Add metrics for trade tracking.

plugins/tradeMetricsHandler.go

@@ -0,0 +1,34 @@
+package plugins
+
+import (
+	"github.com/stellar/kelp/model"
+)
+
+// TradeMetricsHandler tracks the number of trades
+type TradeMetricsHandler struct {
+	trades []model.Trade
+}
+
+// MakeTradeMetricsHandler is a factory method for the TradeMetricsHandler
+func MakeTradeMetricsHandler() *TradeMetricsHandler {
+	return &TradeMetricsHandler{
+		trades: []model.Trade{},
+	}
+}
+
+// Reset sets the handler's trades to empty.
+func (h *TradeMetricsHandler) Reset() {
+	h.trades = []model.Trade{}
+}
+
+// GetTrades returns all stored trades.
+func (h *TradeMetricsHandler) GetTrades() []model.Trade {
+	return h.trades
+}
+
+// HandleFill handles a new trade
+// Implements FillHandler interface
+func (h *TradeMetricsHandler) HandleFill(trade model.Trade) error {
+	h.trades = append(h.trades, trade)
+	return nil
+}

support/metrics/metricsTracker.go

@@ -8,6 +8,7 @@ import (
 	"runtime/debug"
 	"time"
 
+	"github.com/stellar/kelp/plugins"
 	"github.com/stellar/kelp/support/networking"
 )
 
@@ -31,6 +32,7 @@ type MetricsTracker struct {
 	botStartTime        time.Time
 	isDisabled          bool
 	updateEventSentTime *time.Time
+	handler             *plugins.TradeMetricsHandler
 }
 
 // TODO DS Investigate other fields to add to this top-level event.
@@ -205,6 +207,7 @@ func MakeMetricsTracker(
 		botStartTime:        botStartTime,
 		isDisabled:          isDisabled,
 		updateEventSentTime: nil,
+		handler:             plugins.MakeTradeMetricsHandler(),
 	}, nil
 }
 
@@ -304,3 +307,53 @@ func (mt *MetricsTracker) sendEvent(eventType string, eventProps interface{}) er
 	}
 	return nil
 }
+
+// ComputeTradeMetrics computes various trade metrics and outputs a map that can be combined with other metrics.
+func (mt *MetricsTracker) ComputeTradeMetrics() map[string]interface{} {
+	// TODO NS Ensure proper locking around trades on metrics handler
+	trades := mt.handler.GetTrades()
+	mt.handler.Reset()
+
+	totalBaseVolume := 0.0
+	totalQuoteVolume := 0.0
+	totalPrice := 0.0
+	netBaseVolume := 0.0
+	netQuoteVolume := 0.0
+
+	numTrades := float64(len(trades))
+	for _, t := range trades {
+		base := t.Volume.AsFloat()
+		price := t.Price.AsFloat()
+		quote := base * price
+
+		totalBaseVolume += base
+		totalPrice += price
+		totalQuoteVolume += quote
+
+		if t.OrderAction.IsBuy() {
+			netBaseVolume += base
+			netQuoteVolume -= quote
+		} else {
+			netBaseVolume -= base
+			netQuoteVolume -= quote
+		}
+	}
+
+	avgTradeSizeBase := totalBaseVolume / numTrades
+	avgTradeSizeQuote := totalQuoteVolume / numTrades
+	avgTradePrice := totalPrice / numTrades
+
+	tradeMetrics := map[string]interface{}{
+		"total_base_volume":    totalBaseVolume,
+		"total_quote_volume":   totalQuoteVolume,
+		"net_base_volume":      netBaseVolume,
+		"net_quote_volume":     netQuoteVolume,
+		"num_trades":           numTrades,
+		"avg_trade_size_base":  avgTradeSizeBase,
+		"avg_trade_size_quote": avgTradeSizeQuote,
+		"avg_trade_price":      avgTradePrice,
+		"vwap":                 totalQuoteVolume / totalBaseVolume,
+	}
+
+	return tradeMetrics
+}