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IMPROVE: improve balance related metrics #1702

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merged 4 commits into from
Aug 22, 2024
Merged

IMPROVE: improve balance related metrics #1702

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40d3a40
types: add marginType
c9s Aug 21, 2024
fead99a
add more balance metrics
c9s Aug 21, 2024
80fc10a
bbgo: add session name to the metrics
c9s Aug 21, 2024
c063df6
document privateChannels and privateChannelSymbols
c9s Aug 21, 2024
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137 changes: 102 additions & 35 deletions pkg/bbgo/metrics.go
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Original file line number Diff line number Diff line change
Expand Up @@ -9,35 +9,94 @@ var (
Help: "bbgo exchange session connection status",
},
[]string{
"exchange", // exchange name
"channel", // channel: user or market
"margin", // margin type: none, margin or isolated
"symbol", // margin symbol of the connection.
"session",
"exchange", // exchange name
"channel", // channel: user or market
"margin_type", // margin type: none, margin or isolated
"symbol", // margin symbol of the connection.
},
)

metricsLockedBalances = prometheus.NewGaugeVec(
metricsBalanceLockedMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_balances_locked",
Help: "bbgo exchange locked balances",
},
[]string{
"exchange", // exchange name
"margin", // margin of connection. 1 or 0
"symbol", // margin symbol of the connection.
"session",
"exchange", // exchange name
"margin_type", // margin of connection. 1 or 0
"symbol", // margin symbol of the connection.
"currency",
},
)

metricsAvailableBalances = prometheus.NewGaugeVec(
metricsBalanceAvailableMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_balances_available",
Help: "bbgo exchange available balances",
},
[]string{
"exchange", // exchange name
"margin", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"currency",
},
)

metricsBalanceDebtMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_balances_debt",
Help: "bbgo exchange balance debt",
},
[]string{
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"currency",
},
)

metricsBalanceBorrowedMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_balances_borrowed",
Help: "bbgo exchange balance borrowed",
},
[]string{
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"currency",
},
)

metricsBalanceInterestMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_balances_interest",
Help: "bbgo exchange balance interest",
},
[]string{
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"currency",
},
)

metricsBalanceNetMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_balances_net",
Help: "bbgo exchange session total net balances",
},
[]string{
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"currency",
},
)
Expand All @@ -48,9 +107,10 @@ var (
Help: "bbgo exchange session total balances",
},
[]string{
"exchange", // exchange name
"margin", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"currency",
},
)
Expand All @@ -61,11 +121,12 @@ var (
Help: "bbgo exchange session trades",
},
[]string{
"exchange", // exchange name
"margin", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"side", // side: buy or sell
"liquidity", // maker or taker
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"side", // side: buy or sell
"liquidity", // maker or taker
},
)

Expand All @@ -75,26 +136,28 @@ var (
Help: "bbgo trading volume",
},
[]string{
"exchange", // exchange name
"margin", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"side", // side: buy or sell
"liquidity", // maker or taker
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"symbol", // margin symbol of the connection.
"side", // side: buy or sell
"liquidity", // maker or taker
},
)

metricsLastUpdateTimeBalance = prometheus.NewGaugeVec(
metricsLastUpdateTimeMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_last_update_time",
Help: "bbgo last update time of different channel",
},
[]string{
"exchange", // exchange name
"margin", // margin of connection. none, margin or isolated
"channel", // channel: user, market
"data_type", // type: balance, ticker, kline, orderbook, trade, order
"symbol", // for market data, trade and order
"currency", // for balance
"session",
"exchange", // exchange name
"margin_type", // margin of connection. none, margin or isolated
"channel", // channel: user, market
"data_type", // type: balance, ticker, kline, orderbook, trade, order
"symbol", // for market data, trade and order
"currency", // for balance
},
)
)
Expand All @@ -103,10 +166,14 @@ func init() {
prometheus.MustRegister(
metricsConnectionStatus,
metricsTotalBalances,
metricsLockedBalances,
metricsAvailableBalances,
metricsBalanceNetMetrics,
metricsBalanceLockedMetrics,
metricsBalanceAvailableMetrics,
metricsBalanceDebtMetrics,
metricsBalanceBorrowedMetrics,
metricsBalanceInterestMetrics,
metricsTradesTotal,
metricsTradingVolume,
metricsLastUpdateTimeBalance,
metricsLastUpdateTimeMetrics,
)
}
139 changes: 78 additions & 61 deletions pkg/bbgo/session.go
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -54,11 +54,11 @@ type ExchangeSession struct {
PublicOnly bool `json:"publicOnly,omitempty" yaml:"publicOnly"`

// PrivateChannels is used for filtering the private user data channel, .e.g, orders, trades, balances.. etc
// This option is exchange specific
// This option is exchange-specific, currently only MAX exchange reads this option
PrivateChannels []string `json:"privateChannels,omitempty" yaml:"privateChannels,omitempty"`

