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common: update Errors type (#1129)

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* common: adjust common error slice to allow multi errors.Is matching and conform to interface better

* zb: forgot to save?

* linties: fixies

* linties: word change as well.

* nitters: glorious

* buts

* nitters: fix glorious bug

* Update common/common.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* nitters: shifty

---------

Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
This commit is contained in:
Ryan O'Hara-Reid
2023-02-20 10:48:24 +11:00
committed by GitHub
parent ffea386f81
commit d2561402c4
28 changed files with 325 additions and 270 deletions
Download Patch File Download Diff File Expand all files Collapse all files

14
backtester/eventhandlers/statistics/currencystatistics.go
View File

@@ -14,8 +14,6 @@ import (
// CalculateResults calculates all statistics for the exchange, asset, currency pair
func (c *CurrencyPairStatistic) CalculateResults(riskFreeRate decimal.Decimal) error {
var errs gctcommon.Errors
var err error
first := c.Events[0]
sep := fmt.Sprintf("%v %v %v |\t", first.DataEvent.GetExchange(), first.DataEvent.GetAssetType(), first.DataEvent.Pair())
@@ -54,7 +52,7 @@ func (c *CurrencyPairStatistic) CalculateResults(riskFreeRate decimal.Decimal) e
c.StrategyMovement = last.Holdings.TotalValue.Sub(first.Holdings.TotalValue).Div(first.Holdings.TotalValue).Mul(oneHundred)
}
c.analysePNLGrowth()
err = c.calculateHighestCommittedFunds()
err := c.calculateHighestCommittedFunds()
if err != nil {
return err
}
@@ -87,9 +85,10 @@ func (c *CurrencyPairStatistic) CalculateResults(riskFreeRate decimal.Decimal) e
// ratio calculations as no movement has been made
benchmarkRates = benchmarkRates[1:]
returnsPerCandle = returnsPerCandle[1:]
var errs error
c.MaxDrawdown, err = CalculateBiggestEventDrawdown(allDataEvents)
if err != nil {
errs = append(errs, err)
errs = gctcommon.AppendError(errs, err)
}
interval := first.DataEvent.GetInterval()
@@ -109,7 +108,7 @@ func (c *CurrencyPairStatistic) CalculateResults(riskFreeRate decimal.Decimal) e
decimal.NewFromInt(int64(len(c.Events))),
)
if err != nil && !errors.Is(err, gctmath.ErrPowerDifferenceTooSmall) {
errs = append(errs, err)
errs = gctcommon.AppendError(errs, err)
}
c.CompoundAnnualGrowthRate = cagr
}
@@ -124,10 +123,7 @@ func (c *CurrencyPairStatistic) CalculateResults(riskFreeRate decimal.Decimal) e
c.UnrealisedPNL = last.PNL.GetUnrealisedPNL().PNL
c.RealisedPNL = last.PNL.GetRealisedPNL().PNL
}
if len(errs) > 0 {
return errs
}
return nil
return errs
}
func (c *CurrencyPairStatistic) calculateHighestCommittedFunds() error {

