generatesim

Documentation

Index

• func CalcPnl(side Direction, positionSize float64, entryPrice float64, exitPrice float64, ...) (pnl float64)
• type GenerateSim
  • func NewGenerateSim(data *dataloader.Data, cash float64, makerFeeRate float64, ...) *GenerateSim
  • func (s *GenerateSim) AmendOrder(symbol string, id string, price float64, size float64, opts ...OrderOption) (result *Order, err error)
  • func (s *GenerateSim) CancelAllOrders(symbol string, opts ...OrderOption) (err error)
  • func (s *GenerateSim) CancelOrder(symbol string, id string, opts ...OrderOption) (result *Order, err error)
  • func (s *GenerateSim) CloseLong(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)
  • func (s *GenerateSim) CloseShort(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)
  • func (s *GenerateSim) GetBalance(symbol string) (result *Balance, err error)
  • func (s *GenerateSim) GetContractID() (symbol string, err error)
  • func (s *GenerateSim) GetFee() (fee float64)
  • func (s *GenerateSim) GetName() (name string)
  • func (s *GenerateSim) GetOpenOrders(symbol string, opts ...OrderOption) (result []*Order, err error)
  • func (s *GenerateSim) GetOrder(symbol string, id string, opts ...OrderOption) (result *Order, err error)
  • func (s *GenerateSim) GetOrderBook(symbol string, depth int) (result *OrderBook, err error)
  • func (s *GenerateSim) GetOrderHistory(symbol string, opts ...OrderOption) (result []*Order, err error)
  • func (s *GenerateSim) GetPositions(symbol string) (result []*Position, err error)
  • func (s *GenerateSim) GetRecords(symbol string, period string, from int64, end int64, limit int) (records []*Record, err error)
  • func (s *GenerateSim) GetTime() (tm int64, err error)
  • func (s *GenerateSim) GetWinRate() (longWinRate, shortWinRate, totalWinRate float64)
  • func (s *GenerateSim) OpenLong(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)
  • func (s *GenerateSim) OpenShort(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)
  • func (s *GenerateSim) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64, ...) (result *Order, err error)
  • func (s *GenerateSim) RunEventLoopOnce() (err error)
  • func (s *GenerateSim) SetBacktest(backtest IBacktest)
  • func (s *GenerateSim) SetContractType(pair string, contractType string) (err error)
  • func (s *GenerateSim) SetData(data *dataloader.Data)
  • func (s *GenerateSim) SetExchangeLogger(l ExchangeLogger)
  • func (s *GenerateSim) SetLeverRate(value float64) (err error)
  • func (s *GenerateSim) SubscribeLevel2Snapshots(market Market, callback func(ob *OrderBook)) error
  • func (s *GenerateSim) SubscribeOrders(market Market, callback func(orders []*Order)) error
  • func (s *GenerateSim) SubscribePositions(market Market, callback func(positions []*Position)) error
  • func (s *GenerateSim) SubscribeTrades(market Market, callback func(trades []*Trade)) error

Functions

func CalcPnl

func CalcPnl(side Direction, positionSize float64, entryPrice float64, exitPrice float64, isForwardContract bool) (pnl float64)

Types

type GenerateSim

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

GenerateSim the generate/common exchange for backtest

func NewGenerateSim

func NewGenerateSim(data *dataloader.Data, cash float64, makerFeeRate float64, takerFeeRate float64, isForwardContract bool, posMode ...bool) *GenerateSim

func (*GenerateSim) AmendOrder

func (s *GenerateSim) AmendOrder(symbol string, id string, price float64, size float64, opts ...OrderOption) (result *Order, err error)

func (*GenerateSim) CancelAllOrders

func (s *GenerateSim) CancelAllOrders(symbol string, opts ...OrderOption) (err error)

func (*GenerateSim) CancelOrder

func (s *GenerateSim) CancelOrder(symbol string, id string, opts ...OrderOption) (result *Order, err error)

func (*GenerateSim) CloseLong

func (s *GenerateSim) CloseLong(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)

func (*GenerateSim) CloseShort

func (s *GenerateSim) CloseShort(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)

func (*GenerateSim) GetBalance

func (s *GenerateSim) GetBalance(symbol string) (result *Balance, err error)

func (*GenerateSim) GetContractID

func (s *GenerateSim) GetContractID() (symbol string, err error)

func (*GenerateSim) GetFee

func (s *GenerateSim) GetFee() (fee float64)

func (*GenerateSim) GetName

func (s *GenerateSim) GetName() (name string)

func (*GenerateSim) GetOpenOrders

func (s *GenerateSim) GetOpenOrders(symbol string, opts ...OrderOption) (result []*Order, err error)

func (*GenerateSim) GetOrder

func (s *GenerateSim) GetOrder(symbol string, id string, opts ...OrderOption) (result *Order, err error)

func (*GenerateSim) GetOrderBook

func (s *GenerateSim) GetOrderBook(symbol string, depth int) (result *OrderBook, err error)

func (*GenerateSim) GetOrderHistory

func (s *GenerateSim) GetOrderHistory(symbol string, opts ...OrderOption) (result []*Order, err error)

func (*GenerateSim) GetPositions

func (s *GenerateSim) GetPositions(symbol string) (result []*Position, err error)

func (*GenerateSim) GetRecords

func (s *GenerateSim) GetRecords(symbol string, period string, from int64, end int64, limit int) (records []*Record, err error)

func (*GenerateSim) GetTime

func (s *GenerateSim) GetTime() (tm int64, err error)

func (*GenerateSim) GetWinRate

func (s *GenerateSim) GetWinRate() (longWinRate, shortWinRate, totalWinRate float64)

func (*GenerateSim) OpenLong

func (s *GenerateSim) OpenLong(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)

func (*GenerateSim) OpenShort

func (s *GenerateSim) OpenShort(symbol string, orderType OrderType, price float64, size float64) (result *Order, err error)

func (*GenerateSim) PlaceOrder

func (s *GenerateSim) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
	size float64, opts ...PlaceOrderOption) (result *Order, err error)

func (*GenerateSim) RunEventLoopOnce

func (s *GenerateSim) RunEventLoopOnce() (err error)

func (*GenerateSim) SetBacktest

func (s *GenerateSim) SetBacktest(backtest IBacktest)

func (*GenerateSim) SetContractType

func (s *GenerateSim) SetContractType(pair string, contractType string) (err error)

func (*GenerateSim) SetData

func (s *GenerateSim) SetData(data *dataloader.Data)

func (*GenerateSim) SetExchangeLogger

func (s *GenerateSim) SetExchangeLogger(l ExchangeLogger)

func (*GenerateSim) SetLeverRate

func (s *GenerateSim) SetLeverRate(value float64) (err error)

func (*GenerateSim) SubscribeLevel2Snapshots

func (s *GenerateSim) SubscribeLevel2Snapshots(market Market, callback func(ob *OrderBook)) error

func (*GenerateSim) SubscribeOrders

func (s *GenerateSim) SubscribeOrders(market Market, callback func(orders []*Order)) error

func (*GenerateSim) SubscribePositions

func (s *GenerateSim) SubscribePositions(market Market, callback func(positions []*Position)) error

func (*GenerateSim) SubscribeTrades

func (s *GenerateSim) SubscribeTrades(market Market, callback func(trades []*Trade)) error