Files
gocryptotrader/backtester/funding/funding_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

868 lines
25 KiB
Go

package funding
import (
"errors"
"testing"
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/backtester/common"
"github.com/thrasher-corp/gocryptotrader/backtester/data/kline"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/event"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/signal"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/engine"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline"
)
var (
elite = decimal.NewFromInt(1337)
neg = decimal.NewFromInt(-1)
one = decimal.NewFromInt(1)
exchName = "exchname"
a = asset.Spot
base = currency.DOGE
quote = currency.XRP
pair = currency.NewPair(base, quote)
)
// fakeEvent implements common.EventHandler without
// caring about the response, or dealing with import cycles
type fakeEvent struct{}
func (f *fakeEvent) GetOffset() int64 { return 0 }
func (f *fakeEvent) SetOffset(int64) {}
func (f *fakeEvent) IsEvent() bool { return true }
func (f *fakeEvent) GetTime() time.Time { return time.Now() }
func (f *fakeEvent) Pair() currency.Pair { return pair }
func (f *fakeEvent) GetExchange() string { return exchName }
func (f *fakeEvent) GetInterval() gctkline.Interval { return gctkline.OneMin }
func (f *fakeEvent) GetAssetType() asset.Item { return asset.Spot }
func (f *fakeEvent) AppendReason(string) {}
func (f *fakeEvent) GetClosePrice() decimal.Decimal { return elite }
func (f *fakeEvent) AppendReasonf(s string, i ...interface{}) {}
func (f *fakeEvent) GetBase() *event.Base { return &event.Base{} }
func (f *fakeEvent) GetUnderlyingPair() currency.Pair { return pair }
func (f *fakeEvent) GetConcatReasons() string { return "" }
func (f *fakeEvent) GetReasons() []string { return nil }
func TestSetupFundingManager(t *testing.T) {
t.Parallel()
f, err := SetupFundingManager(&engine.ExchangeManager{}, true, false)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if !f.usingExchangeLevelFunding {
t.Errorf("expected '%v received '%v'", true, false)
}
if f.disableUSDTracking {
t.Errorf("expected '%v received '%v'", false, true)
}
f, err = SetupFundingManager(&engine.ExchangeManager{}, false, true)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if f.usingExchangeLevelFunding {
t.Errorf("expected '%v received '%v'", false, true)
}
if !f.disableUSDTracking {
t.Errorf("expected '%v received '%v'", true, false)
}
}
func TestReset(t *testing.T) {
t.Parallel()
f, err := SetupFundingManager(&engine.ExchangeManager{}, true, false)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
baseItem, err := CreateItem(exchName, a, base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddItem(baseItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
f.Reset()
if f.usingExchangeLevelFunding {
t.Errorf("expected '%v received '%v'", false, true)
}
if f.Exists(baseItem) {
t.Errorf("expected '%v received '%v'", false, true)
}
}
func TestIsUsingExchangeLevelFunding(t *testing.T) {
t.Parallel()
f, err := SetupFundingManager(&engine.ExchangeManager{}, true, false)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if !f.IsUsingExchangeLevelFunding() {
t.Errorf("expected '%v received '%v'", true, false)
}
}
func TestTransfer(t *testing.T) {
t.Parallel()
f := FundManager{
usingExchangeLevelFunding: false,
items: nil,
}
err := f.Transfer(decimal.Zero, nil, nil, false)
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v' expected '%v'", err, common.ErrNilArguments)
}
err = f.Transfer(decimal.Zero, &Item{}, nil, false)
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v' expected '%v'", err, common.ErrNilArguments)
}
err = f.Transfer(decimal.Zero, &Item{}, &Item{}, false)
if !errors.Is(err, errZeroAmountReceived) {
t.Errorf("received '%v' expected '%v'", err, errZeroAmountReceived)
}
err = f.Transfer(elite, &Item{}, &Item{}, false)
if !errors.Is(err, errNotEnoughFunds) {
t.Errorf("received '%v' expected '%v'", err, errNotEnoughFunds)
}
item1 := &Item{exchange: "hello", asset: a, currency: base, available: elite}
err = f.Transfer(elite, item1, item1, false)
if !errors.Is(err, errCannotTransferToSameFunds) {
t.Errorf("received '%v' expected '%v'", err, errCannotTransferToSameFunds)
}
