Files
gocryptotrader/backtester/report/report_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

518 lines
14 KiB
Go

package report
import (
"errors"
"testing"
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/backtester/config"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/statistics"
"github.com/thrasher-corp/gocryptotrader/backtester/funding"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline"
gctorder "github.com/thrasher-corp/gocryptotrader/exchanges/order"
)
const testExchange = "binance"
func TestGenerateReport(t *testing.T) {
t.Parallel()
e := testExchange
a := asset.Spot
p := currency.NewPair(currency.BTC, currency.USDT)
d := Data{
Config: &config.Config{
StrategySettings: config.StrategySettings{
DisableUSDTracking: true,
},
},
OutputPath: t.TempDir(),
TemplatePath: "tpl.gohtml",
OriginalCandles: []*gctkline.Item{
{
Candles: []gctkline.Candle{
{
Time: time.Now(),
Open: 1337,
High: 1337,
Low: 1337,
Close: 1337,
Volume: 1337,
ValidationIssues: "hello world!",
},
},
},
},
EnhancedCandles: []EnhancedKline{
{
Exchange: e,
Asset: a,
Pair: p,
Interval: gctkline.OneHour,
Watermark: "Binance - SPOT - BTC-USDT",
Candles: []DetailedCandle{
{
UnixMilli: time.Date(2020, 12, 12, 0, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
VolumeColour: "rgba(47, 194, 27, 0.8)",
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
},
{
UnixMilli: time.Date(2020, 12, 12, 1, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1332,
High: 1332,
Low: 1330,
Close: 1331,
Volume: 2,
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
VolumeColour: "rgba(252, 3, 3, 0.8)",
},
{
UnixMilli: time.Date(2020, 12, 12, 2, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
VolumeColour: "rgba(47, 194, 27, 0.8)",
},
{
UnixMilli: time.Date(2020, 12, 12, 3, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
VolumeColour: "rgba(252, 3, 3, 0.8)",
},
{
UnixMilli: time.Date(2020, 12, 12, 4, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
VolumeColour: "rgba(47, 194, 27, 0.8)",
},
},
},
{
Exchange: "Bittrex",
Asset: a,
Pair: currency.NewPair(currency.BTC, currency.USD),
Interval: gctkline.OneDay,
Watermark: "BITTREX - SPOT - BTC-USD - 1d",
Candles: []DetailedCandle{
{
UnixMilli: time.Date(2020, 12, 12, 0, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
VolumeColour: "rgba(47, 194, 27, 0.8)",
},
{
UnixMilli: time.Date(2020, 12, 12, 1, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1332,
High: 1332,
Low: 1330,
Close: 1331,
Volume: 2,
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
VolumeColour: "rgba(252, 3, 3, 0.8)",
},
{
UnixMilli: time.Date(2020, 12, 12, 2, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
VolumeColour: "rgba(47, 194, 27, 0.8)",
},
{
UnixMilli: time.Date(2020, 12, 12, 3, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
MadeOrder: true,
OrderDirection: gctorder.Buy,
OrderAmount: decimal.NewFromInt(1337),
Shape: "arrowUp",
Text: "hi",
Position: "aboveBar",
Colour: "green",
PurchasePrice: 50,
VolumeColour: "rgba(252, 3, 3, 0.8)",
},
{
UnixMilli: time.Date(2020, 12, 12, 4, 0, 0, 0, time.UTC).UnixMilli(),
Open: 1337,
High: 1339,
Low: 1336,
Close: 1338,
Volume: 3,
VolumeColour: "rgba(47, 194, 27, 0.8)",
},
},
},
},
Statistics: &statistics.Statistic{
FundingStatistics: &statistics.FundingStatistics{
Report: &funding.Report{
DisableUSDTracking: true,
},
Items: []statistics.FundingItemStatistics{
{
ReportItem: &funding.ReportItem{Snapshots: []funding.ItemSnapshot{{Time: time.Now()}}},
},
},
TotalUSDStatistics: &statistics.TotalFundingStatistics{},
},
StrategyName: "testStrat",
RiskFreeRate: decimal.NewFromFloat(0.03),
ExchangeAssetPairStatistics: map[string]map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic{
e: {
a: {
p: &statistics.CurrencyPairStatistic{
LowestClosePrice: statistics.ValueAtTime{Value: decimal.NewFromInt(100)},
HighestClosePrice: statistics.ValueAtTime{Value: decimal.NewFromInt(200)},
MarketMovement: decimal.NewFromInt(100),
StrategyMovement: decimal.NewFromInt(100),
CompoundAnnualGrowthRate: decimal.NewFromInt(1),
BuyOrders: 1,
SellOrders: 1,
ArithmeticRatios: &statistics.Ratios{},
GeometricRatios: &statistics.Ratios{},
},
},
},
},
TotalBuyOrders: 1337,
TotalSellOrders: 1330,
TotalOrders: 200,
BiggestDrawdown: &statistics.FinalResultsHolder{
Exchange: e,
Asset: a,
Pair: p,
MaxDrawdown: statistics.Swing{
Highest: statistics.ValueAtTime{
Time: time.Now(),
Value: decimal.NewFromInt(1337),
},
Lowest: statistics.ValueAtTime{
Time: time.Now(),
Value: decimal.NewFromInt(137),
