technical_analysis: TWAP & VWAP + TA methods to candles and link to existing RPC server for GCTCLI prototyping #970

shazbert · 2022-06-05T07:32:46Z

PR Description

Add TWAP & VWAP calculations in klines as methods.
Add connectors for existing gct technical analysis library as methods on kline for ease of use.
Add verbosity flag incoming from RPC context to highlight REST request information.
Add gct cli command for retrieving TA signals.

~~NOTE: Removed support for MACD for now as it's very unstable.~~

Fixes # (issue)

Type of change

Please delete options that are not relevant and add an x in [] as item is complete.

Bug fix (non-breaking change which fixes an issue)
New feature (non-breaking change which adds functionality)
Breaking change (fix or feature that would cause existing functionality to not work as expected)
This change requires a documentation update

How has this been tested

Please describe the tests that you ran to verify your changes. Provide instructions so we can reproduce. Please also list any relevant details for your test configuration and
also consider improving test coverage whilst working on a certain feature or package.

go test ./... -race
golangci-lint run
Test X

Checklist

My code follows the style guidelines of this project
I have performed a self-review of my own code
I have commented my code, particularly in hard-to-understand areas
I have made corresponding changes to the documentation and regenerated documentation via the documentation tool
My changes generate no new warnings
I have added tests that prove my fix is effective or that my feature works
New and existing unit tests pass locally and on Github Actions/AppVeyor with my changes
Any dependent changes have been merged and published in downstream modules

…dling

gloriousCode

First pass. Nice work! Have not verified any values or anything yet

cmd/gctcli/technical_analysis.go

exchanges/kline/technical_analysis.go

cmd/gctcli/technical_analysis.go

exchanges/kline/technical_analysis.go

gloriousCode

Tested the numbers 👍 I am pleased with your changes. Just a few more thingos

gloriousCode · 2022-06-08T00:18:23Z

exchanges/kline/weighted_price.go

+var errNoDataData = errors.New("no candle data")
+
+// GetAveragePrice returns the average price from the open, high, low and close
+func (c *Candle) GetAveragePrice() float64 {


From our discussion: the simplistic nature of these functions along with the TA package likley getting a relook in future, I'm happy with it remaining here and then being added in a future PR

exchanges/kline/weighted_price.go

cmd/gctcli/technical_analysis.go

engine/rpcserver.go

exchanges/kline/weighted_price_test.go

Co-authored-by: Scott <[email protected]>

…nto weighted_price

gloriousCode

Nice! Last round just going through each command to handle my poor choices

cmd/gctcli/technical_analysis.go

engine/rpcserver.go

cmd/gctcli/technical_analysis.go

gloriousCode

Looks like some tests have died as a result of kline validation changes too

…were erroring out in tests.

gloriousCode

tACK! Thanks for adding those extra protections

thrasher-

Nice stuff! Tested all commands via the following:

MFI - OK - ./gctcli --verbose ta bbands --exchange=binance --pair=btc-usdt --asset=spot --start="2022-01-01 00:00:00" --end="2022-07-08 14:01:09"
RSI - OK - ""
SMA - OK - ""
EMA - OK - ""
ATR - OK - ""
MACD - OK - ""
OBV - OK - ./gctcli --verbose ta obv --exchange=binance --pair=btc-usdt --asset=spot --start="2008-01-01 00:00:00" --end="2022-07-08 14:01:09" --granularity=604800
BBANDS - OK - ""
COCO - OK ./gctcli --verbose ta coco --exchange=binance --pair=btc-usdt --asset=spot --start="2022-01-01 00:00:00" --end="2022-07-08 14:01:09" --ca=spot --cp=ETH-USDT
VWAP - Verified via quantinsti blog results - test output

These values were compared all with the GCT default values and then configured on cryptowat.ch (except for COCO as stated above) to match. I also tested the values on Bitstamp but ran into issues with FTX as they were all slightly out - but not related to this PR.

