backtester: Futures handling & FTX Cash and Carry example strategy (#930)

* implements futures functions and GRPC functions on new branch

* lint and test fixes

* Fix uneven split pnl. Adds collateral weight test. docs. New clear func

* Test protection if someone has zero collateral

* Uses string instead of double for accuracy

* Fixes old code panic

* context, match, docs

* Addresses Shazniterinos, var names, expanded tests

* Returns subaccount name, provides USD values when offlinecalc

* Fixes oopsie

* Fixes cool bug which allowed made up subaccount results

* Subaccount override on FTX, subaccount results for collateral

* Strenghten collateral account info checks. Improve FTX test

* English is my first language

* Fixes oopsies

* Adds some conceptual futures order details to track PNL

* Initial design of future order processing in the backtester

* Introduces futures concept for collateral and spot/futures config diffs

* Fixes most tests

* Simple designs for collateral funding pair concept

* Expands interface use so much it hurts

* Implements more collateral interfaces

* Adds liquidation, adds strategy, struggles with Binance

* Attempts at getting FTX to work

* Adds calculatePNL as a wrapper function and adds an `IsFutures` asset check

* Successfully loads backtester with collateral currency

* Fails to really get much going for supporting futures

* Merges master changes

* Fleshes out how FTX processes collateral

* Further FTX collateral workings

* hooks up more ftx collateral and pnl calculations

* more funcs to flesh out handling

* Adds more links, just can't fit the pieces together :(

* Greatly expands futures order processing

* Fleshes out position tracker to also handle asset and exchange +testing

* RM linkedOrderID. rn positioncontroller, unexport

* Successfully tracks futures order positions

* Fails to calculate PNL

* Calculates pnl from orders accurately with exception to flipping orders

* Calculates PNL from orders

* Adds another controller layer to make it ez from orderstore

* Backtester now compiles. Adds test coverage

* labels things add scaling collateral test

* Calculates pnl in line with fees

* Mostly accurate PNL, with exception to appending with diff prices

* Adds locks, adds rpc function

* grpc implementations

* Gracefully handles rpc function

* beautiful tests!

* rejiggles tests to polish

* Finishes FTX testing, adds comments

* Exposes collateral calculations to rpc

* Adds commands and testing for rpcserver.go functions

* Increase testing and fix up backtester code

* Returns cool changes to original branch

* end of day fixes

* Fixing some tests

* Fixing tests 🎉

* Fixes all the tests

* Splits the backtester setup and running into different files

* Merge, minor fixes

* Messing with some strategy updates

* Failed understanding at collateral usage

* Begins the creation of cash and carry strategy

* Adds underlying pair, adds filldependentevent for futures

* Completes fill prerequsite event implementation. Can't short though

* Some bug fixes

* investigating funds

* CAN NOW CREATE A SHORT ORDER

* Minor change in short size

* Fixes for unrealised PNL & collateral rendering

* Fixes lint and tests

* Adds some verbosity

* Updates to pnl calc

* Tracks pnl for short orders, minor update to strategy

* Close and open event based on conditions

* Adds pnl data for currency statistics

* Working through PNL calculation automatically. Now panics

* Adds tracking, is blocked from design

* Work to flesh out closing a position

* vain attempts at tracking zeroing out bugs

* woww, super fun new subloggers 🎉

* Begins attempt at automatically handling contracts and collateral based on direction

* Merge master + fixes

* Investigating issues with pnl and holdings

* Minor pnl fixes

* Fixes future position sizing, needs contract sizing

* Can render pnl results, focussing on funding statistics

* tracking candles for futures, but why not btc

* Improves funding statistics

* Colours and stats

* Fixes collateral and snapshot bugs

* Completes test

* Fixes totals bug

* Fix double buy, expand stats, fixes usd totals, introduce interface

* Begins report formatting and calculations

* Appends pnl to receiving curr. Fixes map[time]. accurate USD

* Improves report output rendering

* PNL stats in report. New tests for futures

* Fixes existing tests before adding new coverage

* Test coverage

* Completes portfolio coverage

* Increase coverage exchange, portfolio. fix size bug. NEW CHART

* WHAT IS GOING ON WITH PNL

* Fixes PNL calculation. Adds ability to skip om futures tracking

* minor commit before merge

* Adds basic liquidation to backtester

* Changes liquidation to order based

* Liquidationnnnnn

* Further fleshes out liquidations

* Completes liquidations in a honorable manner. Adds AppendReasonf

* Beginnings of spot futures gap chart. Needs to link currencies to render difference

