Files
gocryptotrader/currency/code.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

307 lines
7.1 KiB
Go

package currency
import (
"encoding/json"
"errors"
"fmt"
"strings"
"unicode"
)
var (
// ErrCurrencyCodeEmpty defines an error if the currency code is empty
ErrCurrencyCodeEmpty = errors.New("currency code is empty")
// ErrCurrencyPairEmpty defines an error if the currency pair is empty
ErrCurrencyPairEmpty = errors.New("currency pair is empty")
// EMPTYCODE is an empty currency code
EMPTYCODE = Code{}
// EMPTYPAIR is an empty currency pair
EMPTYPAIR = Pair{}
errItemIsNil = errors.New("item is nil")
errItemIsEmpty = errors.New("item is empty")
errRoleUnset = errors.New("role unset")
)
func (r Role) String() string {
switch r {
case Fiat:
return FiatCurrencyString
case Cryptocurrency:
return CryptocurrencyString
case Token:
return TokenString
case Contract:
return ContractString
case Stable:
return StableString
default:
return UnsetRoleString
}
}
// MarshalJSON conforms Role to the marshaller interface
func (r Role) MarshalJSON() ([]byte, error) {
return json.Marshal(r.String())
}
// UnmarshalJSON conforms Role to the unmarshaller interface
func (r *Role) UnmarshalJSON(d []byte) error {
var incoming string
err := json.Unmarshal(d, &incoming)
if err != nil {
return err
}
switch incoming {
case UnsetRoleString:
*r = Unset
case FiatCurrencyString:
*r = Fiat
case CryptocurrencyString:
*r = Cryptocurrency
case TokenString:
*r = Token
case ContractString:
*r = Contract
case StableString:
*r = Stable
default:
return fmt.Errorf("unmarshal error role type %s unsupported for currency",
incoming)
}
return nil
}
// HasData returns true if the type contains data
func (b *BaseCodes) HasData() bool {
b.mtx.Lock()
defer b.mtx.Unlock()
return len(b.Items) != 0
}
// GetFullCurrencyData returns a type that is read to dump to file
func (b *BaseCodes) GetFullCurrencyData() (File, error) {
var file File
b.mtx.Lock()
defer b.mtx.Unlock()
for i := range b.Items {
switch b.Items[i].Role {
case Unset:
file.UnsetCurrency = append(file.UnsetCurrency, b.Items[i])
case Fiat:
file.FiatCurrency = append(file.FiatCurrency, b.Items[i])
case Cryptocurrency:
file.Cryptocurrency = append(file.Cryptocurrency, b.Items[i])
case Token:
file.Token = append(file.Token, b.Items[i])
case Contract:
file.Contracts = append(file.Contracts, b.Items[i])
case Stable:
file.Stable = append(file.Stable, b.Items[i])
default:
return file, errors.New("role undefined")
}
}
file.LastMainUpdate = b.LastMainUpdate.Unix()
return file, nil
}
// GetCurrencies gets the full currency list from the base code type available
// from the currency system
func (b *BaseCodes) GetCurrencies() Currencies {
b.mtx.Lock()
currencies := make(Currencies, len(b.Items))
for i := range b.Items {
currencies[i] = Code{Item: b.Items[i]}
}
b.mtx.Unlock()
return currencies
}
// UpdateCurrency updates or registers a currency/contract
func (b *BaseCodes) UpdateCurrency(fullName, symbol, blockchain string, id int, r Role) error {
if r == Unset {
return fmt.Errorf("cannot update currency %w for %s", errRoleUnset, symbol)
}
b.mtx.Lock()
defer b.mtx.Unlock()
for i := range b.Items {
if b.Items[i].Symbol != symbol || (b.Items[i].Role != Unset && b.Items[i].Role != r) {
continue
}
if fullName != "" {
b.Items[i].FullName = fullName
}
if r != Unset {
b.Items[i].Role = r
}
if blockchain != "" {
b.Items[i].AssocChain = blockchain
}
if id != 0 {
b.Items[i].ID = id
}
return nil
}
b.Items = append(b.Items, &Item{
Symbol: symbol,
FullName: fullName,
Role: r,
AssocChain: blockchain,
ID: id,
})
return nil
}
// Register registers a currency from a string and returns a currency code, this
// can optionally include a role when it is known.