Thanks for going the extra office for VWAP/TWAP by implementing the quantinsti dataset and verifying their values 👍

…xisting RPC server for GCTCLI prototyping (thrasher-corp#970) * kline: add weighted price helpers for candles * twap/vwap: basic implementation and hook to rpc for protype * ta: cont implementation. (WIP) * kline: Add tests * kline: add helpers * ta: full impl. * kline: remove support for macd and add in correlation-coefficient handling * rpc: change naming convention * linter: fix * protolinter: fix * linter: ++ * kline: reinstate macd handling after adding in check * glorious: nits * gctcl: linter * Update exchanges/kline/weighted_price.go Co-authored-by: Scott <[email protected]> * glorious: nits * glorious: nits v2.0 * kline: fix test * huobi-tests: shift from next quarter to this weeks contracts as they were erroring out in tests. * btcmarkets: update supported kline intervals * zb: fix test * rpcserver: fix bug and tests Co-authored-by: Ryan O'Hara-Reid <[email protected]> Co-authored-by: Scott <[email protected]>

@thrasher-

* public endpoints methods added * Completing mapping REST endpoints * Binanceus Wrapper methods -Partially * BinaWra functions with test funs; Not Completed * Finalizing wrapper methods & test * Finalizing wrapper methods & test * Fix & Complete wrapper functions * Adding Stream Datas * WS Test functions * CI: Fix golangci-lint linter issues * CI: Fix reverting unnessesary changes and type conversion issues * CI: Fix reverting unnessesary changes and type conversion issues * CI: Fix comment, method use, error handling, and code handling issues * build(deps): bump github.com/urfave/cli/v2 from 2.4.0 to 2.4.8 (#932) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.4.0 to 2.4.8. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.4.0...v2.4.8) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump google.golang.org/grpc from 1.45.0 to 1.46.0 (#931) Bumps [google.golang.org/grpc](https://github.com/grpc/grpc-go) from 1.45.0 to 1.46.0. - [Release notes](https://github.com/grpc/grpc-go/releases) - [Commits](grpc/grpc-go@v1.45.0...v1.46.0) --- updated-dependencies: - dependency-name: google.golang.org/grpc dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * asset: bitmask type optimisation (#922) * asset: basic optim. bitmask * glorious: nits * currency: forgot parralel in testttttt * ticker/orderbook: test fixes * engine/rpcserver: fix and expand tests * test: use `T.TempDir` to create temporary test directory (#934) * test: use `T.TempDir` to create temporary test directory This commit replaces `ioutil.TempDir` with `t.TempDir` in tests. The directory created by `t.TempDir` is automatically removed when the test and all its subtests complete. Prior to this commit, temporary directory created using `ioutil.TempDir` needs to be removed manually by calling `os.RemoveAll`, which is omitted in some tests. The error handling boilerplate e.g. defer func() { if err := os.RemoveAll(dir); err != nil { t.Fatal(err) } } is also tedious, but `t.TempDir` handles this for us nicely. Reference: https://pkg.go.dev/testing#T.TempDir Signed-off-by: Eng Zer Jun <[email protected]> * test: fix TestEncryptTwiceReusesSaltButNewCipher on Windows Signed-off-by: Eng Zer Jun <[email protected]> * test: fix TestCheckConnection on Windows Signed-off-by: Eng Zer Jun <[email protected]> * test: fix TestRPCServer_GetTicker_LastUpdatedNanos on Windows Signed-off-by: Eng Zer Jun <[email protected]> * test: cleanup TestGenerateReport Signed-off-by: Eng Zer Jun <[email protected]> * account: storage, processing and method on balances update (#916) * account: update account storage, retrieval and implement alert functionality when a currency change occurs. * account: Add cancel channel * account: remove old code * account: don't embed mutex * Update exchanges/account/account.go Co-authored-by: Scott <[email protected]> * Update exchanges/account/account.go Co-authored-by: Scott <[email protected]> * Update exchanges/account/account.go Co-authored-by: Scott <[email protected]> * account: addr nits * account: Pull out test into indiv. * account: Add test for update method * account: add no change to test * Update exchanges/account/account.go Co-authored-by: Scott <[email protected]> * glorious: nits * account/portfolio: differentiate between asset type segregation and default to spot holdings. * glorious: nits * thrasher: nit * ticker: fix spelling * Update engine/portfolio_manager.go Co-authored-by: Adrian Gallagher <[email protected]> * thrasher: nits Co-authored-by: Scott <[email protected]> Co-authored-by: Adrian Gallagher <[email protected]> * build(deps): bump github.com/urfave/cli/v2 from 2.4.8 to 2.5.1 (#936) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.4.8 to 2.5.1. