* orderbook: Check assignment of time values and reject if not set.
* linter: fix
* buffer: additional linter winter fixter
* Implement through pending exchanges
* finished push
* linty: minty
* gomod: tidy
* thrasher: nits
* glorious: nits
* orderbook: purge type now in favour of external call allocation
* orderbook: push last param
* orderbook: only 1 unlock call is needed
---------
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
* switch over to package defined const for time layout
* bump appveyor playa
* bumperino to latest while setting patherino
* whoooops
* bump VS version set GOROOT
* puge build cache
* Revert "puge build cache"
This reverts commit 315bb578afc19529457f435e52af2172f5143bc5.
* bumperino to test
* purge setting of golang directory for version and allow default
* purge cache state when file change
* whoops
* thrasher: nits
* don't need to flusherino the cacherino
---------
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
* initial concept of a nice validation tester for exchanges
* adds some datahandler design
* expand testing
* more tests and fixes
* minor end of day fix for bithumb
* fixes implementation issues
* more test coverage and improvements, but not sure if i should continue
* fix more wrapper implementations
* adds error type, more fixes
* changes signature, fixes implementations
* fixes more wrapper implementations
* one more bit
* more cleanup
* WOW things work?
* lintle 1/1337
* mini bump
* fixes all linting
* neaten
* GetOrderInfo+ asset pair fixes+improvements
* adds new websocket test
* expand ws testing
* fix bug, expand tests, improve implementation
* code coverage of a lot of new codes
* fixes everything
* reverts accidental changes
* minor fixes from reviewing code
* removes Bitfinex cancelBatchOrder implementation
* fixes dumb baby typo for babies
* mini nit fixes
* so many nits to address
* addresses all the nits
* Titlecase
* switcheroo
* removes websocket testing for now
* fix appveyor, minor test fix
* fixes typo, re-kindles killed kode
* skip binance wrapper tests when running CI
* expired context, huobi okx fixes
* kodespull
* fix ordering
* time fix because why not
* fix exmo, others
* hopefully this fixes all of my life's problems
* last thing today
* huobi, more like hypotrophy
* golangci-lint, more like mypooroldknee-splint
* fix huobi times by removing them
* should fix okx currency issues
* blocks the application
* adds last little contingency for pairs
* addresses most nits and new problems
* lovely fixed before seeing why okx sucks
* fixes issues with okx websocket
* the classic receieieivaier
* lintle
* adds test and fixes existing tests
* expands error handling messages during setup
* fixes dumb okx bugs introduced
* quick fix for lint and exmo
* fixes nixes
* fix exmo deposit issue
* lint
* fixes issue with extra asset runs missing
* fix surprise race
* all the lint and merge fixes
* fixes surprise bugs in OKx
* fixes issues with times and chains
* fixing all the merge stuff
* merge fix
* rm logs and a panic potential
* lovely lint lament
* an easy demonstration of scenario, but not of initial purpose
* put it in the bin
* Revert "put it in the bin"
This reverts commit 15c6490f713233d43f10957367fcbf18e3818bdd.
* re-add after immediate error popup
* fix mini poor test design
* okx okay
* merge fixes
* fixes issues discovered in lovely test
* I FORGOT TO COMMIT THIS
* nit fixaroonaboo
* forgoetten test fix
* revert old okx asset intrument work
* fixes
* revert problems I didnt understand. update bybit
* fix merge bugs
* test cleanup
* further improvements
* reshuffle and lint
* rm redundant CI_TEST by rm the CI_TEST field that is redundant
* path fix
* move to its own section, dont run on 32 bit + appveyor
* lint
* fix lbank
* address nits
* let it rip
* fix failing test time range
* niteroo boogaloo
* mod tidy, use common.SimpleTimeFormat
* Binance: Fix Exchange Order Limits not populating
The order of the filters cannot be trusted. New filters have been added
after the 2nd filter, breaking all filter passing afterwards.
This adds a basic test that the data is being populated, but more could
be done on testing.
We should have stricter typing on the filters, perhaps by unmarshalling into
json.RawMessage initially and then into typed stuct fields based on the
filterType. Finally we should spot both missing and unhandled filters, at least in
tests.
* Binance: Add TODO for unhandled filterTypes
* exchanges/sharedtestvalues: implement new functions to handle test skipping and announcements for standardising.
* exchanges: fin test impl.
* linter: fixes
* exchange_template: fix test
* allocate so it doesn't make a panic at the disco
* glorious: nits
* glorious: nits
* Update exchanges/sharedtestvalues/sharedtestvalues.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* Update exchanges/sharedtestvalues/sharedtestvalues.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* glorious: nits
* linter: fix
* linter: shhhh
---------
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* wrapper_coverage/exchanges: cancel context to not send rest requests/ populate context through functions that do rest requests
* linter: fix
* exchange_template: fix test
---------
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
* kline: Add builder and testing
* Ideas
* kline: deploy builder functionality across GCT
* exchanges: implement across gct
* exchanges: Add tests and fix implementations before kline package testing and veri.
* kline: Add tests and start to fix ConvertToNewInterval
* kline: fix ConvertToNewInterval add tests
* kline: complete overarching tests now on to exchanges
* kline: finish exchange tests and implement limits
* exchanges: more fixes
* linter: fix
* engine: fix tests
* kraken: fix recent trades and other fixes
* zb: fix tests
* bithumb: fix empty insertion
* kline: refactor/optimize CreateKline function
* kline: remove the mooos!
* kline: prealloc CalculateCandleDateRanges
* linter: fix
* exchanges: prealloc extended
* fix whoopsie
* reverse fix because this is a whoopsie
* okx: fix risidual issues
* linter: fix
* kline: initial nits from @gloriouscode
* kline: rename builder -> request and cascade change
* linter: fix + test
* kline: update forced alignment on start and end times when CreateKlineRequest is called.
* nits: more more more
* NITS: Addressed
* tests: fix race issue
* Update exchanges/kline/request.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* kline: add method AddPadding() to automatically fill in holes in kline.Request functionality and reject if missing data when converting
* kline: Add params start and end to addPadding() to insert blanks in between block
* kline: remove test comment code as it's not needed anymore
* kline: fix lint and test
* kline: sort slice without extra bool check every iteration
* okx: fix issues with timeing and candles and such from niterinos & address typo
* Update exchanges/kline/kline.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* glorious: niterinos
* Update exchanges/poloniex/poloniex_wrapper.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* glorious: nits now onto conflicts YAYA!!!
* Update exchanges/exchange_test.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* glorious: nits again
* thrasher: nitters
* thrasher: niterinos - adds partial flag for incomplete recent candles and fetching.
* kline: rm fmtizzle packageizzle
* glorious: nitters
* glorious: more niterinos
* fix last niterinos
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* binance: adjust outbound start and end time to millisecond
* binance: set correct strings
* binance: convert to unixmilli and fix tests
* nits: fix execution limits, remove deprecated functions, fix tests requiring live tests to stay within a 30day time period.
