mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-24 07:26:47 +00:00
* 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
168 lines
4.9 KiB
Go
168 lines
4.9 KiB
Go
package funding
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import (
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"fmt"
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"github.com/shopspring/decimal"
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"github.com/thrasher-corp/gocryptotrader/currency"
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"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
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)
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// Reserve allocates an amount of funds to be used at a later time
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// it prevents multiple events from claiming the same resource
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func (i *Item) Reserve(amount decimal.Decimal) error {
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if amount.LessThanOrEqual(decimal.Zero) {
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return errZeroAmountReceived
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}
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if amount.GreaterThan(i.available) {
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return fmt.Errorf("%w for %v %v %v. Requested %v Available: %v",
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errCannotAllocate,
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i.exchange,
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i.asset,
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i.currency,
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amount,
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i.available)
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}
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i.available = i.available.Sub(amount)
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i.reserved = i.reserved.Add(amount)
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return nil
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}
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// Release reduces the amount of funding reserved and adds any difference
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// back to the available amount
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func (i *Item) Release(amount, diff decimal.Decimal) error {
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if amount.LessThanOrEqual(decimal.Zero) {
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return errZeroAmountReceived
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}
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if diff.IsNegative() && !i.asset.IsFutures() {
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return fmt.Errorf("%w diff %v", errNegativeAmountReceived, diff)
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}
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if amount.GreaterThan(i.reserved) {
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return fmt.Errorf("%w for %v %v %v. Requested %v Reserved: %v",
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errCannotAllocate,
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i.exchange,
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i.asset,
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i.currency,
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amount,
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i.reserved)
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}
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i.reserved = i.reserved.Sub(amount)
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i.available = i.available.Add(diff)
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return nil
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}
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// IncreaseAvailable adds funding to the available amount
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func (i *Item) IncreaseAvailable(amount decimal.Decimal) error {
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if amount.IsNegative() || amount.IsZero() {
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return fmt.Errorf("%w amount <= zero", errZeroAmountReceived)
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}
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i.available = i.available.Add(amount)
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return nil
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}
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// CanPlaceOrder checks if the item has any funds available
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func (i *Item) CanPlaceOrder() bool {
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return i.available.GreaterThan(decimal.Zero)
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}
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// Equal checks for equality via an Item to compare to
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func (i *Item) Equal(item *Item) bool {
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if i == nil && item == nil {
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return true
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}
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if item == nil || i == nil {
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return false
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}
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if i.currency == item.currency &&
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i.asset == item.asset &&
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i.exchange == item.exchange {
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if i.pairedWith == nil && item.pairedWith == nil {
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return true
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}
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if i.pairedWith == nil || item.pairedWith == nil {
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return false
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}
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if i.pairedWith.currency == item.pairedWith.currency &&
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i.pairedWith.asset == item.pairedWith.asset &&
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i.pairedWith.exchange == item.pairedWith.exchange {
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return true
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}
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}
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return false
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}
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// BasicEqual checks for equality via passed in values
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func (i *Item) BasicEqual(exch string, a asset.Item, currency, pairedCurrency currency.Code) bool {
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return i != nil &&
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i.exchange == exch &&
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i.asset == a &&
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i.currency.Equal(currency) &&
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(i.pairedWith == nil ||
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(i.pairedWith != nil && i.pairedWith.currency.Equal(pairedCurrency)))
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}
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// MatchesCurrency checks that an item's currency is equal
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func (i *Item) MatchesCurrency(c currency.Code) bool {
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return i != nil && i.currency.Equal(c)
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}
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// MatchesItemCurrency checks that an item's currency is equal
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func (i *Item) MatchesItemCurrency(item *Item) bool {
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return i != nil && item != nil && i.currency.Equal(item.currency)
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}
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// MatchesExchange checks that an item's exchange is equal
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func (i *Item) MatchesExchange(item *Item) bool {
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return i != nil && item != nil && i.exchange == item.exchange
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}
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// TakeProfit increases/decreases available funds for a futures collateral item
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func (i *Item) TakeProfit(amount decimal.Decimal) error {
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if i.asset.IsFutures() && !i.isCollateral {
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return fmt.Errorf("%v %v %v %w cannot add profit to contracts", i.exchange, i.asset, i.currency, ErrNotCollateral)
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}
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i.available = i.available.Add(amount)
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return nil
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}
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// AddContracts allocates an amount of funds to be used at a later time
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// it prevents multiple events from claiming the same resource
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func (i *Item) AddContracts(amount decimal.Decimal) error {
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if !i.asset.IsFutures() {
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return fmt.Errorf("%v %v %v %w", i.exchange, i.asset, i.currency, errNotFutures)
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}
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if i.isCollateral {
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return fmt.Errorf("%v %v %v %w cannot add contracts to collateral", i.exchange, i.asset, i.currency, ErrIsCollateral)
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}
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if amount.LessThanOrEqual(decimal.Zero) {
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return errZeroAmountReceived
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}
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i.available = i.available.Add(amount)
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return nil
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}
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// ReduceContracts allocates an amount of funds to be used at a later time
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// it prevents multiple events from claiming the same resource
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func (i *Item) ReduceContracts(amount decimal.Decimal) error {
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if !i.asset.IsFutures() {
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return fmt.Errorf("%v %v %v %w", i.exchange, i.asset, i.currency, errNotFutures)
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}
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if i.isCollateral {
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return fmt.Errorf("%v %v %v %w cannot add contracts to collateral", i.exchange, i.asset, i.currency, ErrIsCollateral)
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}
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if amount.LessThanOrEqual(decimal.Zero) {
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return errZeroAmountReceived
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}
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if amount.GreaterThan(i.available) {
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return fmt.Errorf("%w for %v %v %v. Requested %v Reserved: %v",
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errCannotAllocate,
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i.exchange,
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i.asset,
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i.currency,
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amount,
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i.reserved)
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}
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i.available = i.available.Sub(amount)
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return nil
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}
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