futures

package
v0.0.0-...-5946933 Latest Latest
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 Go to latest Published: Jun 20, 2024 License: MIT Imports: 16 Imported by: 0

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Index

Constants

This section is empty.

Variables

View Source 
var (
	// ErrPositionClosed returned when attempting to amend a closed position
	ErrPositionClosed = errors.New("the position is closed")
	// ErrNilPNLCalculator is raised when pnl calculation is requested for
	// an exchange, but the fields are not set properly
	ErrNilPNLCalculator = errors.New("nil pnl calculator received")
	// ErrPositionLiquidated is raised when checking PNL status only for
	// it to be liquidated
	ErrPositionLiquidated = errors.New("position liquidated")
	// ErrNotFuturesAsset returned when futures data is requested on a non-futures asset
	ErrNotFuturesAsset = errors.New("asset type is not futures")
	// ErrUSDValueRequired returned when usd value unset
	ErrUSDValueRequired = errors.New("USD value required")
	// ErrOfflineCalculationSet is raised when collateral calculation is set to be offline, yet is attempted online
	ErrOfflineCalculationSet = errors.New("offline calculation set")
	// ErrPositionNotFound is raised when a position is not found
	ErrPositionNotFound = errors.New("position not found")
	// ErrNotPerpetualFuture is returned when a currency is not a perpetual future
	ErrNotPerpetualFuture = errors.New("not a perpetual future")
	// ErrNoPositionsFound returned when there is no positions returned
	ErrNoPositionsFound = errors.New("no positions found")
	// ErrGetFundingDataRequired is returned when requesting funding rate data without the prerequisite
	ErrGetFundingDataRequired = errors.New("getfundingdata is a prerequisite")
	// ErrOrderHistoryTooLarge is returned when you lookup order history, but with too early a start date
	ErrOrderHistoryTooLarge = errors.New("order history start date too long ago")
)

Functions

func CheckFundingRatePrerequisites 

func CheckFundingRatePrerequisites(getFundingData, includePredicted, includePayments bool) error

CheckFundingRatePrerequisites is a simple check to see if the requested data meets the prerequisite

Types

type CollateralCalculator 

type CollateralCalculator struct {
	CalculateOffline   bool
	CollateralCurrency currency.Code
	Asset              asset.Item
	Side               order.Side
	USDPrice           decimal.Decimal
	IsLiquidating      bool
	IsForNewPosition   bool
	FreeCollateral     decimal.Decimal
	LockedCollateral   decimal.Decimal
	UnrealisedPNL      decimal.Decimal
}

CollateralCalculator is used to determine the size of collateral holdings for an exchange eg on Bybit, the collateral is scaled depending on what currency it is

type Contract 

type Contract struct {
	Exchange       string
	Name           currency.Pair
	Underlying     currency.Pair
	Asset          asset.Item
	StartDate      time.Time
	EndDate        time.Time
	IsActive       bool
	Status         string
	Type           ContractType
	SettlementType ContractSettlementType
	// Optional values if the exchange offers them
	SettlementCurrencies currency.Currencies
	MarginCurrency       currency.Code
	Multiplier           float64
	MaxLeverage          float64
	LatestRate           fundingrate.Rate
	FundingRateFloor     decimal.Decimal
	FundingRateCeiling   decimal.Decimal
}

Contract holds details on futures contracts

type ContractSettlementType 

type ContractSettlementType uint8

ContractSettlementType holds the various style of contracts offered by futures exchanges 

const (
	UnsetSettlementType ContractSettlementType = iota
	Linear
	Inverse
	Quanto
	LinearOrInverse
)

ContractSettlementType definitions

func (ContractSettlementType) String 

func (d ContractSettlementType) String() string

String returns the string representation of a contract settlement type

type ContractType 

type ContractType uint8

ContractType holds the various style of contracts offered by futures exchanges 

const (
	UnsetContractType ContractType = iota
	Perpetual
	LongDated
	Weekly
	Fortnightly
	ThreeWeekly
	Monthly
	Quarterly
	SemiAnnually
	HalfYearly
	NineMonthly
	Yearly
	Unknown
	Daily
)

