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futures: add GetFuturesContractDetails wrapper function (#1274)
* all in a days work * cleanup * cleanup for real, also stop it binance.json * minor coverage * adds gateio to the slurry * cleanup of types * verbose verbose verbose verbose verbose verbose * fixes huobi parsing issue * fix bybit contract identification * cleanup * merge fixes * addresses many big problems raised by SHAZ * tracking errors and fixes * funding rate if avail, fixes currency formatting * Addresses nits and sneaks in extra fixes * lint * minor fixes after rebase * better contract splitter for currencies like T-USDT * forgot to add the exchange name like a fool * merge fixes x1 * kucoin, direction, contract size * rn direction, fix kucoin time * WHOOPS * Update exchanges/kucoin/kucoin_wrapper.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * misdirection --------- Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
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Scott
GitHub
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@@ -1,362 +0,0 @@
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package order
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import (
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"context"
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"errors"
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"sync"
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"time"
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"github.com/shopspring/decimal"
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"github.com/thrasher-corp/gocryptotrader/currency"
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"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
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"github.com/thrasher-corp/gocryptotrader/exchanges/collateral"
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"github.com/thrasher-corp/gocryptotrader/exchanges/fundingrate"
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"github.com/thrasher-corp/gocryptotrader/exchanges/margin"
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)
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var (
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// ErrPositionClosed returned when attempting to amend a closed position
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ErrPositionClosed = errors.New("the position is closed")
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// ErrNilPNLCalculator is raised when pnl calculation is requested for
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// an exchange, but the fields are not set properly
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ErrNilPNLCalculator = errors.New("nil pnl calculator received")
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// ErrPositionLiquidated is raised when checking PNL status only for
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// it to be liquidated
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ErrPositionLiquidated = errors.New("position liquidated")
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// ErrNotFuturesAsset returned when futures data is requested on a non-futures asset
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ErrNotFuturesAsset = errors.New("asset type is not futures")
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// ErrUSDValueRequired returned when usd value unset
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ErrUSDValueRequired = errors.New("USD value required")
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// ErrOfflineCalculationSet is raised when collateral calculation is set to be offline, yet is attempted online
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ErrOfflineCalculationSet = errors.New("offline calculation set")
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// ErrPositionNotFound is raised when a position is not found
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ErrPositionNotFound = errors.New("position not found")
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// ErrNotPerpetualFuture is returned when a currency is not a perpetual future
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ErrNotPerpetualFuture = errors.New("not a perpetual future")
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// ErrNoPositionsFound returned when there is no positions returned
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ErrNoPositionsFound = errors.New("no positions found")
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// ErrGetFundingDataRequired is returned when requesting funding rate data without the prerequisite
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ErrGetFundingDataRequired = errors.New("getfundingdata is a prerequisite")
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// ErrOrderHistoryTooLarge is returned when you lookup order history, but with too early a start date
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ErrOrderHistoryTooLarge = errors.New("order history start date too long ago")
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errExchangeNameEmpty = errors.New("exchange name empty")
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errExchangeNameMismatch = errors.New("exchange name mismatch")
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errTimeUnset = errors.New("time unset")
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errMissingPNLCalculationFunctions = errors.New("futures tracker requires exchange PNL calculation functions")
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errOrderNotEqualToTracker = errors.New("order does not match tracker data")
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errPositionDiscrepancy = errors.New("there is a position considered open, but it is not the latest, please review")
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errAssetMismatch = errors.New("provided asset does not match")
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errEmptyUnderlying = errors.New("underlying asset unset")
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errNilSetup = errors.New("nil setup received")
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errNilOrder = errors.New("nil order received")
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errNoPNLHistory = errors.New("no pnl history")
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errCannotCalculateUnrealisedPNL = errors.New("cannot calculate unrealised PNL")
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errDoesntMatch = errors.New("doesn't match")
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errCannotTrackInvalidParams = errors.New("parameters set incorrectly, cannot track")
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)
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// PNLCalculation is an interface to allow multiple
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// ways of calculating PNL to be used for futures positions
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type PNLCalculation interface {
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CalculatePNL(context.Context, *PNLCalculatorRequest) (*PNLResult, error)
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GetCurrencyForRealisedPNL(realisedAsset asset.Item, realisedPair currency.Pair) (currency.Code, asset.Item, error)
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}
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// TotalCollateralResponse holds all collateral
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type TotalCollateralResponse struct {
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CollateralCurrency currency.Code
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TotalValueOfPositiveSpotBalances decimal.Decimal
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CollateralContributedByPositiveSpotBalances decimal.Decimal
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UsedCollateral decimal.Decimal
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UsedBreakdown *collateral.UsedBreakdown
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AvailableCollateral decimal.Decimal
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AvailableMaintenanceCollateral decimal.Decimal
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UnrealisedPNL decimal.Decimal
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BreakdownByCurrency []collateral.ByCurrency
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BreakdownOfPositions []collateral.ByPosition
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}
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// PositionController manages all futures orders
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// across all exchanges assets and pairs
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// its purpose is to handle the minutia of tracking
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// and so all you need to do is send all orders to
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// the position controller and its all tracked happily
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type PositionController struct {
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m sync.Mutex
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multiPositionTrackers map[string]map[asset.Item]map[*currency.Item]map[*currency.Item]*MultiPositionTracker
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updated time.Time
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}
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// MultiPositionTracker will track the performance of
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// futures positions over time. If an old position tracker
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// is closed, then the position controller will create a new one
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// to track the current positions
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type MultiPositionTracker struct {
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m sync.Mutex
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exchange string
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asset asset.Item
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pair currency.Pair
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underlying currency.Code
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collateralCurrency currency.Code
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positions []*PositionTracker
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// order positions allows for an easier time knowing which order is
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// part of which position tracker