* binance: rm params unused
* binance: comment fix
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
* Adds basic PoC for calculating/retrieving position data
* A very unfortunate day of miscalculations
* Adds position summary and funding rate details to RPC
* Offline funding rate calculations
* More helpers, more stats, refining data, automated retrieval
* Adds new rpc server commands and attempts some organisation
* lower string, lower stress
* Adds ordermanager config. Fleshes outcli. Tracks positions automatically
* Adds new separation for funding payments/rates
* Combines funding rates and payments
* Fun test coverage
* ALL THE TESTS... I hope
* Fixes
* polishes ftx tests. improves perp check. Loops rates
* Final touches before nit attax
* buff 💪
* Stops NotYetImplemented spam with one simple trick!
* Some lovely little niteroos
* linteroo
* Clarifies a couple of errors to help narrow likely end user problems
* Fixes asset type bug, fixes closed position order return, fixes unset status bug
* Fixes order manager handling when no rates are available yet
* Continues on no funding rates instead. Removes err
* Don't show predicted rate if the time is zero
* Addresses scenario with no funding rate payments
* Bug fixes and commentary before updating maps to use *currency.Item
* Adds a pair key type
* Polishes pKey, fixes map order bug
* key is not a property in the event someone changes the base/quote
* Adds improvements to order processing...Breaks it all
* Shakes up the design of things by removing a function
* Fixes issues with order manager positions. Limits update range
* Fixes build issues. Identification of bad tests.
* Merges and fixes features from master and this branch
* buff linter 💪
* re-gen
* proto regen
* Addresses some nits. But not all of them.
* Fixes issue where funding rates weren't returned 🎉
* completes transition futures tracking to map[*currency.Item]map[*currency.Item]
* who did that? not me
* removes redundant check on account of being redundant and unnecessary
* so buf
* addresses nits: duplications, startTime, loops, go tidy, typos
* fixes minor mistakes
* fixes 🍣🐻 changes to int64
* few fixes and add ratelimiter
* adds test
* revert configtest.json changes
* configtest updated
* WIP: adds public endpoint support
* WIP: adds public endpoint support
* adds public endpoint support
* WIP: adds auth. endpoint support
* adds test for auth. endpoint
* fixes
* adds auth. endpoint support
* WIP: ws support
* WIP
* WIP
* WIP
* WIP
* WIP
* WIP
* WIP
* Testing
* Complete WS spot testing
* adds support for ws events
* minor change
* WIP: adds REST support for CoinMarginedFutures
* Fixes
* WIP: adds REST support for CoinMarginedFutures
* Fixes
* improvement in SPOT REST
* Typo fix
* WIP: add REST support for CMF Account API
* minor fixes
* WIP: add support for CMF conditional orders and few minor fixes
* complete support for CMF conditional orders
* adds support for public CMF endpoint
* adds support for CMF position API
* Complete REST CMF support
* WIP
* Testing REST CMF support
* Testing REST CMF support
* Testing REST CMF support completed
* WIP: add support for UMF
* completed non-auth UMF
* WIP: add support for REST Auth. UMF
* WIP: add support for REST Auth. UMF and some improvements
* WIP
* WIP
* WIP
* completed REST UMF
* renaming
* adds REST support for futures
* add testcases for UMF and some optimizations
* add testcases for futures
* Testing UMF, futures and its changes
* Fixes
* Fixes after testing
* WIP
* WIP
* WIP
* completed ws USDT futures support
* WIP: ws support for futures
* fixes in WS futures
* fixes in WS support
* roll back changes made for WS CMF, USDT and Futures
* fixes
* WIP
* WIP
* fixes
* Steps for new PR
* WIP
* WIP
* WIP
* WIP
* complete PR setup
* fixes for successfully running tests
* update in symbol for futures pair in test file
* WIP
* Fixes in test file and other minor fix
* fix testdata/configtest.json
* reset CONTRIBUTORS file
* review changes
* remove unwanted file
* remove redundant code
* improvisation
* adds comment for exported functions
* remove unwanted TODO and commented code
* fix
* improvisation
* fix
* defined errors
* improvisation
* improvisation
* improvisation
* updates test
* adds comment for exported types
* review changes
* review changes
* fix
* fixes
* Changes for making BYBIT compatible with existing code base
* Test file changes
* Changes for making BYBIT compatible with existing code base
* Changes for making BYBIT compatible with existing code base
* fix lint issues
* fix
* review changes
* review changes
* review changes
* review changes
* review changes
* review changes
* review changes
* review changes
* review changes
* review changes
* WIP
* add test cases for new API's
* minor improvements
* add missing API and their tests
* minor fixes
* add bybitTime
* add bybitTimeSec, bybitTimeMilliSec, bybitTimeNanoSec and necessary support
* fix GetTradeHistory function
* error handling
* test fixes
* add GetServerTime API
* adds GetHistoricCandlesExtended and review changes
* test fixes
* minor fix
* integrating CMF Bybit recent change log
* minor fixes
* adds extractCurrencyPair
* minor fixes
* minor fix
* review changes
* adds variable declaration of error
* review commit
* adds embeddable type in API response for all API and integrate it
* fixes
* adds authentication WS connection
* review changes
* review changes
* compatible changes
* adds asset to GetWithdrawalsHistory
* adds asset_type in rpc.proto
* adds asset argument in gctcli withdrawal request command
* improve error handling in exchange API error
* web socket fix
* review changes
* improvements
* improvements
* minor fix
* review changes
* fixing wrapper issues
* fixes
* fixes
* review changes
* add test cases
* fix for GetActiveOrders
* lint fixes
* fixes in websocket
* adds wrapper testcases
* adds wrapper testcases
* adds wrapper testcases
* fixes
* fix issue with GetHistoricCandlesExtended
* fix merge issues
* improving error reporting
* adds wrapper testcases and a minor fix
* gctrpc changes
* adds test cases
fixes in websocket
* review changes for ws
* review changes in WS
* fix gctrpc
* merge fixes
* review changes
* WIP
* updates pair in configs
* adds new asset USDCMarginedFutures
* adds URL const for USDCMarginedFutures
* adds API support
* minor fixes
* adds kline API
* minor fix
* adds API
* adds API
* adds API
* WIP
* WIP
* WIP
* adds support for USDC auth requests to SendAuthHTTPRequest
* adds SendUSDCAuthHTTPRequest
* run test and fix them
* rollback support added for Auth. USDC request inside SendAuthHTTPRequest
* adds API and test cases
* adds API and test cases
* adds APIs and test cases
* adds APIs
* adds rate limit for USDC
* adds USDCMarginedFutures to wrapper
* adds USDC testcases in wrapper and fix few issues
* minor test fixes
* minor test fixes
* fix lint issues
* WIP
* Merge changes
* minor fixes
* remove "else" and optimize
* review changes
* review changes
* review changes
* fix lint issue
* merge fix
* fix test
* fix templates and run them
* changes after merge
* review changes and improvements
* code improvement
* fixes with respect to changes in API response in documentation
* fixed review change in test
* adds check in CancelExistingOrder
* update exchange template
* review changes
* adds GetDepositAddress API
* WIP: adds GetOrderHistory
* complete GetOrderHistory
* fixes
* adds test case
* fixes and add WithdrawFund API
* WIP
* WIP
* updating all SendAuthHTTPRequest call
* adds WithdrawCryptocurrencyFunds
* update test cases
* fix lint issues
* fixes after merge
* adds GetAvailableTransferChains and few fixes
* minor fix in GetDepositAddress
* minor fix with WS ping/pong handling
* add ping handler for WS Auth.
