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FTX: Funding rates, payments & stats + order manager tracking (#976)

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* Adds basic PoC for calculating/retrieving position data

* A very unfortunate day of miscalculations

* Adds position summary and funding rate details to RPC

* Offline funding rate calculations

* More helpers, more stats, refining data, automated retrieval

* Adds new rpc server commands and attempts some organisation

* lower string, lower stress

* Adds ordermanager config. Fleshes outcli. Tracks positions automatically

* Adds new separation for funding payments/rates

* Combines funding rates and payments

* Fun test coverage

* ALL THE TESTS... I hope

* Fixes

* polishes ftx tests. improves perp check. Loops rates

* Final touches before nit attax

* buff 💪

* Stops NotYetImplemented spam with one simple trick!

* Some lovely little niteroos

* linteroo

* Clarifies a couple of errors to help narrow likely end user problems

* Fixes asset type bug, fixes closed position order return, fixes unset status bug

* Fixes order manager handling when no rates are available yet

* Continues on no funding rates instead. Removes err

* Don't show predicted rate if the time is zero

* Addresses scenario with no funding rate payments

* Bug fixes and commentary before updating maps to use *currency.Item

* Adds a pair key type

* Polishes pKey, fixes map order bug

* key is not a property in the event someone changes the base/quote

* Adds improvements to order processing...Breaks it all

* Shakes up the design of things by removing a function

* Fixes issues with order manager positions. Limits update range

* Fixes build issues. Identification of bad tests.

* Merges and fixes features from master and this branch

* buff linter 💪

* re-gen

* proto regen

* Addresses some nits. But not all of them.

* Fixes issue where funding rates weren't returned 🎉

* completes transition futures tracking to map[*currency.Item]map[*currency.Item]

* who did that? not me

* removes redundant check on account of being redundant and unnecessary

* so buf

* addresses nits: duplications, startTime, loops, go tidy, typos

* fixes minor mistakes

* fixes 🍣 🐻 changes to int64
This commit is contained in:
Scott
2022-08-23 12:16:50 +10:00
committed by GitHub
parent e93ee83563
commit 46cadd6f15
50 changed files with 9249 additions and 3730 deletions
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30
exchanges/interfaces.go
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@@ -47,9 +47,6 @@ type IBotExchange interface {
GetWithdrawPermissions() uint32
FormatWithdrawPermissions() string
GetFundingHistory(ctx context.Context) ([]FundHistory, error)
OrderManagement
GetDepositAddress(ctx context.Context, cryptocurrency currency.Code, accountID, chain string) (*deposit.Address, error)
GetAvailableTransferChains(ctx context.Context, cryptocurrency currency.Code) ([]string, error)
GetWithdrawalsHistory(ctx context.Context, code currency.Code, a asset.Item) ([]WithdrawalHistory, error)
@@ -66,29 +63,23 @@ type IBotExchange interface {
DisableRateLimiter() error
EnableRateLimiter() error
GetServerTime(ctx context.Context, ai asset.Item) (time.Time, error)
CurrencyStateManagement
GetMarginRatesHistory(context.Context, *margin.RateHistoryRequest) (*margin.RateHistoryResponse, error)
order.PNLCalculation
order.CollateralManagement
GetFuturesPositions(context.Context, asset.Item, currency.Pair, time.Time, time.Time) ([]order.Detail, error)
GetWebsocket() (*stream.Websocket, error)
SubscribeToWebsocketChannels(channels []stream.ChannelSubscription) error
UnsubscribeToWebsocketChannels(channels []stream.ChannelSubscription) error
GetSubscriptions() ([]stream.ChannelSubscription, error)
FlushWebsocketChannels() error
AuthenticateWebsocket(ctx context.Context) error
GetOrderExecutionLimits(a asset.Item, cp currency.Pair) (order.MinMaxLevel, error)
CheckOrderExecutionLimits(a asset.Item, cp currency.Pair, price, amount float64, orderType order.Type) error
UpdateOrderExecutionLimits(ctx context.Context, a asset.Item) error
AccountManagement
GetCredentials(ctx context.Context) (*account.Credentials, error)
ValidateCredentials(ctx context.Context, a asset.Item) error
FunctionalityChecker
AccountManagement
OrderManagement
CurrencyStateManagement
FuturesManagement
}
// OrderManagement defines functionality for order management
@@ -135,3 +126,16 @@ type FunctionalityChecker interface {
IsWebsocketAuthenticationSupported() bool
IsRESTAuthenticationSupported() bool
}
// FuturesManagement manages futures orders, pnl and collateral calculations
type FuturesManagement interface {
GetPositionSummary(context.Context, *order.PositionSummaryRequest) (*order.PositionSummary, error)
ScaleCollateral(ctx context.Context, calculator *order.CollateralCalculator) (*order.CollateralByCurrency, error)
CalculateTotalCollateral(context.Context, *order.TotalCollateralCalculator) (*order.TotalCollateralResponse, error)
GetFuturesPositions(context.Context, *order.PositionsRequest) ([]order.PositionDetails, error)
GetFundingRates(context.Context, *order.FundingRatesRequest) ([]order.FundingRates, error)
IsPerpetualFutureCurrency(asset.Item, currency.Pair) (bool, error)
GetCollateralCurrencyForContract(asset.Item, currency.Pair) (currency.Code, asset.Item, error)
GetMarginRatesHistory(context.Context, *margin.RateHistoryRequest) (*margin.RateHistoryResponse, error)
order.PNLCalculation
}