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README

GoCryptoTrader Backtester: Config package

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This config 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.

Join our slack to discuss all things related to GoCryptoTrader! GoCryptoTrader Slack

Config package overview

This readme contains details for both the GoCryptoTrader Backtester config structure along with the strategy config structure

GoCryptoTrader Backtester Config overview

Below are the details for the GoCryptoTrader Backtester application config. Strategy config overview is below this section

Key Description Example
print-logo Whether to print the GoCryptoTrader Backtester logo on startup. Recommended because it looks good true
verbose Whether to receive verbose output. If running a GRPC server, it outputs to the server, not to the client false
log-subheaders Whether log output contains a descriptor of what area the log is coming from, for example STRATEGY. Helpful for debugging true
stop-all-tasks-on-close When closing the application, the Backtester will attempt to stop all active tasks true
plugin-path When using custom strategy plugins, you can enter the path here to automatically load the plugin true
report Contains details on the output report after a successful backtesting run See Report table below
grpc Contains GRPC server details See GRPC table below
use-cmd-colours If enabled, will output pretty colours of your choosing when running the application true
cmd-colours Contains details on what the colour definitions are See Colours table below
Backtester Config Report overview
Key Description Example
output-report Whether or not to output a report after a successful backtesting run true
template-path The path for the template to use when generating a report /backtester/report/tpl.gohtml
output-path The path where report output is saved /backtester/results
dark-mode Whether or not the report defaults to using dark mode true
Backtester Config GRPC overview
Key Description Example
username Your username to negotiate a successful connection with the server rpcuser
password Your password to negotiate a successful connection with the server helloImTheDefaultPassword
enabled Whether the server is enabled. Setting this to false and SingleRun to false would be inadvisable true
listenAddress The listen address for the GRPC server localhost:9054
grpcProxyEnabled If enabled, creates a proxy server to interact with the GRPC server via HTTP commands true
grpcProxyListenAddress The address for the proxy to listen on localhost:9053
tls-dir The directory for holding your TLS certifications to make connections to the server. Will be generated by default on startup if not present /backtester/config/location/
Backtester Config Colours overview
Key Description Example
Default The colour definition for default text output 
Green The colour definition for when green is warranted, such as the logo 
White The colour definition for when white is warranted such as the logo 
Grey The colour definition for grey 
DarkGrey The colour definition for dark grey 
H1 The colour definition for main headers 
H2 The colour definition for sub headers 
H3 The colour definition for sub sub headers 
H4 The colour definition for sub sub sub headers 
Success The colour definition for successful operations 
Info The colour definition for when informing you of something 
Debug The colour definition for debug output such as verbose 
Warn The colour definition for when a warning occurs 
Error The colour definition for when an error occurs 

Strategy Config overview

What does the config package do?

The config package contains a set of structs which allow for the customisation of the GoCryptoTrader Backtester when running. The GoCryptoTrader Backtester runs from reading config files (.strat files by default under /examples).

What does Simultaneous Processing mean?

GoCryptoTrader Backtester config files may contain multiple ExchangeSettings which defined exchange, asset and currency pairs to iterate through a period of time.

If there are multiple entries to ExchangeSettings and SimultaneousProcessing is disabled, then each individual exchange, asset and currency pair candle event is evaluated individually and does not know about other exchange, asset and currency pair data events. It is a way to test a singular strategy against multiple assets simultaneously. But it isn't defined as Simultaneous Processing Simultaneous Signal Processing is a setting which allows multiple ExchangeSettings data events for a candle event to be considered simultaneously. This means that you can check if the price of BTC-USDT is 5% greater on Binance than it is on Kraken and choose to make signal a BUY event for Kraken and not Binance.

It allows for complex strategical decisions to be made when you consider the scope of the entire market at a given time, rather than in a vacuum when SimultaneousSignalProcessing is disabled.

How do I customise the GoCryptoTrader Backtester?

