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Code Issues Packages Projects Releases Wiki Activity

exchange/order/limits: Migrate to new package and integrate with exchanges (#1860)

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* move limits, transition to key gen

* rollout NewExchangePairAssetKey everywhere

* test improvements

* self-review fixes

* ok, lets go

* fix merge issue

* slower value func,assertify,drop IsValidPairString

* remove binance reference for backtesting test

* Redundant nil checks removed due to redundancy

* Update order_test.go

* Move limits back into /exchanges/

* puts limits in a different box again

* SHAZBERT SPECIAL SUGGESTIONS

* Update gateio_wrapper.go

* fixes all build issues

* Many niteroos!

* something has gone awry

* bugfix

* gk's everywhere nits

* lint

* extra lint

* re-remove IsValidPairString

* lint fix

* standardise test

* revert some bads

* dupe rm

* another revert 360 mcgee

* un-in-revertify

* Update exchange/order/limits/levels_test.go

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

* fix

* Update exchanges/binance/binance_test.go

HERE'S HOPING GITHUB FORMATS THIS CORRECTLY!

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* update text

* rn func, same line err gk4202000

---------

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>
This commit is contained in:
Scott
2025-08-26 12:30:21 +10:00
committed by GitHub
parent fc0f262c42
commit 85403fe801
103 changed files with 1751 additions and 2168 deletions
Download Patch File Download Diff File Expand all files Collapse all files

6
backtester/engine/backtest_test.go
View File

@@ -68,7 +68,7 @@ func TestSetupFromConfig(t *testing.T) {
err = bt.SetupFromConfig(cfg, "", "", false)
assert.ErrorIs(t, err, base.ErrStrategyNotFound)
const testExchange = "bitfinex"
const testExchange = "okx"
cfg.CurrencySettings = []config.CurrencySettings{
{
@@ -424,7 +424,7 @@ func TestFullCycle(t *testing.T) {
tt := time.Now()
stats := &statistics.Statistic{}
stats.ExchangeAssetPairStatistics = make(map[key.ExchangePairAsset]*statistics.CurrencyPairStatistic)
stats.ExchangeAssetPairStatistics = make(map[key.ExchangeAssetPair]*statistics.CurrencyPairStatistic)
port, err := portfolio.Setup(&size.Size{
BuySide: exchange.MinMax{},
SellSide: exchange.MinMax{},
@@ -542,7 +542,7 @@ func TestFullCycleMulti(t *testing.T) {
tt := time.Now()
stats := &statistics.Statistic{}
stats.ExchangeAssetPairStatistics = make(map[key.ExchangePairAsset]*statistics.CurrencyPairStatistic)
stats.ExchangeAssetPairStatistics = make(map[key.ExchangeAssetPair]*statistics.CurrencyPairStatistic)
port, err := portfolio.Setup(&size.Size{
BuySide: exchange.MinMax{},

