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Backtester: Live trading upgrades (#1023)

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* Modifications for a smoother live run

* Fixes data appending

* Successfully allows multi-currency live trading. Adds multiple currencies to live DCA strategy

* Attempting to get cash and carry working

* Poor attempts at sorting out data and appending it properly with USD in mind

* =designs new live data handler

* Updates cash and carry strat to work

* adds test coverage. begins closeallpositions function

* Updates cash and carry to work live

* New kline.Event type. Cancels orders on close. Rn types

* =Fixes USD funding issue

* =fixes tests

* fixes tests AGAIN

* adds coverage to close all orders

* crummy tests, should override

* more tests

* more tests

* more coverage

* removes scourge of currency.Pair maps. More tests

* missed currency stuff

* Fixes USD data issue & collateral issue. Needs to close ALL orders

* Now triggers updates on the very first data entry

* All my problems are solved now????

* fixes tests, extends coverage

* there is some really funky candle stuff going on

* my brain is melting

* better shutdown management, fixes freezing bug

* fixes data duplication issues, adds retries to requests

* reduces logging, adds verbose options

* expands coverage over all new functionality

* fixes fun bug from curr == curr to curr.Equal(curr)

* fixes setup issues and tests

* starts adding external wallet amounts for funding

* more setup for assets

* setup live fund calcs and placing orders

* successfully performs automated cash and carry

* merge fixes

* funding properly set at all times

* fixes some bugs, need to address currencystatistics still

* adds 'appeneded' trait, attempts to fix some stats

* fixes stat bugs, adds cool new fetchfees feature

* fixes terrible processing bugs

* tightens realorder stats, sadly loses some live stats

* this actually sets everything correctly for bothcd ..cd ..cd ..cd ..cd ..!

* fix tests

* coverage

* beautiful new test coverage

* docs

* adds new fee getter delayer

* commits from the correct directory

* Lint

* adds verbose to fund manager

* Fix bug in t2b2 strat. Update dca live config. Docs

* go mod tidy

* update buf

* buf + test improvement

* Post merge fixes

* fixes surprise offset bug

* fix sizing restrictions for cash and carry

* fix server lints

* merge fixes

* test fixesss

* lintle fixles

* slowloris

* rn run to task, bug fixes, close all on close

* rpc lint and fixes

* bugfix: order manager not processing orders properly

* somewhat addresses nits

* absolutely broken end of day commit

* absolutely massive knockon effects from nits

* massive knockon effects continue

* fixes things

* address remaining nits

* jk now fixes things

* addresses the easier nits

* more nit fixers

* more niterinos addressederinos

* refactors holdings and does some nits

* so buf

* addresses some nits, fixes holdings bugs

* cleanup

* attempts to fix alert chans to prevent many chans waiting?

* terrible code, will revert

* to be reviewed in detail tomorrow

* Fixes up channel system

* smashes those nits

* fixes extra candles, fixes collateral bug, tests

* fixes data races, introduces reflection

* more checks n tests

* Fixes cash and carry issues. Fixes more cool bugs

* fixes ~typer~ typo

* replace spot strats from ftx to binance

* fixes all the tests I just destroyed

* removes example path, rm verbose

* 1) what 2) removes FTX references from the Backtester

* renamed, non-working strategies

* Removes FTX references almost as fast as sbf removes funds

* regen docs, add contrib names,sort contrib names

* fixes merge renamings

* Addresses nits. Fixes setting API credentials. Fixes Binance limit retrieval

* Fixes live order bugs with real orders and without

* Apply suggestions from code review

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* Update backtester/engine/live.go

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* Update backtester/engine/live.go

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* Update backtester/config/strategyconfigbuilder/main.go

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* updates docs

* even better docs

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
This commit is contained in:
Scott
2023-01-05 13:03:17 +11:00
committed by GitHub
parent d92ffe6e9e
commit 017cdf1384
195 changed files with 13783 additions and 8048 deletions
Download Patch File Download Diff File Expand all files Collapse all files

23
engine/rpcserver.go
View File

@@ -192,9 +192,14 @@ func (s *RPCServer) StartRPCRESTProxy() {
}
go func() {
if err := http.ListenAndServe(s.Config.RemoteControl.GRPC.GRPCProxyListenAddress, mux); err != nil {
log.Errorf(log.GRPCSys, "gRPC proxy failed to server: %s\n", err)
return
server := &http.Server{
Addr: s.Config.RemoteControl.GRPC.GRPCProxyListenAddress,
ReadHeaderTimeout: time.Minute,
ReadTimeout: time.Minute,
}
if err = server.ListenAndServe(); err != nil {
log.Errorf(log.GRPCSys, "GRPC proxy failed to server: %s\n", err)
}
}()
@@ -636,7 +641,7 @@ func createAccountInfoRequest(h account.Holdings) (*gctrpc.GetAccountInfoRespons
continue
}
a.Currencies = append(a.Currencies, &gctrpc.AccountCurrencyInfo{
Currency: y.CurrencyName.String(),
Currency: y.Currency.String(),
TotalValue: y.Total,
Hold: y.Hold,
Free: y.Free,
@@ -677,7 +682,7 @@ func (s *RPCServer) GetAccountInfoStream(r *gctrpc.GetAccountInfoRequest, stream
subAccounts := make([]*gctrpc.AccountCurrencyInfo, len(initAcc.Accounts[x].Currencies))
for y := range initAcc.Accounts[x].Currencies {
subAccounts[y] = &gctrpc.AccountCurrencyInfo{
Currency: initAcc.Accounts[x].Currencies[y].CurrencyName.String(),
Currency: initAcc.Accounts[x].Currencies[y].Currency.String(),
TotalValue: initAcc.Accounts[x].Currencies[y].Total,
Hold: initAcc.Accounts[x].Currencies[y].Hold,
}
@@ -724,7 +729,7 @@ func (s *RPCServer) GetAccountInfoStream(r *gctrpc.GetAccountInfoRequest, stream
subAccounts := make([]*gctrpc.AccountCurrencyInfo, len(holdings.Accounts[x].Currencies))
for y := range holdings.Accounts[x].Currencies {
subAccounts[y] = &gctrpc.AccountCurrencyInfo{
Currency: holdings.Accounts[x].Currencies[y].CurrencyName.String(),
Currency: holdings.Accounts[x].Currencies[y].Currency.String(),
TotalValue: holdings.Accounts[x].Currencies[y].Total,
Hold: holdings.Accounts[x].Currencies[y].Hold,
}
@@ -4824,15 +4829,15 @@ func (s *RPCServer) GetCollateral(ctx context.Context, r *gctrpc.GetCollateralRe
free := decimal.NewFromFloat(acc.Currencies[i].AvailableWithoutBorrow)
cal := order.CollateralCalculator{
CalculateOffline: r.CalculateOffline,
CollateralCurrency: acc.Currencies[i].CurrencyName,
CollateralCurrency: acc.Currencies[i].Currency,
Asset: a,
FreeCollateral: free,
LockedCollateral: total.Sub(free),
}
if r.CalculateOffline &&
!acc.Currencies[i].CurrencyName.Equal(currency.USD) {
!acc.Currencies[i].Currency.Equal(currency.USD) {
var tick *ticker.Price
tickerCurr := currency.NewPair(acc.Currencies[i].CurrencyName, currency.USD)
tickerCurr := currency.NewPair(acc.Currencies[i].Currency, currency.USD)
if !spotPairs.Contains(tickerCurr, true) {
// cannot price currency to calculate collateral
continue