func (b *BaseCodes) Register(c string, newRole Role) Code {
if c == "" {
return EMPTYCODE
}
var format bool
// Digits fool upper and lower casing. So find first letter and check case.
for x := range c {
if !unicode.IsDigit(rune(c[x])) {
format = unicode.IsUpper(rune(c[x]))
break
}
}
// Force upper string storage and matching
c = strings.ToUpper(c)
b.mtx.Lock()
defer b.mtx.Unlock()
for i := range b.Items {
if b.Items[i].Symbol != c {
continue
}
if newRole != Unset {
if b.Items[i].Role == Unset {
b.Items[i].Role = newRole
} else if b.Items[i].Role != newRole {
// This will duplicate item with same name but different role.
// TODO: This will need a specific update to NewCode to add in
// a specific param to find the exact name and role.
continue
}
}
return Code{Item: b.Items[i], UpperCase: format}
}
newItem := &Item{Symbol: c, Lower: strings.ToLower(c), Role: newRole}
b.Items = append(b.Items, newItem)
return Code{Item: newItem, UpperCase: format}
}
// LoadItem sets item data
func (b *BaseCodes) LoadItem(item *Item) error {
if item == nil {
return errItemIsNil
}
if *item == (Item{}) {
return errItemIsEmpty
}
item.Symbol = strings.ToUpper(item.Symbol)
item.Lower = strings.ToLower(item.Symbol)
b.mtx.Lock()
defer b.mtx.Unlock()
for i := range b.Items {
if b.Items[i].Symbol != item.Symbol ||
(b.Items[i].Role != Unset && item.Role != Unset && b.Items[i].Role != item.Role) {
continue
}
return nil
}
b.Items = append(b.Items, item)
return nil
}
// NewCode returns a new currency registered code
func NewCode(c string) Code {
return storage.ValidateCode(c)
}
// String conforms to the stringer interface
func (i *Item) String() string {
return i.Symbol
}
// String converts the code to string
func (c Code) String() string {
if c.Item == nil {
return ""
}
if c.UpperCase {
return c.Item.Symbol
}
return c.Item.Lower
}
// Lower converts the code to lowercase formatting
func (c Code) Lower() Code {
c.UpperCase = false
return c
}
// Upper converts the code to uppercase formatting
func (c Code) Upper() Code {
c.UpperCase = true
return c
}
// UnmarshalJSON comforms type to the umarshaler interface
func (c *Code) UnmarshalJSON(d []byte) error {
var newcode string
err := json.Unmarshal(d, &newcode)
if err != nil {
return err
}
*c = NewCode(newcode)
return nil
}
// MarshalJSON conforms type to the marshaler interface
func (c Code) MarshalJSON() ([]byte, error) {
if c.Item == nil {
return json.Marshal("")
}
return json.Marshal(c.String())
}
// IsEmpty returns true if the code is empty
func (c Code) IsEmpty() bool {
return c.Item == nil || c.Item.Symbol == ""
}
// Equal returns if the code supplied is the same as the corresponding code
func (c Code) Equal(check Code) bool {
return c.Item == check.Item
}
// IsFiatCurrency checks if the currency passed is an enabled fiat currency
func (c Code) IsFiatCurrency() bool {
return c.Item != nil && c.Item.Role == Fiat
}
// IsCryptocurrency checks if the currency passed is an enabled CRYPTO currency.
// NOTE: All unset currencies will default to cryptocurrencies and stable coins
// are cryptocurrencies as well.
func (c Code) IsCryptocurrency() bool {
return c.Item != nil && c.Item.Role&(Cryptocurrency|Stable) == c.Item.Role
}
// IsStableCurrency checks if the currency is a stable currency.
func (c Code) IsStableCurrency() bool {
return c.Item != nil && c.Item.Role == Stable
}