See below for a set of tables and fields, expected values and what they can do

Config
Key Description
nickname A nickname for the specific config. When running multiple variants of the same strategy, use the nickname to help differentiate between runs
goal A description of what you would hope the outcome to be. When verifying output, you can review and confirm whether the strategy met that goal
strategy-settings Select which strategy to run, what custom settings to load and whether the strategy can assess multiple currencies at once to make more in-depth decisions
funding-settings Defines whether individual funding settings can be used. Defines the funding exchange, asset, currencies at an individual level
currency-settings Currency settings is an array of settings for each individual currency you wish to run the strategy against
data-settings Holds data retrieval settings. Determines how the GoCryptoTraderBacktester will fetch data and in what format
portfolio-settings Contains a list of global rules for the portfolio manager. CurrencySettings contain their own rules on things like how big a position is allowable, the portfolio manager rules are the same, but override any individual currency's settings
statistic-settings Contains settings that impact statistics calculation. Such as the risk-free rate for the sharpe ratio
Strategy Settings
Key Description Example
name The strategy to use rsi
use-simultaneous-signal-processing This denotes whether multiple currencies are processed simultaneously with the strategy function OnSimultaneousSignals. Eg If you have multiple CurrencySettings and only wish to purchase BTC-USDT when XRP-DOGE is 1337, this setting is useful as you can analyse both signal events to output a purchase call for BTC true
disable-usd-tracking If false, will track all currencies used in your strategy against USD equivalent candles. For example, if you are running a strategy for BTC/XRP, then the GoCryptoTrader Backtester will also retrieve candles data for BTC/USD and XRP/USD to then track strategy performance against a single currency. This also tracks against USDT and other USD tracked stablecoins, so one exchange supporting USDT and another BUSD will still allow unified strategy performance analysis. If disabled, will not track against USD, this can be especially helpful when running strategies under live, database and CSV based data false
custom-settings This is a map where you can enter custom settings for a strategy. The RSI strategy allows for customisation of the upper, lower and length variables to allow you to change them from 70, 30 and 14 respectively to 69, 36, 12 "custom-settings": { "rsi-high": 70, "rsi-low": 30, "rsi-period": 14 }
Funding Config Settings
Key Description Example
use-exchange-level-funding Allows shared funding at an exchange asset level. You can set funding for USDT and all pairs that feature USDT will have access to those funds when making orders. See this for more information false
exchange-level-funding An array of exchange level funding settings. See below, or this for more information []
Funding Item Config Settings
Key Description Example
exchange-name The exchange to set funds. See here for a list of supported exchanges Binance
asset The asset type to set funds. Typically, this will be spot, however, see this package for the various asset types GoCryptoTrader supports spot
currency The currency to set funds BTC
initial-funds The initial funding for the currency 1337
transfer-fee If your strategy utilises transferring of funds via the Funding Manager, this is deducted upon doing so 0.005
Currency Settings
Key Description Example
exchange-name The exchange to load. See here for a list of supported exchanges Binance
asset The asset type. Typically, this will be spot, however, see this package for the various asset types GoCryptoTrader supports spot
base The base of a currency BTC
quote The quote of a currency USDT
spot-details An optional field which contains initial funding data for SPOT currency pairs See SpotSettings table below
future-detailss An optional field which contains leverage data for FUTURES currency pairs See FuturesSettings table below
buy-side This struct defines the buying side rules this specific currency setting must abide by such as maximum purchase amount --
sell-side This struct defines the selling side rules this specific currency setting must abide by such as maximum selling amount --
min-slippage-percent Is the lower bounds in a random number generated that make purchases more expensive, or sell events less valuable. If this value is 90, then the most a price can be affected is 10% 90
max-slippage-percent Is the upper bounds in a random number generated that make purchases more expensive, or sell events less valuable. If this value is 99, then the least a price can be affected is 1%. Set both upper and lower to 100 to have no randomness applied to purchase events 100
maker-fee-override The fee to use when sizing and purchasing currency. If nil, will lookup an exchange's fee details 0.001
taker-fee-override Unused fee for when an order is placed in the orderbook, rather than taken from the orderbook. If nil, will lookup an exchange's fee details 0.002
maximum-holdings-ratio When multiple currency settings are used, you may set a maximum holdings ratio to prevent having too large a stake in a single currency 0.5
skip-candle-volume-fitting When placing orders, by default the BackTester will shrink an order's size to fit the candle data's volume so as to not rewrite history. Set this to true to ignore this and to set order size at what the portfolio manager prescribes false
use-exchange-order-limits Will lookup exchange rules around purchase sizing eg minimum order increments of 0.0005. Note: Will retrieve up-to-date rules which may not have existed for the data you are using. Best to use this when considering to use this strategy live false
