compliance

README

GoCryptoTrader Backtester: Compliance package

This compliance package is part of the GoCryptoTrader codebase.

This is still in active development

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Compliance package overview

The compliance manager is used to store all events at each time interval. When debugging the backtester or wanting to audit backtesting results, you can inspect every single action that has occurred during the backtesting run

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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.

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Documentation

Index

• type Manager
  • func (m *Manager) AddSnapshot(snap *Snapshot, overwriteExisting bool) error
  • func (m *Manager) GetLatestSnapshot() Snapshot
  • func (m *Manager) GetSnapshotAtTime(t time.Time) (Snapshot, error)
• type Snapshot
• type SnapshotOrder

Types

type Manager

type Manager struct {
	Snapshots []Snapshot
}

Manager holds a snapshot of all orders at each timeperiod, allowing study of all changes across time

func (*Manager) AddSnapshot

func (m *Manager) AddSnapshot(snap *Snapshot, overwriteExisting bool) error

AddSnapshot creates a snapshot in time of the orders placed to allow for finer detail tracking and to protect against anything modifying order details elsewhere

func (*Manager) GetLatestSnapshot

func (m *Manager) GetLatestSnapshot() Snapshot

GetLatestSnapshot returns the snapshot of t - 1 interval

func (*Manager) GetSnapshotAtTime

func (m *Manager) GetSnapshotAtTime(t time.Time) (Snapshot, error)

GetSnapshotAtTime returns the snapshot of orders a t time

type Snapshot

type Snapshot struct {
	Offset    int64           `json:"offset"`
	Timestamp time.Time       `json:"timestamp"`
	Orders    []SnapshotOrder `json:"orders"`
}

Snapshot consists of the timestamp the snapshot is from, along with all orders made up until that time

type SnapshotOrder

type SnapshotOrder struct {
	ClosePrice          decimal.Decimal `json:"close-price"`
	VolumeAdjustedPrice decimal.Decimal `json:"volume-adjusted-price"`
	SlippageRate        decimal.Decimal `json:"slippage-rate"`
	CostBasis           decimal.Decimal `json:"cost-basis"`
	Order               *order.Detail   `json:"order-detail"`
}

SnapshotOrder adds some additional data that's only relevant for backtesting to the order.Detail without adding to order.Detail