Merge pull request #2604 from c9s/dboy/xfundingv2/revise-metrics

FIX: [xfundingv2] revise round prometheus metrics

Author: dboyliao

pkg/strategy/xfundingv2/market_selector.go

@@ -7,7 +7,6 @@ import (
 	"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/prometheus/client_golang/prometheus"
 	"github.com/sirupsen/logrus"
 )
 
@@ -184,11 +183,6 @@ func (s *MarketSelector) SelectMarkets(ctx context.Context, symbols []string) ([
 		annualized := AnnualizedRate(idx.LastFundingRate, info.FundingIntervalHours)
 		numActiveRounds := fixedpoint.NewFromInt(int64(len(s.activeRounds)))
 		requiredAnnualizedRate := s.MinAnnualizedRate.Add(s.AnnualizedRateStep.Mul(numActiveRounds))
-		labels := prometheus.Labels{
-			"symbol": idx.Symbol,
-		}
-		annualizedFundingRateMetrics.With(labels).Set(annualized.Float64())
-		fundingRateMetrics.With(labels).Set(idx.LastFundingRate.Float64())
 
 		if annualized.Abs().Compare(requiredAnnualizedRate) < 0 {
 			continue

pkg/strategy/xfundingv2/metrics.go

@@ -24,26 +24,10 @@ var annualizedFundingRateMetrics = promauto.NewGaugeVec(
 	[]string{"symbol"},
 )
 
-var roundAnnualizedTriggerRateMetrics = promauto.NewGaugeVec(
+var roundTotalPnLMetrics = promauto.NewGaugeVec(
 	prometheus.GaugeOpts{
-		Name: "xfundingv2_round_annualized_trigger_rate",
-		Help: "Annualized triggering funding rate of the arbitrage round",
-	},
-	[]string{"strategy_id", "symbol"},
-)
-
-var roundHoldingIntervalMetrics = promauto.NewGaugeVec(
-	prometheus.GaugeOpts{
-		Name: "xfundingv2_round_holding_interval",
-		Help: "Holding interval of the arbitrage round in seconds",
-	},
-	[]string{"strategy_id", "symbol"},
-)
-
-var roundNetPnLMetrics = promauto.NewGaugeVec(
-	prometheus.GaugeOpts{
-		Name: "xfundingv2_round_net_pnl",
-		Help: "Net PnL of the arbitrage round",
+		Name: "xfundingv2_round_total_pnl",
+		Help: "Total PnL of the arbitrage round",
 	},
 	[]string{"strategy_id", "symbol"},
 )
@@ -59,7 +43,7 @@ var roundPositionFilledRatioMetrics = promauto.NewGaugeVec(
 var roundPositionMetrics = promauto.NewGaugeVec(
 	prometheus.GaugeOpts{
 		Name: "xfundingv2_round_position",
-		Help: "Spot position of the arbitrage round",
+		Help: "position of the arbitrage round",
 	},
 	[]string{"strategy_id", "symbol", "accountType"},
 )

pkg/strategy/xfundingv2/round.go

@@ -8,6 +8,7 @@ import (
 	"time"
 
 	"github.com/google/uuid"
+	"github.com/prometheus/client_golang/prometheus"
 	"github.com/sirupsen/logrus"
 	"github.com/slack-go/slack"
 
@@ -57,6 +58,7 @@ type ArbitrageRound struct {
 	lastRebalanceTime time.Time
 	rebalanceInterval time.Duration
 
+	lastFundingRate           fixedpoint.Value
 	lastFundingIncomeSyncTime time.Time
 
 	futuresService                                FuturesService
@@ -65,6 +67,14 @@ type ArbitrageRound struct {
 	spotSession, futuresSession *bbgo.ExchangeSession
 	retryTransferTickC          chan time.Time
 
+	// metrics
+	fundingRateMetric                               prometheus.Gauge
+	annualizedFundingRateMetric                     prometheus.Gauge
+	totalPnLMetric                                  prometheus.Gauge
+	spotPositionMetric, futuresPositionMetric       prometheus.Gauge
+	spotFilledRatioMetric, futuresFilledRatioMetric prometheus.Gauge
+	quantityDeviationMetric                         prometheus.Gauge
+
 	logger     logrus.FieldLogger
 	slackAlert slackalert.SlackAlert
 }
@@ -115,6 +125,100 @@ func NewArbitrageRound(
 	}
 }
 
