gocryptotrader/backtester/eventhandlers/statistics/statistics.go

package statistics

import (
	"encoding/json"
	"fmt"
	"time"

	"github.com/thrasher-corp/gocryptotrader/backtester/common"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/holdings"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/fill"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/order"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/signal"
	"github.com/thrasher-corp/gocryptotrader/currency"
	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
	"github.com/thrasher-corp/gocryptotrader/log"
)

// Reset returns the struct to defaults
func (s *Statistic) Reset() {
	*s = Statistic{}
}

// SetupEventForTime sets up the big map for to store important data at each time interval
func (s *Statistic) SetupEventForTime(ev common.DataEventHandler) error {
	if ev == nil {
		return common.ErrNilEvent
	}
	ex := ev.GetExchange()
	a := ev.GetAssetType()
	p := ev.Pair()
	s.setupMap(ex, a)
	lookup := s.ExchangeAssetPairStatistics[ex][a][p]
	if lookup == nil {
		lookup = &CurrencyPairStatistic{
			Exchange:       ev.GetExchange(),
			Asset:          ev.GetAssetType(),
			Currency:       ev.Pair(),
			UnderlyingPair: ev.GetUnderlyingPair(),
		}
	}
	for i := range lookup.Events {
		if lookup.Events[i].Offset == ev.GetOffset() {
			return ErrAlreadyProcessed
		}
	}
	lookup.Events = append(lookup.Events,
		DataAtOffset{
			DataEvent: ev,
			Offset:    ev.GetOffset(),
			Time:      ev.GetTime(),
		},
	)

	s.ExchangeAssetPairStatistics[ex][a][p] = lookup

	return nil
}

func (s *Statistic) setupMap(ex string, a asset.Item) {
	if s.ExchangeAssetPairStatistics == nil {
		s.ExchangeAssetPairStatistics = make(map[string]map[asset.Item]map[currency.Pair]*CurrencyPairStatistic)
	}
	if s.ExchangeAssetPairStatistics[ex] == nil {
		s.ExchangeAssetPairStatistics[ex] = make(map[asset.Item]map[currency.Pair]*CurrencyPairStatistic)
	}
	if s.ExchangeAssetPairStatistics[ex][a] == nil {
		s.ExchangeAssetPairStatistics[ex][a] = make(map[currency.Pair]*CurrencyPairStatistic)
	}
}

// SetEventForOffset sets the event for the time period in the event
func (s *Statistic) SetEventForOffset(ev common.EventHandler) error {
	if ev == nil {
		return common.ErrNilEvent
	}
	if s.ExchangeAssetPairStatistics == nil {
		return errExchangeAssetPairStatsUnset
	}
	exch := ev.GetExchange()
	a := ev.GetAssetType()
	p := ev.Pair()
	offset := ev.GetOffset()
	lookup := s.ExchangeAssetPairStatistics[exch][a][p]
	if lookup == nil {
		return fmt.Errorf("%w for %v %v %v to set signal event", errCurrencyStatisticsUnset, exch, a, p)
	}
	for i := len(lookup.Events) - 1; i >= 0; i-- {
		if lookup.Events[i].Offset == offset {
			return applyEventAtOffset(ev, lookup, i)
		}
	}

	return fmt.Errorf("%w for event %v %v %v at offset %v", errNoRelevantStatsFound, exch, a, p, ev.GetOffset())
}

func applyEventAtOffset(ev common.EventHandler, lookup *CurrencyPairStatistic, i int) error {
	switch t := ev.(type) {
	case common.DataEventHandler:
		lookup.Events[i].DataEvent = t
	case signal.Event:
		lookup.Events[i].SignalEvent = t
	case order.Event:
		lookup.Events[i].OrderEvent = t
	case fill.Event:
		lookup.Events[i].FillEvent = t
	default:
		return fmt.Errorf("unknown event type received: %v", ev)
	}
	lookup.Events[i].Time = ev.GetTime()
	lookup.Events[i].ClosePrice = ev.GetClosePrice()
	lookup.Events[i].Offset = ev.GetOffset()