ContractType definitions

func (ContractType) String 

func (c ContractType) String() string

String returns the string representation of the contract type

type MultiPositionTracker 

type MultiPositionTracker struct {
	// contains filtered or unexported fields
}

MultiPositionTracker will track the performance of futures positions over time. If an old position tracker is closed, then the position controller will create a new one to track the current positions

func SetupMultiPositionTracker 

func SetupMultiPositionTracker(setup *MultiPositionTrackerSetup) (*MultiPositionTracker, error)

SetupMultiPositionTracker creates a futures order tracker for a specific exchange

func (*MultiPositionTracker) GetPositions 

func (m *MultiPositionTracker) GetPositions() []Position

GetPositions returns all positions

func (*MultiPositionTracker) Liquidate 

func (m *MultiPositionTracker) Liquidate(price decimal.Decimal, t time.Time) error

Liquidate will update the latest open position's to reflect its liquidated status

func (*MultiPositionTracker) TrackFundingDetails 

func (m *MultiPositionTracker) TrackFundingDetails(d *fundingrate.HistoricalRates) error

TrackFundingDetails applies funding rate details to a tracked position

func (*MultiPositionTracker) TrackNewOrder 

func (m *MultiPositionTracker) TrackNewOrder(d *order.Detail) error

TrackNewOrder upserts an order to the tracker and updates position status and exposure. PNL is calculated separately as it requires mark prices

func (*MultiPositionTracker) UpdateOpenPositionUnrealisedPNL 

func (m *MultiPositionTracker) UpdateOpenPositionUnrealisedPNL(last float64, updated time.Time) (decimal.Decimal, error)

UpdateOpenPositionUnrealisedPNL updates the pnl for the latest open position based on the last price and the time

type MultiPositionTrackerSetup 

type MultiPositionTrackerSetup struct {
	Exchange                  string
	Asset                     asset.Item
	Pair                      currency.Pair
	Underlying                currency.Code
	CollateralCurrency        currency.Code
	OfflineCalculation        bool
	UseExchangePNLCalculation bool
	ExchangePNLCalculation    PNLCalculation
}

MultiPositionTrackerSetup holds the parameters required to set up a multi position tracker

type OpenInterest 

type OpenInterest struct {
	Key          key.ExchangePairAsset
	OpenInterest float64
}

OpenInterest holds open interest data for an exchange pair asset

type PNLCalculation 

type PNLCalculation interface {
	CalculatePNL(context.Context, *PNLCalculatorRequest) (*PNLResult, error)
	GetCurrencyForRealisedPNL(realisedAsset asset.Item, realisedPair currency.Pair) (currency.Code, asset.Item, error)
}

PNLCalculation is an interface to allow multiple ways of calculating PNL to be used for futures positions

type PNLCalculator 

type PNLCalculator struct{}

PNLCalculator implements the PNLCalculation interface to call CalculatePNL and is used when a user wishes to have a consistent method of calculating PNL across different exchanges

func (*PNLCalculator) CalculatePNL 

func (p *PNLCalculator) CalculatePNL(_ context.Context, calc *PNLCalculatorRequest) (*PNLResult, error)

CalculatePNL this is a localised generic way of calculating open positions' worth, it is an implementation of the PNLCalculation interface

func (*PNLCalculator) GetCurrencyForRealisedPNL 

func (p *PNLCalculator) GetCurrencyForRealisedPNL(realisedAsset asset.Item, realisedPair currency.Pair) (currency.Code, asset.Item, error)

