vespyr

package
v0.0.0-...-45a20df Latest Latest
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 Go to latest Published: Jun 6, 2018 License: MIT Imports: 33 Imported by: 1

Documentation

Index

Constants

View Source 
const (
	ExchangeGDAX   ExchangeType = "gdax"
	ExchangeKraken ExchangeType = "kraken"

	// ProductBTCUSD refers to a Bitcoin trading product with
	// units in Dollars.
	ProductBTCUSD Product = "BTC-USD"
	// ProductETHUSD refers to an Ethereum trading product with
	// units in Dollars.
	ProductETHUSD Product = "ETH-USD"
	// ProductLTCUSD refers to an Litecoin trading product with
	// units in Dollars.
	ProductLTCUSD   Product = "LTC-USD"
	ProductXMRUSD   Product = "XMR-USD"
	ProductBCHUSD   Product = "BCH-USD"
	ProductDashUSD  Product = "DASH-USD"
	ProductZcashUSD Product = "ZEC-USD"
	ProductXRPUSD   Product = "XRP-USD"

	// CurrencyUSD refers to US dollars.
	CurrencyUSD = "USD"
	// CurrencyBTC refers to Bitcoin.
	CurrencyBTC = "BTC"
	// CurrencyETH is the Ethereum currency.
	CurrencyETH = "ETH"
	// CurrencyLTC is the Litecoin currency.
	CurrencyLTC = "LTC"
	// CurrencyXMR is the Monero currency.
	CurrencyXMR = "XMR"
	// CurrencyBCH is the Bitcoin Cash currency.
	CurrencyBCH = "BCH"
	// CurrencyDash is the Dash currency.
	CurrencyDash = "DASH"
	// CurrencyZcash is the Zcash currency.
	CurrencyZcash = "ZEC"
	// CurrencyXRP is the Ripple currency.
	CurrencyXRP = "XRP"
	// CurrencyETC is the Ethereum Classic currency.
	CurrencyETC = "ETC"

	// MessageMatch is an exchange message that refers to a match
	// between a buy and sell order.
	MessageMatch ExchangeMessageType = "match"

	// CandlestickDirectionUp refers to a candlestick that points
	// up.
	CandlestickDirectionUp CandlestickDirection = "up"
	// CandlestickDirectionDown refers to a candlestick that points
	// down.
	CandlestickDirectionDown CandlestickDirection = "down"

	// OrderBuy indicates a buy position on an order.
	OrderBuy = "buy"
	// OrderSell indicates a sell position on an order.
	OrderSell = "sell"
)
View Source 
const (
	// StrategyStateTryingToBuy is the state for when the strategy
	// is trying to find the right price point in order to buy.
	StrategyStateTryingToBuy = "trying-to-buy"
	// StrategyStateTryingToSell is the state for when the
	// strategy is trying to find the right time to sell.
	StrategyStateTryingToSell = "trying-to-sell"

	// IndicatorEMA refers to the exponential moving average
	// indicator.
	IndicatorEMA = "ema"
	// IndicatorDEMA refers to the EMA difference indicator.
	IndicatorDEMA = "dema"
	// IndicatorRSI refers to the RSI indicator.
	IndicatorRSI = "rsi"
	// IndicatorMACD refers to the MACD indicator.
	IndicatorMACD = "macd"
	// IndicatorMACDWithSignal refers to the MACD with signal
	// indicator.
	IndicatorMACDWithSignal = "macd-with-signal"

	// TradingStrategyEMACrossover is a trading strategy that buys
	// and sells using EMA crossovers.
	TradingStrategyEMACrossover = "ema-crossover"
	// TradingStrategyRSI is a trading strategy that buys and
	// sells based on RSI values.
	TradingStrategyRSI = "rsi"
	// TradingStrategyS1 is the first proprietary Vespyr trading
	// strategy.
	TradingStrategyS1 = "s1"
)

Variables

View Source 
var (

	// ErrMissingCandlestick is returned when a candlestick is missing from a set
	ErrMissingCandlestick = errors.New("error: a candlestick is missing")
)
View Source 
var (
	// ErrNotEnoughData is returned when there isn't enough data.
	ErrNotEnoughData = errors.New("error: not enough data")
)
View Source 
var ProductToMetadata = map[Product]*ProductMetadata{
	ProductBTCUSD: &ProductMetadata{
		ExchangeType:            ExchangeGDAX,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyBTC,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
	ProductETHUSD: &ProductMetadata{
		ExchangeType:            ExchangeGDAX,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyETH,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
	ProductLTCUSD: &ProductMetadata{
		ExchangeType:            ExchangeGDAX,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyLTC,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
	ProductXMRUSD: &ProductMetadata{
		ExchangeType:            ExchangeKraken,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyXMR,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
	ProductBCHUSD: &ProductMetadata{
		ExchangeType:            ExchangeKraken,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyBCH,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
	ProductDashUSD: &ProductMetadata{
		ExchangeType:            ExchangeKraken,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyDash,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
	ProductZcashUSD: &ProductMetadata{
		ExchangeType:            ExchangeKraken,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyZcash,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
	ProductXRPUSD: &ProductMetadata{
		ExchangeType:            ExchangeKraken,
		MarketOrderBuyCurrency:  CurrencyUSD,
		MarketOrderSellCurrency: CurrencyXRP,
		MarketOrderFeesCurrency: CurrencyUSD,
	},
}

ProductToMetadata is a singleton with metadata about each product.

View Source 
var RootCmd = &cobra.Command{
	Use:   "vespyr",
	Short: "vespyr is a currency trading engine",
	Run: func(cmd *cobra.Command, args []string) {
		fmt.Println("Run `vespyr help` for more information.")
	},
}

RootCmd is the CLI interface to vespyr.