use-exchange-pnl-calculation Instead of simulating the exchange's own way of calculating PNL, use a default method which calculates the value of an asset false
SpotSettings
Key Description Example
initial-base-funds The funds that the GoCryptoTraderBacktester has for the base currency. This is only required if the strategy setting UseExchangeLevelFunding is false 2
initial-quote-funds The funds that the GoCryptoTraderBacktester has for the quote currency. This is only required if the strategy setting UseExchangeLevelFunding is false 10000
FuturesSettings
Key Description Example
leverage This struct defines the leverage rules that this specific currency setting must abide by 1
DataSettings
Key Description Example
interval The candle interval in time.Duration format eg set as15000000000 for a value of time.Second * 15 15000000000
data-type Choose whether candle or trade data is used. If trades are used, they will be converted to candles trade
verbose-exchange-requests When retrieving candle data from an exchange, print verbose request/response details false
api-data Holds API data settings. See table APIData
database-data Holds database data settings. See table DatabaseData
live-data Holds API data settings. See table LiveData
csv-data Holds CSV data settings. See table CSVData
APIData
Key Description Example
start-date The start date to retrieve data 2021-01-23T11:00:00+11:00
end-date The end date to retrieve data 2021-01-24T11:00:00+11:00
inclusive-end-date When enabled, the end date's candle is included in the results. ie 2021-01-24T11:00:00+11:00 with a one hour candle, the final candle will be 2021-01-24T11:00:00+11:00 to 2021-01-24T12:00:00+11:00 false
CSVData
Key Description Example
full-path The file to load /data/exchangelist.csv
DatabaseData
Key Description Example
start-date The start date to retrieve data 2021-01-23T11:00:00+11:00
end-date The end date to retrieve data 2021-01-24T11:00:00+11:00
config This is the same struct used as your GoCryptoTrader database config. See below tables for breakdown see below
path If using SQLite, the path to the directory, not the file. Leaving blank will use GoCryptoTrader's default database path ``
inclusive-end-date When enabled, the end date's candle is included in the results. ie 2021-01-24T11:00:00+11:00 with a one hour candle, the final candle will be 2021-01-24T11:00:00+11:00 to 2021-01-24T12:00:00+11:00 false
database
Config Description Example
enabled Enabled or disables the database connection subsystem true
verbose Displays more information to the logger which can be helpful for debugging false
driver The SQL driver to use. Can be postgres or sqlite sqlite
connectionDetails See below
connectionDetails
Config Description Example
host The host address of the database localhost
port The port used to connect to the database 5432
username An optional username to connect to the database username
password An optional password to connect to the database password
database The name of the database database.db
sslmode The connection type of the database for Postgres databases only disable
LiveData
Key Description Example
new-event-timeout The time allowed to wait for new data before exiting the strategy. Ensures new data is always coming in 60000000000
data-check-timer The interval in which to check exchange API's for new data 1000000000
real-orders Whether to place real orders with real money. Its likely you should never want to set this to true false
close-positions-on-stop As live trading doesn't stop until you tell it to, you can trigger a close of your position(s) when you stop the strategy true
data-request-retry-tolerance Rather than immediately closing a strategy on failure to retrieve candle data, having a retry tolerance allows multiple attempts to return data 3
data-request-retry-wait-time How long to wait in between request retries 500000000
exchange-credentials A list of exchange credentials. See table named ExchangeCredentials
ExchangeCredentials Settings
Key Description Example
exchange The exchange to apply credentials to binance
credentials The API credentials to use. See table named Credentials
Credentials Settings
Key Description Example
Key Will set the GoCryptoTrader exchange to use the following API Key 1234
Secret Will set the GoCryptoTrader exchange to use the following API Secret 5678
ClientID Will set the GoCryptoTrader exchange to use the following API Client ID 9012
PEMKey Private key for certain API requests. If you don't know it, you probably don't need it hello-moto
SubAccount Will set the GoCryptoTrader exchange to use the following subaccount on supported exchanges subzero
OneTimePassword Will set the GoCryptoTrader exchange to use the following 2FA seed subzero
PortfolioSettings
Key Description
leverage This struct defines the leverage rules that this specific currency setting must abide by
buy-side This struct defines the buying side rules this specific currency setting must abide by such as maximum purchase amount
sell-side This struct defines the selling side rules this specific currency setting must abide by such as maximum selling amount
Leverage Settings
Key Description Example
can-use-leverage Allows the use of leverage false
maximum-orders-with-leverage-ratio currently unused 0.5
maximum-leverage-rate currently unused 100
maximum-collateral-leverage-rate currently unused 100
Buy/Sell Settings
Key Description Example
minimum-size If the order's quantity is below this, the order cannot be placed 0.1
maximum-size If the order's quantity is over this amount, it cannot be placed and will be reduced to the maximum amount 10
maximum-total If the order's price * amount exceeds this number, the order cannot be placed and will be reduced to this figure 1337
StatisticsSettings
Key Description Example
risk-free-rate The risk free rate used in the calculation of sharpe and sortino ratios 0.03
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Documentation

