Files
gocryptotrader/backtester/funding/collateralpair_test.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

312 lines
8.5 KiB
Go

package funding
import (
"errors"
"testing"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
gctorder "github.com/thrasher-corp/gocryptotrader/exchanges/order"
)
func TestCollateralCanPlaceOrder(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{available: decimal.NewFromInt(1337)},
}
if !c.CanPlaceOrder(gctorder.UnknownSide) {
t.Error("expected true")
}
}
func TestCollateralTakeProfit(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{
asset: asset.Futures,
isCollateral: true,
},
contract: &Item{asset: asset.Futures,
available: decimal.NewFromInt(1),
},
}
var expectedError error
err := c.TakeProfit(decimal.NewFromInt(1), decimal.NewFromInt(1))
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
}
func TestCollateralCollateralCurrency(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{currency: currency.DOGE},
}
if !c.CollateralCurrency().Equal(currency.DOGE) {
t.Errorf("recevied '%v' expected '%v'", c.CollateralCurrency(), currency.DOGE)
}
}
func TestCollateralContractCurrency(t *testing.T) {
t.Parallel()
c := &CollateralPair{
contract: &Item{currency: currency.DOGE},
}
if !c.ContractCurrency().Equal(currency.DOGE) {
t.Errorf("recevied '%v' expected '%v'", c.ContractCurrency(), currency.DOGE)
}
}
func TestCollateralInitialFunds(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{initialFunds: decimal.NewFromInt(1337)},
}
if !c.InitialFunds().Equal(decimal.NewFromInt(1337)) {
t.Errorf("recevied '%v' expected '%v'", c.InitialFunds(), decimal.NewFromInt(1337))
}
}
func TestCollateralAvailableFunds(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{available: decimal.NewFromInt(1337)},
}
if !c.AvailableFunds().Equal(decimal.NewFromInt(1337)) {
t.Errorf("recevied '%v' expected '%v'", c.AvailableFunds(), decimal.NewFromInt(1337))
}
}
func TestCollateralGetPairReader(t *testing.T) {
t.Parallel()
c := &CollateralPair{
contract: &Item{},
collateral: &Item{},
}
if _, err := c.GetPairReader(); !errors.Is(err, ErrNotPair) {
t.Errorf("recevied '%v' expected '%v'", err, ErrNotPair)
}
}
func TestCollateralGetCollateralReader(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{available: decimal.NewFromInt(1337)},
}
var expectedError error
cr, err := c.GetCollateralReader()
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if cr != c {
t.Error("expected the same thing")
}
}
func TestCollateralUpdateContracts(t *testing.T) {
t.Parallel()
b := gctorder.Buy
var expectedError error
c := &CollateralPair{
collateral: &Item{
asset: asset.Futures,
isCollateral: true,
},
contract: &Item{asset: asset.Futures},
currentDirection: &b,
}
leet := decimal.NewFromInt(1337)
err := c.UpdateContracts(gctorder.Buy, leet)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if !c.contract.available.Equal(leet) {
t.Errorf("recevied '%v' expected '%v'", c.contract.available, leet)
}
b = gctorder.Sell
err = c.UpdateContracts(gctorder.Buy, leet)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if !c.contract.available.Equal(decimal.Zero) {
t.Errorf("recevied '%v' expected '%v'", c.contract.available, decimal.Zero)
}
c.currentDirection = nil
err = c.UpdateContracts(gctorder.Buy, leet)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if !c.contract.available.Equal(leet) {
t.Errorf("recevied '%v' expected '%v'", c.contract.available, leet)
}
}
func TestCollateralReleaseContracts(t *testing.T) {
t.Parallel()
b := gctorder.Buy
c := &CollateralPair{
collateral: &Item{
asset: asset.Futures,
isCollateral: true,
},
contract: &Item{asset: asset.Futures},
currentDirection: &b,
}
expectedError := errPositiveOnly
err := c.ReleaseContracts(decimal.Zero)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