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.4.8...v2.5.1) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * orderbook/buffer: data integrity and resubscription pass (#910) * orderbook/buffer: data integrity and resubscription pass * btcmarkets: REMOVE THAT LIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIINE!!!!!!!!!!!!!!!!! * buffer: reinstate publish, refaactor, invalidate more and comments * buffer/orderbook: improve update and snapshot performance. Move Update type to orderbook package to util. pointer through entire function calls. (cleanup). Change action string to uint8 for easier comparison. Add parsing helper. Update current test benchmark comments. * dispatch: change publish func to variadic id param * dispatch: remove sender receiver wait time as this adds overhead and complexity. update tests. * dispatch: don't create pointers for every job container * rpcserver: fix assertion issues with data publishing change * linter: fixes * glorious: nits addr * depth: change validation handling to incorporate and store err * linter: fix more issues * dispatch: fix race * travis: update before fetching * depth: wrap and return wrapped error in invalidate call and fix tests * btcmarkets: fix commenting * workflow: check * workflow: check * orderbook: check error * buffer/depth: return invalidation error and fix tests * gctcli: display errors on orderbook streams * buffer: remove unused types * orderbook/bitmex: shift function to bitmex * orderbook: Add specific comments to unexported functions that don't have locking require locking. * orderbook: restrict published data functionality to orderbook.Outbound interface * common: add assertion failure helper for error * dispatch: remove atomics, add mutex protection, remove add/remove worker, redo main tests * dispatch: export function * engine: revert and change sub logger to manager * engine: remove old test * dispatch: add common variable ;) * btcmarket: don't overflow int in tests on 32bit systems * ci: force 1.17.7 usage for go * Revert "ci: force 1.17.7 usage for go" This reverts commit af2f955. * golangci: bump version add and remove linter items * Revert "golangci: bump version add and remove linter items" This reverts commit 3c98bff. * dispatch: remove unsused mutex from mux * order: slight optimizations * nits: glorious * dispatch: fix regression on uuid generation and input inline with master * linter: fix * linter: fix * glorious: nit - rm slice segration * account: fix test after merge * coinbasepro: revert change * account: close channel instead of needing a receiver, push alert in routine to prepare for waiter. Co-authored-by: Ryan O'Hara-Reid <[email protected]> * exchange/wrapper: add GetServerTime() for exchange analytics (#938) * exchange/wrapper: add GetServerTime() for exchange analytics * binance: fix linter issue * glorious: nits * glorious: nits rides again * thrasher: nits implement huobi * thrasher: nits add to exchange_wrapper_issues cmd * order: slight optimizations (#917) * order: slight optimizations * orders: add benchmarks, small optimize and change order side to uin8 for comparitive optimizations. * orders: continue to convert string type -> uint * orders/backtester: interim move type to orders package, later can expand or deprecate. * orders: handle errors * orders: optimize filters and remove error returns when its clearly not needed * orders: remove log call * backtester: zero value check * orders/futures: zero value -> flag * linter: fix * linter: more fixes * linters: rides again * glorious: nits * common: Add zero value unix check for time values; also addresses glorious nits * glorious scott: nits Co-authored-by: Ryan O'Hara-Reid <[email protected]> * btcm: add order execution limit wrapper support (#941) * btcm: add in order execution limit fetching * btcm/test: add t.Parrrrrralllleeellllllllll * btcm/wrapper: add update on startup * glorious: nits * thrasher: nit add status field * build(deps): bump github.com/urfave/cli/v2 from 2.5.1 to 2.6.0 (#944) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.5.1 to 2.6.0. