slippage

README

GoCryptoTrader Backtester: Slippage package

This slippage package is part of the GoCryptoTrader codebase.

This is still in active development

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Slippage package overview

Slippage refers to the difference between the expected price of a trade and the price at which the trade is executed. Slippage is used here to simulate what would occur if trading was live as no perfect conditions exist for placing orders. Slippage is calculated in two ways in the GoCryptoTrader Backtester

If RealOrders is true

• The orderbook is frequently requested during live cycle candle retrieval
• When the order is being calculated in the ExecuteOrder eventhandler, it will use the orderbook to simulate placing the order and adjust the order price

If RealOrders is false

• The min-slippage-percent and max-slippage-percent values for the specific exchange, asset and currency pair will be used as bounds to simulate an orderbook using a random number
  • If it is a buy order, it will raise the price by a random percentage between the two values
  • If the order is a sell order, it will reduce the price by a random percentage between the two values

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Contribution

Please feel free to submit any pull requests or suggest any desired features to be added.

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• Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
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Documentation

Index

• Constants
• func CalculateSlippageByOrderbook(ob *orderbook.Base, side gctorder.Side, amountOfFunds, feeRate float64) (price, amount float64)
• func EstimateSlippagePercentage(maximumSlippageRate, minimumSlippageRate float64) float64

Constants

const (
	DefaultMaximumSlippagePercent float64 = 100
	DefaultMinimumSlippagePercent float64 = 100
)

Default slippage rates. It works on a percentage basis 100 means unaffected, 95 would mean 95%

Functions

func CalculateSlippageByOrderbook

func CalculateSlippageByOrderbook(ob *orderbook.Base, side gctorder.Side, amountOfFunds, feeRate float64) (price, amount float64)

CalculateSlippageByOrderbook will analyse a provided orderbook and return the result of attempting to place the order on there

func EstimateSlippagePercentage

func EstimateSlippagePercentage(maximumSlippageRate, minimumSlippageRate float64) float64

EstimateSlippagePercentage takes in an int range of numbers turns it into a percentage