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backtester: shared exchange level funding, decimal implementation (#783)

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* Better designed backtester funding concept

* Fleshes out funding concepts further to allow two funding types

* Adds types, finishes adding to portfolio and adds to exchange

* Fixes a bug to reveal another

* Fixes issues with purchasing

* A partial conversion to using decimal.decimal for the backtester

* Further decimal rollout. Can compile and output report

* More cleanup

* Fix rendering and initial funds issue.

* Adds new concept for trading using the exchange level funding to see what happens

* Fixes a bug in funding not being found

* New strat config to test RSI and discover issues

* Can run with pairs that contain 0 funding

* Finally fixes the arrangement to share funds

* Adds testing and funding transfer

* end of day

* More comments, more tests!

* Improves item comparisons and completes testing

* Initial attempt at new strategy which utilisies shared funding and transfers

* end of day broken

* Chronological output. Fixes output bug where multi currency.

* End of day commit

* Fixes bug where events were being overwritten in a simultaneous context

* Begins transitioning from portfolio holdings to funding holdings. Am I doing the right thing

* End of day run around

* Likely fix for holding calculations

* Improvement to template. Improvement to holdings

* DARK MODE. Report upgrades. Even handling with funds. Fix output

* Output funding to cmd

* Add new trasnferred funds "side"

* Fixing test run 1

* Test updates

* Test updating

* More test fixing

* Fixes portfolio tests

* More test fixes

* Fixes remaining tests and lints

* Fixes currencystatistics tests. Adds decimal math implementations

* Fixes hilarious bug where there could only be on holding

* Adds funding support for config. Minor fixes

* Adds documentation

* Finishes config builder support for funding

* Logs inexact conversions, updates tests. adds config validation

* The quest to understand a new funding bug begins. New strategy

* Fixes bug where wrong funding was retrieved. Expands t2b2 strat

* End of the day commit. Gotta revert the nulldecimal stuff

* Fixes tests, adds extra funding transfer feature

* Fixes initial total values, tries to add a grand total value

* Rebase fixes, documentation updates, tests for strategy

* Swaps the err statement for tests. Regenerates tests. Math warnings

* Attempts to solve Live data problems. Fixes volume

* Fixes live data missing

* can trade at any interval. skip volume sizing. volume colours.

* config regen. display fixes

* test fixes, lint fixes

* Anti-funky errors

* docs

* Rmbad

* docs

* docs update

* Simplifies err handling. Updates readmes. Data type checks

* docs. new field initial-base-funds. comment errs. config test coverage

* minMaxing

* testfix

* Fixes fee calculation, re-bans minMax being equal

* Crazy concepts to attempt to solve totals. Addresses nits

* Adds in totals calculation for exchange level funding.Uses external API

In future, this will be replaced by proper pricing supplied by the same
exchange that is requested. This is an unknown price