expectedError = errCannotAllocate
err = c.ReleaseContracts(decimal.NewFromInt(1337))
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
expectedError = nil
c.contract.available = decimal.NewFromInt(1337)
err = c.ReleaseContracts(decimal.NewFromInt(1337))
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
}
func TestCollateralFundReader(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{available: decimal.NewFromInt(1337)},
}
if c.FundReader() != c {
t.Error("expected the same thing")
}
}
func TestCollateralPairReleaser(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{},
contract: &Item{},
}
if _, err := c.PairReleaser(); !errors.Is(err, ErrNotPair) {
t.Errorf("recevied '%v' expected '%v'", err, ErrNotPair)
}
}
func TestCollateralFundReserver(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{available: decimal.NewFromInt(1337)},
}
if c.FundReserver() != c {
t.Error("expected the same thing")
}
}
func TestCollateralCollateralReleaser(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{},
contract: &Item{},
}
var expectedError error
if _, err := c.CollateralReleaser(); !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
}
func TestCollateralFundReleaser(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{available: decimal.NewFromInt(1337)},
}
if c.FundReleaser() != c {
t.Error("expected the same thing")
}
}
func TestCollateralReserve(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{
asset: asset.Futures,
isCollateral: true,
available: decimal.NewFromInt(1337),
},
contract: &Item{asset: asset.Futures},
}
var expectedError error
err := c.Reserve(decimal.NewFromInt(1), gctorder.Long)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if !c.collateral.reserved.Equal(decimal.NewFromInt(1)) {
t.Errorf("recevied '%v' expected '%v'", c.collateral.reserved, decimal.NewFromInt(1))
}
if !c.collateral.available.Equal(decimal.NewFromInt(1336)) {
t.Errorf("recevied '%v' expected '%v'", c.collateral.available, decimal.NewFromInt(1336))
}
err = c.Reserve(decimal.NewFromInt(1), gctorder.Short)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if !c.collateral.reserved.Equal(decimal.NewFromInt(2)) {
t.Errorf("recevied '%v' expected '%v'", c.collateral.reserved, decimal.NewFromInt(2))
}
if !c.collateral.available.Equal(decimal.NewFromInt(1335)) {
t.Errorf("recevied '%v' expected '%v'", c.collateral.available, decimal.NewFromInt(1335))
}
err = c.Reserve(decimal.NewFromInt(2), gctorder.ClosePosition)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if !c.collateral.reserved.Equal(decimal.NewFromInt(4)) {
t.Errorf("recevied '%v' expected '%v'", c.collateral.reserved, decimal.Zero)
}
if !c.collateral.available.Equal(decimal.NewFromInt(1333)) {
t.Errorf("recevied '%v' expected '%v'", c.collateral.available, decimal.NewFromInt(1333))
}
expectedError = errCannotAllocate
err = c.Reserve(decimal.NewFromInt(2), gctorder.Buy)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
}
func TestCollateralLiquidate(t *testing.T) {
t.Parallel()
c := &CollateralPair{
collateral: &Item{
asset: asset.Futures,
isCollateral: true,
available: decimal.NewFromInt(1337),
},
contract: &Item{asset: asset.Futures,
available: decimal.NewFromInt(1337),
},
}
c.Liquidate()
if !c.collateral.available.Equal(decimal.Zero) {
t.Errorf("recevied '%v' expected '%v'", c.collateral.available, decimal.Zero)
}
if !c.contract.available.Equal(decimal.Zero) {
t.Errorf("recevied '%v' expected '%v'", c.contract.available, decimal.Zero)
}
}
func TestCollateralCurrentHoldings(t *testing.T) {
t.Parallel()
c := &CollateralPair{
contract: &Item{available: decimal.NewFromInt(1337)},
}
if !c.CurrentHoldings().Equal(decimal.NewFromInt(1337)) {
t.Errorf("recevied '%v' expected '%v'", c.CurrentHoldings(), decimal.NewFromInt(1337))
}
}