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orderPositions map[string]*PositionTracker
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offlinePNLCalculation bool
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useExchangePNLCalculations bool
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exchangePNLCalculation PNLCalculation
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}
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// MultiPositionTrackerSetup holds the parameters
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// required to set up a multi position tracker
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type MultiPositionTrackerSetup struct {
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Exchange string
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Asset asset.Item
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Pair currency.Pair
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Underlying currency.Code
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CollateralCurrency currency.Code
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OfflineCalculation bool
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UseExchangePNLCalculation bool
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ExchangePNLCalculation PNLCalculation
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}
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// PositionTracker tracks futures orders until the overall position is considered closed
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// eg a user can open a short position, append to it via two more shorts, reduce via a small long and
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// finally close off the remainder via another long. All of these actions are to be
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// captured within one position tracker. It allows for a user to understand their PNL
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// specifically for futures positions. Utilising spot/futures arbitrage will not be tracked
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// completely within this position tracker, however, can still provide a good
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// timeline of performance until the position is closed
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type PositionTracker struct {
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m sync.Mutex
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useExchangePNLCalculation bool
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collateralCurrency currency.Code
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offlinePNLCalculation bool
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PNLCalculation
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exchange string
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asset asset.Item
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contractPair currency.Pair
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underlying currency.Code
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exposure decimal.Decimal
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openingDirection Side
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openingPrice decimal.Decimal
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openingSize decimal.Decimal
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openingDate time.Time
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latestDirection Side
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latestPrice decimal.Decimal
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lastUpdated time.Time
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unrealisedPNL decimal.Decimal
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realisedPNL decimal.Decimal
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status Status
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closingPrice decimal.Decimal
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closingDate time.Time
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shortPositions []Detail
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longPositions []Detail
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pnlHistory []PNLResult
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fundingRateDetails *fundingrate.Rates
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}
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// PositionTrackerSetup contains all required fields to
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// setup a position tracker
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type PositionTrackerSetup struct {
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Exchange string
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Asset asset.Item
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Pair currency.Pair
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EntryPrice decimal.Decimal
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Underlying currency.Code
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CollateralCurrency currency.Code
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Side Side
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UseExchangePNLCalculation bool
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OfflineCalculation bool
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PNLCalculator PNLCalculation
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}
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// TotalCollateralCalculator holds many collateral calculators
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// to calculate total collateral standing with one struct
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type TotalCollateralCalculator struct {
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CollateralAssets []CollateralCalculator
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CalculateOffline bool
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FetchPositions bool
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}
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// CollateralCalculator is used to determine
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// the size of collateral holdings for an exchange
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// eg on Bybit, the collateral is scaled depending on what
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// currency it is
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type CollateralCalculator struct {
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CalculateOffline bool
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CollateralCurrency currency.Code
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Asset asset.Item
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Side Side
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USDPrice decimal.Decimal
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IsLiquidating bool
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IsForNewPosition bool
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FreeCollateral decimal.Decimal
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LockedCollateral decimal.Decimal
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UnrealisedPNL decimal.Decimal
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}
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// PNLCalculator implements the PNLCalculation interface
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// to call CalculatePNL and is used when a user wishes to have a
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// consistent method of calculating PNL across different exchanges
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type PNLCalculator struct{}
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// PNLCalculatorRequest is used to calculate PNL values
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// for an open position
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type PNLCalculatorRequest struct {
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Pair currency.Pair
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CalculateOffline bool
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Underlying currency.Code
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Asset asset.Item
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Leverage decimal.Decimal
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EntryPrice decimal.Decimal
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EntryAmount decimal.Decimal
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Amount decimal.Decimal
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CurrentPrice decimal.Decimal
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PreviousPrice decimal.Decimal
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Time time.Time
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OrderID string
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Fee decimal.Decimal
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PNLHistory []PNLResult
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Exposure decimal.Decimal
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OrderDirection Side
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OpeningDirection Side
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CurrentDirection Side
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}
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// PNLResult stores a PNL result from a point in time
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type PNLResult struct {
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Status Status
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Time time.Time
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UnrealisedPNL decimal.Decimal
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RealisedPNLBeforeFees decimal.Decimal
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RealisedPNL decimal.Decimal
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Price decimal.Decimal
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Exposure decimal.Decimal
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Direction Side
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Fee decimal.Decimal
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IsLiquidated bool
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// Is event is supposed to show that something has happened and it isn't just tracking in time
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IsOrder bool
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}
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// Position is a basic holder for position information