* rm dollar signs in cmd and report. rm bad error. fix chart decimal. padding

* re-run docs post merge

* Fixes oopsie for fee parsing

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
This commit is contained in:
Scott
2021-09-27 16:01:23 +10:00
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parent 5dfbbf84de
commit adf7659e95
123 changed files with 7965 additions and 3357 deletions
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20
cmd/documentation/backtester_templates/backtester_config_examples_readme.tmpl
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@@ -2,15 +2,23 @@
{{template "backtester-header" .}}
## {{.CapitalName}} package overview
Current Config Examples:
### Current Config Examples
| Config | Description |
| --- | ------ |
| dollar-cost-average.strat | A simple dollar cost average strategy which makes a purchase on every candle. |
| dollar-cost-average-live.strat | Using the same dollar cost average strategy, but runs the analysis against live candles |
| dollar-cost-average-multi-currency-assessment.strat | This strategy will assess multiple currencies in the one `OnSignals` function, however, it also just simply makes a purchase on every candle |
| dollar-cost-average-multiple-currencies.strat | This runs the same strategy against multiple currencies independently |
| rsi.strat | Runs a strategy using rsi figures to make buy or sell orders based on market figures |
| dca-api-candles.strat | A simple dollar cost average strategy which makes a purchase on every candle |
| dca-api-candles-multiple-currencies.strat| The same DCA strategy, but applied to multiple currencies |
| dca-api-candles-simultaneous-processing.strat | The same DCA strategy, but uses simultaneous signal processing |
| dca-api-candles-exchange-level-funding.strat| The same DCA strategy, but utilises simultaneous signal processing and a shared pool of funding against multiple currencies |
| dca-api-trades.strat| The same DCA strategy, but sources its candle data from trades |
| dca-candles-live.strat| The same DCA strategy, but utilises live data instead of old data |
| dca-csv-candles.strat | The same DCA strategy, but uses a CSV to source candle data |
| dca-database-candles.strat | The same DCA strategy, but uses a database to retrieve candle data |
| rsi-api-candles.strat | Runs a strategy using rsi figures to make buy or sell orders based on market figures |
| t2b2-api-candles-exchange-funding.strat | Runs a more complex strategy using simultaneous signal processing, exchange level funding and MFI values to make buy or sell signals based on the two strongest and weakest MFI values |
### Want to make your own configs?
Use the provided config builder under `/backtester/config/configbuilder` or modify tests under `/backtester/config/config_test.go` to generates strategy files quickly
### Please click GoDocs chevron above to view current GoDoc information for this package
{{template "contributions"}}

