mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-18 23:16:49 +00:00
83cfefa45c
* kline: Add builder and testing * Ideas * kline: deploy builder functionality across GCT * exchanges: implement across gct * exchanges: Add tests and fix implementations before kline package testing and veri. * kline: Add tests and start to fix ConvertToNewInterval * kline: fix ConvertToNewInterval add tests * kline: complete overarching tests now on to exchanges * kline: finish exchange tests and implement limits * exchanges: more fixes * linter: fix * engine: fix tests * kraken: fix recent trades and other fixes * zb: fix tests * bithumb: fix empty insertion * kline: refactor/optimize CreateKline function * kline: remove the mooos! * kline: prealloc CalculateCandleDateRanges * linter: fix * exchanges: prealloc extended * fix whoopsie * reverse fix because this is a whoopsie * okx: fix risidual issues * linter: fix * kline: initial nits from @gloriouscode * kline: rename builder -> request and cascade change * linter: fix + test * kline: update forced alignment on start and end times when CreateKlineRequest is called. * nits: more more more * NITS: Addressed * tests: fix race issue * Update exchanges/kline/request.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * kline: add method AddPadding() to automatically fill in holes in kline.Request functionality and reject if missing data when converting * kline: Add params start and end to addPadding() to insert blanks in between block * kline: remove test comment code as it's not needed anymore * kline: fix lint and test * kline: sort slice without extra bool check every iteration * okx: fix issues with timeing and candles and such from niterinos & address typo * Update exchanges/kline/kline.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: niterinos * Update exchanges/poloniex/poloniex_wrapper.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits now onto conflicts YAYA!!! * Update exchanges/exchange_test.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits again * thrasher: nitters * thrasher: niterinos - adds partial flag for incomplete recent candles and fetching. * kline: rm fmtizzle packageizzle * glorious: nitters * glorious: more niterinos * fix last niterinos Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
539 lines
15 KiB
Go
539 lines
15 KiB
Go
package report
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import (
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"errors"
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"testing"
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"time"
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"github.com/shopspring/decimal"
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"github.com/thrasher-corp/gocryptotrader/backtester/config"
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"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
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"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/statistics"
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"github.com/thrasher-corp/gocryptotrader/backtester/funding"
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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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gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline"
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gctorder "github.com/thrasher-corp/gocryptotrader/exchanges/order"
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)
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const testExchange = "binance"
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func TestGenerateReport(t *testing.T) {
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t.Parallel()
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e := testExchange
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a := asset.Spot
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p := currency.NewPair(currency.BTC, currency.USDT)
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d := Data{
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Config: &config.Config{
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StrategySettings: config.StrategySettings{
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DisableUSDTracking: true,
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},
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},
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OutputPath: t.TempDir(),
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TemplatePath: "tpl.gohtml",
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OriginalCandles: []*gctkline.Item{
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{
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Candles: []gctkline.Candle{
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{
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Time: time.Now(),
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Open: 1337,
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High: 1337,
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Low: 1337,
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Close: 1337,
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Volume: 1337,
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ValidationIssues: "hello world!",
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},
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},
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},
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},
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EnhancedCandles: []EnhancedKline{
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{
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Exchange: e,
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Asset: a,
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Pair: p,
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Interval: gctkline.OneHour,
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Watermark: "Binance - SPOT - BTC-USDT",
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Candles: []DetailedCandle{
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{
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UnixMilli: time.Date(2020, 12, 12, 0, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 1, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1332,
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High: 1332,
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Low: 1330,
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Close: 1331,
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Volume: 2,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 2, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 3, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 4, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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},
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},
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{
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Exchange: "Bittrex",
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Asset: a,
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Pair: currency.NewPair(currency.BTC, currency.USD),
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Interval: gctkline.OneDay,
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Watermark: "BITTREX - SPOT - BTC-USD - 1d",
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Candles: []DetailedCandle{
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{
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UnixMilli: time.Date(2020, 12, 12, 0, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 1, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1332,
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High: 1332,
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Low: 1330,
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Close: 1331,
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Volume: 2,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 2, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 3, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 4, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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},
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},
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},
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Statistics: &statistics.Statistic{
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FundingStatistics: &statistics.FundingStatistics{
