order: slight optimizations (thrasher-corp#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]>

backtester/common/common_types.go

@@ -12,20 +12,6 @@ import (
 )
 
 const (
-	// DoNothing is an explicit signal for the backtester to not perform an action
-	// based upon indicator results
-	DoNothing order.Side = "DO NOTHING"
-	// TransferredFunds is a status signal to do nothing
-	TransferredFunds order.Side = "TRANSFERRED FUNDS"
-	// CouldNotBuy is flagged when a BUY  signal is raised in the strategy/signal phase, but the
-	// portfolio manager or exchange cannot place an order
-	CouldNotBuy order.Side = "COULD NOT BUY"
-	// CouldNotSell is flagged when a SELL  signal is raised in the strategy/signal phase, but the
-	// portfolio manager or exchange cannot place an order
-	CouldNotSell order.Side = "COULD NOT SELL"
-	// MissingData is signalled during the strategy/signal phase when data has been identified as missing
-	// No buy or sell events can occur
-	MissingData order.Side = "MISSING DATA"
 	// CandleStr is a config readable data type to tell the backtester to retrieve candle data
 	CandleStr = "candle"
 	// TradeStr is a config readable data type to tell the backtester to retrieve trade data

backtester/eventhandlers/exchange/exchange.go

@@ -77,11 +77,11 @@ func (e *Exchange) ExecuteOrder(o order.Event, data data.Handler, orderManager *
 		if err != nil {
 			switch f.GetDirection() {
 			case gctorder.Buy:
-				f.SetDirection(common.CouldNotBuy)
+				f.SetDirection(gctorder.CouldNotBuy)
 			case gctorder.Sell:
-				f.SetDirection(common.CouldNotSell)
+				f.SetDirection(gctorder.CouldNotSell)
 			default:
-				f.SetDirection(common.DoNothing)
+				f.SetDirection(gctorder.DoNothing)
 			}
 			f.AppendReason(err.Error())
 			return f, err
@@ -117,9 +117,9 @@ func (e *Exchange) ExecuteOrder(o order.Event, data data.Handler, orderManager *
 			f.AppendReason(fundErr.Error())
 		}
 		if f.GetDirection() == gctorder.Buy {
-			f.SetDirection(common.CouldNotBuy)
+			f.SetDirection(gctorder.CouldNotBuy)
 		} else if f.GetDirection() == gctorder.Sell {
-			f.SetDirection(common.CouldNotSell)
+			f.SetDirection(gctorder.CouldNotSell)
 		}
 		return f, err
 	}
@@ -138,7 +138,7 @@ func (e *Exchange) ExecuteOrder(o order.Event, data data.Handler, orderManager *
 		funds.IncreaseAvailable(limitReducedAmount.Mul(adjustedPrice), f.GetDirection())
 	}
 
-	ords := orderManager.GetOrdersSnapshot("")
+	ords := orderManager.GetOrdersSnapshot(gctorder.UnknownStatus)
 	for i := range ords {
 		if ords[i].ID != orderID {
 			continue
@@ -172,13 +172,13 @@ func verifyOrderWithinLimits(f *fill.Fill, limitReducedAmount decimal.Decimal, c
 	switch f.GetDirection() {
 	case gctorder.Buy:
 		minMax = cs.BuySide
-		direction = common.CouldNotBuy
+		direction = gctorder.CouldNotBuy
 	case gctorder.Sell:
 		minMax = cs.SellSide
-		direction = common.CouldNotSell
+		direction = gctorder.CouldNotSell
 	default:
 		direction = f.GetDirection()
-		f.SetDirection(common.DoNothing)
+		f.SetDirection(gctorder.DoNothing)
 		return fmt.Errorf("%w: %v", errInvalidDirection, direction)
 	}
 	var minOrMax, belowExceed string