	return nil
}

// AddHoldingsForTime adds all holdings to the statistics at the time period
func (s *Statistic) AddHoldingsForTime(h *holdings.Holding) error {
	if s.ExchangeAssetPairStatistics == nil {
		return errExchangeAssetPairStatsUnset
	}
	lookup := s.ExchangeAssetPairStatistics[h.Exchange][h.Asset][h.Pair]
	if lookup == nil {
		return fmt.Errorf("%w for %v %v %v to set holding event", errCurrencyStatisticsUnset, h.Exchange, h.Asset, h.Pair)
	}
	for i := len(lookup.Events) - 1; i >= 0; i-- {
		if lookup.Events[i].Offset == h.Offset {
			lookup.Events[i].Holdings = *h
			return nil
		}
	}
	return fmt.Errorf("%v %v %v %w %v", h.Exchange, h.Asset, h.Pair, errNoDataAtOffset, h.Offset)
}

// AddPNLForTime stores PNL data for tracking purposes
func (s *Statistic) AddPNLForTime(pnl *portfolio.PNLSummary) error {
	if pnl == nil {
		return fmt.Errorf("%w requires PNL", common.ErrNilArguments)
	}
	if s.ExchangeAssetPairStatistics == nil {
		return errExchangeAssetPairStatsUnset
	}
	lookup := s.ExchangeAssetPairStatistics[pnl.Exchange][pnl.Item][pnl.Pair]
	if lookup == nil {
		return fmt.Errorf("%w for %v %v %v to set pnl", errCurrencyStatisticsUnset, pnl.Exchange, pnl.Item, pnl.Pair)
	}
	for i := len(lookup.Events) - 1; i >= 0; i-- {
		if lookup.Events[i].Offset == pnl.Offset {
			lookup.Events[i].PNL = pnl
			lookup.Events[i].Holdings.BaseSize = pnl.Result.Exposure
			return nil
		}
	}
	return fmt.Errorf("%v %v %v %w %v", pnl.Exchange, pnl.Item, pnl.Pair, errNoDataAtOffset, pnl.Offset)
}

// AddComplianceSnapshotForTime adds the compliance snapshot to the statistics at the time period
func (s *Statistic) AddComplianceSnapshotForTime(c compliance.Snapshot, e fill.Event) error {
	if e == nil {
		return common.ErrNilEvent
	}
	if s.ExchangeAssetPairStatistics == nil {
		return errExchangeAssetPairStatsUnset
	}
	exch := e.GetExchange()
	a := e.GetAssetType()
	p := e.Pair()
	lookup := s.ExchangeAssetPairStatistics[exch][a][p]
	if lookup == nil {
		return fmt.Errorf("%w for %v %v %v to set compliance snapshot", errCurrencyStatisticsUnset, exch, a, p)
	}
	for i := len(lookup.Events) - 1; i >= 0; i-- {
		if lookup.Events[i].Offset == e.GetOffset() {
			lookup.Events[i].Transactions = c
			return nil
		}
	}
	return fmt.Errorf("%v %v %v %w %v", e.GetExchange(), e.GetAssetType(), e.Pair(), errNoDataAtOffset, e.GetOffset())
}

// CalculateAllResults calculates the statistics of all exchange asset pair holdings,
// orders, ratios and drawdowns
func (s *Statistic) CalculateAllResults() error {
	log.Info(common.Statistics, "Calculating backtesting results")
	s.PrintAllEventsChronologically()
	currCount := 0
	var finalResults []FinalResultsHolder
	var err error
	for exchangeName, exchangeMap := range s.ExchangeAssetPairStatistics {
		for assetItem, assetMap := range exchangeMap {
			for pair, stats := range assetMap {
				currCount++
				last := stats.Events[len(stats.Events)-1]
				if last.PNL != nil {
					s.HasCollateral = true
				}
				err = stats.CalculateResults(s.RiskFreeRate)
				if err != nil {
					log.Error(common.Statistics, err)
				}
				stats.FinalHoldings = last.Holdings
				stats.InitialHoldings = stats.Events[0].Holdings
				stats.FinalOrders = last.Transactions
				s.StartDate = stats.Events[0].Time
				s.EndDate = last.Time
				stats.PrintResults(exchangeName, assetItem, pair, s.FundManager.IsUsingExchangeLevelFunding())