Functions

func CalculatePriceWithSlippage 

func CalculatePriceWithSlippage(source rand.Source, price, orderSlippage float64) float64

CalculatePriceWithSlippage calculates a price taking into account slippage.

func CandlestickBucket 

func CandlestickBucket(t time.Time, tickSizeMinutes int64) time.Time

CandlestickBucket returns the candlestick bucket based on the base time.

func FloatDiff 

func FloatDiff(a, b []float64) []float64

FloatDiff returns a slice with each index containing the difference a[i] - b[i].

func PostDataSlackMessage 

func PostDataSlackMessage(text string, params ...slack.PostMessageParameters)

PostDataSlackMessage posts a Slack message to the configured channel.

func PostStrategyDataToSlack 

func PostStrategyDataToSlack(strategy StrategyInterface, ts *TradingStrategyModel, meta map[string]interface{})

PostStrategyDataToSlack posts information about a strategy's tick to Slack.

func PostTradesSlackMessage 

func PostTradesSlackMessage(text string, params ...slack.PostMessageParameters)

PostTradesSlackMessage posts a Slack message to the configured channel.

func SMA 

func SMA(period uint, values []float64, index uint) float64

SMA returns the simple moving average for an index within a slice of float64s.

func TruncateFloat 

func TruncateFloat(f float64, precision uint) float64

TruncateFloat truncates the float to the specified number of decimal places.

func ValidateCandlesticks 

func ValidateCandlesticks(candles []*CandlestickModel, tickSizeMinutes int64) error

ValidateCandlesticks ensures that the range of candlesticks is valid.

func ValidateIndicatorSets 

func ValidateIndicatorSets(historyTicks, currentTick int, indicatorSets []*IndicatorSet) error

ValidateIndicatorSets ensures that the data in the present indicator sets is good enough to process.

Types

type Backend 

type Backend interface {
	// Candlesticks
	UpsertCandlestick(*CandlestickModel) error
	FindCandlesticks(time.Time, time.Time, Product, int64) ([]*CandlestickModel, error)
	FindMostRecentCandlestick(Product) (*CandlestickModel, error)
	FindCandlestickByID(int64) (*CandlestickModel, error)

	// Market orders
	CreateMarketOrder(*MarketOrderModel) error
	FindMarketOrderByID(int64) (*MarketOrderModel, error)

	// Trading strategies
	FindTradingStrategyByID(int64) (*TradingStrategyModel, error)
	CreateTradingStrategy(*TradingStrategyModel) error
	UpdateTradingStrategy(*TradingStrategyModel) error
	FindActiveTradingStrategies(Product) ([]*TradingStrategyModel, error)
}

Backend is the interface to the database.

func NewCacheingBackend 

func NewCacheingBackend(b Backend) Backend

type BacktestResults 

type BacktestResults struct {
	BudgetCurrency       string
	InitialBudget        float64
	FinalBudget          float64
	TradeCurrency        string
	InitialCurrencyPrice float64
	FinalCurrencyPrice   float64
	GrossProfit          float64
	GrossLoss            float64
	ProfitTrades         uint
	LossTrades           uint
	PortfolioValuePerDay []float64
}

BacktestResults contains information about the results of the backtest.

func (*BacktestResults) ExpectedPayoff 

func (b *BacktestResults) ExpectedPayoff() float64

https://www.mql5.com/en/articles/1486

func (*BacktestResults) NetProfit 

func (b *BacktestResults) NetProfit() float64

https://www.mql5.com/en/articles/1486

func (*BacktestResults) ProfitFactor 

func (b *BacktestResults) ProfitFactor() float64

https://www.mql5.com/en/articles/1486

func (*BacktestResults) SharpeRatio 

func (b *BacktestResults) SharpeRatio() float64

type Backtester 

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

Backtester backtests a trading algorithm with historical data.

func NewBacktester 

func NewBacktester(startTime, endTime time.Time, model *TradingStrategyModel,
	backend Backend, source rand.Source) (*Backtester, error)

NewBacktester creates a new Backtester.

func (*Backtester) Backtest 

func (b *Backtester) Backtest() error

Backtest performs the backtest.

func (*Backtester) Results 

func (b *Backtester) Results() *BacktestResults

Results returns the results of the backtest.

func (*Backtester) ResultsCSV 

func (b *Backtester) ResultsCSV() (io.Reader, error)

ResultsCSV returns a CSV with the granular details about the backtest

type BacktesterBackend 

type BacktesterBackend struct {
	Backend
	// contains filtered or unexported fields
}

BacktesterBackend is a custom backend used specifically for backtesting that registers all model updates.

func (*BacktesterBackend) CreateMarketOrder 

func (b *BacktesterBackend) CreateMarketOrder(m *MarketOrderModel) error

CreateMarketOrder registers the market order as the current market order.

func (*BacktesterBackend) FindCandlesticks 

func (b *BacktesterBackend) FindCandlesticks(startTime, endTime time.Time,
	p Product, tickSizeMinutes int64) ([]*CandlestickModel, error)

FindCandlesticks passes the call over to the underlying backend.

func (*BacktesterBackend) UpdateTradingStrategy 

func (b *BacktesterBackend) UpdateTradingStrategy(m *TradingStrategyModel) error

UpdateTradingStrategy updates the trading strategy metadata.

func (*BacktesterBackend) UpsertCandlestick 

func (b *BacktesterBackend) UpsertCandlestick(*CandlestickModel) error

UpsertCandlestick is a noop.

type BacktesterExchange 

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

BacktesterExchange is a mock exchange that can perform mock trades.