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.5.1...v2.6.0) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * proto/lint: Add protobuf GitHub action and linter (#943) * Buf upgrades * Buf format and basic endpoint fixes * gRPC linter fixes * Amend buf.yaml linter exceptions * Update README * Freshly generated gRPC code after depends update * Nitterinos * ordermanager: fix test error introduced in #917 (#942) * ordermanager: fix residual test issue from #917 and reduce some racey action * glorious: nits; also removed functions that weren't being used and were unexported * rm: pew * linter: fix issues * glourious: nits * credentials: fix test issue with racey racey horse basey * engine: Add websocket data handler register function (#935) * engine: Add websocket interceptor register function * Update engine/engine.go Co-authored-by: Scott <[email protected]> * Update engine/websocketroutine_manager_types.go Co-authored-by: Scott <[email protected]> * engine/websock: switch to data handler function register and range over handlers to still include default gct handling * engine/websocket: change name * glorious: nits * linter: fix * glorious: nits Co-authored-by: Scott <[email protected]> * btcm: add modify order functionality, change return to pointer (#940) * btcm: add modify order functionality, change return to pointer * glorious: nits * glorious: nits * btcm: Adjust function name * thrasher: nits * thrasher: nits cont... * request: adds WithVerbose function to package to add verbosity to request context (#950) * request: adds WithVerbose function to package to add verbosity to request context * request: add t.Parr.... * thrasher: nits * build(deps): bump google.golang.org/grpc from 1.46.0 to 1.46.2 (#951) Bumps [google.golang.org/grpc](https://github.com/grpc/grpc-go) from 1.46.0 to 1.46.2. - [Release notes](https://github.com/grpc/grpc-go/releases) - [Commits](grpc/grpc-go@v1.46.0...v1.46.2) --- updated-dependencies: - dependency-name: google.golang.org/grpc dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * exchange: expose GetCredentials() and split GetAuthenticatedAPISupport() (#954) * exchange/wrapper: expose GetCredentials func to IBotInterface * exchanges: split up GetAuthenticatedAPISupport into specific function calls, organize IBotExchange functionality getter functions * interface: change name - RPCSercer: rm GetBase func call. * glorious: nits (fix panic) Co-authored-by: Ryan O'Hara-Reid <[email protected]> * CI: merge fixes * CI: fixing github generated lint issues * orders: Add method for creating cancel struct from order details (#947) * orders: Add method for creating cancel struct from order details * orders: remove uneeded fields * glorious: nit * grpc: add shutdown call for external management (#957) * grpc: add shutdown call for external management * go mod: tidy * glorious: suggestion * Update engine/engine.go Co-authored-by: Adrian Gallagher <[email protected]> * Update engine/rpcserver.go Co-authored-by: Adrian Gallagher <[email protected]> * Update main.go Co-authored-by: Adrian Gallagher <[email protected]> * Update engine/rpcserver.go Co-authored-by: Scott <[email protected]> Co-authored-by: Ryan O'Hara-Reid <[email protected]> Co-authored-by: Adrian Gallagher <[email protected]> Co-authored-by: Scott <[email protected]> * build(deps): bump github.com/lib/pq from 1.10.5 to 1.10.6 (#960) Bumps [github.com/lib/pq](https://github.com/lib/pq) from 1.10.5 to 1.10.6. - [Release notes](https://github.com/lib/pq/releases) - [Commits](lib/pq@v1.10.5...v1.10.6) --- updated-dependencies: - dependency-name: github.com/lib/pq dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/urfave/cli/v2 from 2.6.0 to 2.8.0 (#958) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.6.0 to 2.8.0. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.6.0...v2.8.0) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/grpc-ecosystem/grpc-gateway/v2 (#963) Bumps [github.com/grpc-ecosystem/grpc-gateway/v2](https://github.com/grpc-ecosystem/grpc-gateway) from 2.10.0 to 2.10.2. - [Release notes](https://github.com/grpc-ecosystem/grpc-gateway/releases) - [Changelog](https://github.com/grpc-ecosystem/grpc-gateway/blob/master/.goreleaser.yml) - [Commits](grpc-ecosystem/grpc-gateway@v2.10.0...v2.10.2) --- updated-dependencies: - dependency-name: github.com/grpc-ecosystem/grpc-gateway/v2 dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * orders: adds method to retrieve snapshot of order execution limit values (#946) * orders: add method to Limit to retrieve order execution limit snapshots * currency/btcmarkets: add error and update field name to standard * linter: fix * limts: don't return pointer * limit: Add notes * glorious: nits * linter: fix * limit: reinstate nil check * exchanges: change field names to be more consistent (@thrasher-) suggestion Co-authored-by: Ryan O'Hara-Reid <[email protected]> * orders: Add derive modify struct method from order.Detail (#948) * orders: Add derive modify struct method to order.Detail and then subsequent method to derive and standardize response details * exchanges: call modify method in wrappers * linter: fixes * engine/wsroutineman: remove print summary * glorious: nits, removed modifyOrder functionality for Bithumb. There are not docs to support this. * Update exchanges/order/orders.go Co-authored-by: Scott <[email protected]> * glorious: nits Co-authored-by: Scott <[email protected]> * build(deps): bump github.com/spf13/viper from 1.11.0 to 1.12.0 (#965) Bumps [github.com/spf13/viper](https://github.com/spf13/viper) from 1.11.0 to 1.12.0. - [Release notes](https://github.com/spf13/viper/releases) - [Commits](spf13/viper@v1.11.0...v1.12.0) --- updated-dependencies: - dependency-name: github.com/spf13/viper dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/urfave/cli/v2 from 2.8.0 to 2.8.1 (#964) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.8.0 to 2.8.1. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.8.0...v2.8.1) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * orders: Add methods to derive SubmitResponse and Detail types (#955) * orders: deprecate SubmitResponse return and change to *order.Detail construct detail from order.Submit struct * orders: add coverage, fix tests * coinut: rm test for checking * orders: revert change for return and change field ID to a more explicit name OrderID * orders: Add method to see if the order was placed * order: change field name in Cancel type to be more explicit * orders: standardize field -> OrderID * backtester: populate change * orders: add test * gctscript: fix field name * linter: fix issues * linter: more fixes * linter: forever * exchanges_tests: populate order.Submit field exchange name * Update exchanges/order/order_types.go Co-authored-by: Scott <[email protected]> * Update exchanges/order/orders.go Co-authored-by: Scott <[email protected]> * glorious: nits * glorious: nits * thrasher: nits Co-authored-by: Ryan O'Hara-Reid <[email protected]> Co-authored-by: Scott <[email protected]> * build(deps): bump bufbuild/buf-setup-action from 1.4.0 to 1.5.0 (#973) Bumps [bufbuild/buf-setup-action](https://github.com/bufbuild/buf-setup-action) from 1.4.0 to 1.5.0. - [Release notes](https://github.com/bufbuild/buf-setup-action/releases) - [Commits](bufbuild/buf-setup-action@v1.4.0...v1.5.0) --- updated-dependencies: - dependency-name: bufbuild/buf-setup-action dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump google.golang.org/grpc from 1.46.2 to 1.47.0 (#972) Bumps [google.golang.org/grpc](https://github.com/grpc/grpc-go) from 1.46.2 to 1.47.0. - [Release notes](https://github.com/grpc/grpc-go/releases) - [Commits](grpc/grpc-go@v1.46.2...v1.47.0) --- updated-dependencies: - dependency-name: google.golang.org/grpc dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/grpc-ecosystem/grpc-gateway/v2 (#971) Bumps [github.com/grpc-ecosystem/grpc-gateway/v2](https://github.com/grpc-ecosystem/grpc-gateway) from 2.10.2 to 2.10.3. - [Release notes](https://github.com/grpc-ecosystem/grpc-gateway/releases) - [Changelog](https://github.com/grpc-ecosystem/grpc-gateway/blob/master/.goreleaser.yml) - [Commits](grpc-ecosystem/grpc-gateway@v2.10.2...v2.10.3) --- updated-dependencies: - dependency-name: github.com/grpc-ecosystem/grpc-gateway/v2 dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/d5/tengo/v2 from 2.10.1 to 2.11.2 (#975) Bumps [github.com/d5/tengo/v2](https://github.com/d5/tengo) from 2.10.1 to 2.11.2. - [Release notes](https://github.com/d5/tengo/releases) - [Changelog](https://github.com/d5/tengo/blob/master/.goreleaser.yml) - [Commits](d5/tengo@v2.10.1...v2.11.2) --- updated-dependencies: - dependency-name: github.com/d5/tengo/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/urfave/cli/v2 from 2.8.1 to 2.10.1 (#979) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.8.1 to 2.10.1. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.8.1...v2.10.1) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/d5/tengo/v2 from 2.11.2 to 2.12.0 (#978) Bumps [github.com/d5/tengo/v2](https://github.com/d5/tengo) from 2.11.2 to 2.12.0. - [Release notes](https://github.com/d5/tengo/releases) - [Changelog](https://github.com/d5/tengo/blob/master/.goreleaser.yml) - [Commits](d5/tengo@v2.11.2...v2.12.0) --- updated-dependencies: - dependency-name: github.com/d5/tengo/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * CI: adding WS and REST tests, and minor fixes * CI: fixes on available asset and related minor issues * CI: fixes on endpoint function, test functions, and types * CI: updating templates and slight fixes * CI: updating slight fixes on tests and withdraws Request model * build(deps): bump styfle/cancel-workflow-action from 0.9.1 to 0.10.0 (#985) Bumps [styfle/cancel-workflow-action](https://github.com/styfle/cancel-workflow-action) from 0.9.1 to 0.10.0. - [Release notes](https://github.com/styfle/cancel-workflow-action/releases) - [Commits](styfle/cancel-workflow-action@0.9.1...0.10.0) --- updated-dependencies: - dependency-name: styfle/cancel-workflow-action dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump bufbuild/buf-setup-action from 1.5.0 to 1.6.0 (#984) Bumps [bufbuild/buf-setup-action](https://github.com/bufbuild/buf-setup-action) from 1.5.0 to 1.6.0. - [Release notes](https://github.com/bufbuild/buf-setup-action/releases) - [Commits](bufbuild/buf-setup-action@v1.5.0...v1.6.0) --- updated-dependencies: - dependency-name: bufbuild/buf-setup-action dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * 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 * build(deps): bump github.com/urfave/cli/v2 from 2.10.1 to 2.10.3 (#982) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.10.1 to 2.10.3. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.10.1...v2.10.3) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * alert: Add optimizations (#939) * alert: Add optimizations * alert: add basic benchmarks * alert: fix linter issue * documentation: change to text/template as html/template escapes to protect against code injection. Add readme.md for alert. * README: Add package name * alert: link up with engine settings * request: isVerbose refactor * Update exchanges/alert/alert_test.go Co-authored-by: Scott <[email protected]> * Update exchanges/alert/alert.go Co-authored-by: Scott <[email protected]> * glorious: nits * glorious: fun police * documentation: regen Co-authored-by: Ryan O'Hara-Reid <[email protected]> Co-authored-by: Scott <[email protected]> * technical_analysis: TWAP & VWAP + TA methods to candles and link to existing RPC server for GCTCLI prototyping (#970) * kline: add weighted price helpers for candles * twap/vwap: basic implementation and hook to rpc for protype * ta: cont implementation. (WIP) * kline: Add tests * kline: add helpers * ta: full impl. * kline: remove support for macd and add in correlation-coefficient handling * rpc: change naming convention * linter: fix * protolinter: fix * linter: ++ * kline: reinstate macd handling after adding in check * glorious: nits * gctcl: linter * Update exchanges/kline/weighted_price.go Co-authored-by: Scott <[email protected]> * glorious: nits * glorious: nits v2.0 * kline: fix test * huobi-tests: shift from next quarter to this weeks contracts as they were erroring out in tests. * btcmarkets: update supported kline intervals * zb: fix test * rpcserver: fix bug and tests Co-authored-by: Ryan O'Hara-Reid <[email protected]> Co-authored-by: Scott <[email protected]> * build(deps): bump github.com/urfave/cli/v2 from 2.10.3 to 2.11.0 (#993) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.10.3 to 2.11.0. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.10.3...v2.11.0) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * FTX: Margin lending/borrow rate history (#981) * Adds lending rates/borrows to FTX and the command * Movements, renames, rpc test * Fleshing out rpc response * Allows rpcserver to calculate offline (but not gctcli). Expands tests * rn structs. add exchange_wrapper_issues support * Adds a nice yearly rate * Surprise yearly borrow rate! * Rn+Mv to margin package. Fixes some serious whoopsies * Adds average lend/borrow rates instead of sum * rm oopsie whoopsie * This is what the linter was having an issue with * re-gen * lintl * niteroos * build(deps): bump google.golang.org/grpc from 1.47.0 to 1.48.0 (#995) Bumps [google.golang.org/grpc](https://github.com/grpc/grpc-go) from 1.47.0 to 1.48.0. - [Release notes](https://github.com/grpc/grpc-go/releases) - [Commits](grpc/grpc-go@v1.47.0...v1.48.0) --- updated-dependencies: - dependency-name: google.golang.org/grpc dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * account: segregate holdings by credentials for future multi-key management (#956) * exchanges/account: shift credentials to account package and segregate funds to keys * merge: fixes * linter: fix * Update exchanges/account/account.go Co-authored-by: Scott <[email protected]> * glorious: nits + protection for string panic * glorious_suggestion: add method for matching keys * linter: fix tests * account: add protected method for credentials minimizing access, display full account details to rpc. * linter: spelling kweeeeeeen * accounts/portfolio: clean/check portfolio code and quickly check balances from change. Add protected method for future matching. * accounts: theres no point in pointerising everything * linter: ok pointerise this then... * exchanges: fix regression add in little notes. * glorious: nits * Update exchanges/account/credentials.go Co-authored-by: Scott <[email protected]> * Update exchanges/account/credentials_test.go Co-authored-by: Scott <[email protected]> * Update exchanges/account/credentials_test.go Co-authored-by: Scott <[email protected]> * glorious: nits * gloriously: fix glorious glorious test gloriously Co-authored-by: Ryan O'Hara-Reid <[email protected]> Co-authored-by: Scott <[email protected]> * CI: fixing linter issue and conflicts * CI: fixing ratelimit and other slight issues * build(deps): bump github.com/grpc-ecosystem/grpc-gateway/v2 (#998) Bumps [github.com/grpc-ecosystem/grpc-gateway/v2](https://github.com/grpc-ecosystem/grpc-gateway) from 2.10.3 to 2.11.0. - [Release notes](https://github.com/grpc-ecosystem/grpc-gateway/releases) - [Changelog](https://github.com/grpc-ecosystem/grpc-gateway/blob/master/.goreleaser.yml) - [Commits](grpc-ecosystem/grpc-gateway@v2.10.3...v2.11.0) --- updated-dependencies: - dependency-name: github.com/grpc-ecosystem/grpc-gateway/v2 dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/d5/tengo/v2 from 2.12.0 to 2.12.1 (#997) Bumps [github.com/d5/tengo/v2](https://github.com/d5/tengo) from 2.12.0 to 2.12.1. - [Release notes](https://github.com/d5/tengo/releases) - [Changelog](https://github.com/d5/tengo/blob/master/.goreleaser.yml) - [Commits](d5/tengo@v2.12.0...v2.12.1) --- updated-dependencies: - dependency-name: github.com/d5/tengo/v2 dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * build(deps): bump github.com/urfave/cli/v2 from 2.11.0 to 2.11.1 (#996) Bumps [github.com/urfave/cli/v2](https://github.com/urfave/cli) from 2.11.0 to 2.11.1. - [Release notes](https://github.com/urfave/cli/releases) - [Changelog](https://github.com/urfave/cli/blob/main/docs/CHANGELOG.md) - [Commits](urfave/cli@v2.11.0...v2.11.1) --- updated-dependencies: - dependency-name: github.com/urfave/cli/v2 dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> * CI: fixing type and other slight issues * Cleanup after merge * Endpoints rate limit update Signed-off-by: Eng Zer Jun <[email protected]> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> Co-authored-by: Ryan O'Hara-Reid <[email protected]> Co-authored-by: Eng Zer Jun <[email protected]> Co-authored-by: Scott <[email protected]> Co-authored-by: Adrian Gallagher <[email protected]> Co-authored-by: Ryan O'Hara-Reid <[email protected]>

