109 lines
2.3 KiB
Go
109 lines
2.3 KiB
Go
package internal
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import (
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"errors"
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"fmt"
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"io"
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"math/big"
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"time"
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)
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type RecordReader interface {
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// ReadRecord should return Records until an error is found.
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ReadRecord() (Record, error)
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}
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type ReportWriter interface {
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// ReportWriter writes report items
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Write(ReportItem) error
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}
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func BuildReport(reader RecordReader, writer ReportWriter) error {
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buys := make(map[string]*RecordQueue)
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for {
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rec, err := reader.ReadRecord()
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if err != nil {
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if errors.Is(err, io.EOF) {
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return nil
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}
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return err
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}
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buyQueue, ok := buys[rec.Symbol()]
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if !ok {
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buyQueue = new(RecordQueue)
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buys[rec.Symbol()] = buyQueue
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}
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err = processRecord(buyQueue, rec, writer)
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if err != nil {
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return fmt.Errorf("processing record: %w", err)
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}
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}
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}
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func processRecord(q *RecordQueue, rec Record, writer ReportWriter) error {
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switch rec.Side() {
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case SideBuy:
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q.Push(rec)
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case SideSell:
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unmatchedQty := new(big.Float).Copy(rec.Quantity())
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zero := new(big.Float)
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for unmatchedQty.Cmp(zero) > 0 {
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buy, ok := q.Peek()
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if !ok {
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return ErrInsufficientBoughtVolume
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}
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var matchedQty *big.Float
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if buy.Quantity().Cmp(unmatchedQty) > 0 {
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matchedQty = unmatchedQty
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buy.Quantity().Sub(buy.Quantity(), unmatchedQty)
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} else {
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matchedQty = buy.Quantity()
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q.Pop()
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}
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unmatchedQty.Sub(unmatchedQty, matchedQty)
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sellValue := new(big.Float).Mul(matchedQty, rec.Price())
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buyValue := new(big.Float).Mul(matchedQty, buy.Price())
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err := writer.Write(ReportItem{
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BuyValue: buyValue,
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BuyTimestamp: buy.Timestamp(),
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SellValue: sellValue,
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SellTimestamp: rec.Timestamp(),
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Fees: new(big.Float).Add(buy.Fees(), rec.Fees()),
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Taxes: new(big.Float).Add(buy.Taxes(), rec.Fees()),
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})
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if err != nil {
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return fmt.Errorf("write report item: %w", err)
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}
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}
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default:
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return fmt.Errorf("unknown side: %v", rec.Side())
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}
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return nil
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}
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type ReportItem struct {
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BuyValue *big.Float
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BuyTimestamp time.Time
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SellValue *big.Float
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SellTimestamp time.Time
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Fees *big.Float
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Taxes *big.Float
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}
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func (ri ReportItem) RealisedPnL() *big.Float {
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return new(big.Float).Sub(ri.SellValue, ri.BuyValue)
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}
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var ErrInsufficientBoughtVolume = fmt.Errorf("insufficient bought volume")
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