Files
gocryptotrader/currency/manager.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

258 lines
5.9 KiB
Go

package currency
import (
"encoding/json"
"errors"
"fmt"
"github.com/thrasher-corp/gocryptotrader/common/convert"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
)
var (
// ErrAssetAlreadyEnabled defines an error for the pairs management system
// that declares the asset is already enabled.
ErrAssetAlreadyEnabled = errors.New("asset already enabled")
// ErrPairAlreadyEnabled returns when enabling a pair that is already enabled
ErrPairAlreadyEnabled = errors.New("pair already enabled")
// ErrPairNotFound is returned when a currency pair is not found
ErrPairNotFound = errors.New("pair not found")
// errAssetNotEnabled defines an error for the pairs management system
// that declares the asset is not enabled.
errAssetNotEnabled = errors.New("asset not enabled")
// ErrAssetIsNil is an error when the asset has not been populated by the
// configuration
ErrAssetIsNil = errors.New("asset is nil")
)
// GetAssetTypes returns a list of stored asset types
func (p *PairsManager) GetAssetTypes(enabled bool) asset.Items {
p.m.RLock()
defer p.m.RUnlock()
var assetTypes asset.Items
for k, ps := range p.Pairs {
if enabled && (ps.AssetEnabled == nil || !*ps.AssetEnabled) {
continue
}
assetTypes = append(assetTypes, k)
}
return assetTypes
}
// Get gets the currency pair config based on the asset type
func (p *PairsManager) Get(a asset.Item) (*PairStore, error) {
p.m.RLock()
defer p.m.RUnlock()
c, ok := p.Pairs[a]
if !ok {
return nil,
fmt.Errorf("cannot get pair store, %v %w", a, asset.ErrNotSupported)
}
return c, nil
}
// Store stores a new currency pair config based on its asset type
func (p *PairsManager) Store(a asset.Item, ps PairStore) {
p.m.Lock()
if p.Pairs == nil {
p.Pairs = make(map[asset.Item]*PairStore)
}
p.Pairs[a] = &ps
p.m.Unlock()
}
// Delete deletes a map entry based on the supplied asset type
func (p *PairsManager) Delete(a asset.Item) {
p.m.Lock()
defer p.m.Unlock()
if p.Pairs == nil {
return
}
delete(p.Pairs, a)
}
// GetPairs gets a list of stored pairs based on the asset type and whether
// they're enabled or not
func (p *PairsManager) GetPairs(a asset.Item, enabled bool) (Pairs, error) {
p.m.RLock()
defer p.m.RUnlock()
if p.Pairs == nil {
return nil, nil
}
c, ok := p.Pairs[a]
if !ok {
return nil, nil
}
if enabled {
for i := range c.Enabled {
if !c.Available.Contains(c.Enabled[i], true) {
return c.Enabled,
fmt.Errorf("enabled pair %s of asset type %s not contained in available list",
c.Enabled[i],
a)
}
}
return c.Enabled, nil
}
return c.Available, nil
}
// StorePairs stores a list of pairs based on the asset type and whether
// they're enabled or not
func (p *PairsManager) StorePairs(a asset.Item, pairs Pairs, enabled bool) {
p.m.Lock()
defer p.m.Unlock()
if p.Pairs == nil {
p.Pairs = make(map[asset.Item]*PairStore)
}
c, ok := p.Pairs[a]
if !ok {
p.Pairs[a] = new(PairStore)
c = p.Pairs[a]
}
if enabled {
c.Enabled = pairs
} else {
c.Available = pairs
}
}
// DisablePair removes the pair from the enabled pairs list if found
func (p *PairsManager) DisablePair(a asset.Item, pair Pair) error {
p.m.Lock()
defer p.m.Unlock()
c, err := p.getPairStore(a)
if err != nil {
return err
}
if !c.Enabled.Contains(pair, true) {
return errors.New("specified pair is not enabled")
}
c.Enabled = c.Enabled.Remove(pair)
return nil
}
// EnablePair adds a pair to the list of enabled pairs if it exists in the list
// of available pairs and isn't already added
func (p *PairsManager) EnablePair(a asset.Item, pair Pair) error {
p.m.Lock()
defer p.m.Unlock()
c, err := p.getPairStore(a)
if err != nil {
return err
}
if !c.Available.Contains(pair, true) {
return fmt.Errorf("%s %w in the list of available pairs",
pair, ErrPairNotFound)
}
if c.Enabled.Contains(pair, true) {
return fmt.Errorf("%s %w", pair, ErrPairAlreadyEnabled)
}
c.Enabled = c.Enabled.Add(pair)
return nil
}
// IsAssetEnabled checks to see if an asset is enabled
func (p *PairsManager) IsAssetEnabled(a asset.Item) error {
p.m.RLock()
defer p.m.RUnlock()
c, err := p.getPairStore(a)
if err != nil {
return err
}
if c.AssetEnabled == nil {
return fmt.Errorf("%s %w", a, ErrAssetIsNil)
}
if !*c.AssetEnabled {
return fmt.Errorf("%s %w", a, errAssetNotEnabled)
}
return nil
}
// SetAssetEnabled sets if an asset is enabled or disabled for first run
func (p *PairsManager) SetAssetEnabled(a asset.Item, enabled bool) error {
p.m.Lock()
defer p.m.Unlock()
c, err := p.getPairStore(a)
if err != nil {
return err
}
if c.AssetEnabled == nil {
c.AssetEnabled = convert.BoolPtr(enabled)
return nil
}
if !*c.AssetEnabled && !enabled {
return errors.New("asset already disabled")
} else if *c.AssetEnabled && enabled {
return ErrAssetAlreadyEnabled
}
*c.AssetEnabled = enabled
return nil
}
func (p *PairsManager) getPairStore(a asset.Item) (*PairStore, error) {
if p.Pairs == nil {
return nil, errors.New("pair manager not initialised")
}
c, ok := p.Pairs[a]
if !ok {
return nil, errors.New("asset type not found")
}
if c == nil {
return nil, errors.New("currency store is nil")
}
return c, nil
}
// UnmarshalJSON implements the unmarshal json interface so that the key can be
// correctly unmarshalled from a string into a uint.
func (fs *FullStore) UnmarshalJSON(d []byte) error {
var temp map[string]*PairStore
err := json.Unmarshal(d, &temp)
if err != nil {
return err
}
*fs = make(FullStore, len(temp))
for key, val := range temp {
ai, err := asset.New(key)
if err != nil {
return err
}
(*fs)[ai] = val
}
return nil
}
// MarshalJSON implements the marshal json interface so that the key can be
// correctly marshalled from a uint.
func (fs FullStore) MarshalJSON() ([]byte, error) {
temp := make(map[string]*PairStore, len(fs))
for key, val := range fs {
temp[key.String()] = val
}
return json.Marshal(temp)
}