item2 := &Item{exchange: "hello", asset: a, currency: quote}
err = f.Transfer(elite, item1, item2, false)
if !errors.Is(err, errTransferMustBeSameCurrency) {
t.Errorf("received '%v' expected '%v'", err, errTransferMustBeSameCurrency)
}
item2.exchange = "moto"
item2.currency = base
err = f.Transfer(elite, item1, item2, false)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if !item2.available.Equal(elite) {
t.Errorf("received '%v' expected '%v'", item2.available, elite)
}
if !item1.available.IsZero() {
t.Errorf("received '%v' expected '%v'", item1.available, decimal.Zero)
}
item2.transferFee = one
err = f.Transfer(elite, item2, item1, true)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if !item1.available.Equal(elite.Sub(item2.transferFee)) {
t.Errorf("received '%v' expected '%v'", item2.available, elite.Sub(item2.transferFee))
}
}
func TestAddItem(t *testing.T) {
t.Parallel()
f := FundManager{}
err := f.AddItem(nil)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
baseItem, err := CreateItem(exchName, a, base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddItem(baseItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddItem(baseItem)
if !errors.Is(err, ErrAlreadyExists) {
t.Errorf("received '%v' expected '%v'", err, ErrAlreadyExists)
}
}
func TestExists(t *testing.T) {
t.Parallel()
f := FundManager{}
if f.Exists(nil) {
t.Errorf("received '%v' expected '%v'", true, false)
}
conflictingSingleItem, err := CreateItem(exchName, a, base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddItem(conflictingSingleItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if !f.Exists(conflictingSingleItem) {
t.Errorf("received '%v' expected '%v'", false, true)
}
baseItem, err := CreateItem(exchName, a, base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
quoteItem, err := CreateItem(exchName, a, quote, elite, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
p, err := CreatePair(baseItem, quoteItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddPair(p)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
_, err = f.getFundingForEAP(exchName, a, pair)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
_, err = f.getFundingForEAP(exchName, a, pair)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
// demonstration that you don't need the original *Items
// to check for existence, just matching fields
baseCopy := Item{
exchange: baseItem.exchange,
asset: baseItem.asset,
currency: baseItem.currency,
initialFunds: baseItem.initialFunds,
available: baseItem.available,
reserved: baseItem.reserved,
transferFee: baseItem.transferFee,
pairedWith: baseItem.pairedWith,
trackingCandles: baseItem.trackingCandles,
snapshot: baseItem.snapshot,
isCollateral: baseItem.isCollateral,
collateralCandles: baseItem.collateralCandles,
}
quoteCopy := Item{
exchange: quoteItem.exchange,
asset: quoteItem.asset,
currency: quoteItem.currency,
initialFunds: quoteItem.initialFunds,
available: quoteItem.available,
reserved: quoteItem.reserved,
transferFee: quoteItem.transferFee,
pairedWith: quoteItem.pairedWith,
trackingCandles: quoteItem.trackingCandles,
snapshot: quoteItem.snapshot,
isCollateral: quoteItem.isCollateral,
collateralCandles: quoteItem.collateralCandles,
}
quoteCopy.pairedWith = &baseCopy
if !f.Exists(&baseCopy) {
t.Errorf("received '%v' expected '%v'", false, true)
}
currFunds, err := f.getFundingForEAC(exchName, a, base)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if currFunds.pairedWith != nil {
t.Errorf("received '%v' expected '%v'", nil, currFunds.pairedWith)
}
}
func TestAddPair(t *testing.T) {
t.Parallel()
f := FundManager{}
baseItem, err := CreateItem(exchName, a, pair.Base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
quoteItem, err := CreateItem(exchName, a, pair.Quote, elite, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
p, err := CreatePair(baseItem, quoteItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddPair(p)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
_, err = f.getFundingForEAP(exchName, a, pair)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
p, err = CreatePair(baseItem, quoteItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddPair(p)
if !errors.Is(err, ErrAlreadyExists) {