func NewBacktesterExchange 

func NewBacktesterExchange(candles []*CandlestickModel, marketOrderSlippage float64,
	randSource rand.Source) *BacktesterExchange

NewBacktesterExchange instantiates a new backtester exchange.

func (*BacktesterExchange) CreateMarketOrder 

func (b *BacktesterExchange) CreateMarketOrder(m *MarketOrder) (*CreateMarketOrderResponse, error)

CreateMarketOrder creates a mock market order taking into account a slippage percentage.

func (*BacktesterExchange) EmitsFullCandlesticks 

func (k *BacktesterExchange) EmitsFullCandlesticks() bool

func (*BacktesterExchange) GetCandlesticks 

func (b *BacktesterExchange) GetCandlesticks(p Product, start time.Time, end time.Time, granularity int) ([]*CandlestickModel, error)

GetCandlesticks is a noop.

func (*BacktesterExchange) GetMessageChan 

func (b *BacktesterExchange) GetMessageChan(context.Context, Product) (<-chan *ExchangeMessage, error)

GetMessageChan is a noop.

func (*BacktesterExchange) NextTick 

func (b *BacktesterExchange) NextTick()

NextTick advances the exchange to the next candle.

func (*BacktesterExchange) StreamCandlesticks 

func (b *BacktesterExchange) StreamCandlesticks(ctx context.Context, product Product) (<-chan *CandlestickModel, error)

type BacktesterGenome 

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

BacktesterGenome wraps a StrategyGenome. BacktesterGenome evaluates a StrategyGenome in a backtest when it's evaluated.

func (*BacktesterGenome) Clone 

func (b *BacktesterGenome) Clone() gago.Genome

Clone clones the BacktesterGenome.

func (*BacktesterGenome) Crossover 

func (b *BacktesterGenome) Crossover(genome gago.Genome, rng *rand.Rand) (gago.Genome, gago.Genome)

Crossover crosses over the underlying strategy with the passed in genomes.

func (*BacktesterGenome) Evaluate 

func (b *BacktesterGenome) Evaluate() float64

Evaluate runs a backtest and returns the score.

func (*BacktesterGenome) Mutate 

func (b *BacktesterGenome) Mutate(rng *rand.Rand)

Mutate mutates the underlying strategy.

type BacktesterGenomeFactory 

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

BacktesterGenomeFactory generates strategy genomes to be tested by gago.

func NewBacktesterGenomeFactory 

func NewBacktesterGenomeFactory(startTime, endTime time.Time, model *TradingStrategyModel,
	backend Backend) (*BacktesterGenomeFactory, error)

NewBacktesterGenomeFactory creates a new NewBacktesterGenomeFactory.

func (*BacktesterGenomeFactory) Generate 

func (b *BacktesterGenomeFactory) Generate(rng *rand.Rand) gago.Genome

Generate creates a new Genome for backtesting.

type Bot 

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

Bot is a type that runs automated trading strategies at each tick.

func NewBot 

func NewBot(tickCheckInterval time.Duration, clock clockwork.Clock,
	backend Backend, exchange Exchange,
	product Product) *Bot

NewBot returns a new instance of Bot.

func (*Bot) ProcessTick 

func (b *Bot) ProcessTick(t time.Time) error

ProcessTick a tick, calling all strategies that have to run.

func (*Bot) ProcessTickForNewCandlestick 

func (b *Bot) ProcessTickForNewCandlestick() error

ProcessTickForNewCandlestick processes the current tick is there's a new candlestick available.

func (*Bot) Run 

func (b *Bot) Run(ctx context.Context)

Run runs the bot until a cancellation signal comes in.

type CacheingBackend 

type CacheingBackend struct {
	Backend
	sync.Mutex
	// contains filtered or unexported fields
}

func (*CacheingBackend) FindCandlesticks 

func (c *CacheingBackend) FindCandlesticks(s time.Time, e time.Time,
	p Product, t int64) ([]*CandlestickModel, error)

type CandlestickBuilder 

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

CandlestickBuilder builds a candlestick from a stream of exchange messages.

func NewCandlestickBuilder 

func NewCandlestickBuilder(productType Product, start, end time.Time) *CandlestickBuilder

NewCandlestickBuilder returns a new CandlestickBuilder.

func (*CandlestickBuilder) Build 

func (c *CandlestickBuilder) Build() *CandlestickModel

Build returns a complete Candlestick.

func (*CandlestickBuilder) ProcessCandlestickModel 

func (c *CandlestickBuilder) ProcessCandlestickModel(e *CandlestickModel)

ProcessCandlestickModel adds a candlestick to the builder. This should be used for reprojecting a set of candlesticks.

func (*CandlestickBuilder) ProcessMessage 

func (c *CandlestickBuilder) ProcessMessage(e *ExchangeMessage)

ProcessMessage processes an exchange message.

type CandlestickDirection 

type CandlestickDirection string

CandlestickDirection refers to a candlestick direction.

type CandlestickModel 

type CandlestickModel struct {
	ID        int64
	CreatedAt time.Time
	UpdatedAt time.Time
	StartTime time.Time
	EndTime   time.Time
	Low       float64
	High      float64
	Open      float64
	Close     float64
	Volume    float64
	Direction CandlestickDirection
	Product   Product
	// contains filtered or unexported fields
}

CandlestickModel is a candlestick's representation in a database.

func ReprojectCandlesticks 

func ReprojectCandlesticks(candles []*CandlestickModel, product Product, tickSizeMinutes int64) ([]*CandlestickModel, error)

ReprojectCandlesticks generates sets of candlesticks using a different period. The candlesticks must be passed with ascending start time.

