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master
6 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
Scott
|
85403fe801 |
exchange/order/limits: Migrate to new package and integrate with exchanges (#1860)
* 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> |
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Adrian Gallagher
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3cc9a2b9e0 |
exchanges: Refactor time handling and other minor improvements (#1948)
* exchanges: Refactor time handling and other minor improvements - Updated Kraken wrapper to utilise new time handling methods. - Simplified Kucoin types by removing unnecessary structures and using direct JSON unmarshalling. - Improved websocket handling in Kucoin to directly parse candlestick data. - Modified Lbank types to use the new time representation. - Adjusted Poloniex wrapper and types to utilise the new time handling. - Updated Yobit types and wrapper to reflect changes in time representation. - Introduced DateTime type for better handling of specific time formats. - Added tests for DateTime unmarshalling to ensure correctness. - Rid UTC().Unix and UTC().UnixMilli as it's not needed - Correct Huobi timestamp usage for some endpoints. - Rid RFC3339 time parsing since Go does that automatically. * exchanges: Refactor JSON unmarshalling for various types and improve test coverage * linter: Update error message in TestGetKlines * refactor: Simplify JSON unmarshalling in MovementHistory and improve test assertions in GetKlines * refactor: Improve JSON unmarshalling for channel name and clarify comment in wsProcessOpenOrders * refactor: Update time handling in Huobi types to use types.Time for createdAt fields and relax GetLiquidationOrders test * refactor: Move wsTicker, wsSpread, wsTrades, and wsCandle types to kraken_types.go for better organistion * refactor: Add validation for underlying parameter in GetExpirationTime and update tests |
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Scott
|
91d699be9d |
maps: expansion of Key concept (#1349)
* moves everything to use single map keys, also breaks * full rollout * tests * fix a little bug * minor test fixups * Fix Key use * rm 🔑 from 🔑 struct name |
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Scott
|
017cdf1384 |
Backtester: Live trading upgrades (#1023)
* Modifications for a smoother live run * Fixes data appending * Successfully allows multi-currency live trading. Adds multiple currencies to live DCA strategy * Attempting to get cash and carry working * Poor attempts at sorting out data and appending it properly with USD in mind * =designs new live data handler * Updates cash and carry strat to work * adds test coverage. begins closeallpositions function * Updates cash and carry to work live * New kline.Event type. Cancels orders on close. Rn types * =Fixes USD funding issue * =fixes tests * fixes tests AGAIN * adds coverage to close all orders * crummy tests, should override * more tests * more tests * more coverage * removes scourge of currency.Pair maps. More tests * missed currency stuff * Fixes USD data issue & collateral issue. Needs to close ALL orders * Now triggers updates on the very first data entry * All my problems are solved now???? * fixes tests, extends coverage * there is some really funky candle stuff going on * my brain is melting * better shutdown management, fixes freezing bug * fixes data duplication issues, adds retries to requests * reduces logging, adds verbose options * expands coverage over all new functionality * fixes fun bug from curr == curr to curr.Equal(curr) * fixes setup issues and tests * starts adding external wallet amounts for funding * more setup for assets * setup live fund calcs and placing orders * successfully performs automated cash and carry * merge fixes * funding properly set at all times * fixes some bugs, need to address currencystatistics still * adds 'appeneded' trait, attempts to fix some stats * fixes stat bugs, adds cool new fetchfees feature * fixes terrible processing bugs * tightens realorder stats, sadly loses some live stats * this actually sets everything correctly for bothcd ..cd ..cd ..cd ..cd ..! * fix tests * coverage * beautiful new test coverage * docs * adds new fee getter delayer * commits from the correct directory * Lint * adds verbose to fund manager * Fix bug in t2b2 strat. Update dca live config. Docs * go mod tidy * update buf * buf + test improvement * Post merge fixes * fixes surprise offset bug * fix sizing restrictions for cash and carry * fix server lints * merge fixes * test fixesss * lintle fixles * slowloris * rn run to task, bug fixes, close all on close * rpc lint and fixes * bugfix: order manager not processing orders properly * somewhat addresses nits * absolutely broken end of day commit * absolutely massive knockon effects from nits * massive knockon effects continue * fixes things * address remaining nits * jk now fixes things * addresses the easier nits * more nit fixers * more niterinos addressederinos * refactors holdings and does some nits * so buf * addresses some nits, fixes holdings bugs * cleanup * attempts to fix alert chans to prevent many chans waiting? * terrible code, will revert * to be reviewed in detail tomorrow * Fixes up channel system * smashes those nits * fixes extra candles, fixes collateral bug, tests * fixes data races, introduces reflection * more checks n tests * Fixes cash and carry issues. Fixes more cool bugs * fixes ~typer~ typo * replace spot strats from ftx to binance * fixes all the tests I just destroyed * removes example path, rm verbose * 1) what 2) removes FTX references from the Backtester * renamed, non-working strategies * Removes FTX references almost as fast as sbf removes funds * regen docs, add contrib names,sort contrib names * fixes merge renamings * Addresses nits. Fixes setting API credentials. Fixes Binance limit retrieval * Fixes live order bugs with real orders and without * Apply suggestions from code review Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update backtester/engine/live.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update backtester/engine/live.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update backtester/config/strategyconfigbuilder/main.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * updates docs * even better docs Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> |
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Ryan O'Hara-Reid
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f843b7d277 |
exchange: upgrade UpdatePair method (#991)
* exchange: upgrade update pair * exchanges: Add enabled string matching and format handling if discrepency is found. * linter: fixes * bithumb: fix tests * BTSE: api change fix ordering * huobi: fix tests * gloriousnits: stage 1 * gloriousnits: stage 2 * currency: more nits * bitmex: add spot and process pairs before currency package call. * bitmex: finished correct orderbook matching and other implementations * linter: fix issue * currency: Fix linter * currency: segregate and protect pair store, update tests * currency/manager: clean code, rm log output * currency: Add store method and make sure formatting stays nil if not stored. * gct: check errors * engine/websocketroutineman: fix tests * bybit: fix duplication bug * huobi: fix test * btse: fix tests? * ob/buffer: fix tests * Update currency/manager.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits * glorious: nits strikes again. * exchange: add bypassConfigFormatUpgrades to stop formatting * GLORIOUS LINTER * Update exchanges/bithumb/bithumb_wrapper.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits * exchange: fix pair upgrade issue when duplications are in both avail and enabled pairs * linter: fix shadow dec * config: fix test * Update currency/pair_test.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Scott <gloriousCode@users.noreply.github.com> |
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Scott
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f929b4d51e |
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 |