24
backtester/eventhandlers/statistics/printresults.go
View File

@@ -1,6 +1,7 @@
package statistics
import (
"errors"
"fmt"
"sort"
"time"
@@ -71,8 +72,7 @@ func (s *Statistic) PrintTotalResults() {
// grouped by time to allow a clearer picture of events
func (s *Statistic) PrintAllEventsChronologically() {
log.Info(common.Statistics, common.CMDColours.H1+"------------------Events-------------------------------------"+common.CMDColours.Default)
var errs gctcommon.Errors
var err error
var errs error
var results []eventOutputHolder
for _, exchangeMap := range s.ExchangeAssetPairStatistics {
for _, assetMap := range exchangeMap {
@@ -81,25 +81,26 @@ func (s *Statistic) PrintAllEventsChronologically() {
for i := range currencyStatistic.Events {
var result string
var tt time.Time
var err error
switch {
case currencyStatistic.Events[i].FillEvent != nil:
result, err = s.CreateLog(currencyStatistic.Events[i].FillEvent)
if err != nil {
errs = append(errs, err)
errs = gctcommon.AppendError(errs, err)
continue
}
tt = currencyStatistic.Events[i].FillEvent.GetTime()
case currencyStatistic.Events[i].SignalEvent != nil:
result, err = s.CreateLog(currencyStatistic.Events[i].SignalEvent)
if err != nil {
errs = append(errs, err)
errs = gctcommon.AppendError(errs, err)
continue
}
tt = currencyStatistic.Events[i].SignalEvent.GetTime()
case currencyStatistic.Events[i].DataEvent != nil:
result, err = s.CreateLog(currencyStatistic.Events[i].DataEvent)
if err != nil {
errs = append(errs, err)
errs = gctcommon.AppendError(errs, err)
continue
}
tt = currencyStatistic.Events[i].DataEvent.GetTime()
@@ -121,10 +122,10 @@ func (s *Statistic) PrintAllEventsChronologically() {
log.Info(common.Statistics, results[i].Events[j])
}
}
if len(errs) > 0 {
if errs != nil {
log.Info(common.Statistics, common.CMDColours.Error+"------------------Errors-------------------------------------"+common.CMDColours.Default)
for i := range errs {
log.Error(common.Statistics, errs[i].Error())
for err := errors.Unwrap(errs); err != nil; err = errors.Unwrap(errs) {
log.Error(common.Statistics, err.Error())
}
}
}
@@ -206,7 +207,6 @@ func (s *Statistic) CreateLog(data common.Event) (string, error) {
// PrintResults outputs all calculated statistics to the command line
func (c *CurrencyPairStatistic) PrintResults(e string, a asset.Item, p currency.Pair, usingExchangeLevelFunding bool) {
var errs gctcommon.Errors
sort.Slice(c.Events, func(i, j int) bool {
return c.Events[i].Time.Before(c.Events[j].Time)
})
@@ -302,12 +302,6 @@ func (c *CurrencyPairStatistic) PrintResults(e string, a asset.Item, p currency.
log.Infof(common.CurrencyStatistics, "%s Final Unrealised PNL: %s", sep, convert.DecimalToHumanFriendlyString(unrealised.PNL, 8, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Final Realised PNL: %s", sep, convert.DecimalToHumanFriendlyString(realised.PNL, 8, ".", ","))
}
if len(errs) > 0 {
log.Info(common.CurrencyStatistics, common.CMDColours.Error+"------------------Errors-------------------------------------"+common.CMDColours.Default)
for i := range errs {
log.Error(common.CurrencyStatistics, errs[i].Error())
}
}
}
// PrintResults outputs all calculated funding statistics to the command line

10
backtester/eventhandlers/strategies/dollarcostaverage/dollarcostaverage.go
View File

@@ -74,20 +74,16 @@ func (s *Strategy) SupportsSimultaneousProcessing() bool {
// For dollarcostaverage, the strategy is always "buy", so it uses the OnSignal function
func (s *Strategy) OnSimultaneousSignals(d []data.Handler, _ funding.IFundingTransferer, _ portfolio.Handler) ([]signal.Event, error) {
var resp []signal.Event
var errs gctcommon.Errors
var errs error
for i := range d {
sigEvent, err := s.OnSignal(d[i], nil, nil)
if err != nil {
errs = append(errs, err)
errs = gctcommon.AppendError(errs, err)
} else {
resp = append(resp, sigEvent)
}
}
if len(errs) > 0 {
return nil, errs
}
return resp, nil
return resp, errs
}
// SetCustomSettings not required for DCA

14
backtester/eventhandlers/strategies/rsi/rsi.go
View File

@@ -114,7 +114,7 @@ func (s *Strategy) SupportsSimultaneousProcessing() bool {
// in allowing a strategy to only place an order for X currency if Y currency's price is Z
func (s *Strategy) OnSimultaneousSignals(d []data.Handler, _ funding.IFundingTransferer, _ portfolio.Handler) ([]signal.Event, error) {
var resp []signal.Event
var errs gctcommon.Errors
var errs error
for i := range d {
latest, err := d[i].Latest()
if err != nil {
@@ -122,16 +122,16 @@ func (s *Strategy) OnSimultaneousSignals(d []data.Handler, _ funding.IFundingTra
}
sigEvent, err := s.OnSignal(d[i], nil, nil)
if err != nil {
errs = append(errs, fmt.Errorf("%v %v %v %w", latest.GetExchange(), latest.GetAssetType(), latest.Pair(), err))
errs = gctcommon.AppendError(errs, fmt.Errorf("%v %v %v %w",
latest.GetExchange(),
latest.GetAssetType(),
latest.Pair(),
err))
} else {
resp = append(resp, sigEvent)
}
}
if len(errs) > 0 {
return nil, errs
}
return resp, nil
return resp, errs
}
// SetCustomSettings allows a user to modify the RSI limits in their config