func (*CandlestickModel) BeforeInsert 

func (m *CandlestickModel) BeforeInsert(db orm.DB) error

func (*CandlestickModel) BeforeUpdate 

func (m *CandlestickModel) BeforeUpdate(db orm.DB) error

func (*CandlestickModel) MeanPrice 

func (m *CandlestickModel) MeanPrice() (float64, error)

MeanPrice returns the mean price for the candlestick period.

type CodeMigrations 

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

CodeMigrations is a type that stores migrations as part of the code.

func (*CodeMigrations) AddMigration 

func (c *CodeMigrations) AddMigration(m *Migration)

AddMigration adds a migration to the set of migrations.

func (*CodeMigrations) Close 

func (c *CodeMigrations) Close() error

Close closes the migration driver.

func (*CodeMigrations) First 

func (c *CodeMigrations) First() (version uint, err error)

First returns the first migration.

func (*CodeMigrations) Next 

func (c *CodeMigrations) Next(version uint) (nextVersion uint, err error)

Next returns the next migration.

func (*CodeMigrations) Open 

func (c *CodeMigrations) Open(url string) (source.Driver, error)

Open opens the migration driver.

func (*CodeMigrations) Prev 

func (c *CodeMigrations) Prev(version uint) (prevVersion uint, err error)

Prev returns the previous migration.

func (*CodeMigrations) ReadDown 

func (c *CodeMigrations) ReadDown(version uint) (io.ReadCloser, string, error)

ReadDown returns the Down migration for the version.

func (*CodeMigrations) ReadUp 

func (c *CodeMigrations) ReadUp(version uint) (io.ReadCloser, string, error)

ReadUp returns the Up migration for the version.

type CreateMarketOrderResponse 

type CreateMarketOrderResponse struct {
	ExchangeID         string
	FilledSize         float64
	FilledSizeCurrency string
	Fees               float64
	FeesCurrency       string
}

CreateMarketOrderResponse is the create market order response.

type DBConn 

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

DBConn contains the supported backend operations.

func NewDBConn 

func NewDBConn(conn *pg.DB) *DBConn

NewDBConn returns a new DBConn.

func (*DBConn) CreateMarketOrder 

func (d *DBConn) CreateMarketOrder(m *MarketOrderModel) error

func (*DBConn) CreateTradingStrategy 

func (d *DBConn) CreateTradingStrategy(m *TradingStrategyModel) error

func (*DBConn) FindActiveTradingStrategies 

func (d *DBConn) FindActiveTradingStrategies(p Product) ([]*TradingStrategyModel, error)

func (*DBConn) FindCandlestickByID 

func (d *DBConn) FindCandlestickByID(id int64) (*CandlestickModel, error)

func (*DBConn) FindCandlesticks 

func (d *DBConn) FindCandlesticks(startTime, endTime time.Time,
	product Product, tickSizeMinutes int64) ([]*CandlestickModel, error)

FindCandlesticks locates candlesticks within a range and reprojects them.

func (*DBConn) FindMarketOrderByID 

func (d *DBConn) FindMarketOrderByID(id int64) (*MarketOrderModel, error)

func (*DBConn) FindMostRecentCandlestick 

func (d *DBConn) FindMostRecentCandlestick(p Product) (*CandlestickModel, error)

func (*DBConn) FindTradingStrategyByID 

func (d *DBConn) FindTradingStrategyByID(id int64) (*TradingStrategyModel, error)

func (*DBConn) UpdateTradingStrategy 

func (d *DBConn) UpdateTradingStrategy(m *TradingStrategyModel) error

func (*DBConn) UpsertCandlestick 

func (d *DBConn) UpsertCandlestick(c *CandlestickModel) error

UpsertCandlestick upserts a candlestick.

type DEMAIndicator 

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

DEMAIndicator is an indicator that tracks the difference in two EMAs.

func NewDEMAIndicator 

func NewDEMAIndicator(shortPeriod, longPeriod uint) *DEMAIndicator

NewDEMAIndicator creates a new DEMAIndicator.

func (*DEMAIndicator) AddCandlestick 

func (d *DEMAIndicator) AddCandlestick(c *CandlestickModel) error

AddCandlestick processes a candlestick.

func (*DEMAIndicator) Name 

func (d *DEMAIndicator) Name() string

Name returns the name of the indicator.

func (*DEMAIndicator) Value 

func (d *DEMAIndicator) Value() (*IndicatorValue, error)

Value returns the DEMA value for the last processed candlestick.

type EMACrossoverStrategy 

type EMACrossoverStrategy struct {
	ShortPeriod   uint    `yaml:"short_period"`
	LongPeriod    uint    `yaml:"long_period"`
	UpThreshold   float64 `yaml:"up_threshold"`
	DownThreshold float64 `yaml:"down_threshold"`
	// contains filtered or unexported fields
}

EMACrossoverStrategy is a strategy for that buys and sells based on EMA crossovers.

func (*EMACrossoverStrategy) Buy 

func (e *EMACrossoverStrategy) Buy(history []*IndicatorSet, current int) (bool, error)

Buy determines whether the currency should be bought using the indicator history.

func (*EMACrossoverStrategy) Clone 

func (e *EMACrossoverStrategy) Clone() StrategyGenome

Clone returns a clone of the current strategy.

func (*EMACrossoverStrategy) Crossover 

func (e *EMACrossoverStrategy) Crossover(m StrategyGenome,
	r *rand.Rand) (StrategyGenome, StrategyGenome)

Crossover crosses over an EMACrossoverStrategy with a different one.

func (*EMACrossoverStrategy) Indicators 

func (e *EMACrossoverStrategy) Indicators() []Indicator

Indicators returns the indicators returned by the strategy.

