GoCryptoTrader Backtester: Exchange package

This exchange package is part of the GoCryptoTrader codebase.

This is still in active development

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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

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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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