wip csv source stream mock fees

Author: go-dockly

pkg/datasource/csvsource/csv_tick_decoder.go

@@ -52,9 +52,12 @@ func BinanceCSVTickDecoder(row []string, _ int) (*CsvTick, error) {
 		Side:            side,
 		Size:            qty,
 		Price:           price,
+		IsBuyerMaker:    isBuyerMaker,
 		HomeNotional:    price.Mul(qty),
 		ForeignNotional: price.Mul(baseQty),
 		Timestamp:       types.MustParseMillisecondTimestamp(row[5]),
+		// Symbol: must be overwritten - info not in csv,
+		// TickDirection: would need to keep last tick in memory to compare tick direction,
 	}, nil
 }
 

pkg/datasource/csvsource/stream.go

@@ -15,26 +15,30 @@ import (
 type Stream struct {
 	types.StandardStream
 	config                    *CsvStreamConfig
+	converter                 ICSVTickConverter
 	marketTradeEventCallbacks []func(e []CsvTick)
 	kLineEventCallbacks       []func(e []types.KLine)
 	orderEventCallbacks       []func(e []types.Order)
 	tradeEventCallbacks       []func(e []types.Trade)
 }
 
 type CsvStreamConfig struct {
-	Interval     types.Interval
-	RateLimit    time.Duration    `json:"csvPath"`
-	CsvPath      string           `json:"csvPath"`
-	Symbol       string           `json:"symbol"`
-	BaseCoin     string           `json:"baseCoin"`
-	QuoteCoin    string           `json:"quoteCoin"`
-	TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`
-	MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
+	Interval     types.Interval     `json:"interval"`
+	RateLimit    time.Duration      `json:"rateLimit"`
+	StrategyID   string             `json:"strategyID"`
+	CsvPath      string             `json:"csvPath"`
+	Exchange     types.ExchangeName `json:"exchange"`
+	Symbol       string             `json:"symbol"`
+	BaseCoin     string             `json:"baseCoin"`
+	QuoteCoin    string             `json:"quoteCoin"`
+	TakerFeeRate fixedpoint.Value   `json:"takerFeeRate"`
+	MakerFeeRate fixedpoint.Value   `json:"makerFeeRate"`
 }
 
 func NewStream(cfg *CsvStreamConfig) *Stream {
 	stream := &Stream{
 		StandardStream: types.NewStandardStream(),
+		converter:      NewCSVTickConverter(),
 		config:         cfg,
 	}
 
@@ -49,8 +53,6 @@ func NewStream(cfg *CsvStreamConfig) *Stream {
 
 func (s *Stream) Simulate() error {
 	var i int
-	converter := NewCSVTickConverter()
-
 	// iterate equity series at csv path and stream
 	err := filepath.WalkDir(s.config.CsvPath, func(path string, d fs.DirEntry, err error) error {
 		if err != nil {
@@ -74,23 +76,31 @@ func (s *Stream) Simulate() error {
 			return err
 		}
 		tick.Symbol = s.config.Symbol // not every csv provides symbol information
+
 		trade, err := tick.toGlobalTrade()
 		if err != nil {
 			return err
 		}
+		trade.Fee = s.config.TakerFeeRate
+		trade.FeeCurrency = s.config.QuoteCoin
+		if tick.IsBuyerMaker { // if supported by exchange csv format
+			trade.Fee = s.config.MakerFeeRate
+		}
 		s.StandardStream.EmitMarketTrade(*trade)
 
-		kline := converter.LatestKLine()
-		closesKline := converter.CsvTickToKLine(tick, s.config.Interval)
+		kline := s.converter.LatestKLine()
+		closesKline := s.converter.CsvTickToKLine(tick, s.config.Interval)
 		if closesKline {
 			s.StandardStream.EmitKLineClosed(*kline)
 		} else {
-			kline = converter.LatestKLine()
+			kline = s.converter.LatestKLine() // overwrite with newer KLine
 			s.StandardStream.EmitKLine(*kline)
 		}
+
 		// allow for execution time of indicators and strategy
-		time.Sleep(s.config.RateLimit) // Max execution time for tradingview strategy
+		time.Sleep(s.config.RateLimit) // Max execution time for tradingview strategy is 250ms
 		// to optimize exec time consider callback channel once a strategy has finished running another tick is emitted
+
 		return nil
 	})
 	if err != nil {

pkg/datasource/csvsource/stream_test.go

@@ -0,0 +1,30 @@
+package csvsource
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func getMockCsvSourceConfig(equityType EquityType) CsvStreamConfig {
+	cfg := CsvStreamConfig{
+		Exchange:   types.ExchangeBybit,
+		Interval:   types.Interval30m,
+		RateLimit:  time.Millisecond * 100,
+		CsvPath:    "./testdata",
+		Symbol:     "FXSUSDT",
+		BaseCoin:   "FXS",
+		QuoteCoin:  "USDT",
+		StrategyID: "BOLLMaker",
+	}
+	switch equityType {
+	case Derivatives:
+		cfg.TakerFeeRate = fixedpoint.NewFromFloat(0.055)
+		cfg.MakerFeeRate = fixedpoint.NewFromFloat(0.02)
+		return cfg
+	}
+	cfg.TakerFeeRate = fixedpoint.NewFromFloat(0.1)
+	cfg.MakerFeeRate = fixedpoint.NewFromFloat(0.1)
+	return cfg
+}

pkg/datasource/csvsource/types.go

@@ -5,20 +5,27 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+type EquityType int
+
+const (
+	Spot        EquityType = 0
+	Derivatives EquityType = 1
+)
+
 type CsvTick struct {
-	Exchange        types.ExchangeName         `json:"exchange"`
-	TradeID         uint64                     `json:"tradeID"`
-	Symbol          string                     `json:"symbol"`
-	TickDirection   string                     `json:"tickDirection"`
-	Side            types.SideType             `json:"side"`
+	Exchange        types.ExchangeName `json:"exchange"`
+	TradeID         uint64             `json:"tradeID"`
+	Symbol          string             `json:"symbol"`
+	TickDirection   string             `json:"tickDirection"`
+	Side            types.SideType     `json:"side"`
+	IsBuyerMaker    bool
 	Size            fixedpoint.Value           `json:"size"`
 	Price           fixedpoint.Value           `json:"price"`
 	HomeNotional    fixedpoint.Value           `json:"homeNotional"`
 	ForeignNotional fixedpoint.Value           `json:"foreignNotional"`
 	Timestamp       types.MillisecondTimestamp `json:"timestamp"`
 }
 
-// todo
 func (c *CsvTick) toGlobalTrade() (*types.Trade, error) {
 	return &types.Trade{
 		ID: c.TradeID,
@@ -30,12 +37,12 @@ func (c *CsvTick) toGlobalTrade() (*types.Trade, error) {
 		Symbol:        c.Symbol,
 		Side:          c.Side,
 		IsBuyer:       c.Side == types.SideTypeBuy,
-		// IsMaker:       isMaker, // todo property isBuyer and isMaker seem to get confused and duplicated
-		Time: types.Time(c.Timestamp),
-		// Fee:           trade.ExecFee, // todo how to get this info?
+		IsMaker:       c.IsBuyerMaker,
+		Time:          types.Time(c.Timestamp),
+		// Fee:           trade.ExecFee, // info is overwritten by stream?
 		// FeeCurrency:   trade.FeeTokenId,
 		IsMargin:   false,
-		IsFutures:  false, // todo make future dataset source type as config
+		IsFutures:  false, // todo make equity type configurable
 		IsIsolated: false,
 	}, nil
 }