Files
gocryptotrader/backtester/common/common_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

247 lines
4.6 KiB
Go

package common
import (
"errors"
"fmt"
"testing"
gctorder "github.com/thrasher-corp/gocryptotrader/exchanges/order"
)
func TestCanTransact(t *testing.T) {
t.Parallel()
for _, ti := range []struct {
side gctorder.Side
expected bool
}{
{
side: gctorder.UnknownSide,
expected: false,
},
{
side: gctorder.Buy,
expected: true,
},
{
side: gctorder.Sell,
expected: true,
},
{
side: gctorder.Bid,
expected: true,
},
{
side: gctorder.Ask,
expected: true,
},
{
// while anyside can work in GCT, it's a no for the backtester
side: gctorder.AnySide,
expected: false,
},
{
side: gctorder.Long,
expected: true,
},
{
side: gctorder.Short,
expected: true,
},
{
side: gctorder.ClosePosition,
expected: true,
},
{
side: gctorder.DoNothing,
expected: false,
},
{
side: gctorder.TransferredFunds,
expected: false,
},
{
side: gctorder.CouldNotBuy,
expected: false,
},
{
side: gctorder.CouldNotSell,
expected: false,
},
{
side: gctorder.CouldNotShort,
expected: false,
},
{
side: gctorder.CouldNotLong,
expected: false,
},
{
side: gctorder.CouldNotCloseShort,
expected: false,
},
{
side: gctorder.CouldNotCloseLong,
expected: false,
},
{
side: gctorder.MissingData,
expected: false,
},
} {
t.Run(ti.side.String(), func(t *testing.T) {
t.Parallel()
if CanTransact(ti.side) != ti.expected {
t.Errorf("received '%v' expected '%v'", ti.side, ti.expected)
}
})
}
}
func TestDataTypeConversion(t *testing.T) {
t.Parallel()
for _, ti := range []struct {
title string
dataType string
want int64
expectErr bool
}{
{
title: "Candle data type",
dataType: CandleStr,
want: DataCandle,
},
{
title: "Trade data type",
dataType: TradeStr,
want: DataTrade,
},
{
title: "Unknown data type",
dataType: "unknown",
want: 0,
expectErr: true,
},
} {
t.Run(ti.title, func(t *testing.T) {
t.Parallel()
got, err := DataTypeToInt(ti.dataType)
if ti.expectErr {
if err == nil {
t.Error("expected error")
}
} else {
if err != nil || got != ti.want {
t.Error(fmt.Errorf("%s: expected %d, got %d, err: %v", ti.dataType, ti.want, got, err))
}
}
})
}
}
func TestFitStringToLimit(t *testing.T) {
t.Parallel()
for _, ti := range []struct {
str string
sep string
limit int
expected string
upper bool
}{
{
str: "good",
sep: " ",
limit: 5,
expected: "GOOD ",
upper: true,
},
{
str: "negative limit",
sep: " ",
limit: -1,
expected: "negative limit",
},
{
str: "long spacer",
sep: "--",
limit: 14,
expected: "long spacer---",
},
{
str: "zero limit",
sep: "--",
limit: 0,
expected: "",
},
{
str: "over limit",
sep: "--",
limit: 6,
expected: "ove...",
},
{
str: "hi",
sep: " ",
limit: 1,
expected: "h",
},
} {
test := ti
t.Run(test.str, func(t *testing.T) {
t.Parallel()
result := FitStringToLimit(test.str, test.sep, test.limit, test.upper)
if result != test.expected {
t.Errorf("received '%v' expected '%v'", result, test.expected)
}
})
}
}
func TestLogo(t *testing.T) {
colourLogo := Logo()
if colourLogo == "" {
t.Error("expected a logo")
}
PurgeColours()
if len(colourLogo) == len(Logo()) {
t.Error("expected logo with colours removed")
}
}
func TestPurgeColours(t *testing.T) {
PurgeColours()
if ColourSuccess != "" {
t.Error("expected purged colour")
}
}
func TestGenerateFileName(t *testing.T) {
t.Parallel()
_, err := GenerateFileName("", "")
if !errors.Is(err, errCannotGenerateFileName) {
t.Errorf("received '%v' expected '%v'", err, errCannotGenerateFileName)
}
_, err = GenerateFileName("hello", "")
if !errors.Is(err, errCannotGenerateFileName) {
t.Errorf("received '%v' expected '%v'", err, errCannotGenerateFileName)
}
_, err = GenerateFileName("", "moto")
if !errors.Is(err, errCannotGenerateFileName) {
t.Errorf("received '%v' expected '%v'", err, errCannotGenerateFileName)
}
_, err = GenerateFileName("hello", "moto")
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
name, err := GenerateFileName("......HELL0. + _", "moto.")
if !errors.Is(err, nil) {
t.Errorf("received '%v' expected '%v'", err, nil)
}
if name != "hell0_.moto" {
t.Errorf("received '%v' expected '%v'", name, "hell0_.moto")
}
}