* Removes fake liquidation. Adds cool new chart

* Fixes somet tests,allows for zero fee value v nil distinction,New tests

* Some annoying test fixes that took too long

* portfolio coverage

* holding coverage, privatisation funding

* Testwork

* boring tests

* engine coverage

* More backtesting coverage

* Funding, strategy, report test coverage

* Completes coverage of report package

* Documentation, fixes some assumptions on asset errors

* Changes before master merge

* Lint and Tests

* defaults to non-coloured rendering

* Chart rendering

* Fixes surprise non-local-lints

* Niterinos to the extremeos

* Fixes merge problems

* The linter splintered across the glinting plinths

* Many nits addressed. Now sells spot position on final candle

* Adds forgotten coverage

* Adds ability to size futures contracts to match spot positions.

* fixes order sell sizing

* Adds tests to sizing. Fixes charting issue

* clint splintered the linters with flint

* Improves stats, stat rendering

* minifix

* Fixes tests and fee bug

* Merge fixeroos

* Microfixes

* Updates orderPNL on first Correctly utilises fees. Adds committed funds

* New base funcs. New order summary

* Fun test updates

* Fix logo colouring

* Fixes niteroonies

* Fix report

* BAD COMMIT

* Fixes funding issues.Updates default fee rates.Combines cashcarry case

* doc regen

* Now returns err

* Fixes sizing bug issue introduced in PR

* Fixes fun fee/total US value bug

* Fix chart bug. Show log charts with disclaimer

* sellside fee

* fixes fee and slippage view

* Fixed slippage price issue

* Fixes calculation and removes rendering

* Fixes stats and some rendering

* Merge fix

* Fixes merge issues

* go mod tidy, lint updates

* New linter attempt

* Version bump in appveyor and makefile

* Regex filename, config fixes, template h2 fixes

* Removes bad stats.

* neatens config builder. Moves filename generator

* Fixes issue where linter wants to fix my spelling

* Fixes pointers and starts

engine/rpcserver_test.go

@@ -141,7 +141,6 @@ func (f fExchange) GetFuturesPositions(_ context.Context, a asset.Item, cp curre
 			Price:     1337,
 			Amount:    1337,
 			Fee:       1.337,
-			FeeAsset:  currency.Code{},
 			Exchange:  f.GetName(),
 			OrderID:   "test",
 			Side:      order.Long,
@@ -1139,7 +1138,7 @@ func TestGetOrders(t *testing.T) {
 		RequestFormat: &currency.PairFormat{Uppercase: true}}
 	em.Add(exch)
 	var wg sync.WaitGroup
-	om, err := SetupOrderManager(em, engerino.CommunicationsManager, &wg, false)
+	om, err := SetupOrderManager(em, engerino.CommunicationsManager, &wg, false, false)
 	if !errors.Is(err, nil) {
 		t.Errorf("received '%v', expected '%v'", err, nil)
 	}
@@ -1246,7 +1245,7 @@ func TestGetOrder(t *testing.T) {
 		RequestFormat: &currency.PairFormat{Uppercase: true}}
 	em.Add(exch)
 	var wg sync.WaitGroup
-	om, err := SetupOrderManager(em, engerino.CommunicationsManager, &wg, false)
+	om, err := SetupOrderManager(em, engerino.CommunicationsManager, &wg, false, false)
 	if !errors.Is(err, nil) {
 		t.Errorf("received '%v', expected '%v'", err, nil)
 	}
@@ -1775,7 +1774,7 @@ func TestGetManagedOrders(t *testing.T) {
 		RequestFormat: &currency.PairFormat{Uppercase: true}}
 	em.Add(exch)
 	var wg sync.WaitGroup
-	om, err := SetupOrderManager(em, engerino.CommunicationsManager, &wg, false)
+	om, err := SetupOrderManager(em, engerino.CommunicationsManager, &wg, false, false)
 	if !errors.Is(err, nil) {
 		t.Errorf("received '%v', expected '%v'", err, nil)
 	}
@@ -2108,6 +2107,7 @@ func TestGetFuturesPositions(t *testing.T) {
 	if err != nil {
 		t.Fatal(err)
 	}
+	cp.Delimiter = ""
 
