Files
gocryptotrader/gctscript/wrappers/gct/gctwrapper_test.go
Scott 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
2022-06-30 15:43:41 +10:00

303 lines
7.3 KiB
Go

package gct
import (
"errors"
"log"
"os"
"path/filepath"
"reflect"
"testing"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/engine"
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules/gct"
)
func TestMain(m *testing.M) {
settings := engine.Settings{
ConfigFile: filepath.Join("..", "..", "..", "testdata", "configtest.json"),
EnableDryRun: true,
DataDir: filepath.Join("..", "..", "..", "testdata", "gocryptotrader"),
EnableDepositAddressManager: true,
}
var err error
engine.Bot, err = engine.NewFromSettings(&settings, nil)
if err != nil {
log.Print(err)
os.Exit(1)
}
em := engine.SetupExchangeManager()
exch, err := em.NewExchangeByName(exch.Value)
if err != nil {
log.Print(err)
os.Exit(1)
}
exch.SetDefaults()
cfg, err := exch.GetDefaultConfig()
if err != nil {
log.Fatal(err)
}
err = exch.Setup(cfg)
if err != nil {
log.Fatal(err)
}
em.Add(exch)
engine.Bot.ExchangeManager = em
engine.Bot.WithdrawManager, err = engine.SetupWithdrawManager(em, nil, true)
if err != nil {
log.Print(err)
os.Exit(1)
}
engine.Bot.DepositAddressManager = engine.SetupDepositAddressManager()
err = engine.Bot.DepositAddressManager.Sync(engine.Bot.GetAllExchangeCryptocurrencyDepositAddresses())
if err != nil {
log.Print(err)
os.Exit(1)
}
engine.Bot.OrderManager, err = engine.SetupOrderManager(em, &engine.CommunicationManager{}, &engine.Bot.ServicesWG, false, false)
if err != nil {
log.Print(err)
os.Exit(1)
}
err = engine.Bot.OrderManager.Start()
if err != nil {
log.Print(err)
os.Exit(1)
}
modules.SetModuleWrapper(Setup())
os.Exit(m.Run())
}
func TestSetup(t *testing.T) {
x := Setup()
xType := reflect.TypeOf(x).String()
if xType != "*gct.Wrapper" {
t.Fatalf("SetupCommunicationManager() should return pointer to Wrapper instead received: %v", x)
}
}
var (
exch = &objects.String{
Value: "Bitstamp",
}
exchError = &objects.String{
Value: "error",
}
currencyPair = &objects.String{
Value: "BTCUSD",
}
delimiter = &objects.String{
Value: "",
}
assetType = &objects.String{
Value: "spot",
}
orderID = &objects.String{
Value: "1235",
}
tv = objects.TrueValue
fv = objects.FalseValue
errTestFailed = errors.New("test failed")
)
func TestExchangeOrderbook(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeOrderbook(exch, currencyPair, delimiter, assetType)
if err != nil {
t.Fatal(err)
}
_, err = gct.ExchangeOrderbook(exchError, currencyPair, delimiter, assetType)
if err != nil && errors.Is(err, errTestFailed) {
t.Fatal(err)
}
_, err = gct.ExchangeOrderbook()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
func TestExchangeTicker(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeTicker(exch, currencyPair, delimiter, assetType)
if err != nil {
t.Fatal(err)
}
_, err = gct.ExchangeTicker(exchError, currencyPair, delimiter, assetType)
if err != nil && errors.Is(err, errTestFailed) {
t.Fatal(err)
}
_, err = gct.ExchangeTicker()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
func TestExchangeExchanges(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeExchanges(tv)
if err != nil {
t.Fatal(err)
}
_, err = gct.ExchangeExchanges(exch)
if err != nil {
t.Fatal(err)
}
_, err = gct.ExchangeExchanges(fv)
if err != nil {
t.Fatal(err)
}
_, err = gct.ExchangeExchanges()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
func TestExchangePairs(t *testing.T) {
t.Parallel()
_, err := gct.ExchangePairs(exch, tv, assetType)
if err != nil {
t.Fatal(err)
}
_, err = gct.ExchangePairs(exchError, tv, assetType)
if err != nil && errors.Is(err, errTestFailed) {
t.Fatal(err)
}
_, err = gct.ExchangePairs()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
func TestAccountInfo(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeAccountInfo()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Fatal(err)
}
_, err = gct.ExchangeAccountInfo(exch, assetType)
if !errors.Is(err, exchange.ErrAuthenticationSupportNotEnabled) {
t.Errorf("received: %v but expected: %v", err, exchange.ErrAuthenticationSupportNotEnabled)
}
}
func TestExchangeOrderQuery(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeOrderQuery()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Fatal(err)
}
_, err = gct.ExchangeOrderQuery(exch, orderID)
if err != nil && err != common.ErrNotYetImplemented {
t.Error(err)
}
}
func TestExchangeOrderCancel(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeOrderCancel()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Fatal(err)
}
_, err = gct.ExchangeOrderCancel(exch, orderID, currencyPair, assetType)
if err != nil && err != common.ErrNotYetImplemented {
t.Error(err)
}
}
func TestExchangeOrderSubmit(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeOrderSubmit()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Fatal(err)
}
orderSide := &objects.String{Value: "ASK"}
orderType := &objects.String{Value: "LIMIT"}
orderPrice := &objects.Float{Value: 1}
orderAmount := &objects.Float{Value: 1}
orderAsset := &objects.String{Value: asset.Spot.String()}
_, err = gct.ExchangeOrderSubmit(exch, currencyPair, delimiter,
orderType, orderSide, orderPrice, orderAmount, orderID, orderAsset)
if !errors.Is(err, exchange.ErrAuthenticationSupportNotEnabled) {
t.Errorf("received: %v but expected: %v", err, exchange.ErrAuthenticationSupportNotEnabled)
}
}
func TestAllModuleNames(t *testing.T) {
t.Parallel()
x := gct.AllModuleNames()
xType := reflect.TypeOf(x).Kind()
if xType != reflect.Slice {
t.Errorf("AllModuleNames() should return slice instead received: %v", x)
}
}
func TestExchangeDepositAddress(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeDepositAddress()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Fatal(err)
}
currCode := &objects.String{Value: "BTC"}
chain := &objects.String{Value: ""}
_, err = gct.ExchangeDepositAddress(exch, currCode, chain)
if err != nil && err.Error() != "deposit address store is nil" {
t.Error(err)
}
}
func TestExchangeWithdrawCrypto(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeWithdrawCrypto()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Fatal(err)
}
currCode := &objects.String{Value: "BTC"}
desc := &objects.String{Value: "HELLO"}
address := &objects.String{Value: "0xTHISISALEGITBTCADDRESSS"}
amount := &objects.Float{Value: 1.0}
_, err = gct.ExchangeWithdrawCrypto(exch, currCode, address, address, amount, amount, desc)
if err != nil {
t.Error(err)
}
}
func TestExchangeWithdrawFiat(t *testing.T) {
t.Parallel()
_, err := gct.ExchangeWithdrawFiat()
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Fatal(err)
}
currCode := &objects.String{Value: "TEST"}
amount := &objects.Float{Value: 1.0}
desc := &objects.String{Value: "2"}
bankID := &objects.String{Value: "3!"}
_, err = gct.ExchangeWithdrawFiat(exch, currCode, desc, amount, bankID)
if err != nil && err.Error() != "exchange Bitstamp bank details not found for TEST" {
t.Error(err)
}
}