t.Errorf("received '%v' expected '%v'", err, ErrAlreadyExists)
}
}
func TestGetFundingForEvent(t *testing.T) {
t.Parallel()
e := &fakeEvent{}
f := FundManager{}
_, err := f.GetFundingForEvent(e)
if !errors.Is(err, ErrFundsNotFound) {
t.Errorf("received '%v' expected '%v'", err, ErrFundsNotFound)
}
baseItem, err := CreateItem(exchName, a, pair.Base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
quoteItem, err := CreateItem(exchName, a, pair.Quote, elite, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
p, err := CreatePair(baseItem, quoteItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddPair(p)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
_, err = f.GetFundingForEvent(e)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
}
func TestGetFundingForEAC(t *testing.T) {
t.Parallel()
f := FundManager{}
_, err := f.getFundingForEAC(exchName, a, base)
if !errors.Is(err, ErrFundsNotFound) {
t.Errorf("received '%v' expected '%v'", err, ErrFundsNotFound)
}
baseItem, err := CreateItem(exchName, a, pair.Base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddItem(baseItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
fundo, err := f.getFundingForEAC(exchName, a, base)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if !baseItem.Equal(fundo) {
t.Errorf("received '%v' expected '%v'", baseItem, fundo)
}
}
func TestGetFundingForEAP(t *testing.T) {
t.Parallel()
f := FundManager{}
_, err := f.getFundingForEAP(exchName, a, pair)
if !errors.Is(err, ErrFundsNotFound) {
t.Errorf("received '%v' expected '%v'", err, ErrFundsNotFound)
}
baseItem, err := CreateItem(exchName, a, pair.Base, decimal.Zero, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
quoteItem, err := CreateItem(exchName, a, pair.Quote, elite, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
p, err := CreatePair(baseItem, quoteItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddPair(p)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
_, err = f.getFundingForEAP(exchName, a, pair)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
_, err = CreatePair(baseItem, nil)
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v' expected '%v'", err, common.ErrNilArguments)
}
_, err = CreatePair(nil, quoteItem)
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v' expected '%v'", err, common.ErrNilArguments)
}
p, err = CreatePair(baseItem, quoteItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddPair(p)
if !errors.Is(err, ErrAlreadyExists) {
t.Errorf("received '%v' expected '%v'", err, ErrAlreadyExists)
}
}
func TestGenerateReport(t *testing.T) {
t.Parallel()
f := FundManager{}
report := f.GenerateReport()
if report == nil { //nolint:staticcheck,nolintlint // SA5011 Ignore the nil warnings
t.Fatal("shouldn't be nil")
}
if len(report.Items) > 0 { //nolint:staticcheck,nolintlint // SA5011 Ignore the nil warnings
t.Error("expected 0")
}
item := &Item{
exchange: exchName,
initialFunds: decimal.NewFromInt(100),
available: decimal.NewFromInt(200),
currency: currency.BTC,
asset: a,
}
err := f.AddItem(item)
if err != nil {
t.Fatal(err)
}
report = f.GenerateReport()
if len(report.Items) != 1 {
t.Fatal("expected 1")
}
if report.Items[0].Exchange != item.exchange {
t.Error("expected matching name")
}
f.usingExchangeLevelFunding = true
err = f.AddItem(&Item{
exchange: exchName,
initialFunds: decimal.NewFromInt(100),
available: decimal.NewFromInt(200),
currency: currency.USD,
asset: a,
})
if err != nil {
t.Fatal(err)
}
dfk := &kline.DataFromKline{
Item: gctkline.Item{
Exchange: exchName,
Pair: currency.NewPair(currency.BTC, currency.USD),
Asset: a,
Interval: gctkline.OneHour,
Candles: []gctkline.Candle{
{
Time: time.Now(),
},
},
},
}
err = dfk.Load()
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddUSDTrackingData(dfk)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
f.items[0].trackingCandles = dfk
f.CreateSnapshot(dfk.Item.Candles[0].Time)
report = f.GenerateReport()
if len(report.Items) != 2 {
t.Fatal("expected 2")
}
if report.Items[0].Exchange != item.exchange {
t.Error("expected matching name")
}
if !report.Items[1].FinalFunds.Equal(decimal.NewFromInt(200)) {
t.Errorf("received %v expected %v", report.Items[1].FinalFunds, decimal.NewFromInt(200))
}
}