Index

Constants

This section is empty.

Variables

View Source 
var (
	// DefaultBTDir is the default backtester config directory
	DefaultBTDir = filepath.Join(gctcommon.GetDefaultDataDir(runtime.GOOS), "backtester")
	// DefaultBTConfigDir is the default backtester config file
	DefaultBTConfigDir = filepath.Join(DefaultBTDir, "config.json")
)

Functions

This section is empty.

Types

type APIData 

type APIData struct {
	StartDate        time.Time `json:"start-date"`
	EndDate          time.Time `json:"end-date"`
	InclusiveEndDate bool      `json:"inclusive-end-date"`
}

APIData defines all fields to configure API based data

type BacktesterConfig 

type BacktesterConfig struct {
	LogSubheaders       bool           `json:"log-subheaders"`
	Verbose             bool           `json:"verbose"`
	StopAllTasksOnClose bool           `json:"stop-all-tasks-on-close"`
	PluginPath          string         `json:"plugin-path"`
	Report              Report         `json:"report"`
	GRPC                GRPC           `json:"grpc"`
	UseCMDColours       bool           `json:"use-cmd-colours"`
	Colours             common.Colours `json:"cmd-colours"`
}

BacktesterConfig contains the configuration for the backtester

func GenerateDefaultConfig 

func GenerateDefaultConfig() (*BacktesterConfig, error)

GenerateDefaultConfig will return the default backtester config

func ReadBacktesterConfigFromPath 

func ReadBacktesterConfigFromPath(path string) (*BacktesterConfig, error)

ReadBacktesterConfigFromPath will take a config from a path

type CSVData 

type CSVData struct {
	FullPath string `json:"full-path"`
}

CSVData defines all fields to configure CSV based data

type Config 

type Config struct {
	Nickname          string             `json:"nickname"`
	Goal              string             `json:"goal"`
	StrategySettings  StrategySettings   `json:"strategy-settings"`
	FundingSettings   FundingSettings    `json:"funding-settings"`
	CurrencySettings  []CurrencySettings `json:"currency-settings"`
	DataSettings      DataSettings       `json:"data-settings"`
	PortfolioSettings PortfolioSettings  `json:"portfolio-settings"`
	StatisticSettings StatisticSettings  `json:"statistic-settings"`
}

Config defines what is in an individual strategy config

func ReadStrategyConfigFromFile 

func ReadStrategyConfigFromFile(path string) (*Config, error)

