Merge pull request #1866 from c9s/c9s/xnav/breakdown

FEATURE: [xnav] support breakdown and improve price solving logics

pkg/accounting/pnl/report.go

@@ -9,6 +9,7 @@ import (
 	"github.com/slack-go/slack"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types/currency"
 
 	"github.com/c9s/bbgo/pkg/slack/slackstyle"
 	"github.com/c9s/bbgo/pkg/types"
@@ -45,28 +46,28 @@ func (report AverageCostPnLReport) Print() {
 	color.Green("TRADES SINCE: %v", report.StartTime)
 	color.Green("NUMBER OF TRADES: %d", report.NumTrades)
 	color.Green(report.Position.String())
-	color.Green("AVERAGE COST: %s", types.USD.FormatMoney(report.AverageCost))
+	color.Green("AVERAGE COST: %s", currency.USD.FormatMoney(report.AverageCost))
 	color.Green("BASE ASSET POSITION: %s", report.BaseAssetPosition.String())
 
 	color.Green("TOTAL BUY VOLUME: %v", report.BuyVolume)
 	color.Green("TOTAL SELL VOLUME: %v", report.SellVolume)
 
-	color.Green("CURRENT PRICE: %s", types.USD.FormatMoney(report.LastPrice))
+	color.Green("CURRENT PRICE: %s", currency.USD.FormatMoney(report.LastPrice))
 	color.Green("CURRENCY FEES:")
 	for currency, fee := range report.CurrencyFees {
 		color.Green(" - %s: %s", currency, fee.String())
 	}
 
 	if report.Profit.Sign() > 0 {
-		color.Green("PROFIT: %s", types.USD.FormatMoney(report.Profit))
+		color.Green("PROFIT: %s", currency.USD.FormatMoney(report.Profit))
 	} else {
-		color.Red("PROFIT: %s", types.USD.FormatMoney(report.Profit))
+		color.Red("PROFIT: %s", currency.USD.FormatMoney(report.Profit))
 	}
 
 	if report.UnrealizedProfit.Sign() > 0 {
-		color.Green("UNREALIZED PROFIT: %s", types.USD.FormatMoney(report.UnrealizedProfit))
+		color.Green("UNREALIZED PROFIT: %s", currency.USD.FormatMoney(report.UnrealizedProfit))
 	} else {
-		color.Red("UNREALIZED PROFIT: %s", types.USD.FormatMoney(report.UnrealizedProfit))
+		color.Red("UNREALIZED PROFIT: %s", currency.USD.FormatMoney(report.UnrealizedProfit))
 	}
 }
 
@@ -79,13 +80,13 @@ func (report AverageCostPnLReport) SlackAttachment() slack.Attachment {
 
 	return slack.Attachment{
 		Title: report.Symbol + " Profit and Loss report",
-		Text:  "Profit " + types.USD.FormatMoney(report.Profit),
+		Text:  "Profit " + currency.USD.FormatMoney(report.Profit),
 		Color: color,
 		// Pretext:       "",
 		// Text:          "",
 		Fields: []slack.AttachmentField{
-			{Title: "Profit", Value: types.USD.FormatMoney(report.Profit)},
-			{Title: "Unrealized Profit", Value: types.USD.FormatMoney(report.UnrealizedProfit)},
+			{Title: "Profit", Value: currency.USD.FormatMoney(report.Profit)},
+			{Title: "Unrealized Profit", Value: currency.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},
 

pkg/bbgo/account_value_calc.go

@@ -11,6 +11,7 @@ import (
 	"github.com/c9s/bbgo/pkg/pricesolver"
 	"github.com/c9s/bbgo/pkg/risk"
 	"github.com/c9s/bbgo/pkg/types"
+	currency2 "github.com/c9s/bbgo/pkg/types/currency"
 )
 
 var defaultLeverage = fixedpoint.NewFromInt(3)
@@ -159,7 +160,7 @@ func aggregateUsdNetValue(balances types.BalanceMap) fixedpoint.Value {
 	totalUsdValue := fixedpoint.Zero
 	// get all usd value if any
 	for currency, balance := range balances {
-		if types.IsUSDFiatCurrency(currency) {
+		if currency2.IsUSDFiatCurrency(currency) {
 			totalUsdValue = totalUsdValue.Add(balance.Net())
 		}
 	}
@@ -171,7 +172,7 @@ func usdFiatBalances(balances types.BalanceMap) (fiats types.BalanceMap, rest ty
 	rest = make(types.BalanceMap)
 	fiats = make(types.BalanceMap)
 	for currency, balance := range balances {
-		if types.IsUSDFiatCurrency(currency) {
+		if currency2.IsUSDFiatCurrency(currency) {
 			fiats[currency] = balance
 		} else {
 			rest[currency] = balance
@@ -214,7 +215,7 @@ func CalculateBaseQuantity(
 