shazbert and others added 8 commits June 3, 2022 13:19

kline: add weighted price helpers for candles

4c85b96

twap/vwap: basic implementation and hook to rpc for protype

8c808a0

ta: cont implementation. (WIP)

3ac9cb5

kline: Add tests

e5d073c

kline: add helpers

907b01d

ta: full impl.

432c48a

kline: remove support for macd and add in correlation-coefficient han…

ad4e108

…dling

rpc: change naming convention

a2c3d3a

shazbert added the review me This pull request is ready for review label Jun 5, 2022

shazbert requested a review from a team June 5, 2022 07:32

shazbert self-assigned this Jun 5, 2022

Ryan O'Hara-Reid and others added 4 commits June 5, 2022 19:37

linter: fix

b45db15

protolinter: fix

dc09a96

linter: ++

124eafa

kline: reinstate macd handling after adding in check

fc8fd85

gloriousCode requested changes Jun 6, 2022

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glorious: nits

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shazbert requested a review from gloriousCode June 6, 2022 06:19

gctcl: linter

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gloriousCode requested changes Jun 14, 2022

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shazbert and others added 3 commits June 14, 2022 13:44

Update exchanges/kline/weighted_price.go

fdfb632

Co-authored-by: Scott <[email protected]>

glorious: nits

285d37c

Merge branch 'weighted_price' of github.com:shazbert/gocryptotrader i…

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…nto weighted_price

shazbert requested a review from gloriousCode June 14, 2022 06:42

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gloriousCode reviewed Jun 15, 2022

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Ryan O'Hara-Reid added 4 commits June 15, 2022 14:49

glorious: nits v2.0

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kline: fix test

1eea02e

huobi-tests: shift from next quarter to this weeks contracts as they …

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…were erroring out in tests.

btcmarkets: update supported kline intervals

ffd63bc

zb: fix test

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shazbert requested a review from gloriousCode June 15, 2022 05:33

rpcserver: fix bug and tests

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gloriousCode approved these changes Jun 15, 2022

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thrasher- approved these changes Jul 8, 2022

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thrasher- merged commit 7da7451 into thrasher-corp:master Jul 8, 2022

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technical_analysis: TWAP & VWAP + TA methods to candles and link to existing RPC server for GCTCLI prototyping #970

technical_analysis: TWAP & VWAP + TA methods to candles and link to existing RPC server for GCTCLI prototyping #970

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technical_analysis: TWAP & VWAP + TA methods to candles and link to existing RPC server for GCTCLI prototyping #970

technical_analysis: TWAP & VWAP + TA methods to candles and link to existing RPC server for GCTCLI prototyping #970

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