Files
gocryptotrader/cmd/portfolio/portfolio.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

193 lines
4.6 KiB
Go

package main
import (
"context"
"flag"
"fmt"
"log"
"os"
"github.com/thrasher-corp/gocryptotrader/config"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/bitfinex"
"github.com/thrasher-corp/gocryptotrader/portfolio"
)
var (
priceMap map[*currency.Item]float64
displayCurrency currency.Code
)
func printSummary(msg string, amount float64) {
log.Println()
log.Printf("%s in USD: $%.2f", msg, amount)
if !displayCurrency.Equal(currency.USD) {
conv, err := currency.ConvertFiat(amount, currency.USD, displayCurrency)
if err != nil {
log.Println(err)
} else {
var symb string
symb, err = currency.GetSymbolByCurrencyName(displayCurrency)
if err != nil {
log.Printf("%s in %s: %.2f",
msg,
displayCurrency,
conv)
} else {
log.Printf("%s in %s: %s%.2f",
msg,
displayCurrency,
symb,
conv)
}
}
}
}
func getOnlineOfflinePortfolio(coins []portfolio.Coin, online bool) {
var totals float64
for _, x := range coins {
value := priceMap[x.Coin.Item] * x.Balance
totals += value
log.Printf("\t%v %v Subtotal: $%.2f Coin percentage: %.2f%%\n", x.Coin,
x.Balance, value, x.Percentage)
}
if !online {
printSummary("\tOffline balance", totals)
} else {
printSummary("\tOnline balance", totals)
}
}
func main() {
var inFile, key string
flag.StringVar(&inFile, "config", config.DefaultFilePath(), "The config input file to process.")
flag.StringVar(&key, "key", "", "The key to use for AES encryption.")
flag.Parse()
log.Println("GoCryptoTrader: portfolio tool.")
var cfg config.Config
err := cfg.LoadConfig(inFile, true)
if err != nil {
log.Println(err)
os.Exit(1)
}
log.Println("Loaded config file.")
displayCurrency = cfg.Currency.FiatDisplayCurrency
port := portfolio.Base{}
port.Seed(cfg.Portfolio)
result := port.GetPortfolioSummary()
log.Println("Fetched portfolio data.")
type PortfolioTemp struct {
Balance float64
Subtotal float64
}
portfolioMap := make(map[*currency.Item]PortfolioTemp)
total := float64(0)
log.Println("Fetching currency data..")
var fiatCurrencies []currency.Code
for _, y := range result.Totals {
if y.Coin.IsFiatCurrency() {
fiatCurrencies = append(fiatCurrencies, y.Coin)
}
}
err = currency.SeedForeignExchangeData(fiatCurrencies)
if err != nil {
log.Println(err)
os.Exit(1)
}
log.Println("Fetched currency data.")
log.Println("Fetching ticker data and calculating totals..")
priceMap = make(map[*currency.Item]float64)
priceMap[currency.USD.Item] = 1
for _, y := range result.Totals {
pf := PortfolioTemp{}
pf.Balance = y.Balance
pf.Subtotal = 0
if y.Coin.IsFiatCurrency() {
if !y.Coin.Equal(currency.USD) {
conv, err := currency.ConvertFiat(y.Balance, y.Coin, currency.USD)
if err != nil {
log.Println(err)
} else {
priceMap[y.Coin.Item] = conv / y.Balance
pf.Subtotal = conv
}
} else {
pf.Subtotal = y.Balance
}
} else {
bf := bitfinex.Bitfinex{}
bf.SetDefaults()
bf.Verbose = false
pair := "t" + y.Coin.String() + currency.USD.String()
ticker, errf := bf.GetTicker(context.TODO(), pair)
if errf != nil {
log.Println(errf)
} else {
priceMap[y.Coin.Item] = ticker.Last
pf.Subtotal = ticker.Last * y.Balance
}
}
portfolioMap[y.Coin.Item] = pf
total += pf.Subtotal
}
log.Println("Done.")
log.Println()
log.Println("PORTFOLIO TOTALS:")
for x, y := range portfolioMap {
code := currency.Code{Item: x}
log.Printf("\t%s Amount: %f Subtotal: $%.2f USD (1 %s = $%.2f USD). Percentage of portfolio %.3f%%",
code,
y.Balance,
y.Subtotal,
code,
y.Subtotal/y.Balance,
y.Subtotal/total*100/1)
}
printSummary("\tTotal balance", total)
log.Println("OFFLINE COIN TOTALS:")
getOnlineOfflinePortfolio(result.Offline, false)
log.Println("ONLINE COIN TOTALS:")
getOnlineOfflinePortfolio(result.Online, true)
log.Println("OFFLINE COIN SUMMARY:")
var totals float64
for x, y := range result.OfflineSummary {
log.Printf("\t%s:", x)
totals = 0
for z := range y {
value := priceMap[x.Item] * y[z].Balance
totals += value
log.Printf("\t %s Amount: %f Subtotal: $%.2f Coin percentage: %.2f%%\n",
y[z].Address, y[z].Balance, value, y[z].Percentage)
}
printSummary(fmt.Sprintf("\t %s balance", x), totals)
}
log.Println("ONLINE COINS SUMMARY:")
for x, y := range result.OnlineSummary {
log.Printf("\t%s:", x)
totals = 0
for z, w := range y {
value := priceMap[z.Item] * w.Balance
totals += value
log.Printf("\t %s Amount: %f Subtotal $%.2f Coin percentage: %.2f%%",
z, w.Balance, value, w.Percentage)
}
printSummary("\t Exchange balance", totals)
}
}