backtester/eventhandlers/portfolio/holdings/holdings.go

@@ -73,7 +73,7 @@ func (h *Holding) update(e fill.Event, f funding.IPairReader) {
 		case order.Sell:
 			h.SoldAmount = h.SoldAmount.Add(amount)
 			h.SoldValue = h.SoldAmount.Mul(price)
-		case common.DoNothing, common.CouldNotSell, common.CouldNotBuy, common.MissingData, common.TransferredFunds, "":
+		case order.DoNothing, order.CouldNotSell, order.CouldNotBuy, order.MissingData, order.TransferredFunds, order.UnknownSide:
 		}
 	}
 	h.TotalValueLostToVolumeSizing = h.TotalValueLostToVolumeSizing.Add(e.GetClosePrice().Sub(e.GetVolumeAdjustedPrice()).Mul(e.GetAmount()))

backtester/eventhandlers/portfolio/holdings/holdings_test.go

@@ -17,13 +17,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/exchanges/order"
 )
 
-const (
-	testExchange = "binance"
-)
-
-var (
-	riskFreeRate = decimal.NewFromFloat(0.03)
-)
+const testExchange = "binance"
 
 func pair(t *testing.T) *funding.Pair {
 	t.Helper()

backtester/eventhandlers/portfolio/portfolio.go

@@ -101,7 +101,7 @@ func (p *Portfolio) OnSignal(ev signal.Event, cs *exchange.Settings, funds fundi
 		},
 		Direction: ev.GetDirection(),
 	}
-	if ev.GetDirection() == "" {
+	if ev.GetDirection() == gctorder.UnknownSide {
 		return o, errInvalidDirection
 	}
 
@@ -114,20 +114,19 @@ func (p *Portfolio) OnSignal(ev signal.Event, cs *exchange.Settings, funds fundi
 			ev.Pair())
 	}
 
-	if ev.GetDirection() == common.DoNothing ||
-		ev.GetDirection() == common.MissingData ||
-		ev.GetDirection() == common.TransferredFunds ||
-		ev.GetDirection() == "" {
+	if ev.GetDirection() == gctorder.DoNothing ||
+		ev.GetDirection() == gctorder.MissingData ||
+		ev.GetDirection() == gctorder.TransferredFunds {
 		return o, nil
 	}
 