// PrivateChannelSymbols is used for filtering the private user data channel, .e.g, order symbol subscription.
// This option is exchange specific
// This option is exchange-specific, currently only Bitget exchange reads this option
PrivateChannelSymbols []string `json:"privateChannelSymbols,omitempty" yaml:"privateChannelSymbols,omitempty"`

Margin bool `json:"margin,omitempty" yaml:"margin"`
Expand Down Expand Up @@ -886,91 +886,106 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
return nil
}

func (session *ExchangeSession) MarginType() string {
margin := "none"
func (session *ExchangeSession) MarginType() types.MarginType {
if session.Margin {
margin = "margin"
if session.IsolatedMargin {
margin = "isolated"
return types.MarginTypeIsolatedMargin
} else {
return types.MarginTypeCrossMargin
}
}
return margin

return types.MarginTypeSpot
}

func (session *ExchangeSession) metricsBalancesUpdater(balances types.BalanceMap) {
for currency, balance := range balances {
labels := prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"symbol": session.IsolatedMarginSymbol,
"currency": currency,
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"symbol": session.IsolatedMarginSymbol,
"currency": currency,
}

metricsTotalBalances.With(labels).Set(balance.Total().Float64())
metricsLockedBalances.With(labels).Set(balance.Locked.Float64())
metricsAvailableBalances.With(labels).Set(balance.Available.Float64())
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "user",
"data_type": "balance",
"symbol": "",
"currency": currency,
metricsBalanceNetMetrics.With(labels).Set(balance.Net().Float64())
metricsBalanceAvailableMetrics.With(labels).Set(balance.Available.Float64())
metricsBalanceLockedMetrics.With(labels).Set(balance.Locked.Float64())

// margin metrics
metricsBalanceDebtMetrics.With(labels).Set(balance.Debt().Float64())
metricsBalanceBorrowedMetrics.With(labels).Set(balance.Borrowed.Float64())
metricsBalanceInterestMetrics.With(labels).Set(balance.Interest.Float64())

metricsLastUpdateTimeMetrics.With(prometheus.Labels{
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"channel": "user",
"data_type": "balance",
"symbol": "",
"currency": currency,
}).SetToCurrentTime()
}

}

func (session *ExchangeSession) metricsOrderUpdater(order types.Order) {
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "user",
"data_type": "order",
"symbol": order.Symbol,
"currency": "",
metricsLastUpdateTimeMetrics.With(prometheus.Labels{
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"channel": "user",
"data_type": "order",
"symbol": order.Symbol,
"currency": "",
}).SetToCurrentTime()
}

func (session *ExchangeSession) metricsTradeUpdater(trade types.Trade) {
labels := prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"side": trade.Side.String(),
"symbol": trade.Symbol,
"liquidity": trade.Liquidity(),
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"side": trade.Side.String(),
"symbol": trade.Symbol,
"liquidity": trade.Liquidity(),
}
metricsTradingVolume.With(labels).Add(trade.Quantity.Mul(trade.Price).Float64())
metricsTradesTotal.With(labels).Inc()
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "user",
"data_type": "trade",
"symbol": trade.Symbol,
"currency": "",
metricsLastUpdateTimeMetrics.With(prometheus.Labels{
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"channel": "user",
"data_type": "trade",
"symbol": trade.Symbol,
"currency": "",
}).SetToCurrentTime()
}

func (session *ExchangeSession) bindMarketDataStreamMetrics(stream types.Stream) {
stream.OnBookUpdate(func(book types.SliceOrderBook) {
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "market",
"data_type": "book",
"symbol": book.Symbol,
"currency": "",
metricsLastUpdateTimeMetrics.With(prometheus.Labels{
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"channel": "market",
"data_type": "book",
"symbol": book.Symbol,
"currency": "",
}).SetToCurrentTime()
})
stream.OnKLineClosed(func(kline types.KLine) {
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "market",
"data_type": "kline",
"symbol": kline.Symbol,
"currency": "",
metricsLastUpdateTimeMetrics.With(prometheus.Labels{
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"channel": "market",
"data_type": "kline",
"symbol": kline.Symbol,
"currency": "",
}).SetToCurrentTime()
})
}
Expand All @@ -982,18 +997,20 @@ func (session *ExchangeSession) bindUserDataStreamMetrics(stream types.Stream) {
stream.OnOrderUpdate(session.metricsOrderUpdater)
stream.OnDisconnect(func() {
metricsConnectionStatus.With(prometheus.Labels{
"channel": "user",
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"symbol": session.IsolatedMarginSymbol,
"channel": "user",
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"symbol": session.IsolatedMarginSymbol,
}).Set(0.0)
})
stream.OnConnect(func() {
metricsConnectionStatus.With(prometheus.Labels{
"channel": "user",
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"symbol": session.IsolatedMarginSymbol,
"channel": "user",
"session": session.Name,
"exchange": session.ExchangeName.String(),
"margin_type": string(session.MarginType()),
"symbol": session.IsolatedMarginSymbol,
}).Set(1.0)
})
}
Expand Down
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