Files
gocryptotrader/backtester/funding/spotpair.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

153 lines
4.2 KiB
Go

package funding
import (
"errors"
"fmt"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
)
var (
// ErrNotCollateral is returned when a user requests collateral pair details when it is a funding pair
ErrNotCollateral = errors.New("not a collateral pair")
)
// BaseInitialFunds returns the initial funds
// from the base in a currency pair
func (p *SpotPair) BaseInitialFunds() decimal.Decimal {
return p.base.initialFunds
}
// QuoteInitialFunds returns the initial funds
// from the quote in a currency pair
func (p *SpotPair) QuoteInitialFunds() decimal.Decimal {
return p.quote.initialFunds
}
// BaseAvailable returns the available funds
// from the base in a currency pair
func (p *SpotPair) BaseAvailable() decimal.Decimal {
return p.base.available
}
// QuoteAvailable returns the available funds
// from the quote in a currency pair
func (p *SpotPair) QuoteAvailable() decimal.Decimal {
return p.quote.available
}
// Reserve allocates an amount of funds to be used at a later time
// it prevents multiple events from claiming the same resource
// changes which currency to affect based on the order side
func (p *SpotPair) Reserve(amount decimal.Decimal, side order.Side) error {
switch side {
case order.Buy, order.Bid:
return p.quote.Reserve(amount)
case order.Sell, order.Ask, order.ClosePosition:
return p.base.Reserve(amount)
default:
return fmt.Errorf("%w for %v %v %v. Unknown side %v",
errCannotAllocate,
p.base.exchange,
p.base.asset,
p.base.currency,
side)
}
}
// Release reduces the amount of funding reserved and adds any difference
// back to the available amount
// changes which currency to affect based on the order side
func (p *SpotPair) Release(amount, diff decimal.Decimal, side order.Side) error {
switch side {
case order.Buy, order.Bid:
return p.quote.Release(amount, diff)
case order.Sell, order.Ask:
return p.base.Release(amount, diff)
}
return fmt.Errorf("%w for %v %v %v. Unknown side %v",
errCannotAllocate,
p.base.exchange,
p.base.asset,
p.base.currency,
side)
}
// IncreaseAvailable adds funding to the available amount
// changes which currency to affect based on the order side
func (p *SpotPair) IncreaseAvailable(amount decimal.Decimal, side order.Side) error {
switch side {
case order.Buy, order.Bid:
return p.base.IncreaseAvailable(amount)
case order.Sell, order.Ask, order.ClosePosition:
return p.quote.IncreaseAvailable(amount)
}
return fmt.Errorf("%w for %v %v %v. Unknown side %v",
errCannotAllocate,
p.base.exchange,
p.base.asset,
p.base.currency,
side)
}
// CanPlaceOrder does a > 0 check to see if there are any funds
// to place an order with
// changes which currency to affect based on the order side
func (p *SpotPair) CanPlaceOrder(side order.Side) bool {
switch side {
case order.Buy, order.Bid:
return p.quote.CanPlaceOrder()
case order.Sell, order.Ask, order.ClosePosition:
return p.base.CanPlaceOrder()
}
return false
}
// Liquidate basic liquidation response to remove
// all asset value
func (p *SpotPair) Liquidate() {
p.base.available = decimal.Zero
p.base.reserved = decimal.Zero
p.quote.available = decimal.Zero
p.quote.reserved = decimal.Zero
}
// FundReserver returns a fund reserver interface of the pair
func (p *SpotPair) FundReserver() IFundReserver {
return p
}
// PairReleaser returns a pair releaser interface of the pair
func (p *SpotPair) PairReleaser() (IPairReleaser, error) {
if p == nil {
return nil, ErrNilPair
}
return p, nil
}
// CollateralReleaser returns an error because a pair is not collateral
func (p *SpotPair) CollateralReleaser() (ICollateralReleaser, error) {
return nil, ErrNotCollateral
}
// FundReleaser returns a pair releaser interface of the pair
func (p *SpotPair) FundReleaser() IFundReleaser {
return p
}
// FundReader returns a fund reader interface of the pair
func (p *SpotPair) FundReader() IFundReader {
return p
}
// GetPairReader returns an interface of a SpotPair
func (p *SpotPair) GetPairReader() (IPairReader, error) {
return p, nil
}
// GetCollateralReader returns an error because its not collateral
func (p *SpotPair) GetCollateralReader() (ICollateralReader, error) {
return nil, ErrNotCollateral
}