 	// for isolated margin, we can calculate from these two pair
 	totalUsdValue := fixedpoint.Zero
-	if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
+	if len(restBalances) == 1 && currency2.IsUSDFiatCurrency(market.QuoteCurrency) {
 		totalUsdValue = aggregateUsdNetValue(balances)
 	} else if len(restBalances) > 1 {
 		priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())

pkg/bbgo/environment.go

@@ -29,6 +29,7 @@ import (
 	googleservice "github.com/c9s/bbgo/pkg/service/google"
 	"github.com/c9s/bbgo/pkg/slack/slacklog"
 	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/types/asset"
 	"github.com/c9s/bbgo/pkg/util"
 )
 
@@ -542,7 +543,7 @@ func (environ *Environment) Sync(ctx context.Context, userConfig ...*Config) err
 	return nil
 }
 
-func (environ *Environment) RecordAsset(t time.Time, session *ExchangeSession, assets types.AssetMap) {
+func (environ *Environment) RecordAsset(t time.Time, session *ExchangeSession, assets asset.Map) {
 	// skip for back-test
 	if environ.BacktestService != nil {
 		return

pkg/bbgo/order_execution.go

@@ -14,6 +14,7 @@ import (
 	"github.com/c9s/bbgo/pkg/envvar"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/types/currency"
 )
 
 var DefaultSubmitOrderRetryTimeout = 5 * time.Minute
@@ -176,8 +177,8 @@ func (c *BasicRiskController) ProcessOrders(
 
 			if quoteBalance.Available.Compare(c.MinQuoteBalance) < 0 {
 				addError(errors.Wrapf(ErrQuoteBalanceLevelTooLow, "can not place buy order, quote balance level is too low: %s < %s, order: %s",
-					types.USD.FormatMoney(quoteBalance.Available),
-					types.USD.FormatMoney(c.MinQuoteBalance), order.String()))
+					currency.USD.FormatMoney(quoteBalance.Available),
+					currency.USD.FormatMoney(c.MinQuoteBalance), order.String()))
 				continue
 			}
 

pkg/bbgo/session.go

@@ -19,6 +19,7 @@ import (
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/metrics"
 	"github.com/c9s/bbgo/pkg/pricesolver"
+	currency2 "github.com/c9s/bbgo/pkg/types/currency"
 	"github.com/c9s/bbgo/pkg/util/templateutil"
 
 	exchange2 "github.com/c9s/bbgo/pkg/exchange"
@@ -202,6 +203,14 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
 	return session
 }
 
+func (session *ExchangeSession) GetPriceSolver() *pricesolver.SimplePriceSolver {
+	if session.priceSolver == nil {
+		session.priceSolver = pricesolver.NewSimplePriceResolver(session.markets)
+	}
+
+	return session.priceSolver
+}
+
 func (session *ExchangeSession) GetAccountLabel() string {
 	var label string
 
@@ -764,16 +773,12 @@ func (session *ExchangeSession) FormatOrder(order types.SubmitOrder) (types.Subm
 }
 
 func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []string, fiat string) (err error) {
-	// TODO: move this cache check to the http routes
-	// if session.lastPriceUpdatedAt.After(time.Now().Add(-time.Hour)) {
-	// 	return nil
-	// }
-
 	markets := session.Markets()
-	var symbols []string
+	symbols := make([]string, 0, 50)
 	for _, c := range currencies {
-		possibleSymbols := findPossibleMarketSymbols(markets, c, fiat)
-		symbols = append(symbols, possibleSymbols...)
+		for symbol := range markets.FindAssetMarkets(c) {
+			symbols = append(symbols, symbol)
+		}
 	}
 
 	if len(symbols) == 0 {
@@ -785,15 +790,20 @@ func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []s
 		return err
 	}
 