25
backtester/engine/setup.go
View File

@@ -36,11 +36,11 @@ import (
"github.com/thrasher-corp/gocryptotrader/currency"
gctdatabase "github.com/thrasher-corp/gocryptotrader/database"
"github.com/thrasher-corp/gocryptotrader/engine"
"github.com/thrasher-corp/gocryptotrader/exchange/order/limits"
gctexchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/currencystate"
gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline"
gctorder "github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/log"
)
@@ -194,7 +194,7 @@ func (bt *BackTest) SetupFromConfig(cfg *config.Config, templatePath, output str
}
portfolioRisk := &risk.Risk{
CurrencySettings: make(map[key.ExchangePairAsset]*risk.CurrencySettings),
CurrencySettings: make(map[key.ExchangeAssetPair]*risk.CurrencySettings),
}
bt.Funding = funds
@@ -234,7 +234,7 @@ func (bt *BackTest) SetupFromConfig(cfg *config.Config, templatePath, output str
err)
}
if portfolioRisk.CurrencySettings == nil {
portfolioRisk.CurrencySettings = make(map[key.ExchangePairAsset]*risk.CurrencySettings)
portfolioRisk.CurrencySettings = make(map[key.ExchangeAssetPair]*risk.CurrencySettings)
}
var curr currency.Pair
@@ -261,12 +261,7 @@ func (bt *BackTest) SetupFromConfig(cfg *config.Config, templatePath, output str
portSet.MaximumOrdersWithLeverageRatio = cfg.CurrencySettings[i].FuturesDetails.Leverage.MaximumOrdersWithLeverageRatio
portSet.MaxLeverageRate = cfg.CurrencySettings[i].FuturesDetails.Leverage.MaximumOrderLeverageRate
}
portfolioRisk.CurrencySettings[key.ExchangePairAsset{
Exchange: cfg.CurrencySettings[i].ExchangeName,
Base: cfg.CurrencySettings[i].Base.Item,
Quote: cfg.CurrencySettings[i].Quote.Item,
Asset: a,
}] = portSet
portfolioRisk.CurrencySettings[key.NewExchangeAssetPair(cfg.CurrencySettings[i].ExchangeName, a, curr)] = portSet
if cfg.CurrencySettings[i].MakerFee != nil &&
cfg.CurrencySettings[i].TakerFee != nil &&
cfg.CurrencySettings[i].MakerFee.GreaterThan(*cfg.CurrencySettings[i].TakerFee) {
@@ -332,7 +327,7 @@ func (bt *BackTest) SetupFromConfig(cfg *config.Config, templatePath, output str
return err
}
default:
return fmt.Errorf("%w: %v", asset.ErrNotSupported, a)
return fmt.Errorf("%w: %q", asset.ErrNotSupported, a)
}
default:
var bFunds, qFunds decimal.Decimal
@@ -398,7 +393,7 @@ func (bt *BackTest) SetupFromConfig(cfg *config.Config, templatePath, output str
StrategyNickname: cfg.Nickname,
StrategyDescription: bt.Strategy.Description(),
StrategyGoal: cfg.Goal,
ExchangeAssetPairStatistics: make(map[key.ExchangePairAsset]*statistics.CurrencyPairStatistic),
ExchangeAssetPairStatistics: make(map[key.ExchangeAssetPair]*statistics.CurrencyPairStatistic),
RiskFreeRate: cfg.StatisticSettings.RiskFreeRate,
CandleInterval: cfg.DataSettings.Interval,
FundManager: bt.Funding,
@@ -584,12 +579,12 @@ func (bt *BackTest) setupExchangeSettings(cfg *config.Config) (*exchange.Exchang
MaximumTotal: cfg.CurrencySettings[i].SellSide.MaximumTotal,
}
limits, err := exch.GetOrderExecutionLimits(a, pair)
if err != nil && !errors.Is(err, gctorder.ErrExchangeLimitNotLoaded) {
l, err := exch.GetOrderExecutionLimits(a, pair)
if err != nil && !errors.Is(err, limits.ErrOrderLimitNotFound) {
return resp, err
}
if limits != (gctorder.MinMaxLevel{}) {
if l != (limits.MinMaxLevel{}) {
if !cfg.CurrencySettings[i].CanUseExchangeLimits {
if realOrders {
log.Warnf(common.Setup, "Exchange %s order execution limits enabled for %s %s due to using real orders",
@@ -626,7 +621,7 @@ func (bt *BackTest) setupExchangeSettings(cfg *config.Config) (*exchange.Exchang
BuySide: buyRule,
SellSide: sellRule,
Leverage: lev,
Limits: limits,
Limits: l,
SkipCandleVolumeFitting: cfg.CurrencySettings[i].SkipCandleVolumeFitting,
CanUseExchangeLimits: cfg.CurrencySettings[i].CanUseExchangeLimits,
UseExchangePNLCalculation: cfg.CurrencySettings[i].UseExchangePNLCalculation,