+func (r *ArbitrageRound) SetupMetrics(s *Strategy) {
+	id := s.InstanceID()
+	symbol := r.SpotSymbol()
+
+	r.fundingRateMetric = fundingRateMetrics.With(
+		prometheus.Labels{
+			"symbol": symbol,
+		},
+	)
+	r.annualizedFundingRateMetric = annualizedFundingRateMetrics.With(
+		prometheus.Labels{
+			"symbol": symbol,
+		},
+	)
+
+	r.totalPnLMetric = roundTotalPnLMetrics.With(
+		prometheus.Labels{
+			"strategy_id": id,
+			"symbol":      symbol,
+		},
+	)
+
+	r.spotPositionMetric = roundPositionMetrics.With(
+		prometheus.Labels{
+			"strategy_id": id,
+			"symbol":      symbol,
+			"accountType": "spot",
+		},
+	)
+	r.futuresPositionMetric = roundPositionMetrics.With(
+		prometheus.Labels{
+			"strategy_id": id,
+			"symbol":      symbol,
+			"accountType": "futures",
+		},
+	)
+	r.spotFilledRatioMetric = roundPositionFilledRatioMetrics.With(
+		prometheus.Labels{
+			"strategy_id": id,
+			"symbol":      symbol,
+			"accountType": "spot",
+		},
+	)
+	r.futuresFilledRatioMetric = roundPositionFilledRatioMetrics.With(
+		prometheus.Labels{
+			"strategy_id": id,
+			"symbol":      symbol,
+			"accountType": "futures",
+		},
+	)
+
+	r.quantityDeviationMetric = roundQuantityDeviationMetrics.With(
+		prometheus.Labels{
+			"strategy_id": id,
+			"symbol":      symbol,
+		},
+	)
+}
+
+func (r *ArbitrageRound) RecordMetrics(posDeviation PositionDeviation, spotPrice, futuresPrice fixedpoint.Value) {
+	if r.totalPnLMetric != nil {
+		unrealizedPnL := r.UnrealizedPnL(spotPrice, futuresPrice)
+		r.totalPnLMetric.Set(unrealizedPnL.TotalPnL().Float64())
+	}
+
+	if !r.lastFundingRate.IsZero() && r.fundingRateMetric != nil && r.annualizedFundingRateMetric != nil {
+		annualizedRate := AnnualizedRate(r.lastFundingRate, r.syncState.FundingIntervalHours)
+		r.fundingRateMetric.Set(r.lastFundingRate.Float64())
+		r.annualizedFundingRateMetric.Set(annualizedRate.Float64())
+	}
+
+	if r.spotPositionMetric != nil && r.futuresPositionMetric != nil {
+		r.spotPositionMetric.Set(posDeviation.SpotFilled.Float64())
+		r.futuresPositionMetric.Set(posDeviation.FuturesFilled.Float64())
+	}
+
+	if r.spotFilledRatioMetric != nil && r.futuresFilledRatioMetric != nil {
+		spotFilledPosition := r.SpotWorker().FilledPosition()
+		spotFilledRatio := spotFilledPosition.Div(r.TriggeredTargetPosition()).Abs()
+		futuresFilledPosition := r.FuturesWorker().FilledPosition()
+		futuresFilledRatio := futuresFilledPosition.Div(r.TriggeredTargetPosition()).Abs()
+		if r.State() == RoundClosing {
+			spotFilledRatio = fixedpoint.One.Sub(spotFilledRatio)
+			futuresFilledRatio = fixedpoint.One.Sub(futuresFilledRatio)
+		}
+		r.spotFilledRatioMetric.Set(spotFilledRatio.Float64())
+		r.futuresFilledRatioMetric.Set(futuresFilledRatio.Float64())
+	}
+
+	if r.quantityDeviationMetric != nil {
+		r.quantityDeviationMetric.Set(posDeviation.DeviatedQuantity.Float64())
+	}
+}
+
 func (r *ArbitrageRound) Halt(currentTime time.Time) {
 	r.mu.Lock()
 	defer r.mu.Unlock()
@@ -192,6 +296,13 @@ func (r *ArbitrageRound) FuturesFeeAssetAmount() fixedpoint.Value {
 	return r.syncState.FuturesFeeAssetAmount
 }
 
+func (r *ArbitrageRound) SetLastFundingRate(rate fixedpoint.Value) {
+	r.mu.Lock()
+	defer r.mu.Unlock()
+
+	r.lastFundingRate = rate
+}
+
 // RequiredFeeAssetAmount returns the required fee asset amount for the round based on its current state and position.
 // The first return value is for the spot leg and the second return value is for the futures leg.
 func (r *ArbitrageRound) RequiredFeeAssetAmounts() (fixedpoint.Value, fixedpoint.Value) {

pkg/strategy/xfundingv2/round_sync.go

@@ -13,6 +13,7 @@ import (
 
 func (r *ArbitrageRound) Initialize(ctx context.Context, s *Strategy) error {
 	r.SetLogger(s.logger)
+	r.SetupMetrics(s)
 	if s.futuresSession.Exchange.Name() != r.syncState.FuturesExchangeName {
 		return fmt.Errorf("[ArbitrageRound] futures exchange name mismatch: expected %s, got %s",
 			r.syncState.FuturesExchangeName, s.futuresSession.Exchange.Name())