+	priceSolver := session.GetPriceSolver()
+
 	var lastTime time.Time
 	for k, v := range tickers {
+		validPrice := v.GetValidPrice()
+		priceSolver.Update(k, validPrice)
+
 		// for {Crypto}/USDT markets
 		// map things like BTCUSDT = {price}
 		if market, ok := markets[k]; ok {
-			if types.IsFiatCurrency(market.BaseCurrency) {
-				session.lastPrices[k] = v.Last.Div(fixedpoint.One)
+			if currency2.IsFiatCurrency(market.BaseCurrency) {
+				session.lastPrices[k] = validPrice.Div(fixedpoint.One)
 			} else {
-				session.lastPrices[k] = v.Last
+				session.lastPrices[k] = validPrice
 			}
 		} else {
 			session.lastPrices[k] = v.Last
@@ -819,7 +829,7 @@ func (session *ExchangeSession) FindPossibleAssetSymbols() (symbols []string, er
 	var balances = session.GetAccount().Balances()
 	var fiatAssets []string
 
-	for _, currency := range types.FiatCurrencies {
+	for _, currency := range currency2.FiatCurrencies {
 		if balance, ok := balances[currency]; ok && balance.Total().Sign() > 0 {
 			fiatAssets = append(fiatAssets, currency)
 		}
@@ -1115,24 +1125,3 @@ func (session *ExchangeSession) FormatOrders(orders []types.SubmitOrder) (format
 
 	return formattedOrders, err
 }
-
-func findPossibleMarketSymbols(markets types.MarketMap, c, fiat string) (symbols []string) {
-	var tries []string
-	// expand USD stable coin currencies
-	if types.IsUSDFiatCurrency(fiat) {
-		for _, usdFiat := range types.USDFiatCurrencies {
-			tries = append(tries, c+usdFiat, usdFiat+c)
-		}
-	} else {
-		tries = []string{c + fiat, fiat + c}
-	}
-
-	for _, try := range tries {
-		if markets.Has(try) {
-			symbols = append(symbols, try)
-			break
-		}
-	}
-
-	return symbols
-}

pkg/bbgo/session_test.go

@@ -1,44 +1 @@
 package bbgo
-
-import (
-	"testing"
-
-	"github.com/stretchr/testify/assert"
-
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-func Test_findPossibleMarketSymbols(t *testing.T) {
-	t.Run("btcusdt", func(t *testing.T) {
-		markets := types.MarketMap{
-			"BTCUSDT": types.Market{},
-			"BTCUSDC": types.Market{},
-			"BTCUSD":  types.Market{},
-			"BTCBUSD": types.Market{},
-		}
-		symbols := findPossibleMarketSymbols(markets, "BTC", "USDT")
-		if assert.Len(t, symbols, 1) {
-			assert.Equal(t, "BTCUSDT", symbols[0])
-		}
-	})
-
-	t.Run("btcusd only", func(t *testing.T) {
-		markets := types.MarketMap{
-			"BTCUSD": types.Market{},
-		}
-		symbols := findPossibleMarketSymbols(markets, "BTC", "USDT")
-		if assert.Len(t, symbols, 1) {
-			assert.Equal(t, "BTCUSD", symbols[0])
-		}
-	})
-
-	t.Run("usd to stable coin", func(t *testing.T) {
-		markets := types.MarketMap{
-			"BTCUSDT": types.Market{},
-		}
-		symbols := findPossibleMarketSymbols(markets, "BTC", "USD")
-		if assert.Len(t, symbols, 1) {
-			assert.Equal(t, "BTCUSDT", symbols[0])
-		}
-	})
-}

pkg/notifier/slacknotifier/slack.go

@@ -31,6 +31,14 @@ var emailRegExp = regexp.MustCompile("`^(?P<name>[a-zA-Z0-9.!#$%&'*+/=?^_ \\x60{
 
 var typeNamePrefixRE = regexp.MustCompile(`^\*?([a-zA-Z0-9_]+\.)?`)
 