* fix typo mistake
* update doc
* 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
* orders: deprecate SubmitResponse return and change to *order.Detail construct detail from order.Submit struct
* orders: add coverage, fix tests
* coinut: rm test for checking
* orders: revert change for return and change field ID to a more explicit name OrderID
* orders: Add method to see if the order was placed
* order: change field name in Cancel type to be more explicit
* orders: standardize field -> OrderID
* backtester: populate change
* orders: add test
* gctscript: fix field name
* linter: fix issues
* linter: more fixes
* linter: forever
* exchanges_tests: populate order.Submit field exchange name
* Update exchanges/order/order_types.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* Update exchanges/order/orders.go
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* glorious: nits
* glorious: nits
* thrasher: nits
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
* orders: add method to Limit to retrieve order execution limit snapshots
* currency/btcmarkets: add error and update field name to standard
* linter: fix
* limts: don't return pointer
* limit: Add notes
* glorious: nits
* linter: fix
* limit: reinstate nil check
* exchanges: change field names to be more consistent (@thrasher-) suggestion
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
* 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
* Fixes for unrealised PNL & collateral rendering
* Fixes lint and tests
* Shaznit fixes
* Secret Shaznit
* Updates account information across wrappers to include more fields
* Updates online collateral calculations. Updates RPC data
* Accurately calculates collateral offline and online minus testing
* Tests and lint chocolate
* Simplifies accountinfo results
* Fixes shaznits
* Adds new func
* Increases collateral accuracy again again again x 200
* Increases accuracy of collateral rendering
* Fixes minor merge/test issues
* Linterino
* Fixes ws test. Improves collateral calculations and rendering
* Make it prettier
* Removes the lock I put on 👀
* Adds `additional_collateral_used` field, renders orig currency
* Fixes unrelated test
* Fix test
* Correctly calculate spot margin borrow collateral
* Address fun lint surprise
See https://github.com/golangci/golangci-lint/issues/741#issuecomment-1017014331
* Strange lint fixing x2
* Continued lint journey
* Nolint the nolint to not lint the lint
* Adds two new fields to response
* More linting issues arising
* fIX3s_c4s|NG
* Fixes command flags' incorrect numbering
* FairMarket = Won
* currency: Add method to derive pair
* currency: Add method to lower entire charset but used the slice copy and returned that. This will change the original, just gotta see if this is an issue, but the slice usually goes out of scope anyway.
* currency/pairs: add filter method
* currency: add function to derive select currencies from currency pairs
* currency/engine: slight adjustments
* currency: fix linter issue also shift burden of proof to caller instead of repair, more performant.
* currency: more linter
* pairs: optimize; reduce allocs/op and B/op
* currency: Add in function 'NewPairsFromString' for testing purposes
* currency: don't suppress error
* currency: stop panic on empty currency code
* currency: Add helper method to match currencies between exchanges
* currency: fixed my bad spelling
* currency: Implement stable coin checks, refactored base code methods, optimized upper and lower case strings for currency code/pairs
* currency: add pairs method to derive stable coins from internal list.
* Currency: Cleanup, fix tests.
* engine/exchanges/currency: fix whoops
* Currency: force govet no copy on Item datatype
* Currency: fix naughty linter issues
* exchange: revert change
* currency/config: fix config upgrade mistake
* currency: re-implement currency sub-systems
* *RetrieveConfigCurrencyPairs removed
*CheckCurrencyConfigValues to only provide warnings, add additional support when, disable when support is lost or not available and set default values.
*Drop Cryptocurrencies from configuration as this is not needed.
*Drop REST Poll delay field as this was unused.
*Update default values for currencyFileUpdateDuration & foreignExchangeUpdateDuration.
*Allow Role to be marshalled for file type.
*Refactor RunUpdater to verify and check config values and set default running foreign exchange provider.
* currency: cleanup
* currency: change match -> equal for comparison which is more of a standard and little easier to find
* currency: address nits
* currency: fix whoops
* currency: Add some more pairs methods
* currency: linter issues
* currency: RM unused field
* currency: rm verbose
* currency: fix word
* currency: gocritic
* currency: fix another whoopsie
* example_config: default to show log system name
* Currency: Force all support packages to use Equal method for comparison as there is a small comparison bug when checking upper and lower casing, this has a more of a pronounced impact between exchanges and client instances of currency generation
* currency: fix log name
* ordermanager: fix potential panic
* currency: small optim.
* engine: display correct bool and force shutdown
* currency: add function and fix regression
* Change ConvertCurrency -> ConvertFiat to be more precise
* ADD GetForeignExchangeRate to get specific exchange rate for fiat pair
* Fix currency display and formatting regression and tied in with config.Currency fields
* engine: fix tests
* currency: return the amount when no conversion needs to take place
* currency: reduce method name
* currency: Address nits glorious nits
* currency: fix linter
* currency: addr nits
* currency: check underlying role in test
* gct: change to EMPTYCODE and EMPTYPAIR across codebase
* currency: fix nits
* currency: this fixes test race but this issue has not been resolved. Please see: https://trello.com/c/54eizOIo/143-currency-package-upgrades
* currency: Add temp dir for testing
* Update engine/engine.go
Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
* documentation: update and regen
* currency: Address niterinos
* currency: Add test case for config upgrade when falling over to exchange rate host as default from exchangeRates provider
* currency: addr nits
* currency: fix whoops
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
* cmd/tools/exchange: fix regression and implement reflection so as this can dynamically scale to our interface
* exchanges: add comment and fix whoopsie
* exchanges: fix linter issues
* wrapper_cov_tool: add actual full interface method count to get a better perceived deployment
* exchanges/tool: addr glorious nits
* kraken: remove string in test
* exchange_template_tool: fix tmpl issue
* exchanges/binance: proper arguments order when calling Binance.FuturesNewOrder
* exchanges/binance: adapt FuturesOrderPlaceData (+ unmarshaling) to latest coin/delivery futures API
* exchanges/binance: introduce futuresNewOrderRequest and use it to pass order parameters for coin margined futures
* exchanges/binance: test json unmarshaling of FuturesOrderPlaceData
* exchanges/binance: reorder fields as per docs, include missing fields (also in tests)
* exchanges/binance/coinm: use constants instead of hard coded strings (also fixes linting)
* exchanges/binance/coinm: pass futuresNewOrderRequest by reference
* exchanges/binance/coinm: expose FuturesNewOrderRequest
* exchanges/binance/coinm: do not explicitly assign default values fields of FuturesNewOrderRequest
* exchanges/binance/coinm: document FuturesNewOrderRequest
* exchanges/binance/coinm: expose all fields of FuturesNewOrderRequest
* exchanges/binance/coinm: expose fields of FuturesNewOrderRequest
* exchange/binance/coin: order submission: add support for priceProtect
Co-authored-by: Yordan Miladinov <jordanmiladinov@gmail.bg>
* golangci-lint/CI: Bump versions
Fix remaining linter issues
* Specifically set AppVeyor version
* Fix the infamous typos 👀
* Add go env cmd to AppVeyor
* Add go version cmd to AppVeyor
* Specify AppVeyor image, adjust linters
* Update go get to go install due to deprecation
* Bump golangci-lint timeout time for AppVeyor
* Change NW contract to NQ
* Address nitters
* GetRandomPair -> Pair{}
* Address nits
* Address time nitterinos plus additional tweaks
* More time inception upgrades!
