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futures: Implement GetLatestFundingRates across exchanges (#1339)

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* adds funding rate implementations and improvements

* merge fixes x1

* lint

* kucoin funding rates func make

* migrate sync-manager to keys

* some kucoin work

* adds some kucoin wrapper funcs

* ehhh, todo

* kucoin position

* start of orders

* adds the kucoin tests yay

* multiplier

* nits, EWS includes order limits

* NotYetImplemented, IsPerp improvements, cleaning

* lint, test fix, huobi time

* fixes issues, improves testing

* fixes linters I WRECKED

* local lint but remote lint, lint, lint, lint

* fixes err

* skip CI

* lint

* Supported rates, binance endpoints

* fixes weird mocktest problems

* no, CZ is invalid

* fixes some new EWS test errors
This commit is contained in:
Scott
2023-11-03 10:01:32 +10:00
committed by GitHub
parent f9437dbd08
commit 70690d9a04
78 changed files with 4088 additions and 527 deletions
Download Patch File Download Diff File Expand all files Collapse all files

3
exchanges/futures/contract.go
View File

@@ -3,6 +3,7 @@ package futures
import (
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/fundingrate"
@@ -26,6 +27,8 @@ type Contract struct {
Multiplier float64
MaxLeverage float64
LatestRate fundingrate.Rate
FundingRateFloor decimal.Decimal
FundingRateCeiling decimal.Decimal
}
// ContractSettlementType holds the various style of contracts offered by futures exchanges

10
exchanges/futures/futures.go
View File

@@ -134,7 +134,7 @@ func (c *PositionController) GetPositionsForExchange(exch string, item asset.Ite
}
// TrackFundingDetails applies funding rate details to a tracked position
func (c *PositionController) TrackFundingDetails(d *fundingrate.Rates) error {
func (c *PositionController) TrackFundingDetails(d *fundingrate.HistoricalRates) error {
if c == nil {
return fmt.Errorf("position controller %w", common.ErrNilPointer)
}
@@ -459,7 +459,7 @@ func (m *MultiPositionTracker) TrackNewOrder(d *order.Detail) error {
}
// TrackFundingDetails applies funding rate details to a tracked position
func (m *MultiPositionTracker) TrackFundingDetails(d *fundingrate.Rates) error {
func (m *MultiPositionTracker) TrackFundingDetails(d *fundingrate.HistoricalRates) error {
if m == nil {
return fmt.Errorf("multi-position tracker %w", common.ErrNilPointer)
}
@@ -579,7 +579,7 @@ func (p *PositionTracker) GetStats() *Position {
if p.fundingRateDetails != nil {
frs := make([]fundingrate.Rate, len(p.fundingRateDetails.FundingRates))
copy(frs, p.fundingRateDetails.FundingRates)
pos.FundingRates = fundingrate.Rates{
pos.FundingRates = fundingrate.HistoricalRates{
Exchange: p.fundingRateDetails.Exchange,
Asset: p.fundingRateDetails.Asset,
Pair: p.fundingRateDetails.Pair,
@@ -687,7 +687,7 @@ func (p *PositionTracker) GetLatestPNLSnapshot() (PNLResult, error) {
}
// TrackFundingDetails sets funding rates to a position
func (p *PositionTracker) TrackFundingDetails(d *fundingrate.Rates) error {
func (p *PositionTracker) TrackFundingDetails(d *fundingrate.HistoricalRates) error {
if p == nil {
return fmt.Errorf("position tracker %w", common.ErrNilPointer)
}
@@ -715,7 +715,7 @@ func (p *PositionTracker) TrackFundingDetails(d *fundingrate.Rates) error {
return fmt.Errorf("%w for timeframe %v %v %v %v-%v", ErrNoPositionsFound, p.exchange, p.asset, p.contractPair, d.StartDate, d.EndDate)
}
if p.fundingRateDetails == nil {
p.fundingRateDetails = &fundingrate.Rates{
p.fundingRateDetails = &fundingrate.HistoricalRates{
Exchange: d.Exchange,
Asset: d.Asset,
Pair: d.Pair,

10
exchanges/futures/futures_test.go
View File

@@ -541,7 +541,7 @@ func TestGetStats(t *testing.T) {
}
p.exchange = testExchange
p.fundingRateDetails = &fundingrate.Rates{
p.fundingRateDetails = &fundingrate.HistoricalRates{
FundingRates: []fundingrate.Rate{
{},
},
@@ -1274,7 +1274,7 @@ func TestPCTrackFundingDetails(t *testing.T) {
}
p := currency.NewPair(currency.BTC, currency.PERP)
rates := &fundingrate.Rates{
rates := &fundingrate.HistoricalRates{
Asset: asset.Futures,
Pair: p,
}
@@ -1341,7 +1341,7 @@ func TestMPTTrackFundingDetails(t *testing.T) {
}
cp := currency.NewPair(currency.BTC, currency.PERP)
rates := &fundingrate.Rates{
rates := &fundingrate.HistoricalRates{
Asset: asset.Futures,
Pair: cp,
}
@@ -1351,7 +1351,7 @@ func TestMPTTrackFundingDetails(t *testing.T) {
}
mpt.exchange = testExchange
rates = &fundingrate.Rates{
rates = &fundingrate.HistoricalRates{
Exchange: testExchange,
Asset: asset.Futures,
Pair: cp,
@@ -1410,7 +1410,7 @@ func TestPTTrackFundingDetails(t *testing.T) {
}
cp := currency.NewPair(currency.BTC, currency.PERP)
rates := &fundingrate.Rates{
rates := &fundingrate.HistoricalRates{
Exchange: testExchange,
Asset: asset.Futures,
Pair: cp,

11
exchanges/futures/futures_types.go
View File

@@ -156,7 +156,7 @@ type PositionTracker struct {
shortPositions []order.Detail
longPositions []order.Detail
pnlHistory []PNLResult
fundingRateDetails *fundingrate.Rates
fundingRateDetails *fundingrate.HistoricalRates
}
// PositionTrackerSetup contains all required fields to
@@ -264,7 +264,7 @@ type Position struct {
CloseDate time.Time
Orders []order.Detail
PNLHistory []PNLResult
FundingRates fundingrate.Rates
FundingRates fundingrate.HistoricalRates
}
// PositionSummaryRequest is used to request a summary of an open position
@@ -333,7 +333,8 @@ type PositionSummary struct {
CollateralMode collateral.Mode
// The currency in which the values are quoted against. Isn't always pair.Quote
// eg BTC-USDC-230929's quote in GCT is 230929, but the currency should be USDC
Currency currency.Code
Currency currency.Code
StartDate time.Time
AvailableEquity decimal.Decimal
CashBalance decimal.Decimal
@@ -345,6 +346,7 @@ type PositionSummary struct {
NotionalLeverage decimal.Decimal
TotalEquity decimal.Decimal
StrategyEquity decimal.Decimal
MarginBalance decimal.Decimal
IsolatedMargin decimal.Decimal
NotionalSize decimal.Decimal
@@ -359,7 +361,8 @@ type PositionSummary struct {
ContractMultiplier decimal.Decimal
ContractSettlementType ContractSettlementType
AverageOpenPrice decimal.Decimal
PositionPNL decimal.Decimal
UnrealisedPNL decimal.Decimal
RealisedPNL decimal.Decimal
MaintenanceMarginFraction decimal.Decimal
FreeCollateral decimal.Decimal
TotalCollateral decimal.Decimal