 	b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore)
 	b.CurrencyPairs.Pairs[asset.Futures] = &currency.PairStore{
@@ -2129,7 +2129,7 @@ func TestGetFuturesPositions(t *testing.T) {
 	}
 	em.Add(fakeExchange)
 	var wg sync.WaitGroup
-	om, err := SetupOrderManager(em, &CommunicationManager{}, &wg, false)
+	om, err := SetupOrderManager(em, &CommunicationManager{}, &wg, false, false)
 	if !errors.Is(err, nil) {
 		t.Errorf("received '%v', expected '%v'", err, nil)
 	}
@@ -2164,7 +2164,37 @@ func TestGetFuturesPositions(t *testing.T) {
 		Secret: "super wow",
 	})
 
-	r, err := s.GetFuturesPositions(ctx, &gctrpc.GetFuturesPositionsRequest{
+	_, err = s.GetFuturesPositions(ctx, &gctrpc.GetFuturesPositionsRequest{
+		Exchange: fakeExchangeName,
+		Asset:    asset.Futures.String(),
+		Pair: &gctrpc.CurrencyPair{
+			Delimiter: currency.DashDelimiter,
+			Base:      cp.Base.String(),
+			Quote:     cp.Quote.String(),
+		},
+		Verbose: true,
+	})
+	if !errors.Is(err, order.ErrPositionsNotLoadedForExchange) {
+		t.Fatalf("received '%v', expected '%v'", err, order.ErrPositionsNotLoadedForExchange)
+	}
+
+	od := &order.Detail{
+		Price:     1337,
+		Amount:    1337,
+		Fee:       1.337,
+		Exchange:  fakeExchangeName,
+		OrderID:   "test",
+		Side:      order.Long,
+		Status:    order.Open,
+		AssetType: asset.Futures,
+		Date:      time.Now(),
+		Pair:      cp,
+	}
+	err = s.OrderManager.orderStore.futuresPositionController.TrackNewOrder(od)
+	if !errors.Is(err, nil) {
+		t.Fatalf("received '%v', expected '%v'", err, nil)
+	}
+	_, err = s.GetFuturesPositions(ctx, &gctrpc.GetFuturesPositionsRequest{
 		Exchange: fakeExchangeName,
 		Asset:    asset.Futures.String(),
 		Pair: &gctrpc.CurrencyPair{
@@ -2177,15 +2207,6 @@ func TestGetFuturesPositions(t *testing.T) {
 	if !errors.Is(err, nil) {
 		t.Fatalf("received '%v', expected '%v'", err, nil)
 	}
-	if r == nil { //nolint:staticcheck,nolintlint // SA5011 Ignore the nil warnings
-		t.Fatal("expected not nil response")
-	}
-	if len(r.Positions) != 1 { //nolint:staticcheck,nolintlint // SA5011 Ignore the nil warnings
-		t.Fatal("expected 1 position")
-	}
-	if r.TotalOrders != 1 { //nolint:staticcheck,nolintlint // SA5011 Ignore the nil warnings
-		t.Fatal("expected 1 order")
-	}
 
 	_, err = s.GetFuturesPositions(ctx, &gctrpc.GetFuturesPositionsRequest{
 		Exchange: fakeExchangeName,