* Bending time and space
* gct: phase one context awareness pass
* exchanges: context propagation pass
* common/requester: force context requirement
* gctcli/exchanges: linter fix
* rpcserver: fix test using dummy rpc server
* backtester: fix comments
* grpc: add correct cancel and timeout for commands
* rpcserver_test: add comment on dummy server
* common: deprecated SendHTTPGetRequest
* linter: fix
* linter: turn on no context check
* apichecker: fix context linter issue
* binance: use param context
* common: remove checks as this gets executed before main
* common: change mutex to RW as clients can be used by multiple go routines.
* common: remove init and JIT default client. Unexport global variables and add protection.
* common: Add comments
* bithumb: after dinner mints fix
* websocket: select case error if no receiver, add in functionality to reset to initial sync for books on a new websocket connection
* websocket: fix tests
* websocket: log error instead of losing it
* websocket: fix whoopsie
* exchanges: fix test
* websocket: force requirement of specific functionality
* exchanges: fix tests
* exchanges/websocket: move waitgroup add before scheduling across exchanges
* gateio: add feature subscribe
* bithumb/bittrex: include connection state reset, fix reconnection bug for Bithumb
* huobi: Add listen to shutdown to routine so it actually returns and stops being a naughty boy.
* huobi: add missing waitgroup add.
* exchanges: bleed comms channels
* binance: fix reconnection bug with buffer
* bithumb: fix reconnection bug with ws orderbook when websocket is diabled/enabled
* bithumb/bittrex: add bleeders for ws orderbook jobs
* linter: fix
* kraken: reduce code block from double assertion
* This bug ruined my day.
* glorious: error checking
* zb: add correct path for websocket connection
* exchange: Add verbosity when config conflicts and overwrites default values
* zb: add https to path
* exchanges: glorious nits
* stream: Add checkAndSetMonitoring to reduce potential routine bundling, increase timeout and check state in tests
* stream: remove check that is not needed.
* glorious: nits addr.
* lint: test
* golangci: Enable err checking linter to expose unchecked errors.
* gct: handle errors across the board
* gct: handle errors NOTE: Found bug in FTX (WIP)
* linter: fix issues
* ftx/exchanges: fix bug where error was being returned when setting pair management variables to an already enabled state
* bitmex: fix bug where a dangly supported asset in config danglied up the place.
* linter: fix more linter issues
* linter: fix my terrible spelling.
* currency: fix test
* exchanges: fix tests
* logger: fix test
* exchanges: fix tests
* glorious: nits
* vm: revert rm variable and instigate test
* exchanges: add an UpdateTickers method to the main exchange interface
This method will fetch all currency pair tickers of a given asset type
and update them internally, does nothing for now.
* exchanges: refactor UpdateTicker on all exchanges
Keep the exact previous behaviour but implement the UpdateTickers
method and refactor UpdateTicker by using it where applicable.
* sync_manager: update all tickers when batching is enabled
* binance: UpdateTicker to fetch single ticker symbol
* ftx: UpdateTicker to fetch single ticker symbol
* exchange/binance/websocket:
1. resolve order type by reading the dedicated executionReport field (X)
2. populate average price (computed as advised in docs: Z/z)
3. fee taken is now assigned to order.Detail.Fee (not to order.Detail.Cost)
4. proper order.Detail.Cost and order.Detail.CostAsset
* order.Detail: add a new field: FeeAsset
* exchange/binance/websocket: wsOrderUpdate: assign FeeAsset
* exchange/binance/websocket: wsOrderUpdate: use TransactionTime instead of EventTime (more precise) and populate order.Detail.TargetAmount
* exchange/binance/websocket: wsOrderUpdate: use full name for variables (isn't obvious otherwise), do not mix var and :=, order temporary variable by their order in order.Detail
* exchange/binance/websocket: order fields of WsOrderUpdateData by the documented/received-over-the-websocket order of fields
* exchange/binance/websocket: add explicitly "M" as WsOrderUpdateData.Ignored2, which would otherwise override small "m"
* exchange/binance/websocket: check for zero when computing averagePrice
* exchange/binance/test: update TestExecutionTypeToOrderStatus and TestWsOrderExecutionReport
* exchange/binance/websocket: wsOrderUpdate now reports cost thus far, not the total order cost as that cannot be predicted in the case of partially filled orders
* exchange/ftx/websocket: WsOrderDataStore now reports cost thus far, not the total order cost as that cannot be predicted in the case of partially filled orders
* exchange/binance/websocket: executionReport now does not set TargetAmount as it is not applicable
* exchanges: binance/websocket and ftx/websocket now properly set Date and LastUpdated time fields when reporting a trade
* exchange/binance/websocket: check if WsOrderUpdateData.CommissionAsset is populated when assigning feeAsset
* exchange/binance/test: fix TestWsOrderExecutionReport
* * Binance websocket: set commission of order Detail
* * Binance websocket: set commissionAsset of order.Detail
* * Binance websocket: change CostAsset to type currency.Code
* * Binance websocket: call NewCode after checking CommissionAsset is not empty. This guarantees that NULL CommissionAsset is mapped to an empty order.Detail.CostAsset. Otherwise, reflect.DeepEqual will fail on test. Update TestWsOrderExecutionReport json message to BTC commission.
* * Binance websocket: binance websocket "ExecutionReport" only provides "trade" status (partially filled), so check that executed amount == total amount before change status to filled
* Remove old concept. Introduce new job types and candle scaling
* Adds extra processing, commands
* new concept for queued jobs. Jobs can pause. New commands to manage status
* =End of day commit designing tables and implementing prerequisites further.
* Adds postgres data history relations
* Fixes table design for sqlite. Fixes all issues from merge
* Fixes craziness of database design. Adds some functions to get related jobs
* Fixes errors
* Updates some documentation, manages prerequisite jobs a little better, adds rpc funcs
* Fixes database design and adjust repo functions
* Tests database relationship
* Test coverage of new job functions
* Finishes coverage of new functions
* Commands and RPC coverage
* New database modifications for new job types
* Adds db support of new columns. Adds conversion validation. lint
* command blurb changes
* Allows websocket test to pass consistently
* Fixes merge issue preventing datahistorymanager from starting via config
* Minor fixes for different job type processing
* Fixes rangeholder issue, fixes validation, does not address jobs not starting or wrong status
* Fixes database tests, but at what cost. Fixes dhm tests
* Fixes dhj completion issue. Adds prerequisite by nickname
* Fixes validation processing. Adds db tests and validation
* Fixes validation job processing range
* Fixes trade sql. Reduces defaults. Validation processing and errors
* Updates cli job commands. adds validation decimal. fix job validation
* Expands run job handling and tests
* Validation work
* Fixes validation processing
* candle relations. new job type. updating database design
* Adds secondary exchange support. Sets stage for candle override
* Re adds accidentally deleted relationship
* Updates loading and saving candles to have relationship data when relevant
* Now validates and replaces candle data appropriately
* Fixes getting and setting datahistory data. Neatens DHM
* Test coverage
* Updates proto for new db types. New test coverage. Secondary exchange work
* Investigation into never-ending validation jobs. Now that intervals are ruled out, now need to complete the job....