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@@ -24,12 +24,34 @@ See below for a set of tables and fields, expected values and what they can do
| --- | ------|
| Nickname | A nickname for the specific config. When running multiple variants of the same strategy, use the nickname to help differentiate between runs |
| Goal | A description of what you would hope the outcome to be. When verifying output, you can review and confirm whether the strategy met that goal |
| CurrencySettings | Currency settings is an array of settings for each individual currency you wish to run the strategy against. |
| CurrencySettings | Currency settings is an array of settings for each individual currency you wish to run the strategy against |
| StrategySettings | Select which strategy to run, what custom settings to load and whether the strategy can assess multiple currencies at once to make more in-depth decisions |
| PortfolioSettings | Contains a list of global rules for the portfolio manager. CurrencySettings contain their own rules on things like how big a position is allowable, the portfolio manager rules are the same, but override any individual currency's settings |
| StatisticSettings | Contains settings that impact statistics calculation. Such as the risk-free rate for the sharpe ratio |
| GoCryptoTraderConfigPath | The filepath for the location of GoCryptoTrader's config path. The Backtester utilises settings from GoCryptoTrader. If unset, will utilise the default filepath via `config.DefaultFilePath`, implemented [here](/config/config.go#L1460) |
#### Strategy Settings
| Key | Description | Example |
| --- | ------- | --- |
| Name | The strategy to use | `rsi` |
| UsesSimultaneousProcessing | This denotes whether multiple currencies are processed simultaneously with the strategy function `OnSimultaneousSignals`. Eg If you have multiple CurrencySettings and only wish to purchase BTC-USDT when XRP-DOGE is 1337, this setting is useful as you can analyse both signal events to output a purchase call for BTC | `true` |
| CustomSettings | This is a map where you can enter custom settings for a strategy. The RSI strategy allows for customisation of the upper, lower and length variables to allow you to change them from 70, 30 and 14 respectively to 69, 36, 12 | `"custom-settings": { "rsi-high": 70, "rsi-low": 30, "rsi-period": 14 } ` |
| UseExchangeLevelFunding | Allows shared funding at an exchange asset level. You can set funding for `USDT` and all pairs that feature `USDT` will have access to those funds when making orders. See [this](/backtester/funding/README.md) for more information | `false` |
| ExchangeLevelFunding | An array of exchange level funding settings. See below, or [this](/backtester/funding/README.md) for more information | `[]` |
##### Funding Config Settings
| Key | Description | Example |
| --- | ------- | ----- |
| ExchangeName | The exchange to set funds. See [here](https://github.com/thrasher-corp/gocryptotrader/blob/master/README.md) for a list of supported exchanges | `Binance` |
| Asset | The asset type to set funds. Typically, this will be `spot`, however, see [this package](https://github.com/thrasher-corp/gocryptotrader/blob/master/exchanges/asset/asset.go) for the various asset types GoCryptoTrader supports| `spot` |
| Currency | The currency to set funds | `BTC` |
| InitialFunds | The initial funding for the currency | `1337` |
| TransferFee | If your strategy utilises transferring of funds via the Funding Manager, this is deducted upon doing so | `0.005` |
#### Currency Settings
| Key | Description | Example |
@@ -38,7 +60,9 @@ See below for a set of tables and fields, expected values and what they can do
| Asset | The asset type. Typically, this will be `spot`, however, see [this package](https://github.com/thrasher-corp/gocryptotrader/blob/master/exchanges/asset/asset.go) for the various asset types GoCryptoTrader supports| `spot` |
| Base | The base of a currency | `BTC` |
| Quote | The quote of a currency | `USDT` |
| InitialFunds | The funds that the GoCryptoTraderBacktester has for the specific currency | `10000` |
| InitialFunds | A legacy field, will be temporarily migrated to `InitialQuoteFunds` if present in your strat config | `` |
| InitialBaseFunds | The funds that the GoCryptoTraderBacktester has for the base currency. This is only required if the strategy setting `UseExchangeLevelFunding` is `false` | `2` |
| InitialQuoteFunds | The funds that the GoCryptoTraderBacktester has for the quote currency. This is only required if the strategy setting `UseExchangeLevelFunding` is `false` | `10000` |
| Leverage | This struct defines the leverage rules that this specific currency setting must abide by | `1` |
| BuySide | This struct defines the buying side rules this specific currency setting must abide by such as maximum purchase amount | - |
| SellSide | This struct defines the selling side rules this specific currency setting must abide by such as maximum selling amount | - |
@@ -47,14 +71,8 @@ See below for a set of tables and fields, expected values and what they can do
| MakerFee | The fee to use when sizing and purchasing currency | `0.001` |
| TakerFee | Unused fee for when an order is placed in the orderbook, rather than taken from the orderbook | `0.002` |
| MaximumHoldingsRatio | When multiple currency settings are used, you may set a maximum holdings ratio to prevent having too large a stake in a single currency | `0.5` |
#### Strategy Settings
| Key | Description | Example |
| --- | ------- | --- |
| Name | The strategy to use. | `rsi` |
| UsesSimultaneousProcessing | This denotes whether multiple currencies are processed simultaneously with the strategy function `OnSimultaneousSignals`. Eg If you have multiple CurrencySettings and only wish to purchase BTC-USDT when XRP-DOGE is 1337, this setting is useful as you can analyse both signal events to output a purchase call for BTC. | `true` |
| CustomSettings | This is a map where you can enter custom settings for a strategy. The RSI strategy allows for customisation of the upper, lower and length variables to allow you to change them from 70, 30 and 14 respectively to 69, 36, 12 | `"custom-settings": { "rsi-high": 70, "rsi-low": 30, "rsi-period": 14 } ` |
| CanUseExchangeLimits | Will lookup exchange rules around purchase sizing eg minimum order increments of 0.0005. Note: Will retrieve up-to-date rules which may not have existed for the data you are using. Best to use this when considering to use this strategy live | `false` |
| SkipCandleVolumeFitting | When placing orders, by default the BackTester will shrink an order's size to fit the candle data's volume so as to not rewrite history. Set this to `true` to ignore this and to set order size at what the portfolio manager prescribes | `false` |
#### PortfolioSettings
@@ -110,7 +128,7 @@ See below for a set of tables and fields, expected values and what they can do
| APIClientIDOverride | Will set the GoCryptoTrader exchange to use the following API Client ID | `9012` |
| API2FAOverride | Will set the GoCryptoTrader exchange to use the following 2FA seed | `hello-moto` |
| APISubaccountOverride | Will set the GoCryptoTrader exchange to use the following subaccount on supported exchanges | `subzero` |
| RealOrders | Whether to place real orders. You really should never consider using this. Ever ever. | `true` |
| RealOrders | Whether to place real orders. You really should never consider using this. Ever ever | `true` |
##### Leverage Settings

