exchange

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Published: May 23, 2022 License: MIT Imports: 17 Imported by: 0

README

GoCryptoTrader Backtester: Exchange package

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This exchange package is part of the GoCryptoTrader codebase.

This is still in active development

You can track ideas, planned features and what's in progress on this Trello board: https://trello.com/b/ZAhMhpOy/gocryptotrader.

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Exchange package overview

The exchange eventhandler is responsible for calling the engine package's ordermanager to place either a fake, or real order on the exchange via API.

The following steps are taken for the ExecuteOrder function:

  • Calculate slippage. If the order is a sell order, it will reduce the price by a random percentage between the two values. If it is a buy order, it will raise the price by a random percentage between the two values
    • If RealOrders is set to false:
      • It will estimate the slippage based on what is in the config file under min-slippage-percent and max-slippage-percent.
      • It will be sized within the constraints of the current candles OHLCV values
      • It will generate the exchange fee based on what is stored in the config for the exchange asset currency pair
    • If RealOrders is set to true, it will use the latest orderbook data to calculate slippage by simulating the order
  • Place the order with the engine order manager
  • If RealOrders is set to false it will submit the order with no calls to the exchange's API, use no API credentials and it will always pass
  • If RealOrders is set to true it will submit the order via the exchange's API and if successful, will be stored in the order manager
  • If an order is successfully placed, a snapshot of all existing orders in the run will be captured and store for statistical purposes
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Contribution

Please feel free to submit any pull requests or suggest any desired features to be added.

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  • Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
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Documentation

Index

Constants

This section is empty.

Variables

This section is empty.

Functions

This section is empty.

Types

type Exchange

type Exchange struct {
	CurrencySettings []Settings
}

Exchange contains all the currency settings

func (*Exchange) ExecuteOrder

func (e *Exchange) ExecuteOrder(o order.Event, data data.Handler, orderManager *engine.OrderManager, funds funding.IPairReleaser) (*fill.Fill, error)

ExecuteOrder assesses the portfolio manager's order event and if it passes validation will send an order to the exchange/fake order manager to be stored and raise a fill event

func (*Exchange) GetCurrencySettings

func (e *Exchange) GetCurrencySettings(exch string, a asset.Item, cp currency.Pair) (Settings, error)

GetCurrencySettings returns the settings for an exchange, asset currency

func (*Exchange) Reset

func (e *Exchange) Reset()

Reset returns the exchange to initial settings

func (*Exchange) SetExchangeAssetCurrencySettings

func (e *Exchange) SetExchangeAssetCurrencySettings(exch string, a asset.Item, cp currency.Pair, c *Settings)

SetExchangeAssetCurrencySettings sets the settings for an exchange, asset, currency

type ExecutionHandler

type ExecutionHandler interface {
	SetExchangeAssetCurrencySettings(string, asset.Item, currency.Pair, *Settings)
	GetCurrencySettings(string, asset.Item, currency.Pair) (Settings, error)
	ExecuteOrder(order.Event, data.Handler, *engine.OrderManager, funding.IPairReleaser) (*fill.Fill, error)
	Reset()
}

ExecutionHandler interface dictates what functions are required to submit an order

type Leverage

type Leverage struct {
	CanUseLeverage                 bool
	MaximumOrdersWithLeverageRatio decimal.Decimal
	MaximumLeverageRate            decimal.Decimal
}

Leverage rules are used to allow or limit the use of leverage in orders when supported

type MinMax

type MinMax struct {
	MinimumSize  decimal.Decimal
	MaximumSize  decimal.Decimal
	MaximumTotal decimal.Decimal
}

MinMax are the rules which limit the placement of orders.

type Settings

type Settings struct {
	Exchange      string
	UseRealOrders bool

	Pair  currency.Pair
	Asset asset.Item

	ExchangeFee decimal.Decimal
	MakerFee    decimal.Decimal
	TakerFee    decimal.Decimal

	BuySide  MinMax
	SellSide MinMax

	Leverage Leverage

	MinimumSlippageRate decimal.Decimal
	MaximumSlippageRate decimal.Decimal

	Limits                  *gctorder.Limits
	CanUseExchangeLimits    bool
	SkipCandleVolumeFitting bool
}

Settings allow the eventhandler to size an order within the limitations set by the config file

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