 	if !funds.CanPlaceOrder(ev.GetDirection()) {
 		if ev.GetDirection() == gctorder.Sell {
 			o.AppendReason("no holdings to sell")
-			o.SetDirection(common.CouldNotSell)
+			o.SetDirection(gctorder.CouldNotSell)
 		} else if ev.GetDirection() == gctorder.Buy {
 			o.AppendReason("not enough funds to buy")
-			o.SetDirection(common.CouldNotBuy)
+			o.SetDirection(gctorder.CouldNotBuy)
 		}
 		ev.SetDirection(o.Direction)
 		return o, nil
@@ -160,12 +159,12 @@ func (p *Portfolio) evaluateOrder(d common.Directioner, originalOrderSignal, siz
 		originalOrderSignal.AppendReason(err.Error())
 		switch d.GetDirection() {
 		case gctorder.Buy:
-			originalOrderSignal.Direction = common.CouldNotBuy
+			originalOrderSignal.Direction = gctorder.CouldNotBuy
 		case gctorder.Sell:
-			originalOrderSignal.Direction = common.CouldNotSell
-		case common.CouldNotBuy, common.CouldNotSell:
+			originalOrderSignal.Direction = gctorder.CouldNotSell
+		case gctorder.CouldNotBuy, gctorder.CouldNotSell:
 		default:
-			originalOrderSignal.Direction = common.DoNothing
+			originalOrderSignal.Direction = gctorder.DoNothing
 		}
 		d.SetDirection(originalOrderSignal.Direction)
 		return originalOrderSignal, nil
@@ -180,11 +179,11 @@ func (p *Portfolio) sizeOrder(d common.Directioner, cs *exchange.Settings, origi
 		originalOrderSignal.AppendReason(err.Error())
 		switch originalOrderSignal.Direction {
 		case gctorder.Buy:
-			originalOrderSignal.Direction = common.CouldNotBuy
+			originalOrderSignal.Direction = gctorder.CouldNotBuy
 		case gctorder.Sell:
-			originalOrderSignal.Direction = common.CouldNotSell
+			originalOrderSignal.Direction = gctorder.CouldNotSell
 		default:
-			originalOrderSignal.Direction = common.DoNothing
+			originalOrderSignal.Direction = gctorder.DoNothing
 		}
 		d.SetDirection(originalOrderSignal.Direction)
 		return originalOrderSignal
@@ -193,11 +192,11 @@ func (p *Portfolio) sizeOrder(d common.Directioner, cs *exchange.Settings, origi
 	if sizedOrder.Amount.IsZero() {
 		switch originalOrderSignal.Direction {
 		case gctorder.Buy:
-			originalOrderSignal.Direction = common.CouldNotBuy
+			originalOrderSignal.Direction = gctorder.CouldNotBuy
 		case gctorder.Sell:
-			originalOrderSignal.Direction = common.CouldNotSell
+			originalOrderSignal.Direction = gctorder.CouldNotSell
 		default:
-			originalOrderSignal.Direction = common.DoNothing
+			originalOrderSignal.Direction = gctorder.DoNothing
 		}
 		d.SetDirection(originalOrderSignal.Direction)
 		originalOrderSignal.AppendReason("sized order to 0")
@@ -210,7 +209,7 @@ func (p *Portfolio) sizeOrder(d common.Directioner, cs *exchange.Settings, origi
 		sizedOrder.AllocatedFunds = sizedOrder.Amount.Mul(sizedOrder.Price)
 	}
 	if err != nil {
-		sizedOrder.Direction = common.DoNothing
+		sizedOrder.Direction = gctorder.DoNothing
 		sizedOrder.AppendReason(err.Error())
 	}
 	return sizedOrder
@@ -256,11 +255,11 @@ func (p *Portfolio) OnFill(ev fill.Event, funding funding.IPairReader) (*fill.Fi
 	}
 
 	direction := ev.GetDirection()
-	if direction == common.DoNothing ||
-		direction == common.CouldNotBuy ||
-		direction == common.CouldNotSell ||
-		direction == common.MissingData ||
-		direction == "" {
+	if direction == gctorder.DoNothing ||
+		direction == gctorder.CouldNotBuy ||
+		direction == gctorder.CouldNotSell ||
+		direction == gctorder.MissingData ||
+		direction == gctorder.UnknownSide {
 		fe, ok := ev.(*fill.Fill)
 		if !ok {
 			return nil, fmt.Errorf("%w expected fill event", common.ErrInvalidDataType)

backtester/eventhandlers/portfolio/portfolio_test.go

@@ -508,7 +508,7 @@ func TestOnSignal(t *testing.T) {
 		t.Error("expected issue")
 	}
 
-	s.Direction = common.MissingData
+	s.Direction = gctorder.MissingData
 	_, err = p.OnSignal(s, &exchange.Settings{}, pair)
 	if err != nil {
 		t.Error(err)
@@ -533,7 +533,7 @@ func TestOnSignal(t *testing.T) {
 	if err != nil {
 		t.Error(err)
 	}
-	if resp.Direction != common.CouldNotBuy {
+	if resp.Direction != gctorder.CouldNotBuy {
 		t.Errorf("expected common.CouldNotBuy, received %v", resp.Direction)
 	}
 

backtester/eventhandlers/statistics/currencystatistics.go

@@ -62,7 +62,7 @@ func (c *CurrencyPairStatistic) CalculateResults(riskFreeRate decimal.Decimal) e
 		if i == 0 {
 			continue
 		}
-		if c.Events[i].SignalEvent != nil && c.Events[i].SignalEvent.GetDirection() == common.MissingData {
+		if c.Events[i].SignalEvent != nil && c.Events[i].SignalEvent.GetDirection() == gctorder.MissingData {
 			c.ShowMissingDataWarning = true
 		}
 		if c.Events[i].DataEvent.GetClosePrice().IsZero() || c.Events[i-1].DataEvent.GetClosePrice().IsZero() {

backtester/eventhandlers/statistics/currencystatistics_test.go

@@ -5,7 +5,6 @@ import (
 	"time"
 