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@@ -17,10 +17,10 @@ It can calculate the following:
| Ratio | Description | A good range |
| ----- | ----------- | ------------ |
| Calmar ratio | It is a function of the fund's average compounded annual rate of return versus its maximum drawdown. The higher the Calmar ratio, the better it performed on a risk-adjusted basis during the given time frame, which is mostly commonly set at 36 months. | 3.0 to 5.0 |
| Calmar ratio | It is a function of the fund's average compounded annual rate of return versus its maximum drawdown. The higher the Calmar ratio, the better it performed on a risk-adjusted basis during the given time frame, which is mostly commonly set at 36 months | 3.0 to 5.0 |
| Information ratio| It is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns. The ratio is often used as a measure of a portfolio manager's level of skill and ability to generate excess returns relative to a benchmark | 0.40-0.60. Any positive number means that it has beaten the benchmark |
| Sharpe ratio | The Sharpe Ratio is a financial metric often used by investors when assessing the performance of investment management products and professionals. It consists of taking the excess return of the portfolio, relative to the risk-free rate, and dividing it by the standard deviation of the portfolio's excess returns | Any Sharpe ratio greater than 1.0 is good. Higher than 2.0 is very good. 3.0 or higher is excellent. Under 1.0 is sub-optimal |
| Sortino ratio | The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. | The higher the better, but > 2 is considered good. |
| Sortino ratio | The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally | The higher the better, but > 2 is considered good |
| Compound annual growth rate | Compound annual growth rate is the rate of return that would be required for an investment to grow from its beginning balance to its ending balance, assuming the profits were reinvested at the end of each year of the investment’s lifespan | Any positive number |
## Arithmetic or versus geometric?
@@ -29,7 +29,7 @@ Both! We calculate ratios where an average is required using both types. The rea
| Average type | A reason to use it |
| ------------ | ------------------ |
| Arithmetic | The arithmetic mean is the average of a sum of numbers, which reflects the central tendency of the position of the numbers |
| Geometric | The geometric mean differs from the arithmetic average, or arithmetic mean, in how it is calculated because it takes into account the compounding that occurs from period to period. Because of this, investors usually consider the geometric mean a more accurate measure of returns than the arithmetic mean. |
| Geometric | The geometric mean differs from the arithmetic average, or arithmetic mean, in how it is calculated because it takes into account the compounding that occurs from period to period. Because of this, investors usually consider the geometric mean a more accurate measure of returns than the arithmetic mean |

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@@ -3,7 +3,7 @@
## {{.CapitalName}} package overview
The RSI strategy utilises [the gct-ta RSI package](https://github.com/thrasher-corp/gct-ta) to analyse market signals and output buy or sell signals based on the RSI output.
This strategy does not support `SimultaneousSignalProcessing` aka [use-simultaneous-signal-processing](/backtester/config/README.md).
This strategy does support `SimultaneousSignalProcessing` aka [use-simultaneous-signal-processing](/backtester/config/README.md).
This strategy does support strategy customisation in the following ways:
| Field | Description | Example |

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@@ -0,0 +1,21 @@
{{define "backtester eventhandlers strategies top2bottom2" -}}
{{template "backtester-header" .}}
## Top 2 Bottom 2 package overview
The Top 2 Bottom 2 (T2B2) strategy utilises [the gct-ta MFI package](https://github.com/thrasher-corp/gct-ta) to analyse market signals and selects the top and bottom two currencies based on MFI value.
It is a basic example strategy to highlight how the backtester can perform more complex data event signal processing
This strategy *requires* at least 4 exchange currency settings to determine the 4 signals to process
This strategy *requires* `SimultaneousSignalProcessing` aka [use-simultaneous-signal-processing](/backtester/config/README.md).
This strategy does support strategy customisation in the following ways:
| Field | Description | Example |
| --- | ------- | --- |
|mfi-high| The upper bounds of MFI that when met, will trigger a Sell signal | 70 |
|mfi-low| The lower bounds of MFI that when met, will trigger a Buy signal | 30 |
|mfi-period| The consecutive candle periods used in order to generate a value. All values less than this number cannot output a buy or sell signal | 14 |
### Please click GoDocs chevron above to view current GoDoc information for this package
{{template "contributions"}}
{{template "donations" .}}
{{end}}