func (*EMACrossoverStrategy) Mutate 

func (e *EMACrossoverStrategy) Mutate(rng *rand.Rand)

Mutate mutates the underlying strategy.

func (*EMACrossoverStrategy) Rand 

func (e *EMACrossoverStrategy) Rand(rng *rand.Rand)

Rand creates a random version of the strategy.

func (*EMACrossoverStrategy) Sell 

func (e *EMACrossoverStrategy) Sell(history []*IndicatorSet, current int) (bool, error)

Sell determines whether the currency should be sold using the indicator history.

func (*EMACrossoverStrategy) SetTradingStrategy 

func (e *EMACrossoverStrategy) SetTradingStrategy(t *TradingStrategyModel)

SetTradingStrategy sets the underlying trading strategy.

func (*EMACrossoverStrategy) String 

func (e *EMACrossoverStrategy) String() string

String returns the string representation of the strategy.

type EMAIndicator 

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

EMAIndicator computes a running value for an exponential moving average.

func NewEMAIndicator 

func NewEMAIndicator(period uint) *EMAIndicator

NewEMAIndicator creates a new EMAIndicator.

func (*EMAIndicator) AddCandlestick 

func (e *EMAIndicator) AddCandlestick(c *CandlestickModel) error

AddCandlestick adds a candlestick to the indicator.

func (*EMAIndicator) Name 

func (e *EMAIndicator) Name() string

Name returns the name of the indicator.

func (*EMAIndicator) Value 

func (e *EMAIndicator) Value() (*IndicatorValue, error)

Value returns the last calculated EMA value.

type Exchange 

type Exchange interface {
	GetMessageChan(context.Context, Product) (<-chan *ExchangeMessage, error)
	GetCandlesticks(product Product, start, end time.Time, granularity int) ([]*CandlestickModel, error)
	CreateMarketOrder(*MarketOrder) (*CreateMarketOrderResponse, error)
	StreamCandlesticks(ctx context.Context, product Product) (<-chan *CandlestickModel, error)
	EmitsFullCandlesticks() bool
}

Exchange represents a connection to a trading exchange.

type ExchangeMessage 

type ExchangeMessage struct {
	Price       float64
	ProductType string
	Size        float64
	Type        string
	Time        time.Time
}

ExchangeMessage is emitted by an exchange representing an action that occurred on the exchange.

type ExchangeMessageType 

type ExchangeMessageType string

ExchangeMessageType refers to a message type that's emitted by an exchange.

type ExchangeType 

type ExchangeType string

ExchangeType defines the type of the exchange.

type FakeGDAXExchange 

type FakeGDAXExchange struct {
	GDAXExchange
}

FakeGDAXExchange is a GDAX implementation that places mock trades.

func NewFakeGDAXExchange 

func NewFakeGDAXExchange(clock clockwork.Clock) *FakeGDAXExchange

NewFakeGDAXExchange returns a new instance of FakeGDAXExchange.

func (*FakeGDAXExchange) CreateMarketOrder 

func (f *FakeGDAXExchange) CreateMarketOrder(args *MarketOrder) (*CreateMarketOrderResponse, error)

CreateMarketOrder mocks a market order at the last market price.

type FakeKrakenExchange 

type FakeKrakenExchange struct {
	KrakenExchange
}

func NewFakeKrakenExchange 

func NewFakeKrakenExchange(client KrakenClient, clock clockwork.Clock) *FakeKrakenExchange

type GDAXClient 

type GDAXClient interface {
	GetHistoricRates(product string, p ...coinbase.GetHistoricRatesParams) ([]coinbase.HistoricRate, error)
	CreateOrder(*coinbase.Order) (coinbase.Order, error)
	GetOrder(string) (coinbase.Order, error)
}

GDAXClient is the interface for an underlying GDAX client.

type GDAXExchange 

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

GDAXExchange is a client to the GDAX cryptocurrency exchange.

func NewGDAXExchange 

func NewGDAXExchange(client GDAXClient, clock clockwork.Clock) *GDAXExchange

NewGDAXExchange returns a new instance of GDAXExchange.

func (*GDAXExchange) CreateMarketOrder 

func (g *GDAXExchange) CreateMarketOrder(args *MarketOrder) (*CreateMarketOrderResponse, error)

CreateMarketOrder creates a market order on GDAX.

func (*GDAXExchange) EmitsFullCandlesticks 

func (k *GDAXExchange) EmitsFullCandlesticks() bool

func (*GDAXExchange) GetCandlesticks 

func (g *GDAXExchange) GetCandlesticks(product Product, start, end time.Time, granularitySeconds int) ([]*CandlestickModel, error)

GetCandlesticks returns candlesticks for a specified period and granularity from GDAX.

func (*GDAXExchange) GetMessageChan 

func (g *GDAXExchange) GetMessageChan(ctx context.Context, product Product) (<-chan *ExchangeMessage, error)

GetMessageChan returns a channel that emits exchange messages.

func (*GDAXExchange) StreamCandlesticks 

func (g *GDAXExchange) StreamCandlesticks(ctx context.Context, product Product) (<-chan *CandlestickModel, error)

type HistoricalImporter 

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

HistoricalImporter is a type that can import candle stick information into the backend from a specific period of time.

func NewHistoricalImporter 

func NewHistoricalImporter(product Product, e Exchange, b Backend, concurrency int) *HistoricalImporter

NewHistoricalImporter creates a new HistoricalImporter.

func (*HistoricalImporter) Import 

func (h *HistoricalImporter) Import(start, end time.Time)

Import imports a time range into a backend.

