Add metrics for trade tracking.

cmd/server_amd64.go

@@ -300,6 +300,7 @@ func init() {
 			}
 
 			httpClient := &http.Client{}
+			metricsHandler := plugins.MakeTradeMetricsHandler()
 			metricsTracker, e = plugins.MakeMetricsTrackerGui(
 				deviceID,
 				deviceID,
@@ -315,7 +316,7 @@ func init() {
 				runtime.Version(),
 				guiVersion,
 				*options.noHeaders, // disable metrics if the CLI specified no headers
-
+				metricsHandler,
 			)
 			if e != nil {
 				panic(e)

cmd/trade.go

@@ -566,6 +566,7 @@ func runTradeCmd(options inputs) {
 
 	isTestnet := strings.Contains(botConfig.HorizonURL, "test") && botConfig.IsTradingSdex()
 
+	metricsHandler := plugins.MakeTradeMetricsHandler()
 	metricsTracker, e := plugins.MakeMetricsTrackerCli(
 		userID,
 		deviceID,
@@ -603,6 +604,7 @@ func runTradeCmd(options inputs) {
 		*options.operationalBufferNonNativePct,
 		*options.simMode,
 		*options.fixedIterations,
+		metricsHandler,
 	)
 	if e != nil {
 		logger.Fatal(l, fmt.Errorf("could not generate metrics tracker: %s", e))
@@ -921,6 +923,10 @@ func makeFillTracker(
 		}
 	}
 
+	metricsHandler := metricsTracker.GetHandler()
+	if metricsHandler != nil {
+		fillTracker.RegisterHandler(metricsHander)
+	}
 	return fillTracker
 }
 

plugins/metricsTracker.go

@@ -8,6 +8,7 @@ import (
 	"runtime/debug"
 	"time"
 
+	"github.com/stellar/kelp/plugins"
 	"github.com/stellar/kelp/support/networking"
 	"github.com/stellar/kelp/support/utils"
 )
@@ -34,6 +35,8 @@ type MetricsTracker struct {
 	isDisabled          bool
 	updateEventSentTime *time.Time
 	cliVersion          string
+
+	handler *plugins.TradeMetricsHandler
 }
 
 // TODO DS Investigate other fields to add to this top-level event.
@@ -163,6 +166,7 @@ func MakeMetricsTrackerCli(
 	operationalBufferNonNativePct float64,
 	simMode bool,
 	fixedIterations uint64,
+	handler *plugins.TradeMetricsHandler,
 ) (*MetricsTracker, error) {
 	props := commonProps{
 		CliVersion:                       version,
@@ -212,6 +216,7 @@ func MakeMetricsTrackerCli(
 		botStartTime:        botStartTime,
 		isDisabled:          isDisabled,
 		updateEventSentTime: nil,
+		handler:             handler,
 		cliVersion:          version,
 	}, nil
 }
@@ -232,6 +237,7 @@ func MakeMetricsTrackerGui(
 	goVersion string,
 	guiVersion string,
 	isDisabled bool,
+	handler *plugins.TradeMetricsHandler,
 ) (*MetricsTracker, error) {
 	props := commonProps{
 		CliVersion: version,
@@ -258,6 +264,7 @@ func MakeMetricsTrackerGui(
 		botStartTime:        botStartTime,
 		isDisabled:          isDisabled,
 		updateEventSentTime: nil,
+		handler:             handler,
 		cliVersion:          version,
 	}, nil
 }
@@ -367,3 +374,8 @@ func (mt *MetricsTracker) SendEvent(eventType string, eventPropsInterface interf
 	}
 	return nil
 }
+
+// GetHandler returns the TradeMetricsHandler
+func (mt *MetricsTracker) GetHandler() *plugins.TradeMetricsHandler {
+	return mt.handler
+}

plugins/tradeMetricsHandler.go

@@ -0,0 +1,100 @@
+package plugins
+
+import (
+	"github.com/stellar/kelp/model"
+)
+
+// TradeMetricsHandler tracks the number of trades
+type TradeMetricsHandler struct {
+	trades []model.Trade
+}
+
+// TradeMetrics stores the computed trade-related metrics.
+// TODO DS Pre-pend interval__ to all JSON fields.
+type TradeMetrics struct {
+	totalBaseVolume   float64 `json:"total_base_volume"`
+	totalQuoteVolume  float64 `json:"total_quote_volume"`
+	netBaseVolume     float64 `json:"net_base_volume"`
+	netQuoteVolume    float64 `json:"net_quote_volume"`
+	numTrades         float64 `json:"num_trades"`
+	avgTradeSizeBase  float64 `json:"avg_trade_size_base"`
+	avgTradeSizeQuote float64 `json:"avg_trade_size_quote"`
+	avgTradePrice     float64 `json:"avg_trade_price"`
+	vwap              float64 `json:"vwap"`
+}
+
+// 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
+}
+
+// ComputeTradeMetrics computes trade-related metrics.
+func (h *TradeMetricsHandler) ComputeTradeMetrics(secondsSinceLastUpdate float64) TradeMetrics {
+	trades := h.GetTrades()
+	h.Reset()
+
+	// Note that we don't consider fees right now, as we don't have the infrastructure to understand fee units when tracking trades.
+	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
+	avgTradeThroughputBase := totalBaseVolume / secondsSinceLastUpdate
+	avgTradeThroughputQuote := totalQuoteVolume / secondsSinceLastUpdate
+
+	tradeMetrics := TradeMetrics{
+		totalBaseVolume:   totalBaseVolume,
+		totalQuoteVolume:  totalQuoteVolume,
+		netBaseVolume:     netBaseVolume,
+		netQuoteVolume:    netQuoteVolume,
+		numTrades:         numTrades,
+		avgTradeSizeBase:  avgTradeSizeBase,
+		avgTradeSizeQuote: avgTradeSizeQuote,
+		avgTradePrice:     avgTradePrice,
+		vwap:              totalQuoteVolume / totalBaseVolume,
+	}
+
+	return tradeMetrics
+}