holdings

README

GoCryptoTrader Backtester: Holdings package

This holdings package is part of the GoCryptoTrader codebase.

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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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Documentation

Index

• Variables
• type ClosePriceReader
• type Holding
  • func Create(ev ClosePriceReader, fundReader funding.IFundReader) (*Holding, error)
  • func (h *Holding) Update(e fill.Event, f funding.IFundReader) error
  • func (h *Holding) UpdateValue(d common.Event) error

Variables

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

ErrInitialFundsZero is an error when initial funds are zero or less

Types

type ClosePriceReader

type ClosePriceReader interface {
	common.Event
	GetClosePrice() decimal.Decimal
}

ClosePriceReader is used for holdings calculations without needing to consider event types

type Holding

type Holding struct {
	Offset            int64
	Item              currency.Code
	Pair              currency.Pair
	Asset             asset.Item      `json:"asset"`
	Exchange          string          `json:"exchange"`
	Timestamp         time.Time       `json:"timestamp"`
	BaseInitialFunds  decimal.Decimal `json:"base-initial-funds"`
	BaseSize          decimal.Decimal `json:"base-size"`
	BaseValue         decimal.Decimal `json:"base-value"`
	QuoteInitialFunds decimal.Decimal `json:"quote-initial-funds"`
	TotalInitialValue decimal.Decimal `json:"total-initial-value"`
	QuoteSize         decimal.Decimal `json:"quote-size"`
	SoldAmount        decimal.Decimal `json:"sold-amount"`
	SoldValue         decimal.Decimal `json:"sold-value"`
	BoughtAmount      decimal.Decimal `json:"bought-amount"`
	CommittedFunds    decimal.Decimal `json:"committed-funds"`

	IsLiquidated bool

	TotalValueDifference      decimal.Decimal
	ChangeInTotalValuePercent decimal.Decimal
	PositionsValueDifference  decimal.Decimal

	TotalValue                   decimal.Decimal `json:"total-value"`
	TotalFees                    decimal.Decimal `json:"total-fees"`
	TotalValueLostToVolumeSizing decimal.Decimal `json:"total-value-lost-to-volume-sizing"`
	TotalValueLostToSlippage     decimal.Decimal `json:"total-value-lost-to-slippage"`
	TotalValueLost               decimal.Decimal `json:"total-value-lost"`
}

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

func Create

func Create(ev ClosePriceReader, fundReader funding.IFundReader) (*Holding, error)

Create makes a Holding struct to track total values of strategy holdings over the course of a backtesting run

func (*Holding) Update

func (h *Holding) Update(e fill.Event, f funding.IFundReader) error

Update calculates holding statistics for the events time

func (*Holding) UpdateValue

func (h *Holding) UpdateValue(d common.Event) error

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