type Indicator 

type Indicator interface {
	AddCandlestick(c *CandlestickModel) error
	Value() (*IndicatorValue, error)
	Name() string
}

Indicator is an interface to a type that can generate an IndicatorValue for a candlestick.

type IndicatorSet 

type IndicatorSet struct {
	Time   time.Time
	Values []*IndicatorValue
}

IndicatorSet describes a collection of indicators for a specific point in time.

type IndicatorValue 

type IndicatorValue struct {
	Time          time.Time
	Value         float64
	IndicatorName string
}

IndicatorValue describes the value of an indicator at a specific point in time.

type KrakenClient 

type KrakenClient interface {
	OHLC(pair string, last ...int64) (*krakenapi.OHLCResponse, error)
}

KrakenClient is the interface needed out of a Kraken client.

type KrakenExchange 

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

KrakenExchange is a client to the Kraken cryptocurrency exchange.

func NewKrakenExchange 

func NewKrakenExchange(client KrakenClient, clock clockwork.Clock) *KrakenExchange

NewKrakenExchange creates a new instance of KrakenExchange.

func (*KrakenExchange) CreateMarketOrder 

func (k *KrakenExchange) CreateMarketOrder(*MarketOrder) (*CreateMarketOrderResponse, error)

func (*KrakenExchange) EmitsFullCandlesticks 

func (k *KrakenExchange) EmitsFullCandlesticks() bool

EmitsFullCandlesticks returns whether the exchange emits full candlesticks.

func (*KrakenExchange) GetCandlesticks 

func (k *KrakenExchange) GetCandlesticks(product Product, start time.Time, end time.Time, granularity int) ([]*CandlestickModel, error)

func (*KrakenExchange) GetMessageChan 

func (k *KrakenExchange) GetMessageChan(ctx context.Context, product Product) (<-chan *ExchangeMessage, error)

func (*KrakenExchange) StreamCandlesticks 

func (k *KrakenExchange) StreamCandlesticks(ctx context.Context, product Product) (<-chan *CandlestickModel, error)

StreamCandlesticks provides a stream of candlesticks for the product from the exchange.

type MACDIndicator 

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

MACDIndicator implements the MACD indicator.

func NewMACDIndicator 

func NewMACDIndicator(shortPeriod, longPeriod uint) *MACDIndicator

NewMACDIndicator creates a new MACD indicator.

func (*MACDIndicator) AddCandlestick 

func (m *MACDIndicator) AddCandlestick(c *CandlestickModel) error

AddCandlestick adds a candlestick to the indicator.

func (*MACDIndicator) Name 

func (m *MACDIndicator) Name() string

Name return the name of the indicator.

func (*MACDIndicator) Value 

func (m *MACDIndicator) Value() (*IndicatorValue, error)

Value value returns the value of the indicator.

type MACDWithSignal 

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

MACDWithSignal is an indicator that tracks the MACD value minus the signal EMA.

func NewMACDWithSignal 

func NewMACDWithSignal(shortPeriod, longPeriod, signalPeriod uint) *MACDWithSignal

NewMACDWithSignal returns a new MACDWithSignal.

func (*MACDWithSignal) AddCandlestick 

func (m *MACDWithSignal) AddCandlestick(c *CandlestickModel) error

AddCandlestick adds a candlestick to the indicator.

func (*MACDWithSignal) Name 

func (m *MACDWithSignal) Name() string

Name return the name of the indicator.

func (*MACDWithSignal) Value 

func (m *MACDWithSignal) Value() (*IndicatorValue, error)

Value value returns the value of the indicator.

type MarketOrder 

type MarketOrder struct {
	Product Product
	Side    string
	Cost    float64
}

MarketOrder describes the settings for a MarketOrder.

func NewMarketOrder 

func NewMarketOrder(product Product, side string, cost float64) *MarketOrder

NewMarketOrder instantiates a new market order.

type MarketOrderModel 

type MarketOrderModel struct {
	ID                int64
	CreatedAt         time.Time
	UpdatedAt         time.Time
	TradingStrategyID int64
	ExchangeID        string
	Product           Product
	Side              string
	Cost              float64
	CostCurrency      string
	FilledSize        float64
	SizeCurrency      string
	Fees              float64
	FeesCurrency      string
	// contains filtered or unexported fields
}

MarketOrderModel contains metadata about market orders that were placed.

func (*MarketOrderModel) BeforeInsert 

func (m *MarketOrderModel) BeforeInsert(db orm.DB) error

func (*MarketOrderModel) BeforeUpdate 

func (m *MarketOrderModel) BeforeUpdate(db orm.DB) error

type MarketOrderStrategy 

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

MarketOrderStrategy executes a buy/sell order using a single market order.

func NewMarketOrderStrategy 

func NewMarketOrderStrategy(exchange Exchange, backend Backend) *MarketOrderStrategy

NewMarketOrderStrategy creates a new market order strategy.

func (*MarketOrderStrategy) PerformOrder 

func (o *MarketOrderStrategy) PerformOrder(args *PerformOrderArgs) (*PerformOrderResponse, error)

PerformOrder creates the market order to buy or sell the currency amount.

func (*MarketOrderStrategy) String 

func (o *MarketOrderStrategy) String() string

String returns the string representation of the strategy.

type Migration 

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

Migration defines a database migration.

func (*Migration) Down 

func (m *Migration) Down() string

Down returns the down migration.

func (*Migration) SetDown 

func (m *Migration) SetDown(s string) *Migration

SetDown sets the down migration.

func (*Migration) SetUp 

func (m *Migration) SetUp(s string) *Migration

SetUp sets the up migration.

func (*Migration) Up 

func (m *Migration) Up() string

Up returns the up migration.