GetCurrencyForRealisedPNL is a generic handling of determining the asset to assign realised PNL into, which is just itself

type PNLCalculatorRequest 

type PNLCalculatorRequest struct {
	Pair             currency.Pair
	CalculateOffline bool
	Underlying       currency.Code
	Asset            asset.Item
	Leverage         decimal.Decimal
	EntryPrice       decimal.Decimal
	EntryAmount      decimal.Decimal
	Amount           decimal.Decimal
	CurrentPrice     decimal.Decimal
	PreviousPrice    decimal.Decimal
	Time             time.Time
	OrderID          string
	Fee              decimal.Decimal
	PNLHistory       []PNLResult
	Exposure         decimal.Decimal
	OrderDirection   order.Side
	OpeningDirection order.Side
	CurrentDirection order.Side
}

PNLCalculatorRequest is used to calculate PNL values for an open position

type PNLResult 

type PNLResult struct {
	Status                order.Status
	Time                  time.Time
	UnrealisedPNL         decimal.Decimal
	RealisedPNLBeforeFees decimal.Decimal
	RealisedPNL           decimal.Decimal
	Price                 decimal.Decimal
	Exposure              decimal.Decimal
	Direction             order.Side
	Fee                   decimal.Decimal
	IsLiquidated          bool
	// Is event is supposed to show that something has happened and it isn't just tracking in time
	IsOrder bool
}

PNLResult stores a PNL result from a point in time

type Position 

type Position struct {
	Exchange           string
	Asset              asset.Item
	Pair               currency.Pair
	Underlying         currency.Code
	CollateralCurrency currency.Code
	RealisedPNL        decimal.Decimal
	UnrealisedPNL      decimal.Decimal
	Status             order.Status
	OpeningDate        time.Time
	OpeningPrice       decimal.Decimal
	OpeningSize        decimal.Decimal
	OpeningDirection   order.Side
	LatestPrice        decimal.Decimal
	LatestSize         decimal.Decimal
	LatestDirection    order.Side
	LastUpdated        time.Time
	CloseDate          time.Time
	Orders             []order.Detail
	PNLHistory         []PNLResult
	FundingRates       fundingrate.HistoricalRates
}

Position is a basic holder for position information

type PositionController 

type PositionController struct {
	// contains filtered or unexported fields
}

PositionController manages all futures orders across all exchanges assets and pairs its purpose is to handle the minutia of tracking and so all you need to do is send all orders to the position controller and its all tracked happily

func SetupPositionController 

func SetupPositionController() PositionController

SetupPositionController creates a position controller to track futures orders

func (*PositionController) ClearPositionsForExchange 

func (c *PositionController) ClearPositionsForExchange(exch string, item asset.Item, pair currency.Pair) error

ClearPositionsForExchange resets positions for an exchange, asset, pair that has been stored

func (*PositionController) GetAllOpenPositions 

func (c *PositionController) GetAllOpenPositions() ([]Position, error)

GetAllOpenPositions returns all open positions with optional filters

func (*PositionController) GetOpenPosition 

func (c *PositionController) GetOpenPosition(exch string, item asset.Item, pair currency.Pair) (*Position, error)

GetOpenPosition returns an open positions that matches the exchange, asset, pair

func (*PositionController) GetPositionsForExchange 

func (c *PositionController) GetPositionsForExchange(exch string, item asset.Item, pair currency.Pair) ([]Position, error)

GetPositionsForExchange returns all positions for an exchange, asset pair that is stored in the position controller

func (*PositionController) LastUpdated 

func (c *PositionController) LastUpdated() (time.Time, error)

LastUpdated is used for the order manager as a way of knowing what span of time to check for orders

func (*PositionController) SetCollateralCurrency 

func (c *PositionController) SetCollateralCurrency(exch string, item asset.Item, pair currency.Pair, collateralCurrency currency.Code) error

SetCollateralCurrency allows the setting of a collateral currency to all child trackers when using position controller for futures orders tracking

func (*PositionController) TrackFundingDetails 

func (c *PositionController) TrackFundingDetails(d *fundingrate.HistoricalRates) error