+type SlackAttachmentCreator interface {
+	SlackAttachment() slack.Attachment
+}
+
+type SlackBlocksCreator interface {
+	SlackBlocks() slack.Blocks
+}
+
 type notifyTask struct {
 	channel string
 
@@ -297,7 +305,7 @@ func (n *Notifier) PostLiveNote(obj livenote.Object, opts ...livenote.Option) er
 	}
 
 	var attachment slack.Attachment
-	if creator, ok := note.Object.(types.SlackAttachmentCreator); ok {
+	if creator, ok := note.Object.(SlackAttachmentCreator); ok {
 		attachment = creator.SlackAttachment()
 	} else {
 		return fmt.Errorf("livenote object does not support types.SlackAttachmentCreator interface")
@@ -422,7 +430,7 @@ func filterSlackAttachments(args []interface{}) (slackAttachments []slack.Attach
 
 			slackAttachments = append(slackAttachments, *a)
 
-		case types.SlackAttachmentCreator:
+		case SlackAttachmentCreator:
 			if firstAttachmentOffset == -1 {
 				firstAttachmentOffset = idx
 			}
@@ -468,7 +476,10 @@ func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}
 	case slack.Attachment:
 		opts = append(opts, slack.MsgOptionAttachments(append([]slack.Attachment{a}, slackAttachments...)...))
 
-	case types.SlackAttachmentCreator:
+	case *slack.Attachment:
+		opts = append(opts, slack.MsgOptionAttachments(append([]slack.Attachment{*a}, slackAttachments...)...))
+
+	case SlackAttachmentCreator:
 		// convert object to slack attachment (if supported)
 		opts = append(opts, slack.MsgOptionAttachments(append([]slack.Attachment{a.SlackAttachment()}, slackAttachments...)...))
 

pkg/server/routes.go

@@ -20,6 +20,7 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/service"
 	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/types/asset"
 )
 
 const DefaultBindAddress = "localhost:8080"
@@ -408,9 +409,9 @@ func (s *Server) listSessionOpenOrders(c *gin.Context) {
 	c.JSON(http.StatusOK, gin.H{"orders": nil})
 }
 
-func genFakeAssets() types.AssetMap {
+func genFakeAssets() asset.Map {
 
-	totalAssets := types.AssetMap{}
+	totalAssets := asset.Map{}
 	balances := types.BalanceMap{
 		"BTC":  types.Balance{Currency: "BTC", Available: fixedpoint.NewFromFloat(10.0 * rand.Float64())},
 		"BCH":  types.Balance{Currency: "BCH", Available: fixedpoint.NewFromFloat(0.01 * rand.Float64())},
@@ -447,7 +448,7 @@ func (s *Server) listAssets(c *gin.Context) {
 		return
 	}
 
-	totalAssets := types.AssetMap{}
+	totalAssets := asset.Map{}
 	for _, session := range s.Environ.Sessions() {
 		balances := session.GetAccount().Balances()
 

pkg/service/account.go

@@ -1,10 +1,13 @@
 package service
 
 import (
-	"github.com/c9s/bbgo/pkg/types"
+	"time"
+
 	"github.com/jmoiron/sqlx"
 	"go.uber.org/multierr"
-	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/types/asset"
 )
 
 type AccountService struct {
@@ -16,7 +19,10 @@ func NewAccountService(db *sqlx.DB) *AccountService {
 }
 
 // TODO: should pass bbgo.ExchangeSession to this function, but that might cause cyclic import
-func (s *AccountService) InsertAsset(time time.Time, session string, name types.ExchangeName, account string, isMargin bool, isIsolatedMargin bool, isolatedMarginSymbol string, assets types.AssetMap) error {
+func (s *AccountService) InsertAsset(
+	time time.Time, session string, name types.ExchangeName, account string, isMargin bool, isIsolatedMargin bool,
+	isolatedMarginSymbol string, assets asset.Map,
+) error {
 	if s.DB == nil {
 		// skip db insert when no db connection setting.
 		return nil
@@ -46,8 +52,8 @@ func (s *AccountService) InsertAsset(time time.Time, session string, name types.
 			account,
 			time,
 			v.Currency,
-			v.InUSD,
-			v.InBTC,
+			v.NetAssetInUSD,
+			v.NetAssetInBTC,
 			v.Total,
 			v.Available,
 			v.Locked,