAllowed() bool { | ||
| if f.DailyFeeBudgets == nil { | ||
| return true | ||
| } | ||
|
|
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| if f.State.AccumulatedFees == nil { | ||
| return true | ||
| } | ||
|
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| if f.State.IsOver24Hours() { | ||
| f.State.Reset() | ||
| return true | ||
| } | ||
|
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| for asset, budget := range f.DailyFeeBudgets { | ||
| if fee, ok := f.State.AccumulatedFees[asset]; ok { | ||
| if fee.Compare(budget) >= 0 { | ||
| log.Warnf("[FeeBudget] accumulative fee %s exceeded the fee budget %s, skipping...", fee.String(), budget.String()) | ||
| return false | ||
| } | ||
| } | ||
| } | ||
|
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||
| return true | ||
| } | ||
|
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| func (f *FeeBudget) HandleTradeUpdate(trade types.Trade) { | ||
| log.Infof("[FeeBudget] received trade %s", trade.String()) | ||
|
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| if f.State.IsOver24Hours() { | ||
| f.State.Reset() | ||
| } | ||
|
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| // safe check | ||
| if f.State.AccumulatedFees == nil { | ||
| f.mu.Lock() | ||
| f.State.AccumulatedFees = make(map[string]fixedpoint.Value) | ||
| f.mu.Unlock() | ||
| } | ||
|
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| f.State.AccumulatedFees[trade.FeeCurrency] = f.State.AccumulatedFees[trade.FeeCurrency].Add(trade.Fee) | ||
| log.Infof("[FeeBudget] accumulated fee: %s %s", f.State.AccumulatedFees[trade.FeeCurrency].String(), trade.FeeCurrency) | ||
| } | ||
|
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| type State struct { | ||
| AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"` | ||
| AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"` | ||
| } | ||
|
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| func (s *State) IsOver24Hours() bool { | ||
| return time.Since(s.AccumulatedFeeStartedAt) >= 24*time.Hour | ||
| } | ||
|
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| func (s *State) Reset() { | ||
| t := time.Now() | ||
| dateTime := time.Date(t.Year(), t.Month(), t.Day(), 0, 0, 0, 0, t.Location()) | ||
|
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| log.Infof("[State] resetting accumulated started time to: %s", dateTime) | ||
|
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| s.AccumulatedFeeStartedAt = dateTime | ||
| s.AccumulatedFees = make(map[string]fixedpoint.Value) | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,56 @@ | ||
| package common | ||
|
|
||
| import ( | ||
| "testing" | ||
| "time" | ||
|
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| "github.com/c9s/bbgo/pkg/fixedpoint" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| "github.com/stretchr/testify/assert" | ||
| ) | ||
|
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| func TestFeeBudget(t *testing.T) { | ||
| cases := []struct { | ||
| budgets map[string]fixedpoint.Value | ||
| trades []types.Trade | ||
| expected bool | ||
| }{ | ||
| { | ||
| budgets: map[string]fixedpoint.Value{ | ||
| "MAX": fixedpoint.NewFromFloat(0.5), | ||
| }, | ||
| trades: []types.Trade{ | ||
| {FeeCurrency: "MAX", Fee: fixedpoint.NewFromFloat(0.1)}, | ||
| {FeeCurrency: "USDT", Fee: fixedpoint.NewFromFloat(10.0)}, | ||
| }, | ||
| expected: true, | ||
| }, | ||
| { | ||
| budgets: map[string]fixedpoint.Value{ | ||
| "MAX": fixedpoint.NewFromFloat(0.5), | ||
| }, | ||
| trades: []types.Trade{ | ||
| {FeeCurrency: "MAX", Fee: fixedpoint.NewFromFloat(0.1)}, | ||
| {FeeCurrency: "MAX", Fee: fixedpoint.NewFromFloat(0.5)}, | ||
| {FeeCurrency: "USDT", Fee: fixedpoint.NewFromFloat(10.0)}, | ||
| }, | ||
| expected: false, | ||
| }, | ||
| } | ||
|
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| for _, c := range cases { | ||
| feeBudget := FeeBudget{ | ||
| DailyFeeBudgets: c.budgets, | ||
| } | ||
| feeBudget.Initialize() | ||
|
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| for _, trade := range c.trades { | ||
| feeBudget.HandleTradeUpdate(trade) | ||
| } | ||
| assert.Equal(t, c.expected, feeBudget.IsBudgetAllowed()) | ||
|
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| // test reset | ||
| feeBudget.State.AccumulatedFeeStartedAt = feeBudget.State.AccumulatedFeeStartedAt.Add(-24 * time.Hour) | ||
| assert.True(t, feeBudget.IsBudgetAllowed()) | ||
| } | ||
| } |
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