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@@ -0,0 +1,68 @@
{{define "backtester funding" -}}
{{template "backtester-header" .}}
## {{.CapitalName}} package overview
### What does the funding package do?
The funding package is responsible for keeping track of all funds across all events during a backtesting run. It is backwards compatible with all existing backtesting strategies
### What is the funding manager?
The funding manager is responsible for holding all funding Items and Pairs over the course of a backtesting run. It prevents funds from being overwritten and maintains relationships of currency pairs.
Consider the following example: Exchange Level Funding is disabled and Simultaneous Processing is disabled, so each currency in the `.strat` config will execute a strategy individually. If the pairs BTC-USDT, BNB-USDT and LTC-BTC are present, then the funding manager will ensure that none of the funds are shared between each of the currencies, even if they all share base or quote values.
Conversely, Exchange level funding and Simultaneous Processing is enabled, so each currency in the `.strat` file will be processed in one step per time interval. The pairs BTC-USDT, BNB-USDT and BTC-LTC can all share the same base or quote level funds and can make complex decisions on how that funding is used, such as allowing BTC-LTC to make a purchase if an indicator is strongest for that pair.
### What is a funding Item?
A funding item holds the initial funding, current funding, reserved funding and transfer fees associated with an exchange, asset and currency. If it is a Pair, then the Item will be linked to the paired Item.
### What is a funding Pair?
A funding Pair consists of two funding Items, the Base and Quote. If Exchange Level Funding is disabled, the Base and Quote are linked to each other and the funds cannot be shared with other Pairs or Items. If Exchange Level Funding is enabled, the pair can access the same funds as every other currency that shares the exchange and asset type.
### What does Exchange Level Funding mean?
Exchange level funding allows funds to be shared during a backtesting run. If the strategy contains the two pairs BTC-USDT and BNB-USDT and the strategy sells 3 BTC for $100,000 USDT, then BNB-USDT can use that $100,000 USDT to make a purchase of $20,000 BNB.
It is restricted to an exchange and asset type, so BTC used in spot, cannot be used in a futures contract (futures backtesting is not currently supported). However, the funding manager can transfer funds between exchange and asset types.
Having funding at the exchange level also allows for a finer degree of control while also being more realistic for strategic execution.
A user can create a strategy with many pairs, such as BTC-USDT, LTC-BTC, DOGE-XRP and XRP-USDT, but only creating funding for USDT and still see the purchase of LTC or DOGE.
Another strategy could start with funding in the Base currency. So an RSI strategy for BTC-USDT that has 3 BTC as funding will then start by selling rather than buying.
#### Why is Simultaneous Processing a prerequisite of Exchange Level Funding?
Simultaneous Processing allows a strategy to process multiple data signals for a single time period to be processed in one step. The reason Simultaneous Processing is required for Exchange Level Funding is that if it is disabled, all events are handled in a sequence.
If any funding was to be shared in such a scenario, the first currency to be processed will always get the choice share of funding. Simultaneous Processing ensures the decision to spend funds for BTC-USDT over BNB-USDT is a measured decision, and not done by the order of currencies in a strategy config.
### Can I transfer funds from one place to another?
Yes! Though it does use some things to consider.
- It is handled at the strategy execution level, so when creating a strategy, you design the conditions in which funding may be transferred from one place to another.
- For example, if an indicator is very strong on one exchange, but not another, you may wish to transfer funds to the strongest exchange to act upon
- It comes with the assumption that a transfer is actually possible in the candle timeframe your strategy runs on.
- For example, a 1 minute candle strategy likely would not be able to process a transfer of funds and have another exchange use it in that timeframe. So any positive results from such a strategy may not be reflected in real-world scenarios
- You can only transfer to the same currency eg BTC from Binance to FTX, no conversions
- You set the transfer fee in your config
### Do I need to add funding settings to my config if Exchange Level Funding is disabled?
No. The already existing `CurrencySettings` will populate the funding manager with initial funds if Exchange Level Funding is disabled.
#### Strategy Settings
| Key | Description | Example |
| --- | ------- | --- |
| Name | The strategy to use | `rsi` |
| UsesSimultaneousProcessing | This denotes whether multiple currencies are processed simultaneously with the strategy function `OnSimultaneousSignals`. Eg If you have multiple CurrencySettings and only wish to purchase BTC-USDT when XRP-DOGE is 1337, this setting is useful as you can analyse both signal events to output a purchase call for BTC | `true` |
| CustomSettings | This is a map where you can enter custom settings for a strategy. The RSI strategy allows for customisation of the upper, lower and length variables to allow you to change them from 70, 30 and 14 respectively to 69, 36, 12 | `"custom-settings": { "rsi-high": 70, "rsi-low": 30, "rsi-period": 14 } ` |
| UseExchangeLevelFunding | This allows shared exchange funds to be used in your strategy. Requires `UsesSimultaneousProcessing` to be set to `true` to use | `false` |
| ExchangeLevelFunding | This is a list of funding definitions if `UseExchangeLevelFunding` is set to true | See below table |
#### Funding Config Settings
| Key | Description | Example |
| --- | ------- | ----- |
| ExchangeName | The exchange to set funds. See [here](https://github.com/thrasher-corp/gocryptotrader/blob/master/README.md) for a list of supported exchanges | `Binance` |
| Asset | The asset type to set funds. Typically, this will be `spot`, however, see [this package](https://github.com/thrasher-corp/gocryptotrader/blob/master/exchanges/asset/asset.go) for the various asset types GoCryptoTrader supports| `spot` |
| Currency | The currency to set funds | `BTC` |
| InitialFunds | The initial funding for the currency | `1337` |
| TransferFee | If your strategy utilises transferring of funds via the Funding Manager, this is deducted upon doing so | `0.005` |
### Please click GoDocs chevron above to view current GoDoc information for this package
{{template "contributions"}}
{{template "donations" .}}
{{end}}