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type Position struct {
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Exchange string
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Asset asset.Item
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Pair currency.Pair
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Underlying currency.Code
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CollateralCurrency currency.Code
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RealisedPNL decimal.Decimal
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UnrealisedPNL decimal.Decimal
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Status Status
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OpeningDate time.Time
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OpeningPrice decimal.Decimal
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OpeningSize decimal.Decimal
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OpeningDirection Side
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LatestPrice decimal.Decimal
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LatestSize decimal.Decimal
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LatestDirection Side
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LastUpdated time.Time
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CloseDate time.Time
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Orders []Detail
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PNLHistory []PNLResult
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FundingRates fundingrate.Rates
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}
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// PositionSummaryRequest is used to request a summary of an open position
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type PositionSummaryRequest struct {
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Asset asset.Item
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Pair currency.Pair
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// UnderlyingPair is optional if the exchange requires it for a contract like BTCUSDT-13333337
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UnderlyingPair currency.Pair
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// offline calculation requirements below
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CalculateOffline bool
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FreeCollateral decimal.Decimal
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TotalCollateral decimal.Decimal
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CurrentPrice decimal.Decimal
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CurrentSize decimal.Decimal
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CollateralUsed decimal.Decimal
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NotionalPrice decimal.Decimal
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MaxLeverageForAccount decimal.Decimal
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TotalOpenPositionNotional decimal.Decimal
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// EstimatePosition if enabled, can be used to calculate a new position
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EstimatePosition bool
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// These fields are also used for offline calculation
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OpeningPrice decimal.Decimal
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OpeningSize decimal.Decimal
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Leverage decimal.Decimal
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Direction Side
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TotalAccountValue decimal.Decimal
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}
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// PositionDetails are used to track open positions
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// in the order manager
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type PositionDetails struct {
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Exchange string
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Asset asset.Item
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Pair currency.Pair
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Orders []Detail
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}
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// PositionsRequest defines the request to
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// retrieve futures position data
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type PositionsRequest struct {
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Asset asset.Item
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Pairs currency.Pairs
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StartDate time.Time
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EndDate time.Time
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// RespectOrderHistoryLimits is designed for the order manager
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// it allows for orders to be tracked if the start date in the config is
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// beyond the allowable limits by the API, rather than returning an error
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RespectOrderHistoryLimits bool
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}
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// PositionResponse are used to track open positions
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// in the order manager
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type PositionResponse struct {
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Pair currency.Pair
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Asset asset.Item
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Orders []Detail
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}
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// PositionSummary returns basic details on an open position
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type PositionSummary struct {
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Pair currency.Pair
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Asset asset.Item
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MarginType margin.Type
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CollateralMode collateral.Mode
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// The currency in which the values are quoted against. Isn't always pair.Quote
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// eg BTC-USDC-230929's quote in GCT is 230929, but the currency should be USDC
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Currency currency.Code
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AvailableEquity decimal.Decimal
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CashBalance decimal.Decimal
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DiscountEquity decimal.Decimal
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EquityUSD decimal.Decimal
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IsolatedEquity decimal.Decimal
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IsolatedLiabilities decimal.Decimal
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IsolatedUPL decimal.Decimal
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NotionalLeverage decimal.Decimal
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TotalEquity decimal.Decimal
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StrategyEquity decimal.Decimal
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IsolatedMargin decimal.Decimal
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NotionalSize decimal.Decimal
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Leverage decimal.Decimal
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MaintenanceMarginRequirement decimal.Decimal
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InitialMarginRequirement decimal.Decimal
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EstimatedLiquidationPrice decimal.Decimal
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CollateralUsed decimal.Decimal
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MarkPrice decimal.Decimal
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CurrentSize decimal.Decimal
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AverageOpenPrice decimal.Decimal
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PositionPNL decimal.Decimal
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MaintenanceMarginFraction decimal.Decimal
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FreeCollateral decimal.Decimal
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TotalCollateral decimal.Decimal
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FrozenBalance decimal.Decimal
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EquityOfCurrency decimal.Decimal
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}
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@@ -29,9 +29,8 @@ var (
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ErrClientOrderIDNotSupported = errors.New("client order id not supported")
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ErrUnsupportedOrderType = errors.New("unsupported order type")
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// ErrNoRates is returned when no margin rates are returned when they are expected
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ErrNoRates = errors.New("no rates")
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errCannotLiquidate = errors.New("cannot liquidate position")
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ErrNoRates = errors.New("no rates")
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ErrCannotLiquidate = errors.New("cannot liquidate position")
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)
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// Submit contains all properties of an order that may be required
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@@ -183,6 +182,7 @@ type Detail struct {
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Leverage float64
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Price float64
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Amount float64
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ContractAmount float64
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LimitPriceUpper float64
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LimitPriceLower float64
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TriggerPrice float64
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