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Report: &funding.Report{
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DisableUSDTracking: true,
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},
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Items: []statistics.FundingItemStatistics{
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{
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ReportItem: &funding.ReportItem{Snapshots: []funding.ItemSnapshot{{Time: time.Now()}}},
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},
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},
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TotalUSDStatistics: &statistics.TotalFundingStatistics{},
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},
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StrategyName: "testStrat",
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RiskFreeRate: decimal.NewFromFloat(0.03),
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ExchangeAssetPairStatistics: map[string]map[asset.Item]map[*currency.Item]map[*currency.Item]*statistics.CurrencyPairStatistic{
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e: {
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a: {
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p.Base.Item: {
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p.Quote.Item: &statistics.CurrencyPairStatistic{
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LowestClosePrice: statistics.ValueAtTime{Value: decimal.NewFromInt(100)},
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HighestClosePrice: statistics.ValueAtTime{Value: decimal.NewFromInt(200)},
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MarketMovement: decimal.NewFromInt(100),
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StrategyMovement: decimal.NewFromInt(100),
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CompoundAnnualGrowthRate: decimal.NewFromInt(1),
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BuyOrders: 1,
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SellOrders: 1,
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ArithmeticRatios: &statistics.Ratios{},
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GeometricRatios: &statistics.Ratios{},
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},
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},
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},
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},
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},
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TotalBuyOrders: 1337,
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TotalSellOrders: 1330,
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TotalOrders: 200,
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BiggestDrawdown: &statistics.FinalResultsHolder{
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Exchange: e,
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Asset: a,
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Pair: p,
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MaxDrawdown: statistics.Swing{
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Highest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(1337),
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},
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Lowest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(137),
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},
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DrawdownPercent: decimal.NewFromInt(100),
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},
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MarketMovement: decimal.NewFromInt(1377),
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StrategyMovement: decimal.NewFromInt(1377),
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},
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BestStrategyResults: &statistics.FinalResultsHolder{
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Exchange: e,
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Asset: a,
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Pair: p,
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MaxDrawdown: statistics.Swing{
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Highest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(1337),
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},
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Lowest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(137),
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},
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DrawdownPercent: decimal.NewFromInt(100),
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},
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MarketMovement: decimal.NewFromInt(1337),
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StrategyMovement: decimal.NewFromInt(1337),
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},
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BestMarketMovement: &statistics.FinalResultsHolder{
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Exchange: e,
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Asset: a,
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Pair: p,
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MaxDrawdown: statistics.Swing{
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Highest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(1337),
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},
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Lowest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(137),
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},
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DrawdownPercent: decimal.NewFromInt(100),
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},
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MarketMovement: decimal.NewFromInt(1337),
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StrategyMovement: decimal.NewFromInt(1337),
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},
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},
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}
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if err := d.GenerateReport(); err != nil {
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t.Error(err)
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}
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}
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func TestEnhanceCandles(t *testing.T) {
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t.Parallel()
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tt := time.Now()
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var d Data
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err := d.enhanceCandles()
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if !errors.Is(err, errNoCandles) {
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t.Errorf("received: %v, expected: %v", err, errNoCandles)
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}
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err = d.SetKlineData(&gctkline.Item{})
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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err = d.enhanceCandles()
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if !errors.Is(err, errStatisticsUnset) {
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t.Errorf("received: %v, expected: %v", err, errStatisticsUnset)
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}
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d.Statistics = &statistics.Statistic{}
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err = d.enhanceCandles()
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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d.Statistics.ExchangeAssetPairStatistics = make(map[string]map[asset.Item]map[*currency.Item]map[*currency.Item]*statistics.CurrencyPairStatistic)
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d.Statistics.ExchangeAssetPairStatistics[testExchange] = make(map[asset.Item]map[*currency.Item]map[*currency.Item]*statistics.CurrencyPairStatistic)
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot] = make(map[*currency.Item]map[*currency.Item]*statistics.CurrencyPairStatistic)
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.BTC.Item] = make(map[*currency.Item]*statistics.CurrencyPairStatistic)
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.BTC.Item][currency.USDT.Item] = &statistics.CurrencyPairStatistic{}