* Fixes issues with validation job completion. Fixes validation volume issue for secondary exchange
* Adds candle warning support to the backtester
* Fixes warnings
* lint and begin docs
* Documentation updates. Final testing changes
* Minor fixes
* docs, prerequisite checks, more testing
* Fixes binance trade test. Rename err
* Documentation fixes. Figure fixes
* documentation update
* Fixes remote PSQL tests
* Fix binance mock test
* Remove unnecessary JSON
* regen proto
* Some minor nit fixes
* Var usage, query sorting, log improving, sql mirroring
* Extra coverage
* Experimental removal of m.jobs and mutex. Fix messaging
* Fixes error
* Lint fixes, command description improvements. More isRunning gates
* description improvements
* Lint
* BUFF regenerate
* Rough concept to fix insertions taking up long periods of time
* New calculation for trade data. Adds batch saving
This also adds an experimental request feature to shut down lingering requests. However, its uncertain whether or not this is having any impact. Initially thought it was the trades that was taking time and not SQL. Will investigate further
* Removes experimental requester. Adds documentation. Fixes typo
* rm unused error
* re-adds more forgotten contributors
* Now with proper commit count
* first draft of getmanaged orders RPC call
* - ClientIDs for binance, especially spot asset
- applied old ClientOrderId for cancelled orders
- added clientOrderId to GCTRPC
* added tests for Matchfilter and GetManagedOrders
* smaller fixes
* comment fix
added getFilteredOrders to store
changed store mutex to RWMutex
smaller fixes
* fixed bug in Detail Copy and added test
* fixes for Scotts review
* processSubmittedOrder was missing clientOrderId
* changed: TestGetOrdersFiltered expanded
fixed: warning, where variable name collided with package name
fixed: used req.AssetType in binance_wrapper.go
Co-authored-by: Mark Dzulko <81071907+Mark-numus@users.noreply.github.com>
* improved functions and new helper functions
* bitfinex margin info func
* small rate change
* rate changes
* adding some currencies for margin funding translation
* adding index candles
* added test
* slight improvement in params
* time func
* orderbook helper avgprice func
* broken test + removing some tlogs and prints
* adding test cases
* error fix
* remove unused
* another unused
* shazbert changes
* wip
* bitfinex func and more nits
* final shazzy nits
* most shazzy nits
* few prior requested changes
* shazbert nits final WIP
* shazbert changes
* minor linter issue
* unused val
* glorious changes
* more verbositiy improvements
* quick changes
* unused remaining amount oops
* thrasher changes
* reverting changes that were only for testing purposes and bymistake pushed up
* bfx shadow dec + huobi fetch tradable pairs formatted so as to return config format for ease of comparison and requests
* more linters
* glorious final nits wip
* formatting tradable pairs for different asset types + remove println
* glorious changes
* Initial codes for a trade tracker
* Moving everything in a broken fashion
* Removes tradetracker. Removes some errors for subsystems
* Cleans up some subsystems, renames stuttering types. Removes some global Bot usage
* More basic subsystem renaming and file moving
* Removes engine dependency from events,ntpserver,ordermanager,comms manager
* Exports eventManager, fixes rpcserver. puts rpcserver back for now
* Removes redundant error message, further removes engine dependencies
* experimental end of day interface usage
* adds ability to build the application
* Withdraw and event manager handling
* cleans up apiserver and communications manager
* Cleans up some start/setup processes. Though should separate
* More consistency with Setup Start Stop IsRunning funcs
* Final consistency pass before testing phase
* Fixes engine tests. Fixes stop nil issue
* api server tests
* Communications manager testing
* Connection manager tests and nilsubsystem error
* End of day currencypairsyncer tests
* Adds databaseconnection/databaseconnection_test.go
* Adds withdrawal manager tests
* Deposit address testing. Moved orderbook sync first as its more important
* Adds test for event manager
* More full eventmanager testing
* Adds testfile. Enables skipped test.
* ntp manager tests
* Adds ordermanager tests, Extracts a whole new subsystem from engine and fanangles import cycles
* Adds websocket routine manager tests
* Basic portfolio manager testing
* Fixes issue with currency pair sync startup
* Fixes issue with event manager startup
* Starts the order manager before backtester starts
* Fixes fee tests. Expands testing. Doesnt fix races
* Fixes most test races
* Resolves data races
* Fixes subsystem test issues
* currency pair syncer coverage tests
* Refactors portfolio. Fixes tests. Withdraw validation
Portfolio didn't need to exist with a portfolio manager. Now the porfolio manager
is in charge how the portfolio is handled and all portfolio functions are attached
to the base instead of just exported at the package level
Withdrawal validation occurred at the exchange level when it can just be run at the
withdrawal manager level. All withdrawal requests go through that endpoint
* lint -fix
* golang lint fixes
* lints and comments everything
* Updates GCT logo, adds documentation for some subsystems
* More documentation and more logo updates
* Fixes backtesting and apiserver errors encountered
* Fixes errors and typos from reviewing
* More minor fixes
* Changes %h verb to %w
* reverbs to %s
* Humbly begins reverting to more flat engine package
The main reasoning for this is that the subsystem split doesn't make sense
in a golang environment. The subsystems are only meant to be used with engine
and so by placing them in a non-engine area, it does not work and is
inconsistent with the rest of the application's package layout.
This will begin salvaging the changes made by reverting to a flat
engine package, but maintaining the consistent designs introduced.
Further, I will look to remove any TestMains and decrease the scope
of testing to be more local and decrease the issues that have been
caused from our style of testing.
* Manages to re-flatten things. Everything is within its own file
* mini fixes
* Fixes tests and data races and lints
* Updates docs tool for engine to create filename readmes
* os -> ioutil
* remove err
* Appveyor version increase test
* Removes tCleanup as its unsupported on appveyor
* Adds stuff that I thought was in previous merge master commit
* Removes cancel from test
* Fixes really fun test-exclusive data race
* minor nit fixes
* niterinos
* docs gen
* rm;rf test
* Remove typoline. expands startstop helper. Splits apiserver
* Removes accidental folder
* Uses update instead of replace for order upsert
* addresses nits. Renames files. Regenerates documentation.