TrackFundingDetails applies funding rate details to a tracked position

func (*PositionController) TrackNewOrder 

func (c *PositionController) TrackNewOrder(d *order.Detail) error

TrackNewOrder sets up the maps to then create a multi position tracker which funnels down into the position tracker, to then track an order's pnl

func (*PositionController) UpdateOpenPositionUnrealisedPNL 

func (c *PositionController) UpdateOpenPositionUnrealisedPNL(exch string, item asset.Item, pair currency.Pair, last float64, updated time.Time) (decimal.Decimal, error)

UpdateOpenPositionUnrealisedPNL finds an open position from an exchange asset pair, then calculates the unrealisedPNL using the latest ticker data

type PositionDetails 

type PositionDetails struct {
	Exchange string
	Asset    asset.Item
	Pair     currency.Pair
	Orders   []order.Detail
}

PositionDetails are used to track open positions in the order manager

type PositionResponse 

type PositionResponse struct {
	Pair                   currency.Pair
	Asset                  asset.Item
	ContractSettlementType ContractSettlementType
	Orders                 []order.Detail
}

PositionResponse are used to track open positions in the order manager

type PositionSummary 

type PositionSummary struct {
	Pair           currency.Pair
	Asset          asset.Item
	MarginType     margin.Type
	CollateralMode collateral.Mode
	// The currency in which the values are quoted against. Isn't always pair.Quote
	// eg BTC-USDC-230929's quote in GCT is 230929, but the currency should be USDC
	Currency  currency.Code
	StartDate time.Time

	AvailableEquity     decimal.Decimal
	CashBalance         decimal.Decimal
	DiscountEquity      decimal.Decimal
	EquityUSD           decimal.Decimal
	IsolatedEquity      decimal.Decimal
	IsolatedLiabilities decimal.Decimal
	IsolatedUPL         decimal.Decimal
	NotionalLeverage    decimal.Decimal
	TotalEquity         decimal.Decimal
	StrategyEquity      decimal.Decimal
	MarginBalance       decimal.Decimal

	IsolatedMargin               decimal.Decimal
	NotionalSize                 decimal.Decimal
	Leverage                     decimal.Decimal
	MaintenanceMarginRequirement decimal.Decimal
	InitialMarginRequirement     decimal.Decimal
	EstimatedLiquidationPrice    decimal.Decimal
	CollateralUsed               decimal.Decimal
	MarkPrice                    decimal.Decimal
	CurrentSize                  decimal.Decimal
	ContractSize                 decimal.Decimal
	ContractMultiplier           decimal.Decimal
	ContractSettlementType       ContractSettlementType
	AverageOpenPrice             decimal.Decimal
	UnrealisedPNL                decimal.Decimal
	RealisedPNL                  decimal.Decimal
	MaintenanceMarginFraction    decimal.Decimal
	FreeCollateral               decimal.Decimal
	TotalCollateral              decimal.Decimal
	FrozenBalance                decimal.Decimal
	EquityOfCurrency             decimal.Decimal
}

PositionSummary returns basic details on an open position

type PositionSummaryRequest 

type PositionSummaryRequest struct {
	Asset asset.Item
	Pair  currency.Pair
	// UnderlyingPair is optional if the exchange requires it for a contract like BTCUSDT-13333337
	UnderlyingPair currency.Pair

	// offline calculation requirements below
	CalculateOffline          bool
	Direction                 order.Side
	FreeCollateral            decimal.Decimal
	TotalCollateral           decimal.Decimal
	CurrentPrice              decimal.Decimal
	CurrentSize               decimal.Decimal
	CollateralUsed            decimal.Decimal
	NotionalPrice             decimal.Decimal
	MaxLeverageForAccount     decimal.Decimal
	TotalOpenPositionNotional decimal.Decimal
	// EstimatePosition if enabled, can be used to calculate a new position
	EstimatePosition bool
	// These fields are also used for offline calculation
	OpeningPrice      decimal.Decimal
	OpeningSize       decimal.Decimal
	Leverage          decimal.Decimal
	TotalAccountValue decimal.Decimal
}

PositionSummaryRequest is used to request a summary of an open position

type PositionTracker 

type PositionTracker struct {
	PNLCalculation
	// contains filtered or unexported fields
}

