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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

13
exchanges/order/order_test.go
View File

@@ -1945,3 +1945,16 @@ func TestGetOrdersRequest_Filter(t *testing.T) {
}
}
}
func TestIsValidOrderSubmissionSide(t *testing.T) {
t.Parallel()
if IsValidOrderSubmissionSide(UnknownSide) {
t.Error("expected false")
}
if !IsValidOrderSubmissionSide(Buy) {
t.Error("expected true")
}
if IsValidOrderSubmissionSide(CouldNotBuy) {
t.Error("expected false")
}
}

10
exchanges/order/order_types.go
View File

@@ -32,7 +32,7 @@ var (
// Submit contains all properties of an order that may be required
// for an order to be created on an exchange
// Each exchange has their own requirements, so not all fields
// are required to be populated
// need to be populated
type Submit struct {
Exchange string
Type Type
@@ -62,6 +62,13 @@ type Submit struct {
TriggerPrice float64
ClientID string // TODO: Shift to credentials
ClientOrderID string
// RetrieveFees use if an API submit order response does not return fees
// enabling this will perform additional request(s) to retrieve them
// and set it in the SubmitResponse
RetrieveFees bool
// RetrieveFeeDelay some exchanges take time to properly save order data
// and cannot retrieve fees data immediately
RetrieveFeeDelay time.Duration
}
// SubmitResponse is what is returned after submitting an order to an exchange
@@ -90,6 +97,7 @@ type SubmitResponse struct {
OrderID string
Trades []TradeHistory
Fee float64
FeeAsset currency.Code
Cost float64
}

18
exchanges/order/orders.go
View File

@@ -19,9 +19,10 @@ const (
orderSubmissionValidSides = Buy | Sell | Bid | Ask | Long | Short
shortSide = Short | Sell | Ask
longSide = Long | Buy | Bid
inactiveStatuses = Filled | Cancelled | InsufficientBalance | MarketUnavailable | Rejected | PartiallyCancelled | Expired | Closed | AnyStatus | Cancelling | Liquidated
activeStatuses = Active | Open | PartiallyFilled | New | PendingCancel | Hidden | AutoDeleverage | Pending
notPlaced = InsufficientBalance | MarketUnavailable | Rejected
inactiveStatuses = Filled | Cancelled | InsufficientBalance | MarketUnavailable | Rejected | PartiallyCancelled | Expired | Closed | AnyStatus | Cancelling | Liquidated
activeStatuses = Active | Open | PartiallyFilled | New | PendingCancel | Hidden | AutoDeleverage | Pending
notPlaced = InsufficientBalance | MarketUnavailable | Rejected
)
var (
@@ -39,7 +40,12 @@ var (
errOrderDetailIsNil = errors.New("order detail is nil")
)
// Validate checks the supplied data and returns whether or not it's valid
// IsValidOrderSubmissionSide validates that the order side is a valid submission direction
func IsValidOrderSubmissionSide(s Side) bool {
return s != UnknownSide && orderSubmissionValidSides&s == s
}
// Validate checks the supplied data and returns whether it's valid
func (s *Submit) Validate(opt ...validate.Checker) error {
if s == nil {
return ErrSubmissionIsNil
@@ -61,8 +67,8 @@ func (s *Submit) Validate(opt ...validate.Checker) error {
return fmt.Errorf("'%s' %w", s.AssetType, asset.ErrNotSupported)
}
if s.Side == UnknownSide || orderSubmissionValidSides&s.Side != s.Side {
return ErrSideIsInvalid
if !IsValidOrderSubmissionSide(s.Side) {
return fmt.Errorf("%w %v", ErrSideIsInvalid, s.Side)
}
if s.Type != Market && s.Type != Limit {