10
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@@ -9,24 +9,28 @@ An event-driven backtesting tool to test and iterate trading strategies using hi
- CSV data import
- Database data import
- Proof of concept live data running
- Shopspring decimal implementation to track stats more accurately
- Can run strategies against multiple cryptocurrencies
- Can run strategies that can assess multiple currencies simultaneously to make complex decisions
- Dollar cost strategy implementation
- RSI strategy implementation
- Dollar cost strategy example strategies
- RSI example strategy
- MFI example strategy
- Rules customisation via config `.strat` files
- Strategy config builder application
- Strategy customisation without requiring recompilation. For example, customising RSI high, low and length values via config `.strat` files.
- Report generation
- Portfolio manager to help size orders based on config rules, risk and candle volume
- Order manager to place orders with customisable slippage estimator
- Helpful statistics to help determine whether a strategy was effective
- Compliance manager to keep snapshots of every transaction and their changes at every interval
- Exchange level funding allows funding to be shared across multiple currency pairs and to allow for complex strategy design
- Fund transfer. At a strategy level, transfer funds between exchanges to allow for complex strategy design
## Planned Features
We welcome pull requests on any feature for the Backtester! We will be especially appreciative of any contribution towards the following planned features:
| Feature | Description |
|---------|-------------|
| Add quote-based portfolio funding feature | Funds are currently currency-pair based which is helpful for running the same strategy against many pairs simultaneously. This feature would allow for shared funding pool for an overarching strategy |
| Add backtesting support for futures asset types | Spot trading is currently the only supported asset type. Futures trading greatly expands the Backtester's potential |
| Example futures pairs trading strategy | Providing a basic example will allow for esteemed traders to build and customise their own |
| Save Backtester results to database | This will allow for easier comparison of results over time |

13
cmd/documentation/documentation.go
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@@ -173,8 +173,8 @@ func main() {
// Github API missing contributors
contributors = append(contributors, []Contributor{
{
Login: "tk42",
URL: "https://github.com/tk42",
Login: "herenow",
URL: "https://github.com/herenow",
Contributions: 2,
},
{
@@ -183,8 +183,13 @@ func main() {
Contributions: 2,
},
{
Login: "herenow",
URL: "https://github.com/herenow",
Login: "soxipy",
URL: "https://github.com/soxipy",
Contributions: 2,
},
{
Login: "tk42",
URL: "https://github.com/tk42",
Contributions: 2,
},
{