 	"github.com/shopspring/decimal"
-	"github.com/thrasher-corp/gocryptotrader/backtester/common"
 	"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
 	"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/holdings"
 	"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/event"
@@ -106,7 +105,7 @@ func TestCalculateResults(t *testing.T) {
 		SignalEvent: &signal.Signal{
 			Base:       even2,
 			ClosePrice: decimal.NewFromInt(1337),
-			Direction:  common.MissingData,
+			Direction:  order.MissingData,
 		},
 	}
 

backtester/eventhandlers/statistics/statistics.go

@@ -19,6 +19,7 @@ import (
 	gctmath "github.com/thrasher-corp/gocryptotrader/common/math"
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
+	gctorder "github.com/thrasher-corp/gocryptotrader/exchanges/order"
 	"github.com/thrasher-corp/gocryptotrader/log"
 )
 
@@ -308,12 +309,12 @@ func (s *Statistic) PrintAllEventsChronologically() {
 					switch {
 					case currencyStatistic.Events[i].FillEvent != nil:
 						direction := currencyStatistic.Events[i].FillEvent.GetDirection()
-						if direction == common.CouldNotBuy ||
-							direction == common.CouldNotSell ||
-							direction == common.DoNothing ||
-							direction == common.MissingData ||
-							direction == common.TransferredFunds ||
-							direction == "" {
+						if direction == gctorder.CouldNotBuy ||
+							direction == gctorder.CouldNotSell ||
+							direction == gctorder.DoNothing ||
+							direction == gctorder.MissingData ||
+							direction == gctorder.TransferredFunds ||
+							direction == gctorder.UnknownSide {
 							results = addEventOutputToTime(results, currencyStatistic.Events[i].FillEvent.GetTime(),
 								fmt.Sprintf("%v %v %v %v | Price: $%v - Direction: %v - Reason: %s",
 									currencyStatistic.Events[i].FillEvent.GetTime().Format(gctcommon.SimpleTimeFormat),

backtester/eventhandlers/strategies/dollarcostaverage/dollarcostaverage.go

@@ -47,7 +47,7 @@ func (s *Strategy) OnSignal(d data.Handler, _ funding.IFundTransferer, _ portfol
 	}
 
 	if !d.HasDataAtTime(d.Latest().GetTime()) {
-		es.SetDirection(common.MissingData)
+		es.SetDirection(order.MissingData)
 		es.AppendReason(fmt.Sprintf("missing data at %v, cannot perform any actions", d.Latest().GetTime()))
 		return &es, nil
 	}

backtester/eventhandlers/strategies/dollarcostaverage/dollarcostaverage_test.go

@@ -80,7 +80,7 @@ func TestOnSignal(t *testing.T) {
 	if err != nil {
 		t.Error(err)
 	}
-	if resp.GetDirection() != common.MissingData {
+	if resp.GetDirection() != gctorder.MissingData {
 		t.Error("expected missing data")
 	}
 
@@ -162,7 +162,7 @@ func TestOnSignals(t *testing.T) {
 	if len(resp) != 1 {
 		t.Fatal("expected 1 response")
 	}
-	if resp[0].GetDirection() != common.MissingData {
+	if resp[0].GetDirection() != gctorder.MissingData {
 		t.Error("expected missing data")
 	}
 

backtester/eventhandlers/strategies/rsi/rsi.go

@@ -59,7 +59,7 @@ func (s *Strategy) OnSignal(d data.Handler, _ funding.IFundTransferer, _ portfol
 
 	if offset := d.Offset(); offset <= int(s.rsiPeriod.IntPart()) {
 		es.AppendReason("Not enough data for signal generation")
-		es.SetDirection(common.DoNothing)
+		es.SetDirection(order.DoNothing)
 		return &es, nil
 	}
 
