README
¶
GoCryptoTrader Backtester: Holdings package
This holdings 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.
Join our slack to discuss all things related to GoCryptoTrader! GoCryptoTrader Slack
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
Please click GoDocs chevron above to view current GoDoc information for this package
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.
Donations
If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:
bc1qk0jareu4jytc0cfrhr5wgshsq8282awpavfahc
Documentation
¶
Index ¶
Constants ¶
This section is empty.
Variables ¶
var ErrInitialFundsZero = errors.New("initial funds < 0")
ErrInitialFundsZero is an error when initial funds are zero or less
Functions ¶
This section is empty.
Types ¶
type ClosePriceReader ¶
type ClosePriceReader interface {
common.EventHandler
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"`
BoughtValue decimal.Decimal `json:"bought-value"`
TotalValueDifference decimal.Decimal
ChangeInTotalValuePercent decimal.Decimal
BoughtValueDifference decimal.Decimal
SoldValueDifference 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, funding funding.IPairReader) (Holding, error)
Create makes a Holding struct to track total values of strategy holdings over the course of a backtesting run
func (*Holding) HasInvestments ¶
HasInvestments determines whether there are any holdings in the base funds
func (*Holding) Update ¶
func (h *Holding) Update(e fill.Event, f funding.IPairReader)
Update calculates holding statistics for the events time
func (*Holding) UpdateValue ¶
func (h *Holding) UpdateValue(d common.DataEventHandler)
UpdateValue calculates the holding's value for a data event's time and price
Source Files