README
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GoCryptoTrader Backtester: Exchange package
This exchange package is part of the GoCryptoTrader codebase.
This is still in active development
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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
RealOrdersis set tofalse:- It will estimate the slippage based on what is in the config file under
min-slippage-percentandmax-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
- It will estimate the slippage based on what is in the config file under
- If
RealOrdersis set totrue, it will use the latest orderbook data to calculate slippage by simulating the order
- If
- Place the order with the engine order manager
- If
RealOrdersis set tofalseit will submit the order with no calls to the exchange's API, use no API credentials and it will always pass - If
RealOrdersis set totrueit 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.
When submitting a PR, please abide by our coding guidelines:
- Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
- Code must be documented adhering to the official Go commentary guidelines.
- Code must adhere to our coding style.
- Pull requests need to be based on and opened against the
masterbranch.
Donations
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Documentation
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Index ¶
- type Exchange
- func (e *Exchange) ExecuteOrder(o order.Event, data data.Handler, orderManager *engine.OrderManager, ...) (*fill.Fill, error)
- func (e *Exchange) GetCurrencySettings(exch string, a asset.Item, cp currency.Pair) (Settings, error)
- func (e *Exchange) Reset()
- func (e *Exchange) SetExchangeAssetCurrencySettings(exch string, a asset.Item, cp currency.Pair, c *Settings)
- type ExecutionHandler
- type Leverage
- type MinMax
- type Settings
Constants ¶
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Variables ¶
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Functions ¶
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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
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
Source Files
Directories