Files
gocryptotrader/engine/websocketroutine_manager_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

357 lines
9.6 KiB
Go

package engine
import (
"errors"
"sync"
"testing"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/exchanges/stream"
"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
)
func TestWebsocketRoutineManagerSetup(t *testing.T) {
_, err := setupWebsocketRoutineManager(nil, nil, nil, nil, false)
if !errors.Is(err, errNilExchangeManager) {
t.Errorf("error '%v', expected '%v'", err, errNilExchangeManager)
}
_, err = setupWebsocketRoutineManager(SetupExchangeManager(), nil, nil, nil, false)
if !errors.Is(err, errNilOrderManager) {
t.Errorf("error '%v', expected '%v'", err, errNilOrderManager)
}
_, err = setupWebsocketRoutineManager(SetupExchangeManager(), &OrderManager{}, nil, nil, false)
if !errors.Is(err, errNilCurrencyPairSyncer) {
t.Errorf("error '%v', expected '%v'", err, errNilCurrencyPairSyncer)
}
_, err = setupWebsocketRoutineManager(SetupExchangeManager(), &OrderManager{}, &syncManager{}, nil, false)
if !errors.Is(err, errNilCurrencyConfig) {
t.Errorf("error '%v', expected '%v'", err, errNilCurrencyConfig)
}
_, err = setupWebsocketRoutineManager(SetupExchangeManager(), &OrderManager{}, &syncManager{}, &currency.Config{}, true)
if !errors.Is(err, errNilCurrencyPairFormat) {
t.Errorf("error '%v', expected '%v'", err, errNilCurrencyPairFormat)
}
m, err := setupWebsocketRoutineManager(SetupExchangeManager(), &OrderManager{}, &syncManager{}, &currency.Config{}, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
if m == nil {
t.Error("expecting manager")
}
}
func TestWebsocketRoutineManagerStart(t *testing.T) {
var m *websocketRoutineManager
err := m.Start()
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("error '%v', expected '%v'", err, ErrNilSubsystem)
}
cfg := &currency.Config{CurrencyPairFormat: &currency.PairFormat{
Uppercase: false,
Delimiter: "-",
}}
m, err = setupWebsocketRoutineManager(SetupExchangeManager(), &OrderManager{}, &syncManager{}, cfg, true)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Start()
if !errors.Is(err, ErrSubSystemAlreadyStarted) {
t.Errorf("error '%v', expected '%v'", err, ErrSubSystemAlreadyStarted)
}
}
func TestWebsocketRoutineManagerIsRunning(t *testing.T) {
var m *websocketRoutineManager
if m.IsRunning() {
t.Error("expected false")
}
m, err := setupWebsocketRoutineManager(SetupExchangeManager(), &OrderManager{}, &syncManager{}, &currency.Config{}, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
if m.IsRunning() {
t.Error("expected false")
}
err = m.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
if !m.IsRunning() {
t.Error("expected true")
}
}
func TestWebsocketRoutineManagerStop(t *testing.T) {
var m *websocketRoutineManager
err := m.Stop()
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("error '%v', expected '%v'", err, ErrNilSubsystem)
}
m, err = setupWebsocketRoutineManager(SetupExchangeManager(), &OrderManager{}, &syncManager{}, &currency.Config{}, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Stop()
if !errors.Is(err, ErrSubSystemNotStarted) {
t.Errorf("error '%v', expected '%v'", err, ErrSubSystemNotStarted)
}
err = m.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Stop()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
}
func TestWebsocketRoutineManagerHandleData(t *testing.T) {
var exchName = "Bitstamp"
var wg sync.WaitGroup
em := SetupExchangeManager()
exch, err := em.NewExchangeByName(exchName)
if !errors.Is(err, nil) {
t.Fatalf("error '%v', expected '%v'", err, nil)
}
exch.SetDefaults()
em.Add(exch)
om, err := SetupOrderManager(em, &CommunicationManager{}, &wg, false, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = om.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
cfg := &currency.Config{CurrencyPairFormat: &currency.PairFormat{
Uppercase: false,
Delimiter: "-",
}}
m, err := setupWebsocketRoutineManager(em, om, &syncManager{}, cfg, true)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
var orderID = "1337"
err = m.websocketDataHandler(exchName, errors.New("error"))
if err == nil {
t.Error("Error not handled correctly")
}
err = m.websocketDataHandler(exchName, stream.FundingData{})
if err != nil {
t.Error(err)
}
err = m.websocketDataHandler(exchName, &ticker.Price{
