holdings

README

GoCryptoTrader Backtester: Holdings package

This holdings package is part of the GoCryptoTrader codebase.

This is still in active development

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Holdings package overview

Holdings are used to calculate the holdings at any given time for a given exchange, asset, currency pair. If an order is placed, funds are removed from funding and placed under assets. Every data event will update and calculate holdings value based on the new price. This will allow for statistics to be easily calculated at the end of a backtesting run

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Contribution

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Documentation

Index

• Variables
• type Holding
  • func Create(f fill.Event, initialFunds, riskFreeRate float64) (Holding, error)
  • func (h *Holding) Update(f fill.Event)
  • func (h *Holding) UpdateValue(d common.DataEventHandler)

Variables

var ErrInitialFundsZero = errors.New("initial funds <= 0")

ErrInitialFundsZero is an error when initial funds are zero or less

Types

type Holding

type Holding struct {
	Offset         int64
	Pair           currency.Pair `json:"pair"`
	Asset          asset.Item    `json:"asset"`
	Exchange       string        `json:"exchange"`
	Timestamp      time.Time     `json:"timestamp"`
	InitialFunds   float64       `json:"initial-funds"`
	PositionsSize  float64       `json:"positions-size"`
	PositionsValue float64       `json:"postions-value"`
	SoldAmount     float64       `json:"sold-amount"`
	SoldValue      float64       `json:"sold-value"`
	BoughtAmount   float64       `json:"bought-amount"`
	BoughtValue    float64       `json:"bought-value"`
	RemainingFunds float64       `json:"remaining-funds"`
	CommittedFunds float64       `json:"committed-funds"`

	TotalValueDifference      float64
	ChangeInTotalValuePercent float64
	BoughtValueDifference     float64
	SoldValueDifference       float64
	PositionsValueDifference  float64

	TotalValue                   float64 `json:"total-value"`
	TotalFees                    float64 `json:"total-fees"`
	TotalValueLostToVolumeSizing float64 `json:"total-value-lost-to-volume-sizing"`
	TotalValueLostToSlippage     float64 `json:"total-value-lost-to-slippage"`
	TotalValueLost               float64 `json:"total-value-lost"`

	RiskFreeRate float64 `json:"risk-free-rate"`
}

Holding contains pricing statistics for a given time for a given exchange asset pair

func Create

func Create(f fill.Event, initialFunds, riskFreeRate float64) (Holding, error)

Create takes a fill event and creates a new holding for the exchange, asset, pair

func (*Holding) Update

func (h *Holding) Update(f fill.Event)

Update calculates holding statistics for the events time

func (*Holding) UpdateValue

func (h *Holding) UpdateValue(d common.DataEventHandler)

UpdateValue calculates the holding's value for a data event's time and price