type OrderStrategy 

type OrderStrategy interface {
	PerformOrder(*PerformOrderArgs) (*PerformOrderResponse, error)
	String() string
}

OrderStrategy is an interface for buying or selling a currency.

type PerformOrderArgs 

type PerformOrderArgs struct {
	Product         Product
	Side            string
	Cost            float64
	Timeout         time.Duration
	TradingStrategy *TradingStrategyModel
	Candlestick     *CandlestickModel
}

PerformOrderArgs are the arguments to the PerformOrder method.

type PerformOrderResponse 

type PerformOrderResponse struct {
	FilledSize         float64
	FilledSizeCurrency string
	Fees               float64
	FeesCurrency       string
}

PerformOrderResponse is the response to PerformOrder.

type Product 

type Product string

Product is a trading product.

type ProductMetadata 

type ProductMetadata struct {
	ExchangeType            ExchangeType
	MarketOrderBuyCurrency  string
	MarketOrderSellCurrency string
	MarketOrderFeesCurrency string
}

ProductMetadata defines metadata about each product.

type RSIIndicator 

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

RSIIndicator calculates the RSI indicator.

func NewRSIIndicator 

func NewRSIIndicator(periods uint) *RSIIndicator

NewRSIIndicator returns a new RSIIndicator.

func (*RSIIndicator) AddCandlestick 

func (r *RSIIndicator) AddCandlestick(c *CandlestickModel) error

AddCandlestick adds a candlestick to the indicator.

func (*RSIIndicator) Name 

func (r *RSIIndicator) Name() string

Name returns the name of the indicator

func (*RSIIndicator) Value 

func (r *RSIIndicator) Value() (*IndicatorValue, error)

Value returns the last calculated RSI value.

type RSIStrategy 

type RSIStrategy struct {
	Period        uint    `yaml:"period"`
	BuyThreshold  float64 `yaml:"buy_threshold"`
	SellThreshold float64 `yaml:"sell_threshold"`
	// contains filtered or unexported fields
}

RSIStrategy is a strategy for that buys and sells based on the RSI values.

func (*RSIStrategy) Buy 

func (e *RSIStrategy) Buy(history []*IndicatorSet, current int) (bool, error)

Buy determines whether the currency should be bought using the indicator history.

func (*RSIStrategy) Clone 

func (e *RSIStrategy) Clone() StrategyGenome

Clone returns a clone of the current strategy.

func (*RSIStrategy) Crossover 

func (e *RSIStrategy) Crossover(m StrategyGenome,
	r *rand.Rand) (StrategyGenome, StrategyGenome)

Crossover crosses over an RSIStrategy with a different one.

func (*RSIStrategy) Indicators 

func (e *RSIStrategy) Indicators() []Indicator

Indicators returns the indicators returned by the strategy.

func (*RSIStrategy) Mutate 

func (e *RSIStrategy) Mutate(rng *rand.Rand)

Mutate mutates the underlying strategy.

func (*RSIStrategy) Rand 

func (e *RSIStrategy) Rand(rng *rand.Rand)

Rand creates a random version of the strategy.

func (*RSIStrategy) Sell 

func (e *RSIStrategy) Sell(history []*IndicatorSet, current int) (bool, error)

Sell determines whether the currency should be sold using the indicator history.

func (*RSIStrategy) SetTradingStrategy 

func (e *RSIStrategy) SetTradingStrategy(t *TradingStrategyModel)

SetTradingStrategy sets the underlying trading strategy.

func (*RSIStrategy) String 

func (e *RSIStrategy) String() string

String returns the string representation of the strategy.

type RealtimeImporter 

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

RealtimeImporter imports exchange data into a backend.

func NewRealtimeImporter 

func NewRealtimeImporter(p Product, b Backend, e Exchange) *RealtimeImporter

NewRealtimeImporter instantiates a new RealtimeImporter.

func (*RealtimeImporter) Flush 

func (i *RealtimeImporter) Flush()

Flush flushes all populated candlesticks to the backend.

func (*RealtimeImporter) ProcessExchangeMessage 

func (i *RealtimeImporter) ProcessExchangeMessage(msg *ExchangeMessage)

ProcessExchangeMessage processes an exchange message, sending the message to the appropriate candlestick.

func (*RealtimeImporter) Start 

func (i *RealtimeImporter) Start(flushInterval time.Duration)

Start begins the import process.

func (*RealtimeImporter) StartProcessingCandlesticks 

func (i *RealtimeImporter) StartProcessingCandlesticks()

StartProcessingCandlesticks processes candlesticks as they're emitted by the exchange.

func (*RealtimeImporter) StartProcessingMessages 

func (i *RealtimeImporter) StartProcessingMessages(flushInterval time.Duration)

StartProcessingMessages begins the import process with messages.

type Runner 

type Runner struct {
	Backend                  Backend
	BTCUSDBot                *Bot
	ETHUSDBot                *Bot
	LTCUSDBot                *Bot
	BTCUSDRealtimeImporter   *RealtimeImporter
	ETHUSDRealtimeImporter   *RealtimeImporter
	LTCUSDRealtimeImporter   *RealtimeImporter
	BTCUSDHistoricalImporter *HistoricalImporter
	ETHUSDHistoricalImporter *HistoricalImporter
	LTCUSDHistoricalImporter *HistoricalImporter
	GDAXExchange             Exchange
	KrakenExchange           Exchange
}

Runner contains singletons exported by the package.

func GetRunner 

func GetRunner() (*Runner, error)

GetRunner returns the main Runner instance.

