slippage

package

v0.0.0-...-83dca6d Latest Latest Go to latest Published: May 23, 2022 License: MIT Imports: 4 Imported by: 0

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Repository

github.com/NarrowPacific/gocryptotrader

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README ¶

GoCryptoTrader Backtester: Slippage package

This slippage package is part of the GoCryptoTrader codebase.

This is still in active development

You can track ideas, planned features and what's in progress on this Trello board: https://trello.com/b/ZAhMhpOy/gocryptotrader.

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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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Documentation ¶

Index ¶

Variables
func CalculateSlippageByOrderbook(ob *orderbook.Base, side gctorder.Side, amountOfFunds, feeRate decimal.Decimal) (price, amount decimal.Decimal)
func EstimateSlippagePercentage(maximumSlippageRate, minimumSlippageRate decimal.Decimal) decimal.Decimal

Constants ¶

This section is empty.

Variables ¶

View Source

var (
	DefaultMaximumSlippagePercent = decimal.NewFromInt(100)
	DefaultMinimumSlippagePercent = decimal.NewFromInt(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 decimal.Decimal) (price, amount decimal.Decimal)

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

func EstimateSlippagePercentage ¶

func EstimateSlippagePercentage(maximumSlippageRate, minimumSlippageRate decimal.Decimal) decimal.Decimal

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

Types ¶