PositionTracker tracks futures orders until the overall position is considered closed eg a user can open a short position, append to it via two more shorts, reduce via a small long and finally close off the remainder via another long. All of these actions are to be captured within one position tracker. It allows for a user to understand their PNL specifically for futures positions. Utilising spot/futures arbitrage will not be tracked completely within this position tracker, however, can still provide a good timeline of performance until the position is closed

func SetupPositionTracker 

func SetupPositionTracker(setup *PositionTrackerSetup) (*PositionTracker, error)

SetupPositionTracker creates a new position tracker to track n futures orders until the position(s) are closed

func (*PositionTracker) GetLatestPNLSnapshot 

func (p *PositionTracker) GetLatestPNLSnapshot() (PNLResult, error)

GetLatestPNLSnapshot takes the latest pnl history value and returns it

func (*PositionTracker) GetRealisedPNL 

func (p *PositionTracker) GetRealisedPNL() decimal.Decimal

GetRealisedPNL returns the realised pnl if the order is closed

func (*PositionTracker) GetStats 

func (p *PositionTracker) GetStats() *Position

GetStats returns a summary of a future position

func (*PositionTracker) Liquidate 

func (p *PositionTracker) Liquidate(price decimal.Decimal, t time.Time) error

Liquidate will update the positions stats to reflect its liquidation

func (*PositionTracker) TrackFundingDetails 

func (p *PositionTracker) TrackFundingDetails(d *fundingrate.HistoricalRates) error

TrackFundingDetails sets funding rates to a position

func (*PositionTracker) TrackNewOrder 

func (p *PositionTracker) TrackNewOrder(d *order.Detail, isInitialOrder bool) error

TrackNewOrder knows how things are going for a given futures contract

func (*PositionTracker) TrackPNLByTime 

func (p *PositionTracker) TrackPNLByTime(t time.Time, currentPrice float64) error

TrackPNLByTime calculates the PNL based on a position tracker's exposure and current pricing. Adds the entry to PNL history to track over time

type PositionTrackerSetup 

type PositionTrackerSetup struct {
	Exchange                  string
	Asset                     asset.Item
	Pair                      currency.Pair
	EntryPrice                decimal.Decimal
	Underlying                currency.Code
	CollateralCurrency        currency.Code
	Side                      order.Side
	UseExchangePNLCalculation bool
	OfflineCalculation        bool
	PNLCalculator             PNLCalculation
}

PositionTrackerSetup contains all required fields to setup a position tracker

type PositionsRequest 

type PositionsRequest struct {
	Asset     asset.Item
	Pairs     currency.Pairs
	StartDate time.Time
	EndDate   time.Time
	// RespectOrderHistoryLimits is designed for the order manager
	// it allows for orders to be tracked if the start date in the config is
	// beyond the allowable limits by the API, rather than returning an error
	RespectOrderHistoryLimits bool
}

PositionsRequest defines the request to retrieve futures position data

type TotalCollateralCalculator 

type TotalCollateralCalculator struct {
	CollateralAssets []CollateralCalculator
	CalculateOffline bool
	FetchPositions   bool
}

TotalCollateralCalculator holds many collateral calculators to calculate total collateral standing with one struct

type TotalCollateralResponse 

type TotalCollateralResponse struct {
	CollateralCurrency                          currency.Code
	TotalValueOfPositiveSpotBalances            decimal.Decimal
	CollateralContributedByPositiveSpotBalances decimal.Decimal
	UsedCollateral                              decimal.Decimal
	UsedBreakdown                               *collateral.UsedBreakdown
	AvailableCollateral                         decimal.Decimal
	AvailableMaintenanceCollateral              decimal.Decimal
	UnrealisedPNL                               decimal.Decimal
	BreakdownByCurrency                         []collateral.ByCurrency
	BreakdownOfPositions                        []collateral.ByPosition
}

TotalCollateralResponse holds all collateral

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