func TestCreateSnapshot(t *testing.T) {
t.Parallel()
f := FundManager{}
f.CreateSnapshot(time.Time{})
f.items = append(f.items, &Item{})
f.CreateSnapshot(time.Time{})
dfk := &kline.DataFromKline{
Item: gctkline.Item{
Candles: []gctkline.Candle{
{
Time: time.Now(),
},
},
},
}
if err := dfk.Load(); err != nil {
t.Error(err)
}
f.items = append(f.items, &Item{
exchange: "test",
asset: asset.Spot,
currency: currency.BTC,
initialFunds: decimal.NewFromInt(1337),
available: decimal.NewFromInt(1337),
reserved: decimal.NewFromInt(1337),
transferFee: decimal.NewFromInt(1337),
trackingCandles: dfk,
})
f.CreateSnapshot(dfk.Item.Candles[0].Time)
}
func TestAddUSDTrackingData(t *testing.T) {
t.Parallel()
f := FundManager{}
err := f.AddUSDTrackingData(nil)
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v' expected '%v'", err, common.ErrNilArguments)
}
err = f.AddUSDTrackingData(&kline.DataFromKline{})
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v' expected '%v'", err, common.ErrNilArguments)
}
dfk := &kline.DataFromKline{
Item: gctkline.Item{
Candles: []gctkline.Candle{
{
Time: time.Now(),
},
},
},
}
err = dfk.Load()
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
quoteItem, err := CreateItem(exchName, a, pair.Quote, elite, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddItem(quoteItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
f.disableUSDTracking = true
err = f.AddUSDTrackingData(dfk)
if !errors.Is(err, ErrUSDTrackingDisabled) {
t.Errorf("received '%v' expected '%v'", err, ErrUSDTrackingDisabled)
}
f.disableUSDTracking = false
err = f.AddUSDTrackingData(dfk)
if !errors.Is(err, errCannotMatchTrackingToItem) {
t.Errorf("received '%v' expected '%v'", err, errCannotMatchTrackingToItem)
}
dfk = &kline.DataFromKline{
Item: gctkline.Item{
Exchange: exchName,
Pair: currency.NewPair(pair.Quote, currency.USD),
Asset: a,
Interval: gctkline.OneHour,
Candles: []gctkline.Candle{
{
Time: time.Now(),
},
},
},
}
err = dfk.Load()
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddUSDTrackingData(dfk)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
usdtItem, err := CreateItem(exchName, a, currency.USDT, elite, decimal.Zero)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddItem(usdtItem)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
err = f.AddUSDTrackingData(dfk)
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
}
func TestUSDTrackingDisabled(t *testing.T) {
t.Parallel()
f := FundManager{}
if f.USDTrackingDisabled() {
t.Error("received true, expected false")
}
f.disableUSDTracking = true
if !f.USDTrackingDisabled() {
t.Error("received false, expected true")
}
}
func TestFundingLiquidate(t *testing.T) {
t.Parallel()
f := FundManager{}
f.Liquidate(nil)
f.items = append(f.items, &Item{
exchange: "test",
asset: asset.Spot,
currency: currency.BTC,
available: decimal.NewFromInt(1337),
})
f.Liquidate(&signal.Signal{
Base: &event.Base{
Exchange: "test",
AssetType: asset.Spot,
CurrencyPair: currency.NewPair(currency.BTC, currency.USD),
},
})
if !f.items[0].available.IsZero() {
t.Errorf("received '%v' expected '%v'", f.items[0].available, "0")
}
}
func TestHasExchangeBeenLiquidated(t *testing.T) {
t.Parallel()
f := FundManager{}
f.Liquidate(nil)
f.items = append(f.items, &Item{
exchange: "test",
asset: asset.Spot,
currency: currency.BTC,
available: decimal.NewFromInt(1337),
})
ev := &signal.Signal{
Base: &event.Base{
Exchange: "test",
AssetType: asset.Spot,
CurrencyPair: currency.NewPair(currency.BTC, currency.USD),
},
}
f.Liquidate(ev)
if !f.items[0].available.IsZero() {
t.Errorf("received '%v' expected '%v'", f.items[0].available, "0")
}
if has := f.HasExchangeBeenLiquidated(ev); !has {
t.Errorf("received '%v' expected '%v'", has, true)
}
}
func TestGetAllFunding(t *testing.T) {
t.Parallel()
f := FundManager{}
resp := f.GetAllFunding()
if len(resp) != 0 {
t.Errorf("received '%v' expected '%v'", len(resp), 0)
}
f.items = append(f.items, &Item{
exchange: "test",
asset: asset.Spot,
currency: currency.BTC,
available: decimal.NewFromInt(1337),
})
resp = f.GetAllFunding()
if len(resp) != 1 {
t.Errorf("received '%v' expected '%v'", len(resp), 1)
}
}
func TestHasFutures(t *testing.T) {
t.Parallel()
f := FundManager{}
if has := f.HasFutures(); has {
