exchange

README

GoCryptoTrader Backtester: Exchange package

This exchange package is part of the GoCryptoTrader codebase.

This is still in active development

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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