backtester: Futures handling & FTX Cash and Carry example strategy (t…

…hrasher-corp#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

.appveyor.yml

@@ -55,7 +55,7 @@ before_test:
 
 test_script:
   # test back-end
-  - go install github.com/golangci/golangci-lint/cmd/golangci-lint@v1.45.2
+  - go install github.com/golangci/golangci-lint/cmd/golangci-lint@v1.46.2
   - '%GOPATH%\bin\golangci-lint.exe run --verbose'
   - ps: >-
       if($env:APPVEYOR_SCHEDULED_BUILD -eq 'true') {

.github/workflows/linter.yml

@@ -12,4 +12,4 @@ jobs:
       - name: golangci-lint
         uses: golangci/golangci-lint-action@v3
         with:
-          version: v1.45.2
+          version: v1.46.2

Makefile

@@ -1,6 +1,6 @@
 LDFLAGS = -ldflags "-w -s"
 GCTPKG = github.com/thrasher-corp/gocryptotrader
-LINTPKG = github.com/golangci/golangci-lint/cmd/golangci-lint@v1.45.2
+LINTPKG = github.com/golangci/golangci-lint/cmd/golangci-lint@v1.46.2
 LINTBIN = $(GOPATH)/bin/golangci-lint
 GCTLISTENPORT=9050
 GCTPROFILERLISTENPORT=8085

README.md

@@ -144,7 +144,7 @@ Binaries will be published once the codebase reaches a stable condition.
 |User|Contribution Amount|
 |--|--|
 | [thrasher-](https://github.com/thrasher-) | 666 |
-| [shazbert](https://github.com/shazbert) | 248 |
+| [shazbert](https://github.com/shazbert) | 249 |
 | [gloriousCode](https://github.com/gloriousCode) | 195 |
 | [dependabot-preview[bot]](https://github.com/apps/dependabot-preview) | 88 |
 | [dependabot[bot]](https://github.com/apps/dependabot) | 73 |

backtester/README.md

@@ -43,14 +43,17 @@ An event-driven backtesting tool to test and iterate trading strategies using hi
 - Compliance manager to keep snapshots of every transaction and their changes at every interval
 - Exchange level funding allows funding to be shared across multiple currency pairs and to allow for complex strategy design
 - Fund transfer. At a strategy level, transfer funds between exchanges to allow for complex strategy design
+- Backtesting support for futures asset types
+- Example cash and carry spot futures strategy
 
 ## Planned Features
 We welcome pull requests on any feature for the Backtester! We will be especially appreciative of any contribution towards the following planned features:
 
 | Feature | Description |
 |---------|-------------|
-| Add backtesting support for futures asset types | Spot trading is currently the only supported asset type. Futures trading greatly expands the Backtester's potential |
-| Example futures pairs trading strategy | Providing a basic example will allow for esteemed traders to build and customise their own |
+| Long-running application | Transform the Backtester to run a GRPC server, where commands can be sent to run Backtesting operations. Allowing for many strategies to be run, analysed and tweaked in a more efficient manner |
+| Leverage support | Leverage is a good way to enhance profit and loss and is important to include in strategies |
+| Enhance config-builder | Create an application that can create strategy configs in a more visual manner and execute them via GRPC to allow for faster customisation of strategies |
 | Save Backtester results to database | This will allow for easier comparison of results over time |
 | Backtester result comparison report | Providing an executive summary of Backtester database results |
 | Currency correlation | Compare multiple exchange, asset, currencies for a candle interval against indicators to highlight correlated pairs for use in pairs trading |