				finalResults = append(finalResults, FinalResultsHolder{
					Exchange:         exchangeName,
					Asset:            assetItem,
					Pair:             pair,
					MaxDrawdown:      stats.MaxDrawdown,
					MarketMovement:   stats.MarketMovement,
					StrategyMovement: stats.StrategyMovement,
				})
				s.TotalLongOrders += stats.LongOrders
				s.TotalShortOrders += stats.ShortOrders
				s.TotalBuyOrders += stats.BuyOrders
				s.TotalSellOrders += stats.SellOrders
				s.TotalOrders += stats.TotalOrders
				if stats.ShowMissingDataWarning {
					s.WasAnyDataMissing = true
				}
			}
		}
	}
	s.FundingStatistics, err = CalculateFundingStatistics(s.FundManager, s.ExchangeAssetPairStatistics, s.RiskFreeRate, s.CandleInterval)
	if err != nil {
		return err
	}
	err = s.FundingStatistics.PrintResults(s.WasAnyDataMissing)
	if err != nil {
		return err
	}
	if currCount > 1 {
		s.BiggestDrawdown = s.GetTheBiggestDrawdownAcrossCurrencies(finalResults)
		s.BestMarketMovement = s.GetBestMarketPerformer(finalResults)
		s.BestStrategyResults = s.GetBestStrategyPerformer(finalResults)
		s.PrintTotalResults()
	}

	return nil
}

// GetBestMarketPerformer returns the best final market movement
func (s *Statistic) GetBestMarketPerformer(results []FinalResultsHolder) *FinalResultsHolder {
	var result FinalResultsHolder
	for i := range results {
		if results[i].MarketMovement.GreaterThan(result.MarketMovement) || result.MarketMovement.IsZero() {
			result = results[i]
		}
	}

	return &result
}

// GetBestStrategyPerformer returns the best performing strategy result
func (s *Statistic) GetBestStrategyPerformer(results []FinalResultsHolder) *FinalResultsHolder {
	result := &FinalResultsHolder{}
	for i := range results {
		if results[i].StrategyMovement.GreaterThan(result.StrategyMovement) || result.StrategyMovement.IsZero() {
			result = &results[i]
		}
	}

	return result
}

// GetTheBiggestDrawdownAcrossCurrencies returns the biggest drawdown across all currencies in a backtesting run
func (s *Statistic) GetTheBiggestDrawdownAcrossCurrencies(results []FinalResultsHolder) *FinalResultsHolder {
	result := &FinalResultsHolder{}
	for i := range results {
		if results[i].MaxDrawdown.DrawdownPercent.GreaterThan(result.MaxDrawdown.DrawdownPercent) || result.MaxDrawdown.DrawdownPercent.IsZero() {
			result = &results[i]
		}
	}

	return result
}

func addEventOutputToTime(events []eventOutputHolder, t time.Time, message string) []eventOutputHolder {
	for i := range events {
		if events[i].Time.Equal(t) {
			events[i].Events = append(events[i].Events, message)
			return events
		}
	}
	events = append(events, eventOutputHolder{Time: t, Events: []string{message}})
	return events
}

// SetStrategyName sets the name for statistical identification
func (s *Statistic) SetStrategyName(name string) {
	s.StrategyName = name
}

// Serialise outputs the Statistic struct in json
func (s *Statistic) Serialise() (string, error) {
	s.CurrencyStatistics = nil
	for _, exchangeMap := range s.ExchangeAssetPairStatistics {
		for _, assetMap := range exchangeMap {
			for _, stats := range assetMap {
				s.CurrencyStatistics = append(s.CurrencyStatistics, stats)
			}
		}
	}

	resp, err := json.MarshalIndent(s, "", " ")
	if err != nil {
		return "", err
	}

	return string(resp), nil
}