t.Errorf("received '%v' expected '%v'", has, false)
}
f.items = append(f.items, &Item{
exchange: "test",
asset: asset.Futures,
currency: currency.BTC,
available: decimal.NewFromInt(1337),
})
if has := f.HasFutures(); !has {
t.Errorf("received '%v' expected '%v'", has, true)
}
}
func TestRealisePNL(t *testing.T) {
t.Parallel()
f := FundManager{}
f.items = append(f.items, &Item{
exchange: "test",
asset: asset.Futures,
currency: currency.BTC,
available: decimal.NewFromInt(1336),
isCollateral: true,
})
var expectedError error
err := f.RealisePNL("test", asset.Futures, currency.BTC, decimal.NewFromInt(1))
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
if !f.items[0].available.Equal(decimal.NewFromInt(1337)) {
t.Errorf("recevied '%v' expected '%v'", f.items[0].available, decimal.NewFromInt(1337))
}
expectedError = ErrFundsNotFound
err = f.RealisePNL("test2", asset.Futures, currency.BTC, decimal.NewFromInt(1))
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
}
func TestCreateCollateral(t *testing.T) {
t.Parallel()
collat := &Item{
exchange: "test",
asset: asset.Futures,
currency: currency.BTC,
available: decimal.NewFromInt(1336),
isCollateral: true,
}
contract := &Item{
exchange: "test",
asset: asset.Futures,
currency: currency.DOGE,
available: decimal.NewFromInt(1336),
}
var expectedError error
_, err := CreateCollateral(collat, contract)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
expectedError = common.ErrNilArguments
_, err = CreateCollateral(nil, contract)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
_, err = CreateCollateral(collat, nil)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
}
func TestUpdateCollateral(t *testing.T) {
t.Parallel()
f := &FundManager{}
expectedError := common.ErrNilEvent
err := f.UpdateCollateral(nil)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
ev := &signal.Signal{
Base: &event.Base{
Exchange: "ftx",
AssetType: asset.Futures,
CurrencyPair: currency.NewPair(currency.BTC, currency.USD),
},
}
f.items = append(f.items, &Item{
exchange: "ftx",
asset: asset.Spot,
currency: currency.BTC,
available: decimal.NewFromInt(1336),
})
em := engine.SetupExchangeManager()
exch, err := em.NewExchangeByName("ftx")
if err != nil {
t.Fatal(err)
}
exch.SetDefaults()
cfg, err := exch.GetDefaultConfig()
if err != nil {
t.Fatal(err)
}
err = exch.Setup(cfg)
if err != nil {
t.Fatal(err)
}
em.Add(exch)
f.exchangeManager = em
expectedError = ErrFundsNotFound
err = f.UpdateCollateral(ev)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
expectedError = nil
f.items = append(f.items, &Item{
exchange: "ftx",
asset: asset.Futures,
currency: currency.USD,
available: decimal.NewFromInt(1336),
isCollateral: true,
})
err = f.UpdateCollateral(ev)
if !errors.Is(err, expectedError) {
t.Errorf("recevied '%v' expected '%v'", err, expectedError)
}
}
func TestCreateFuturesCurrencyCode(t *testing.T) {
t.Parallel()
if result := CreateFuturesCurrencyCode(currency.BTC, currency.USDT); result != currency.NewCode("BTC-USDT") {
t.Errorf("received '%v', expected '%v'", result, "BTC-USDT")
}
}
func TestLinkCollateralCurrency(t *testing.T) {
t.Parallel()
f := FundManager{}
err := f.LinkCollateralCurrency(nil, currency.EMPTYCODE)
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v', expected '%v'", err, common.ErrNilArguments)
}
item := &Item{}
err = f.LinkCollateralCurrency(item, currency.EMPTYCODE)
if !errors.Is(err, common.ErrNilArguments) {
t.Errorf("received '%v', expected '%v'", err, common.ErrNilArguments)
}
err = f.LinkCollateralCurrency(item, currency.BTC)
if !errors.Is(err, errNotFutures) {
t.Errorf("received '%v', expected '%v'", err, errNotFutures)
}
item.asset = asset.Futures
err = f.LinkCollateralCurrency(item, currency.BTC)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
if !item.pairedWith.currency.Equal(currency.BTC) {
t.Errorf("received '%v', expected '%v'", currency.BTC, item.pairedWith.currency)
}
err = f.LinkCollateralCurrency(item, currency.LTC)
if !errors.Is(err, ErrAlreadyExists) {
t.Errorf("received '%v', expected '%v'", err, ErrAlreadyExists)
}
f.items = append(f.items, item.pairedWith)
item.pairedWith = nil
err = f.LinkCollateralCurrency(item, currency.BTC)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
}