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IMPROVE: [metrics] make the metrics name consistent and update best ask/bid prices #1825

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Nov 15, 2024
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IMPROVE: [metrics] make the metrics name consistent and update best ask/bid prices #1825

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51 changes: 34 additions & 17 deletions pkg/metrics/maker.go
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Original file line number Diff line number Diff line change
Expand Up @@ -7,59 +7,74 @@ import (
"github.com/c9s/bbgo/pkg/types"
)

var OpenOrderBidExposureInUsdMetrics = prometheus.NewGaugeVec(
var makerOpenOrderBidExposureInUsdMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_maker_open_order_bid_exposure_in_usd",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var OpenOrderAskExposureInUsdMetrics = prometheus.NewGaugeVec(
var makerOpenOrderAskExposureInUsdMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_maker_open_order_ask_exposure_in_usd",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var OpenOrderBidOrderCountMetrics = prometheus.NewGaugeVec(
var makerOpenOrderBidOrderCountMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_maker_open_order_bid_count",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var OpenOrderAskOrderCountMetrics = prometheus.NewGaugeVec(
var makerOpenOrderAskOrderCountMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_maker_open_order_ask_count",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var MakerBestBidPriceMetrics = prometheus.NewGaugeVec(
var makerBestBidPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_maker_best_bid_price",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var MakerBestAskPriceMetrics = prometheus.NewGaugeVec(
var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_maker_best_ask_price",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

func UpdateOpenOrderMetrics(strategyType, strategyId, exchangeName, symbol string, submitOrders []types.SubmitOrder) {
func UpdateMakerOpenOrderMetrics(strategyType, strategyId, exchangeName, symbol string, submitOrders []types.SubmitOrder) {
bidOrderCount := 0
askOrderCount := 0
bidExposureQuoteAmount := fixedpoint.Zero
askExposureQuoteAmount := fixedpoint.Zero

bestAskPrice := fixedpoint.Zero
bestBidPrice := fixedpoint.Zero

for _, submitOrder := range submitOrders {
quoteAmount := submitOrder.Quantity.Mul(submitOrder.Price)

switch submitOrder.Side {
case types.SideTypeSell:
askExposureQuoteAmount = askExposureQuoteAmount.Add(quoteAmount)
askOrderCount++
if bestAskPrice.IsZero() {
bestAskPrice = submitOrder.Price
} else {
bestAskPrice = fixedpoint.Min(bestAskPrice, submitOrder.Price)
}

case types.SideTypeBuy:
bidExposureQuoteAmount = bidExposureQuoteAmount.Add(quoteAmount)
bidOrderCount++

if bestBidPrice.IsZero() {
bestBidPrice = submitOrder.Price
} else {
bestBidPrice = fixedpoint.Max(bestBidPrice, submitOrder.Price)
}

}
}

Expand All @@ -70,19 +85,21 @@ func UpdateOpenOrderMetrics(strategyType, strategyId, exchangeName, symbol strin
"symbol": symbol,
}

OpenOrderBidExposureInUsdMetrics.With(labels).Set(bidExposureQuoteAmount.Float64())
OpenOrderAskExposureInUsdMetrics.With(labels).Set(askExposureQuoteAmount.Float64())
OpenOrderBidOrderCountMetrics.With(labels).Set(float64(bidOrderCount))
OpenOrderAskOrderCountMetrics.With(labels).Set(float64(askOrderCount))
makerOpenOrderBidExposureInUsdMetrics.With(labels).Set(bidExposureQuoteAmount.Float64())
makerOpenOrderAskExposureInUsdMetrics.With(labels).Set(askExposureQuoteAmount.Float64())
makerOpenOrderBidOrderCountMetrics.With(labels).Set(float64(bidOrderCount))
makerOpenOrderAskOrderCountMetrics.With(labels).Set(float64(askOrderCount))
makerBestBidPriceMetrics.With(labels).Set(bestBidPrice.Float64())
makerBestAskPriceMetrics.With(labels).Set(bestAskPrice.Float64())
}

func init() {
prometheus.MustRegister(
OpenOrderAskExposureInUsdMetrics,
OpenOrderBidExposureInUsdMetrics,
MakerBestAskPriceMetrics,
MakerBestBidPriceMetrics,
OpenOrderAskOrderCountMetrics,
OpenOrderBidOrderCountMetrics,
makerOpenOrderAskExposureInUsdMetrics,
makerOpenOrderBidExposureInUsdMetrics,
makerBestAskPriceMetrics,
makerBestBidPriceMetrics,
makerOpenOrderAskOrderCountMetrics,
makerOpenOrderBidOrderCountMetrics,
)
}
2 changes: 1 addition & 1 deletion pkg/strategy/xdepthmaker/strategy.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1194,7 +1194,7 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {

s.logger.Infof("%d orders are generated, placing...", len(submitOrders))

metrics.UpdateOpenOrderMetrics(ID, s.InstanceID(), s.MakerExchange, s.Symbol, submitOrders)
metrics.UpdateMakerOpenOrderMetrics(ID, s.InstanceID(), s.MakerExchange, s.Symbol, submitOrders)

_, err = s.MakerOrderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
Expand Down
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