* lint and removal of comments
* Add new test for default scenario
* Fixes typo
* regen docs
* Binance: REST respect proxy variable
* Binance: add rest API functionality
* margin account
* move accountInfo to authenticated endpoints
* myTrades endpoint (not yet implemented)
* add BUSD (available in Binance) to currencies enumeration
* Binance: websocket fix
* like REST, websocket dialer respects HTTP(S)_PROXY env vars
* handle situation when orderbook buffers websocket depth updates, the check on FastUpdateID and FirstUpdateID is done right before WebsocketDepthStream gets staged in orderbook manager's buffer channel. The assertion is this depth's FirstUpdateID should equal (last depth's LastUpdateID + 1)
* Binance: add Margin account test case
* Binance: fix typo in MarginAccount, add more fields
* Binance: margin account holdings bookkeeping
* Binance: add rest API functionality
* spot historical trades (public), needs API key in header
* change how margin account holdings are accounted in accordance with the PR
* Binance: use websocket message timestamp as orderbook update time
* Binance:
* fix mock test TestGetHistoricalTrades
* comment exported types
* Binance: fix linter issue
* Binance: add a lock to prevent orderbook test race
* Exchanges: Initial implementation after rebase of depth (WIP)
* orderbook/buffer: convert and couple orderbook interaction functionality from buffer to orderbook linked list - Use single point reference for orderbook depth
* buffer/orderbook: conversion continued (WIP)
* exchange: buffer/linkedlist handover (WIP)
* Added some tests for yesterday
* linkedList: added more testing and trying to figure out broken things
* Started tying everything in
* continuous integration and testing
* orderbook: expanded tests
* go mod tidy
* Add in different synchornisation levels for protocols
Add in timer for the streaming system to reduce updates to datahandler
Add in more test code as I integrate more exchanges
* Depth: Add tests, add length check to call linked list updating, add in constructor.
Linked List: Improve tests, add in checks for zero liquidity on books.
Node: Added in cleaner POC, add in contructor.
Buffer: Fixed tests, checked benchmarks.
* orderbook: reinstate dispatch calls
* Addr glorious & madcozbad nits
* fix functionality and add tests
* Address linterinos
* remove label
* expanded comment
* fix races and and bitmex test
* reinstate go routine for alerting changes
* rm line :D
* fix more tests
* Addr glorious nits
* rm glorious field
* depth: defer unlock to stop deadlock
* orderbook: remove unused vars
* buffer: fix test to what it should be
* nits: madcosbad addr
* nits: glorious nits
* linkedlist: remove unused params
* orderbook: shift time call to outside of push to inline, add in case for update inster price for zero liquidity, nits
* orderbook: nits addressed
* engine: change stream -> websocket convention and remove unused function
* nits: glorious nits
* Websocket Buffer: Add verbosity switch
* linked list: Add comment
* linked list: fix spelling
* nits: glorious nits
* orderbook: Adds in test and explicit time type with constructor, fix nits
* linter
* spelling: removed the dere fence
* depth: Update alerting mechanism to a more battle tested state
* depth: spelling
* nits: glorious nits
* linked list: match cases
* buffer: fix linter issue
* golangci: increase timeout by 30 seconds
* nodes: update atomic checks
* spelling: fix
* node: add in commentary
* exchanges/syncer: add function to switch over to REST when websocket functionality is not available for a specific asset type
* linter: exchange linter issues
* syncer: Add in warning
* nits: glorious nits
* AssetWebsocketSupport: unexport map
* Nits: Adrr
* rm letter
* exchanges: Orderbook verification change for naming, deprecate checksum bypass as it has the potential to obfuscate errors that are at the tail end of the book, add in verification for websocket stream updates
* general: fix spelling remove breakpoint
* nits: fix more glorious nits until more are found
* orderbook: fix tests
* orderbook: fix wait tests and add in more checks
* nits: addr
* orderbook: remove dispatch reference
* linkedlist: consolidate bid/ask functions
* linked lisdt: remove words
* fix spelling
* FTX: Add REST API subaccount support
* Add API key check to GetSubaccounts
* Fix missing comment and expand to rest of the codebase
* Address glorious nits
* Address various nits
* Fix ZB typo
https://www.zb.com/api#hsptccieyyqomlp
* binance: Fix websocket reponse unmarshal, fix field type when not null and add test replicating what I received from endpoint.
* Binancce: RMLINE AND COMMENT
* return error on any uncaptured data
* Exchanges: Add in exchange defined tolerance settings to conform to min max amounts/price/notional etc (Initial)
* Add to tests fix linter
* Binance: Implement CMF and usdtMarginFutures fetching of currency information, addr nits
* binance: Add in test for tolerance set up
* exchanges: add in more tolerance settings and add tests
* nits: addr
* fix linter issue
* RPCServer: Use ordermanager instead of going direct to exchange
* Nits: Addr
* nits: glorious addr phase one
* nits: glorious nits phase 2
* exchange: move tolerance -> limits in order package add wrapper function, split binance functions to asset files
* nits: Addr thrasher + also include locking of limits struct when we update via syncer later on
* nits: mdc addr
* nits: glorious nits
* limits: unexport mutex
* limit: revert maths optim. and fix spelling
* limit: Add decimal package
* limit: don't check price on market order
* Orders: Add order execution checks on fake orders so as to always conform to tight specifications even in simulation
* binance: handle case where spot is not enabled but margin is
* backtester: add in amount conforming to back tested events to simulate realistic orders
* rm ln
* order limit: return amount when limit is nil and conformToAmount is requested
* nits: glorious nits + friends
* backtester/orders: fix tests
* nits: glorious nits
* nits: glorious nits
* RMLINE
* nits: more glorious nits!
* nits: pooosh
* binance: fix margin logic
* nits: Add warning, settings log and report item for exchange order execution limits
* backtester: add specific warnings in report output
* backtest: Adjust warnings
* Backtester: event handler completed, basic back tester support is working
* Backtester: support for ticker data added, general code clean up, start of risk & size manageR
* Backtester: WIP
* Me: I am going to write tests and comment as I go this time, also me: doesn't write any tests or comments as i go
* Backtester: work on orderbook system to track orders, increased test coverage
* Backtester: further test coverage, output json, start of js chart output
* Backtester: test coverage, output strat name
* Backtester: WIP
* WIP backtest charts
* WIP on template
* Backtester: further test coverage added
* Backtester: WIP
* backtester: attempting easier to read template for backtesting output
* comments, and tests
* Backtester: end of day WIP started work on risk management for handling leveraged positions
* Backtester: WIP
* Backtester: started heavy documentation phase for handover
* Backtester: started heavy documentation phase for handover
* Backtester: further comments, also work on making chart solution modular to allow for usage outside backtester (e.g OHCLV data)
* Backtester: CHART LIBRARY
* Backtester: move backtester over to new chart library
* Backtester: removed old chart templates, template updates
* Chart: add advancedintervaldata, convert from stats -> chart
* Chart: gctscript hookup to generate chart from OHLCV data
* Chart: reworked template to load from generated data if no template path is set
* chart: template wip
* correclty generate backtester readme, readme generation for charts, chart data generation
* Removed old read file methods
* Removed chart library from backtest as its now standalone
* Remove reference to unfinish TA code. Removes value calculation from order signal. It belongs with portfolio signal
* regen
* Re-jiggles everything around to not have import cycle issues and makes it look like a normal application
* End of day commit creates a new function to setup a backtester from a settings struct. Doesn't work though lol
* Builds up more backtest work to allow to be run from the command line
* Regen RPC
* End of day mind mine field of RSI calculation5
* Finishes basic main.go application
* Minor updates while theorising
* Rearranging things like the size and data types. Adds portfolio setup like a normal human. Allows positions to be decimal based since this is for CRYPTOCURRENCIES :o
* Moves code around to related positions. Adds compatibility to ordermanager to handle order submission. Fails to do things
* End of day commit. Adding config based loading for indiviual strats. Attempting to allow for multiple cps per strategy as well as loading fees
* End of day commit. Expanding config definition and loading implementation. Attempting to setup backtester wide multi currency support in a strategy.
