exchange

README

GoCryptoTrader Backtester: Exchange package

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.

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 master branch.

Donations

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Documentation

Index

• Variables
• type Exchange
  • func (e *Exchange) ExecuteOrder(o order.Event, dh data.Handler, om *engine.OrderManager, ...) (fill.Event, error)
  • func (e *Exchange) GetCurrencySettings(exch string, a asset.Item, cp currency.Pair) (Settings, error)
  • func (e *Exchange) Reset() error
  • func (e *Exchange) SetExchangeAssetCurrencySettings(a asset.Item, cp currency.Pair, c *Settings)
• type ExecutionHandler
• type Leverage
• type MinMax
• type Settings

Variables

var (
	// ErrCannotTransact returns when its an issue to do nothing for an event
	ErrCannotTransact = errors.New("cannot transact")
)

Types

type Exchange

type Exchange struct {
	CurrencySettings []Settings
}

Exchange contains all the currency settings

func (*Exchange) ExecuteOrder

func (e *Exchange) ExecuteOrder(o order.Event, dh data.Handler, om *engine.OrderManager, funds funding.IFundReleaser) (fill.Event, 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() error

Reset returns the exchange to initial settings

func (*Exchange) SetExchangeAssetCurrencySettings

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

SetExchangeAssetCurrencySettings sets the settings for an exchange, asset, currency

type ExecutionHandler

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

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      exchange.IBotExchange
	UseRealOrders bool

	Pair  currency.Pair
	Asset asset.Item

	MakerFee decimal.Decimal
	TakerFee decimal.Decimal

	BuySide  MinMax
	SellSide MinMax

	Leverage Leverage

	MinimumSlippageRate decimal.Decimal
	MaximumSlippageRate decimal.Decimal

	Limits                  gctorder.MinMaxLevel
	CanUseExchangeLimits    bool
	SkipCandleVolumeFitting bool

	UseExchangePNLCalculation bool
}

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