type S1Strategy 

type S1Strategy struct {
	EMAShortPeriod       uint    `yaml:"ema_short_period"`
	EMALongPeriod        uint    `yaml:"ema_long_period"`
	EMAUpThreshold       float64 `yaml:"ema_up_threshold"`
	EMADownThreshold     float64 `yaml:"ema_down_threshold"`
	RSIExitThreshold     float64 `yaml:"rsi_exit_threshold"`
	RSIEntranceThreshold float64 `yaml:"rsi_entrance_threshold"`
	// contains filtered or unexported fields
}

S1Strategy is a custom trading strategy.

func (*S1Strategy) Buy 

func (s *S1Strategy) Buy(history []*IndicatorSet, current int) (bool, error)

Buy determines whether the currency should be bought using the indicator history.

func (*S1Strategy) Clone 

func (s *S1Strategy) Clone() StrategyGenome

Clone returns a clone of the current strategy.

func (*S1Strategy) Crossover 

func (s *S1Strategy) Crossover(m StrategyGenome,
	r *rand.Rand) (StrategyGenome, StrategyGenome)

Crossover crosses over an S1Strategy with a different ons.

func (*S1Strategy) Indicators 

func (s *S1Strategy) Indicators() []Indicator

Indicators returns the indicators returned by the strategy.

func (*S1Strategy) Mutate 

func (s *S1Strategy) Mutate(rng *rand.Rand)

Mutate mutates the underlying strategy.

func (*S1Strategy) Rand 

func (s *S1Strategy) Rand(rng *rand.Rand)

Rand creates a random version of the strategy.

func (*S1Strategy) Sell 

func (s *S1Strategy) Sell(history []*IndicatorSet, current int) (bool, error)

Sell determines whether the currency should be sold using the indicator history.

func (*S1Strategy) SetTradingStrategy 

func (s *S1Strategy) SetTradingStrategy(t *TradingStrategyModel)

SetTradingStrategy sets the underlying trading strategy.

func (*S1Strategy) String 

func (s *S1Strategy) String() string

String returns the string representation of the strategy.

type SlackNotifier 

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

SlackNotifier posts messages to a single Slack client.

func NewSlackNotifier 

func NewSlackNotifier(trades, data string, client *slack.Client) *SlackNotifier

NewSlackNotifier creates a new Slack notifier.

type StrategyGenome 

type StrategyGenome interface {
	StrategyInterface
	Rand(rng *rand.Rand)
	Clone() StrategyGenome
	Mutate(rng *rand.Rand)
	Crossover(m StrategyGenome, r *rand.Rand) (StrategyGenome, StrategyGenome)
}

StrategyGenome defines the methods that should be implemented in order for an strategy to be optimized genetically.

type StrategyInterface 

type StrategyInterface interface {
	Indicators() []Indicator
	Buy(history []*IndicatorSet, current int) (bool, error)
	Sell(history []*IndicatorSet, current int) (bool, error)
	String() string
	SetTradingStrategy(t *TradingStrategyModel)
}

StrategyInterface describes the exposed by a trading strategy.

type TradingStrategy 

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

TradingStrategy represents a general trading strategy where the underlying strategy can indicate either buying or selling.

func NewTradingStrategy 

func NewTradingStrategy(backend Backend,
	exchange Exchange, strategy StrategyInterface,
	clock clockwork.Clock) *TradingStrategy

NewTradingStrategy instantiates a new trading strategy.

func (*TradingStrategy) LastCandlestickTime 

func (t *TradingStrategy) LastCandlestickTime() time.Time

LastCandlestickTime returns the ending time of the last candlestick that was processed.

func (*TradingStrategy) ProcessTick 

func (t *TradingStrategy) ProcessTick(m *TradingStrategyModel) error

ProcessTick processes a single trading strategy model tick.

func (*TradingStrategy) SeedIndicators 

func (t *TradingStrategy) SeedIndicators(c *CandlestickModel) error

SeedIndicators seeds the indicators with the current candle.

func (*TradingStrategy) TryBuy 

func (t *TradingStrategy) TryBuy(m *TradingStrategyModel) error

TryBuy tries to buy a currency if the underlying strategy indicates so.

func (*TradingStrategy) TrySell 

func (t *TradingStrategy) TrySell(m *TradingStrategyModel) error

TrySell tries to sell a currency if the underlying strategy indicates so.

type TradingStrategyModel 

type TradingStrategyModel struct {
	ID                  int64
	CreatedAt           time.Time
	UpdatedAt           time.Time
	DeactivatedAt       time.Time
	LastTickAt          time.Time
	NextTickAt          time.Time
	Product             Product
	HistoryTicks        uint
	State               string
	InitialBudget       float64
	Budget              float64
	BudgetCurrency      string
	Invested            float64
	InvestedCurrency    string
	TickSizeMinutes     uint
	TradingStrategy     string
	TradingStrategyData []byte
	// contains filtered or unexported fields
}

TradingStrategyModel contains metadata for a trading strategy.

func (*TradingStrategyModel) BeforeInsert 

func (m *TradingStrategyModel) BeforeInsert(db orm.DB) error

func (*TradingStrategyModel) BeforeUpdate 

func (m *TradingStrategyModel) BeforeUpdate(db orm.DB) error

func (*TradingStrategyModel) Copy 

func (t *TradingStrategyModel) Copy() *TradingStrategyModel

Copy returns a copy of the current model.

func (*TradingStrategyModel) SetStrategy 

func (t *TradingStrategyModel) SetStrategy(s StrategyInterface) error

SetStrategy sets the underlying trading strategy.

func (*TradingStrategyModel) Strategy 

func (t *TradingStrategyModel) Strategy() (StrategyInterface, error)

Strategy returns the underlying trading strategy.

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