Futures order position tracking & FTX scaled collateral calculation #868
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## master #868 +/- ##
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+ Coverage 44.67% 45.00% +0.32%
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Files 313 314 +1
Lines 79926 81214 +1288
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+ Hits 35707 36549 +842
- Misses 38762 39122 +360
- Partials 5457 5543 +86
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gloriousCode
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gloriousCode
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Thanks for addressing all the change requests.
Position tracking testing:
go run ./... --timeout=5m getfuturesposition --exchange="ftx" --asset="futures" --pair="BTC-perp"
{
"totalOrders": 4,
"totalRealisedPNL": "-0.2770445625",
"positions": [
{
"status": "CLOSED",
"unrealisedPNL": "0",
"realisedPNL": "-0.1481740275",
"openingDate": "2021-10-25 23:05:28 +0000",
"closingDate": "2021-10-25 23:06:48 +0000"
},
{
"status": "CLOSED",
"unrealisedPNL": "0",
"realisedPNL": "-0.128870535",
"openingDate": "2021-10-25 23:20:30 +0000",
"closingDate": "2021-10-25 23:20:37 +0000"
}
]
}Can confirm position return calc from front end.
Would be good in future to see a percentage increase or decrease as well.
Collateral calculation testing:
attempt 1 offline:
go run ./... --timeout=5m getcollateral --exchange="ftx" --asset="spot" --i --c
{
"totalCollateral": "1.07902616",
"currencyBreakdown": [
{
"currency": "USD",
"scaledCollateral": "1.07902616"
}
]
}another attempt same account:
go run ./... --timeout=5m getcollateral --exchange="ftx" --asset="spot" --i --c
{
"totalCollateral": "4007.3620206",
"currencyBreakdown": [
{
"currency": "BTC",
"scaledCollateral": "0",
"scaledToCurrency": "USD"
},
{
"currency": "OKB",
"scaledCollateral": "0",
"scaledToCurrency": "USD"
},
{
"currency": "BNB",
"scaledCollateral": "0",
"scaledToCurrency": "USD"
},
{
"currency": "USD",
"scaledCollateral": "4007.3620206"
},
{
"currency": "XRP",
"scaledCollateral": "0",
"scaledToCurrency": "USD"
},
{
"currency": "SRM",
"scaledCollateral": "0",
"scaledToCurrency": "USD"
},
{
"currency": "FTT",
"scaledCollateral": "0",
"scaledToCurrency": "USD"
}
]
}Don't know why it takes a couple requests to populate it all just yet.
Also: When we designate a sub-account via config we cannot utilize getcollateral for main or other sub-accounts, which for now is not a big issue.
shazbert
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From our discussions, it may have been a result of you using a subaccount, but this isn't something I have been able to replicate. If it comes up again, please provide steps to recreate. The RPCServer now returns a subaccount name on both or |
gloriousCode
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|
Okay, I think I've done it this time 😄 I swear! I've made it more clear and the valuations are more accurate It also works with SRM_LOCKED: |
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I can see that futures UPNL and online collateral calculations are matching up with the front-end 🎉 We're still missing the "additional collateral used" breackdown field per spot margin borrowed item, but that's something I have a ticket with FTX open ATM.
The locked_in_stakes value shows the serum amount in USD, but should be SRM amount * current SRM market price
cmd/gctcli/commands.go
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| var overwrite bool | ||
| if c.IsSet("overwrite") { | ||
| overwrite = c.Bool("overwrite") | ||
| } else if c.Args().Get(2) != "" { |
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| } else if c.Args().Get(2) != "" { | |
| } else if c.Args().Get(8) != "" { |
cmd/gctcli/commands.go
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| var verbose bool | ||
| if c.IsSet("verbose") { | ||
| verbose = c.Bool("verbose") | ||
| } else if c.Args().Get(6) != "" { |
cmd/gctcli/commands.go
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| } | ||
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| var subAccount string | ||
| if c.IsSet("subaccount") { |
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Subaccount is last in the ArgsUsage blurb, but second last here
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This is pretty much a tACK; just one thing I noticed:
Offline calculations have approx_fair_market_value as 0 for USD.
{
"currency": "USD",
"total_funds": "4018.00442214 USD",
"available_for_use_as_collateral": "0.03206414 USD",
"approx_fair_market_value": "0 USD",
"weighting": "1",
"collateral_contribution": "0.03206414 USD",
"scaled_to_currency": "USD",
"funds_in_use": "4017.972358 USD"
},
PR Description
This PR is based on the following branch, minus any backtester changes here.
As getting futures support working for the backtester requires many changes, I thought I'd extract some reviewable parts of my work. This PR does the following:
getfuturesposition(note: mocking my sweet PNL is banned)getcollateralThese features have been implemented for FTX as that's what I'm currently targeting for backtesting futures work
Things to consider
overwritewhen requesting position data via GRPC. It will clear any existing data for the exchange+currencypair+assetType of change
How has this been tested
I've added tests to all new functions as well as added some additional coverage where it came up.
Checklist