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err = d.SetKlineData(&gctkline.Item{
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Exchange: testExchange,
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Pair: currency.NewPair(currency.BTC, currency.USDT),
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Asset: asset.Spot,
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Interval: gctkline.OneDay,
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Candles: []gctkline.Candle{
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{
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Time: tt,
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Open: 1336,
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High: 1338,
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Low: 1336,
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Close: 1337,
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Volume: 1337,
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},
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},
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})
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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err = d.enhanceCandles()
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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err = d.SetKlineData(&gctkline.Item{
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Exchange: testExchange,
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Pair: currency.NewPair(currency.BTC, currency.USDT),
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Asset: asset.Spot,
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Interval: gctkline.OneDay,
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Candles: []gctkline.Candle{
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{
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Time: tt,
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Open: 1336,
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High: 1338,
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Low: 1336,
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Close: 1336,
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Volume: 1337,
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},
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{
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Time: tt,
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Open: 1336,
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High: 1338,
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Low: 1336,
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Close: 1335,
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Volume: 1337,
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},
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},
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})
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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err = d.enhanceCandles()
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.BTC.Item][currency.USDT.Item].FinalOrders = compliance.Snapshot{
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Orders: []compliance.SnapshotOrder{
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{
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ClosePrice: decimal.NewFromInt(1335),
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VolumeAdjustedPrice: decimal.NewFromInt(1337),
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SlippageRate: decimal.NewFromInt(1),
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CostBasis: decimal.NewFromInt(1337),
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Order: nil,
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},
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},
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Timestamp: tt,
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}
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err = d.enhanceCandles()
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.BTC.Item][currency.USDT.Item].FinalOrders = compliance.Snapshot{
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Orders: []compliance.SnapshotOrder{
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{
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ClosePrice: decimal.NewFromInt(1335),
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VolumeAdjustedPrice: decimal.NewFromInt(1337),
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SlippageRate: decimal.NewFromInt(1),
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CostBasis: decimal.NewFromInt(1337),
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Order: &gctorder.Detail{
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Date: tt,
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Side: gctorder.Buy,
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},
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},
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},
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Timestamp: tt,
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}
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err = d.enhanceCandles()
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.BTC.Item][currency.USDT.Item].FinalOrders = compliance.Snapshot{
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Orders: []compliance.SnapshotOrder{
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{
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ClosePrice: decimal.NewFromInt(1335),
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VolumeAdjustedPrice: decimal.NewFromInt(1337),
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SlippageRate: decimal.NewFromInt(1),
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CostBasis: decimal.NewFromInt(1337),
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Order: &gctorder.Detail{
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Date: tt,
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Side: gctorder.Sell,
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},
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},
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},
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Timestamp: tt,
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}
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err = d.enhanceCandles()
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if !errors.Is(err, nil) {
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t.Errorf("received: %v, expected: %v", err, nil)
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}
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if len(d.EnhancedCandles) == 0 {
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t.Error("expected enhanced candles")
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}
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}
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func TestUpdateItem(t *testing.T) {
|
|
t.Parallel()
|
|
d := Data{}
|
|
tt := time.Now()
|
|
err := d.SetKlineData(&gctkline.Item{
|
|
Candles: []gctkline.Candle{
|
|
{
|
|
Time: tt,
|
|
},
|
|
},
|
|
})
|
|
if !errors.Is(err, nil) {
|
|
t.Errorf("received: %v, expected: %v", err, nil)
|
|
}
|
|
if len(d.OriginalCandles) != 1 {
|
|
t.Fatal("expected Original Candles len of 1")
|
|
}
|
|
if len(d.OriginalCandles[0].Candles) != 1 {
|
|
t.Error("expected one candle")
|
|
}
|
|
err = d.SetKlineData(&gctkline.Item{
|
|
Candles: []gctkline.Candle{
|
|
{
|
|
Time: tt,
|
|
},
|
|
},
|
|
})
|
|
if !errors.Is(err, nil) {
|
|
t.Errorf("received: %v, expected: %v", err, nil)
|
|
}
|
|
if len(d.OriginalCandles[0].Candles) != 1 {
|
|
t.Error("expected one candle")
|
|
}
|
|
|
|
err = d.SetKlineData(&gctkline.Item{
|
|
Candles: []gctkline.Candle{
|
|
{
|
|
Time: tt.Add(gctkline.OneMin.Duration()),
|
|
},
|
|
},
|
|
})
|
|
if !errors.Is(err, nil) {
|
|
t.Errorf("received: %v, expected: %v", err, nil)
|
|
}
|
|
if len(d.OriginalCandles[0].Candles) != 2 {
|
|
t.Error("expected two candles")
|
|
}
|
|
}
|
|
|
|
func TestCopyCloseFromPreviousEvent(t *testing.T) {
|
|
t.Parallel()
|
|
d := DetailedCandle{}
|
|
d.copyCloseFromPreviousEvent(&EnhancedKline{
|
|
Candles: []DetailedCandle{
|
|
{
|
|
Close: 1337,
|
|
},
|
|
},
|
|
})
|
|
if d.Close != 1337 {
|
|
t.Error("expected 1337")
|
|
}
|
|
}
|
|
|
|
func TestUseDarkMode(t *testing.T) {
|
|
t.Parallel()
|
|
d := Data{}
|
|
d.UseDarkMode(true)
|
|
if !d.UseDarkTheme {
|
|
t.Error("expected true")
|
|
}
|
|
}
|