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