Files
gocryptotrader/backtester/funding/item.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

168 lines
4.9 KiB
Go

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