},
DrawdownPercent: decimal.NewFromInt(100),
},
MarketMovement: decimal.NewFromInt(1377),
StrategyMovement: decimal.NewFromInt(1377),
},
BestStrategyResults: &statistics.FinalResultsHolder{
Exchange: e,
Asset: a,
Pair: p,
MaxDrawdown: statistics.Swing{
Highest: statistics.ValueAtTime{
Time: time.Now(),
Value: decimal.NewFromInt(1337),
},
Lowest: statistics.ValueAtTime{
Time: time.Now(),
Value: decimal.NewFromInt(137),
},
DrawdownPercent: decimal.NewFromInt(100),
},
MarketMovement: decimal.NewFromInt(1337),
StrategyMovement: decimal.NewFromInt(1337),
},
BestMarketMovement: &statistics.FinalResultsHolder{
Exchange: e,
Asset: a,
Pair: p,
MaxDrawdown: statistics.Swing{
Highest: statistics.ValueAtTime{
Time: time.Now(),
Value: decimal.NewFromInt(1337),
},
Lowest: statistics.ValueAtTime{
Time: time.Now(),
Value: decimal.NewFromInt(137),
},
DrawdownPercent: decimal.NewFromInt(100),
},
MarketMovement: decimal.NewFromInt(1337),
StrategyMovement: decimal.NewFromInt(1337),
},
},
}
if err := d.GenerateReport(); err != nil {
t.Error(err)
}
}
func TestEnhanceCandles(t *testing.T) {
t.Parallel()
tt := time.Now()
var d Data
err := d.enhanceCandles()
if !errors.Is(err, errNoCandles) {
t.Errorf("received: %v, expected: %v", err, errNoCandles)
}
d.AddKlineItem(&gctkline.Item{})
err = d.enhanceCandles()
if !errors.Is(err, errStatisticsUnset) {
t.Errorf("received: %v, expected: %v", err, errStatisticsUnset)
}
d.Statistics = &statistics.Statistic{}
err = d.enhanceCandles()
if err != nil {
t.Error(err)
}
d.Statistics.ExchangeAssetPairStatistics = make(map[string]map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic)
d.Statistics.ExchangeAssetPairStatistics[testExchange] = make(map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic)
d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot] = make(map[currency.Pair]*statistics.CurrencyPairStatistic)
d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)] = &statistics.CurrencyPairStatistic{}
d.AddKlineItem(&gctkline.Item{
Exchange: testExchange,
Pair: currency.NewPair(currency.BTC, currency.USDT),
Asset: asset.Spot,
Interval: gctkline.OneDay,
Candles: []gctkline.Candle{
{
Time: tt,
Open: 1336,
High: 1338,
Low: 1336,
Close: 1337,
Volume: 1337,
},
},
})
err = d.enhanceCandles()
if err != nil {
t.Error(err)
}
d.AddKlineItem(&gctkline.Item{
Exchange: testExchange,
Pair: currency.NewPair(currency.BTC, currency.USDT),
Asset: asset.Spot,
Interval: gctkline.OneDay,
Candles: []gctkline.Candle{
{
Time: tt,
Open: 1336,
High: 1338,
Low: 1336,
Close: 1336,
Volume: 1337,
},
{
Time: tt,
Open: 1336,
High: 1338,
Low: 1336,
Close: 1335,
Volume: 1337,
},
},
})
err = d.enhanceCandles()
if err != nil {
t.Error(err)
}
d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)].FinalOrders = compliance.Snapshot{
Orders: []compliance.SnapshotOrder{
{
ClosePrice: decimal.NewFromInt(1335),
VolumeAdjustedPrice: decimal.NewFromInt(1337),
SlippageRate: decimal.NewFromInt(1),
CostBasis: decimal.NewFromInt(1337),
Order: nil,
},
},
Timestamp: tt,
}
err = d.enhanceCandles()
if err != nil {
t.Error(err)
}
d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)].FinalOrders = compliance.Snapshot{
Orders: []compliance.SnapshotOrder{
{
ClosePrice: decimal.NewFromInt(1335),
VolumeAdjustedPrice: decimal.NewFromInt(1337),
SlippageRate: decimal.NewFromInt(1),
CostBasis: decimal.NewFromInt(1337),
Order: &gctorder.Detail{
Date: tt,
Side: gctorder.Buy,
},
},
},
Timestamp: tt,
}
err = d.enhanceCandles()
if err != nil {
t.Error(err)
}
d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)].FinalOrders = compliance.Snapshot{
Orders: []compliance.SnapshotOrder{
{
ClosePrice: decimal.NewFromInt(1335),
VolumeAdjustedPrice: decimal.NewFromInt(1337),
SlippageRate: decimal.NewFromInt(1),
CostBasis: decimal.NewFromInt(1337),
Order: &gctorder.Detail{
Date: tt,
Side: gctorder.Sell,
},
},
},
Timestamp: tt,
}
err = d.enhanceCandles()
if err != nil {
t.Error(err)
}
if len(d.EnhancedCandles) == 0 {
t.Error("expected enhanced candles")
}
}
func TestUpdateItem(t *testing.T) {
t.Parallel()
d := Data{}
tt := time.Now()
d.UpdateItem(&gctkline.Item{
Candles: []gctkline.Candle{
{
Time: tt,
},
},
})
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")
}
d.UpdateItem(&gctkline.Item{
Candles: []gctkline.Candle{
{
Time: tt,
},
},
})
if len(d.OriginalCandles[0].Candles) != 1 {
t.Error("expected one candle")
}
d.UpdateItem(&gctkline.Item{
Candles: []gctkline.Candle{
{
Time: tt.Add(1),
},
},
})
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")
}
}