ExchangeName: exchName,
Pair: currency.NewPair(currency.BTC, currency.USDC),
AssetType: asset.Spot,
})
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.websocketDataHandler(exchName, stream.KlineData{})
if err != nil {
t.Error(err)
}
origOrder := &order.Detail{
Exchange: exchName,
OrderID: orderID,
Amount: 1337,
Price: 1337,
}
err = m.websocketDataHandler(exchName, origOrder)
if err != nil {
t.Error(err)
}
// Send it again since it exists now
err = m.websocketDataHandler(exchName, &order.Detail{
Exchange: exchName,
OrderID: orderID,
Amount: 1338,
})
if err != nil {
t.Error(err)
}
updated, err := m.orderManager.GetByExchangeAndID(origOrder.Exchange, origOrder.OrderID)
if err != nil {
t.Error(err)
}
if updated.Amount != 1338 {
t.Error("Bad pipeline")
}
err = m.websocketDataHandler(exchName, &order.Detail{
Exchange: "Bitstamp",
OrderID: orderID,
Status: order.Active,
})
if err != nil {
t.Error(err)
}
updated, err = m.orderManager.GetByExchangeAndID(origOrder.Exchange, origOrder.OrderID)
if err != nil {
t.Error(err)
}
if updated.Status != order.Active {
t.Error("Expected order to be modified to Active")
}
// Send some gibberish
err = m.websocketDataHandler(exchName, order.Stop)
if err != nil {
t.Error(err)
}
err = m.websocketDataHandler(exchName, stream.UnhandledMessageWarning{
Message: "there's an issue here's a tissue"},
)
if err != nil {
t.Error(err)
}
classificationError := order.ClassificationError{
Exchange: "test",
OrderID: "one",
Err: errors.New("lol"),
}
err = m.websocketDataHandler(exchName, classificationError)
if err == nil {
t.Error("Expected error")
}
if !errors.Is(err, classificationError.Err) {
t.Errorf("error '%v', expected '%v'", err, classificationError.Err)
}
err = m.websocketDataHandler(exchName, &orderbook.Base{
Exchange: "Bitstamp",
Pair: currency.NewPair(currency.BTC, currency.USD),
})
if err != nil {
t.Error(err)
}
err = m.websocketDataHandler(exchName, "this is a test string")
if err != nil {
t.Error(err)
}
}
func TestRegisterWebsocketDataHandlerWithFunctionality(t *testing.T) {
t.Parallel()
var m *websocketRoutineManager
err := m.registerWebsocketDataHandler(nil, false)
if !errors.Is(err, ErrNilSubsystem) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrNilSubsystem)
}
m = new(websocketRoutineManager)
m.shutdown = make(chan struct{})
err = m.registerWebsocketDataHandler(nil, false)
if !errors.Is(err, errNilWebsocketDataHandlerFunction) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNilWebsocketDataHandlerFunction)
}
// externally defined capture device
dataChan := make(chan interface{})
fn := func(_ string, data interface{}) error {
switch data.(type) {
case string:
dataChan <- data
default:
}
return nil
}
err = m.registerWebsocketDataHandler(fn, true)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(m.dataHandlers) != 1 {
t.Fatal("unexpected data handlers registered")
}
mock := stream.New()
mock.ToRoutine = make(chan interface{})
m.started = 1
err = m.websocketDataReceiver(mock)
if err != nil {
t.Fatal(err)
}
mock.ToRoutine <- nil
mock.ToRoutine <- 1336
mock.ToRoutine <- "intercepted"
if r := <-dataChan; r != "intercepted" {
t.Fatal("unexpected value received")
}
close(m.shutdown)
m.wg.Wait()
}
func TestSetWebsocketDataHandler(t *testing.T) {
t.Parallel()
var m *websocketRoutineManager
err := m.setWebsocketDataHandler(nil)
if !errors.Is(err, ErrNilSubsystem) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrNilSubsystem)
}
m = new(websocketRoutineManager)
m.shutdown = make(chan struct{})
err = m.setWebsocketDataHandler(nil)
if !errors.Is(err, errNilWebsocketDataHandlerFunction) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNilWebsocketDataHandlerFunction)
}
err = m.registerWebsocketDataHandler(m.websocketDataHandler, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
err = m.registerWebsocketDataHandler(m.websocketDataHandler, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
err = m.registerWebsocketDataHandler(m.websocketDataHandler, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(m.dataHandlers) != 3 {
t.Fatal("unexpected data handler count")
}
err = m.setWebsocketDataHandler(m.websocketDataHandler)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(m.dataHandlers) != 1 {
t.Fatal("unexpected data handler count")
}
}