ReadStrategyConfigFromFile will take a config from a path

func (*Config) PrintSetting 

func (c *Config) PrintSetting()

PrintSetting prints relevant settings to the console for easy reading

func (*Config) Validate 

func (c *Config) Validate() error

Validate checks all config settings

type Credentials 

type Credentials struct {
	Exchange string              `json:"exchange"`
	Keys     account.Credentials `json:"credentials"`
}

Credentials holds each exchanges credentials

type CurrencySettings 

type CurrencySettings struct {
	ExchangeName string        `json:"exchange-name"`
	Asset        asset.Item    `json:"asset"`
	Base         currency.Code `json:"base"`
	Quote        currency.Code `json:"quote"`
	// USDTrackingPair is used for price tracking data only
	USDTrackingPair bool `json:"-"`

	SpotDetails    *SpotDetails    `json:"spot-details,omitempty"`
	FuturesDetails *FuturesDetails `json:"futures-details,omitempty"`

	BuySide  MinMax `json:"buy-side"`
	SellSide MinMax `json:"sell-side"`

	MinimumSlippagePercent decimal.Decimal `json:"min-slippage-percent"`
	MaximumSlippagePercent decimal.Decimal `json:"max-slippage-percent"`

	UsingExchangeMakerFee bool             `json:"-"`
	MakerFee              *decimal.Decimal `json:"maker-fee-override,omitempty"`
	UsingExchangeTakerFee bool             `json:"-"`
	TakerFee              *decimal.Decimal `json:"taker-fee-override,omitempty"`

	MaximumHoldingsRatio    decimal.Decimal `json:"maximum-holdings-ratio"`
	SkipCandleVolumeFitting bool            `json:"skip-candle-volume-fitting"`

	CanUseExchangeLimits          bool `json:"use-exchange-order-limits"`
	ShowExchangeOrderLimitWarning bool `json:"-"`
	UseExchangePNLCalculation     bool `json:"use-exchange-pnl-calculation"`
}

CurrencySettings stores pair based variables It contains rules about the specific currency pair you wish to trade with Backtester will load the data of the currencies specified here

type DataSettings 

type DataSettings struct {
	Interval                kline.Interval `json:"interval"`
	DataType                string         `json:"data-type"`
	VerboseExchangeRequests bool           `json:"verbose-exchange-requests"`
	APIData                 *APIData       `json:"api-data,omitempty"`
	DatabaseData            *DatabaseData  `json:"database-data,omitempty"`
	LiveData                *LiveData      `json:"live-data,omitempty"`
	CSVData                 *CSVData       `json:"csv-data,omitempty"`
}

DataSettings is a container for each type of data retrieval setting. Only ONE can be populated per config

type DatabaseData 

type DatabaseData struct {
	StartDate        time.Time       `json:"start-date"`
	EndDate          time.Time       `json:"end-date"`
	Config           database.Config `json:"config"`
	Path             string          `json:"path"`
	InclusiveEndDate bool            `json:"inclusive-end-date"`
}

DatabaseData defines all fields to configure database based data

type ExchangeLevelFunding 

type ExchangeLevelFunding struct {
	ExchangeName string          `json:"exchange-name"`
	Asset        asset.Item      `json:"asset"`
	Currency     currency.Code   `json:"currency"`
	InitialFunds decimal.Decimal `json:"initial-funds"`
	TransferFee  decimal.Decimal `json:"transfer-fee"`
}

ExchangeLevelFunding allows the portfolio manager to access a shared pool. For example, The base currencies BTC and LTC can both access the same USDT funding to make purchasing decisions Similarly, when a BTC is sold, LTC can now utilise the increased funding Importantly, exchange level funding is all-inclusive, you cannot have it for only some uses It also is required to use SimultaneousSignalProcessing, otherwise the first currency processed will have dibs

type FundingSettings 

type FundingSettings struct {
	UseExchangeLevelFunding bool                   `json:"use-exchange-level-funding"`
	ExchangeLevelFunding    []ExchangeLevelFunding `json:"exchange-level-funding,omitempty"`
}

