README
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GoCryptoTrader Backtester: Compliance package
This compliance 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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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
masterbranch.
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Documentation
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Index ¶
Constants ¶
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Variables ¶
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Functions ¶
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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(orders []SnapshotOrder, t time.Time, offset int64, 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 ¶
GetLatestSnapshot returns the snapshot of t - 1 interval
type Snapshot ¶
type Snapshot struct {
Orders []SnapshotOrder `json:"orders"`
Timestamp time.Time `json:"timestamp"`
Offset int64 `json:"offset"`
}
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.Detail `json:"order-detail"`
}
SnapshotOrder adds some additional data that's only relevant for backtesting to the order.Detail without adding to order.Detail
Source Files