* Moves risk, attempts to revert multi currency, but also supports more in depth multi currency for later...... in the portfolio
* End of day commit for realsies. Updates the strat and sets the invalid backtester
* No more panics. Finishes config loading. Renames buyandhold to dollarcostaverage
* Extends strategy to include a reason why its performing an action. Adds 420blazeit.strat. Expands statistics output. Moves folders around some more. Reduces amount of processing when "DO NOTHING" is the direction
* Commit before home time. Looks to expand the order manager to cater to the backtester. Fleshes out risk manager to think about leverage and holdings in other currencies
* Some basic expanding of strategy definitions. Changes weird package naming.
* Expands size and risk validations. Expands config settings for the validation. Starts looking at loading from live data source
* Merge branch 'master' into backscratcher
* Work towards having backtester load data
* Adds support and tests for all data source loading except for LIVE
* Some basic additions looking to append to data streams instead of load all at once, for the purpose of live data analysis
* End of day commit where I broke functions
* Adds live backtesting
* Adds FANCY MATHS to correctly size orders before slippage. Rearranges minmaxing in config and strats
* Prints out initial settings. Creates a lame slippage calculator. Ensures that order price/amounts respect OHLCV data. Adds customisable config variables that can influence a strategy
* Fixes minor issues with rendering. Fixes portfolio buying and selling now
* ALL OVER THE PLACE END OF DAY COMMIT! In order to expand stats, thing must be tracked appropriately, which they arent. Here we add the addition of a compliance.go to track orders specifically. This will allow for the holdings manager to keep track of base stats such as how much we hold versus whats in use along with profits Compliance holds snapshots of every tick and what orders were there across exchanges. Also added a random slippage calculator which will allow a user to set their own slippage rates
* Another fun end of day commit where nothing works. In order to have accurate stats, you need accurate positions, to have accurate positions you need to break things down to individual levels and store them. This is part of that process of ensuring that we can have multiple settings and everything processed appropriately.
* Finalises multi currency config and support at most levels with exception to data loading.
Simplifies some struct property definitions by removing redundancy
Allows tracking of entire portfolio snapshots after each interval to track the entire process
Lowercases use of exchange names
* Sets the different prices to track across time. Attempts to sort out compliance snapshots
* end of day commit. Moving compliance to the portfolio to manager and track all transactions at each interval.
* Moves compliance calculation to portfolio.go. Adds a nice little decorator on the compliance manager orders to keep track of slippage, cost basis, volume adjusted price and close price. Moves "positions" to "hodlings" to be more accurate. Ensures exchange value calculations are accurate. Begins looking at Statistics and hodlings
* Moves statistics to eventhandlers. Removes ticker work as not needed. Redefines hodler properties
* hodlings are actually part of the portfolio
* Renamed 420blazeit.strat file. Renamed hodlings to holdings. Moved Datahandler to data_types.go. Expanded holdings calculations, doesn't work, but we're getting somewhere. Renamed bad var names in backtest.go. Added new order side types to highlight lack of action reasons
* Adds tests for holdings to ensure that holding snapshot calculation is accurate for the length of a strategy. Removes portfolio.Funds because its now handled via the holdings snapshots. Adds helper functions to Holding snapshots to retrieve relevant holdings. Updates sizing calculation to properly handle sell events. Expands holdings definitions to allow for comparison. Expands risk calculations to include holding snapshots so as to analyse all positions simultaneously
* Changing the statistics results to consider all datas, with the ultimate goal to replace the current statistics package with this multi currency output
* Made "Why" more generic. Expands statistics output. Removes time tying to stats map. Moves order event to correct location. Removes some debug lines.
* Adds some raw funky drawdown statistics 🎉
* End of day commit. experimentation leaves little code changes
* An attempt at expanding statistics. Need to have ones dedicated to exchange, asset, pair. Early work for having global map to track all the asset things to minimise all the maps throughout the application
* 🎉 ADDS MULTI CURRENCY SUPPORT TO FOR THE BACKTESTER 🎉 Can either execute strategies by assessing multiple currencies individually, or as a group and make strategic decisions on what currency to signal in. Adds new strat files to demonstrate
* End of day shenanigans. Moving codes around, making more fun stats. Expanding DCA strat to check if DCA is better than the market longer term
* Adds sharpe ratio and total stats for final output if more than one currency is considered
* Adds sortino ratio and test for validation
* Adds information ratio
* Adds calmar ratio
* Adds CAGR
* Slims down the statistics file to only include my work. Updates everything to use interfaces rather than direct code references to make it easier to swap out codes. Begins looking at serialising statistics for reports
* More neatening. Removal of old FAKE tests. Can now output a report in JSON
* End of day commit. Creation of reporting. Uses tradingview charting library and some basic bootstrap CDN to render content nicely. Will be updating everything to have a special kline item to annotate chart results
* Minor formatting changes before all the reviews
* End of day commit. Expands reporting to have an enhanced candle. These candles contain metadata on whether an order has been placed and to mark charts appropriately. This will be expanded to have all the stats and make it pretty
* Extra code I forgot to commit!
* Fixes an issue where data cannot render above 1,100 candles by stopping it from rendering more than that..
* End of day commit. There is no inclusivity with candle requests and I cant figure it out right now.
* Fixes issue with missing data by adding events when data isnt present and classifying it. Adds new way for klines to verify data with a bit more clarity
* Completes report generation
* Improves cagr. removes butts. Replaces old kline function with new supercalc
* Adds readme templates and files across whole backtester. Renames 420rsi to more appropriate name. Moves interfaces to common
* Some extra documentation
* New header
* Adds some nice coverage to backtest.go. Updats readmes to use new backtester header template
* End of day crappy test commit
* Adds report coverage... Somewhat. Adds template path and output path to allow custom properties and easier testing. Fixes interface duplication
* Adds some lame tests.
* Fixes test
* Adds coverage to the exchange event handler
* Minor test changes
* Fixes slippage calculations based on buying and selling. Adds more tests to compliance and holdings
* Rejiggles risk assessment to properly consider leverage if it were ever to be implemented fully. Removes bot dependency and adds coverage to the risk package
* Expands coverage to sizing
* Rejiggles code to add coverage for the portfolio package and its compatriots.
* Adds additional testing to the backtester along with some data gathering tests
* Tried and failed attempt to expand testing for the database.
* Adds testing for kline, data, statistics
* into the 70%s of coverage! Adds tests for base, DCA, statistics
* Adds test coverage of strategies
* Adds test coerage to statistics. updates template generation to not require CurrencyStatistics to have EAP. Removes EAP from currencystatistics
* Adds coverage to currencystatistics.go BUT ITS NOT COMPLETE
* 86% coverage wow. Fixes 2 tests
* Fixes data races due to engine dependency craziness. Changes order manager to not have a global dependency
* Completes currencystatistics test coverage
* Some linting fixes
* Adds new documentation to the bakctester config. Updates how risk leverage/ratios work with a single map.
