131 lines
2.6 KiB
Go
131 lines
2.6 KiB
Go
package internal
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import (
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"context"
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"errors"
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"fmt"
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"io"
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"time"
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"github.com/shopspring/decimal"
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)
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type Record interface {
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Symbol() string
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BrokerCountry() int64
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AssetCountry() int64
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Side() Side
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Price() decimal.Decimal
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Quantity() decimal.Decimal
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Timestamp() time.Time
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Fees() decimal.Decimal
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Taxes() decimal.Decimal
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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(context.Context) (Record, error)
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}
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type ReportItem struct {
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Symbol string
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BrokerCountry int64
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AssetCountry int64
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BuyValue decimal.Decimal
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BuyTimestamp time.Time
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SellValue decimal.Decimal
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SellTimestamp time.Time
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Fees decimal.Decimal
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Taxes decimal.Decimal
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}
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func (ri ReportItem) RealisedPnL() decimal.Decimal {
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return ri.SellValue.Sub(ri.BuyValue)
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}
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type ReportWriter interface {
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// ReportWriter writes report items
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Write(context.Context, ReportItem) error
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}
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func BuildReport(ctx context.Context, reader RecordReader, writer ReportWriter) error {
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buys := make(map[string]*FillerQueue)
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for {
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select {
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case <-ctx.Done():
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return ctx.Err()
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default:
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rec, err := reader.ReadRecord(ctx)
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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(FillerQueue)
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buys[rec.Symbol()] = buyQueue
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}
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err = processRecord(ctx, 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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}
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func processRecord(ctx context.Context, q *FillerQueue, rec Record, writer ReportWriter) error {
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switch rec.Side() {
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case SideBuy:
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q.Push(NewFiller(rec))
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case SideSell:
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unmatchedQty := rec.Quantity()
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for unmatchedQty.IsPositive() {
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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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matchedQty, filled := buy.Fill(unmatchedQty)
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if filled {
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_, ok := q.Pop()
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if !ok {
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return fmt.Errorf("pop empty filler queue")
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}
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}
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unmatchedQty = unmatchedQty.Sub(matchedQty)
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buyValue := matchedQty.Mul(buy.Price())
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sellValue := matchedQty.Mul(rec.Price())
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err := writer.Write(ctx, ReportItem{
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Symbol: rec.Symbol(),
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BrokerCountry: rec.BrokerCountry(),
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AssetCountry: rec.AssetCountry(),
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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: buy.Fees().Add(rec.Fees()),
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Taxes: buy.Taxes().Add(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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