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GoCryptoTrader Backtester: Exchange package

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This exchange 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

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

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 master branch.

Donations

If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:

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