* Minor documentation changes. Its difficult to describe how it all works
* Redefines strats and strat tests. Adds some really light documentation
* Updates some basic documentation.
* Fixes lazy bugs
* Fixes bug in fill event processing. Fixes bug in statistics crashing. Fixes report generation. Fixes multi-currency processing to still process non-errored signals
* More documentation.
* Fixes ALL LINTING ISSUES
* Cuts off unnecessary limbs/interface functions. linting. Adding comments to all functions. Adding ability to use whalebomb to calculate slippage for live orders. Adds testing for it too. Simplifies adding events to statistics.
* Removes a weird overlap of holding features that made no sense and the writer of those functions should be ASHAMED. Adds additional documentation
* Fixes issue with data being outside ranges. Adds some extra validation to areas where people can mess around. Makes generating configs easier with consistent dates. Adds more documentation. Cleans up okex/okcoin implementation to some functions since people aren't understanding that they share a based okgroup and that anything that is the same between two functions only needs to be written once...................... Also fixes some bad gct script code
* Updated image and slight change to readme
* Removes unused code. Fixes up verbose and removes old comment
* Fixes issues with data validation for other data sources. Fixes bad reference in template
* Fixes missing data problem for last candle considered missing. Fixes issue where fill order crashes when sizing error occurs. Adds documentation
* Fixes issue with drawdown calculations. Fixes live data usage
* Adds some comments for good measure
* Default strat fix
* Fixes surprise linting issues
* gofmt
* New linting issue with every commit
* Fixes testing. Adds new config setting to set a custom gocryptotrader config path. Updates config tests to use dryrun. Results now include the nickname in the file for easier identification
* Fixes live testing bitstamp. Fixes some template issues. Adds comments.
* Updates max drawdown calculation to go peak vs trough. Fixes minor return issue. Removes unnecessary Data implementations. Removes weird verbose false. Fixes holdings calculations for boughtvalue. Removes Swingholder and just uses Swing. Fixes time calculation issue in kline
* End of day commit that breaks things. Fixes issue with documentation generation only going one space deep. Adds exchange name to warnings of missing candle data. Renames missing candle data function. Adds some testing to kline functions. Adds new ability to size modified orders to portfolio allowance. Addresses defer close and other small nits. Fixes slow loop
* End of day commit. There are too many mini changes to list. DateType to int. Default switch case. Returning earlier. Nil returns instead of ok. High low price in data, now used in max drop down. Missing data shown in the report.
* End of day commit moving things from stats to maths.
* Move the rest to math package and add testing
* Ammends slippage calculations for live. Adds sizing funds to order event. Improves CAGR calculation
* Mini fix commit for test
* End of day mini change for documentation
* Fixes in documentation and expanded error messages. Pretties up the report
* minor adjustments to sharpe ratio and other ratio calculations
* Fixes test by taking it out back. linting
* Fixes tests
* Fixes some tests, addresses some poor nits
* More test and lint fixes
* Fixes binance translation issue
* Further craziness into reducing the concurrent test issues
* lint
* Mini fix
* Geometric average added and tested. Adjusts application to support it. End of day experiementation with negative geometric mean. Fixes typo in currencystatistics package name
* Fixes geometric calculation. Adds sweet CMD logo
* fixes geometric mean 😆 can now disable logo output if you hate everything good in life
* lint
* Should fix test in appveyor by not being nil
* Fixes chance of getting no trades error. Maybe making nil events in the test will stop this poorly formed appveyor error
* Forgotten Y tail
* Check-ch-check-check-check-ch-check it out, minimising stutter is what its all about... Also provides more verbose error messages
* de-ooopsies the whoopsie
* Attempts to further address race issues when using global logs during start stop process
* Includes a copy of the logger itself when logging so that no log.Debug action can create a data race upon being changed globally
* Reduces bot usage further
* Removes sharpie from b-acktester
* comments, renames and bears, oh my!
* Fixes git merge issues/tests. Splits average calculation into their own functions. Clarifies math function and sell position comments. Removes taker fee from final report. Adds warning when maker and taker aren't appropriately set. Fixes config testing issue where the config was saved when running exchange_template tests. Adds new test to ensure the testconfig isn't changed unnecessarily
* More why to reason
* Remove test due to hash discrepancy.
* Updates maths to use errors. Updates tests to support it.
* Fixes error handling for some packages. Uses position value instead of position size. Fixes leverage ratio work. Removes extra binance windows
* Removes references to "multi currency" to shiny new verbiage "simultaneous processing"
* Fixes issue with extra data be appended and then declared missing
* Removes redundant code via code removal
* Does a larger transition to using error types. Addresses math related nits
* eat a mint while you lint
* Completes err definition sweep
* replaces over 80 instances of the same typo!
* Renames more properties with Maximum ratios. Adds examples to config readme. Updates config maker takers. Adds cool kline error
* Adds 'InclusiveEndDate' config property to API and Database datas. Adds testing for it. Updates readme for it
* splint
* Minor naming fix. Minor drawdown fix. Attempts to lower the bot usage when heaps of candles are requested.
* Large data set processing improvements
* Speeds up backtesting processing. Ensures rate limits are set
Processing of most events is done in a linear fashion. So functions that
relied on checking an events time for example, will now check the latest
before processing every interval. The functions will still work normally
in the event that someone wishes to use them out of order, but for
general backtesting, it greatly speeds up all processing.
Further, rather than comparing times all the time, I've introduced
offsets for comparisons of ints for events and with candle data tests
* Fixes build issue
* Adds committed funds stat. Adds config goal
Committed funds are calculated as the total amount of money currently in position
It allows for a strategist to get the maximum returns for the smallest funds
The goal function is to allow a strategist to set a goal description
* Fixes data race
* Adds unfinished config builder application
* End of day broken commit
I focussed on too many things at once and there are many things left to resolve
* Fixees panics
* Finishes config builder
* Fixes order manager start/stop. Improves config manager
* Fixes writefile reference
* Adds some extra readme
* Makes a more user friendly config builder. Fixes initial nil. Adds more order size reasons
* lint
* Adds warnings for when data is missing and ratios will be skewed
* bodMISSED bodmas
* Does not consider initial entry in performance calculations
Adds strategy description field
Adds cost basis to chart
Fixes time rendering on default configs
* Fixes bug in ratio calculations
* saveConfig := !(!false != !true) == true
* lint
* Fixes start end single day drawdowns. Expands cmd drawdown explanation
* Comment on rounding, updated report rounding
* Addresses readme link issues
* Actually fixes readme references
* Should truly solve readme links....
* Includes filename for report log
* Fixes panics, reduces csv trade candle size, no more science
* Removes more science
* test123
* Adds extra config validation
* Fixes the date validation
* Shows smaller fees
* Changes perfectly cromulent error message to start >= end
Co-authored-by: Andrew Jackson <andrew@disvelop.net>