FundingSettings contains funding details for individual currencies

type FuturesDetails 

type FuturesDetails struct {
	Leverage Leverage `json:"leverage"`
}

FuturesDetails contains data relevant to futures currency pairs

type GRPC 

type GRPC struct {
	Username string `json:"username"`
	Password string `json:"password"`
	gctconfig.GRPCConfig
	TLSDir string `json:"tls-dir"`
}

GRPC holds the GRPC configuration

type Leverage 

type Leverage struct {
	CanUseLeverage                 bool            `json:"can-use-leverage"`
	MaximumOrdersWithLeverageRatio decimal.Decimal `json:"maximum-orders-with-leverage-ratio"`
	// MaximumOrderLeverageRate allows for orders to be placed with higher leverage rate. eg have $100 in collateral,
	// but place an order for $200 using 2x leverage
	MaximumOrderLeverageRate decimal.Decimal `json:"maximum-leverage-rate"`
	// MaximumCollateralLeverageRate allows for orders to be placed at `1x leverage, but utilise collateral as leverage to place more.
	// eg if this is 2x, and collateral is $100 I can place two long/shorts of $100
	MaximumCollateralLeverageRate decimal.Decimal `json:"maximum-collateral-leverage-rate"`
}

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

type LiveData 

type LiveData struct {
	NewEventTimeout           time.Duration `json:"new-event-timeout"`
	DataCheckTimer            time.Duration `json:"data-check-timer"`
	RealOrders                bool          `json:"real-orders"`
	ClosePositionsOnStop      bool          `json:"close-positions-on-stop"`
	DataRequestRetryTolerance int64         `json:"data-request-retry-tolerance"`
	DataRequestRetryWaitTime  time.Duration `json:"data-request-retry-wait-time"`
	ExchangeCredentials       []Credentials `json:"exchange-credentials"`
}

LiveData defines all fields to configure live data

type MinMax 

type MinMax struct {
	MinimumSize  decimal.Decimal `json:"minimum-size"` // will not place an order if under this amount
	MaximumSize  decimal.Decimal `json:"maximum-size"` // can only place an order up to this amount
	MaximumTotal decimal.Decimal `json:"maximum-total"`
}

MinMax are the rules which limit the placement of orders.

type PortfolioSettings 

type PortfolioSettings struct {
	Leverage Leverage `json:"leverage"`
	BuySide  MinMax   `json:"buy-side"`
	SellSide MinMax   `json:"sell-side"`
}

PortfolioSettings act as a global protector for strategies these settings will override ExchangeSettings that go against it and assess the bigger picture

type Report 

type Report struct {
	GenerateReport bool   `json:"output-report"`
	TemplatePath   string `json:"template-path"`
	OutputPath     string `json:"output-path"`
	DarkMode       bool   `json:"dark-mode"`
}

Report contains the report settings

type SpotDetails 

type SpotDetails struct {
	InitialBaseFunds  *decimal.Decimal `json:"initial-base-funds,omitempty"`
	InitialQuoteFunds *decimal.Decimal `json:"initial-quote-funds,omitempty"`
}

SpotDetails contains funding information that cannot be shared with another pair during the backtesting run. Use exchange level funding to share funds

type StatisticSettings 

type StatisticSettings struct {
	RiskFreeRate decimal.Decimal `json:"risk-free-rate"`
}

StatisticSettings adjusts ratios where proper data is currently lacking

type StrategySettings 

type StrategySettings struct {
	Name                         string `json:"name"`
	SimultaneousSignalProcessing bool   `json:"use-simultaneous-signal-processing"`

	// If true, won't track USD values against currency pair
	// bool language is opposite to encourage use by default
	DisableUSDTracking bool                   `json:"disable-usd-tracking"`
	CustomSettings     map[string]interface{} `json:"custom-settings,omitempty"`
}

StrategySettings contains what strategy to load, along with custom settings map (variables defined per strategy) along with defining whether the strategy will assess all currencies at once, or individually

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