2
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@@ -10,7 +10,7 @@
| ------ | ----------- | ------- |
| enabled | Enabled or disables the database connection subsystem | `true` |
| verbose | Displays more information to the logger which can be helpful for debugging | `false` |
| driver | The SQL driver to use. Can be `postgres` or `sqlite`. | `sqlite` |
| driver | The SQL driver to use. Can be `postgres` or `sqlite` | `sqlite` |
| connectionDetails | See below | |
### connectionDetails

10
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@@ -101,7 +101,7 @@ You can add jobs which will be paused by default by using the `prerequisite` sub
| enabled | If enabled will run the data history manager on startup | `true` |
| checkInterval | A golang `time.Duration` interval of when to attempt to fetch all active jobs' data | `15000000000` |
| maxJobsPerCycle | Allows you to control how many jobs are processed after the `checkInterval` timer finishes. Useful if you have many jobs, but don't wish to constantly be retrieving data | `5` |
| maxResultInsertions | When saving candle/trade results, loop it in batches of this number. | `10000` |
| maxResultInsertions | When saving candle/trade results, loop it in batches of this number | `10000` |
| verbose | Displays some extra logs to your logging output to help debug | `false` |
## RPC commands
@@ -146,16 +146,16 @@ The following is a screenshot of the relationship between relevant data history
| quote | The currency pair quote of the data to be fetching | `doge` |
| start_time | When to begin fetching data | `01-01-2017T13:33:37Z` |
| end_time | When to finish fetching data | `01-01-2018T13:33:37Z` |
| interval | A golang `time.Duration` representation of the candle interval to use. | `30000000000` |
| interval | A golang `time.Duration` representation of the candle interval to use | `30000000000` |
| data_type | The data type to fetch. See job types in table `AddJob commands` above | `0` |
| request_size | The number of candles to fetch. eg if `500`, the data history manager will break up the request into the appropriate timeframe to ensure the data history run interval will fetch 500 candles to save to the database | `500` |
| max_retries | For an interval period, the amount of attempts the data history manager is allowed to attempt to fetch data before moving onto the next period. This can be useful for determining whether the exchange is missing the data in that time period or, if just one failure of three, just means that the data history manager couldn't finish one request | `3` |
| batch_count | The number of requests to make when processing a job | `3` |
| status | A numerical representation for the status. See data history job status subsection | `0` |
| created | The date the job was created. | `2020-01-01T13:33:37Z` |
| created | The date the job was created | `2020-01-01T13:33:37Z` |
| conversion_interval | When converting data as a job, this determines the resulting interval | `86400000000000` |
| overwrite_data | If data already exists, the setting allows you to overwrite it | `true` |
| secondary_exchange_id | For a `secondaryvalidatecandles` job, the exchange id of the exchange to compare data to. | `ftx` |
| secondary_exchange_id | For a `secondaryvalidatecandles` job, the exchange id of the exchange to compare data to | `ftx` |
| decimal_place_comparison | When validating API candles, this will round the data to the supplied decimal point to check for equality | `3` |
| replace_on_issue | When there is an issue validating candles for a `validatecandles` job, the API data will overwrite the existing candle data | `false` |
@@ -183,7 +183,7 @@ The candle table also has relationships to data history jobs. Only the relevant
| Field | Description | Example |
| ------ | ----------- | ------- |
| source_job_id | The source job id for where the candle data came from. | `deadbeef-dead-beef-dead-beef13371337` |
| source_job_id | The source job id for where the candle data came from | `deadbeef-dead-beef-dead-beef13371337` |
| validation_job_id | When job id for what job validated the candle data | `deadbeef-dead-beef-dead-beef13371337` |
| validation_issues | If any discrepancies are found, the data will be written to the column | `issues found at 2020-07-08 00:00:00, Open api: 9262.62 db: 9262.69 diff: 3%, replacing database candle data with API data` |