@@ -72,7 +72,7 @@ func (s *Strategy) OnSignal(d data.Handler, _ funding.IFundTransferer, _ portfol
 	rsi := indicators.RSI(massagedData, int(s.rsiPeriod.IntPart()))
 	latestRSIValue := decimal.NewFromFloat(rsi[len(rsi)-1])
 	if !d.HasDataAtTime(d.Latest().GetTime()) {
-		es.SetDirection(common.MissingData)
+		es.SetDirection(order.MissingData)
 		es.AppendReason(fmt.Sprintf("missing data at %v, cannot perform any actions. RSI %v", d.Latest().GetTime(), latestRSIValue))
 		return &es, nil
 	}
@@ -83,7 +83,7 @@ func (s *Strategy) OnSignal(d data.Handler, _ funding.IFundTransferer, _ portfol
 	case latestRSIValue.LessThanOrEqual(s.rsiLow):
 		es.SetDirection(order.Buy)
 	default:
-		es.SetDirection(common.DoNothing)
+		es.SetDirection(order.DoNothing)
 	}
 	es.AppendReason(fmt.Sprintf("RSI at %v", latestRSIValue))
 

backtester/eventhandlers/strategies/rsi/rsi_test.go

@@ -17,6 +17,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
 	gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/order"
 )
 
 func TestName(t *testing.T) {
@@ -160,7 +161,7 @@ func TestOnSignal(t *testing.T) {
 	if err != nil {
 		t.Error(err)
 	}
-	if resp.GetDirection() != common.DoNothing {
+	if resp.GetDirection() != order.DoNothing {
 		t.Error("expected do nothing")
 	}
 }

backtester/eventhandlers/strategies/top2bottom2/top2bottom2.go

@@ -107,7 +107,7 @@ func (s *Strategy) OnSimultaneousSignals(d []data.Handler, f funding.IFundTransf
 
 		if offset <= int(s.mfiPeriod.IntPart()) {
 			es.AppendReason("Not enough data for signal generation")
-			es.SetDirection(common.DoNothing)
+			es.SetDirection(order.DoNothing)
 			resp = append(resp, &es)
 			continue
 		}
@@ -136,13 +136,13 @@ func (s *Strategy) OnSimultaneousSignals(d []data.Handler, f funding.IFundTransf
 		mfi := indicators.MFI(massagedHighData, massagedLowData, massagedCloseData, massagedVolumeData, int(s.mfiPeriod.IntPart()))
 		latestMFI := decimal.NewFromFloat(mfi[len(mfi)-1])
 		if !d[i].HasDataAtTime(d[i].Latest().GetTime()) {
-			es.SetDirection(common.MissingData)
+			es.SetDirection(order.MissingData)
 			es.AppendReason(fmt.Sprintf("missing data at %v, cannot perform any actions. MFI %v", d[i].Latest().GetTime(), latestMFI))
 			resp = append(resp, &es)
 			continue
 		}
 
-		es.SetDirection(common.DoNothing)
+		es.SetDirection(order.DoNothing)
 		es.AppendReason(fmt.Sprintf("MFI at %v", latestMFI))
 
 		funds, err := f.GetFundingForEvent(&es)
@@ -183,7 +183,7 @@ func (s *Strategy) selectTopAndBottomPerformers(mfiFundEvents []mfiFundEvent, re
 		}
 	}
 	for i := range mfiFundEvents {
-		if buyingOrSelling && mfiFundEvents[i].event.GetDirection() == common.DoNothing {
+		if buyingOrSelling && mfiFundEvents[i].event.GetDirection() == order.DoNothing {
 			mfiFundEvents[i].event.AppendReason("MFI was not in the top or bottom two ranks")
 		}
 		resp = append(resp, mfiFundEvents[i].event)