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* currency: Add method to derive pair * currency: Add method to lower entire charset but used the slice copy and returned that. This will change the original, just gotta see if this is an issue, but the slice usually goes out of scope anyway. * currency/pairs: add filter method * currency: add function to derive select currencies from currency pairs * currency/engine: slight adjustments * currency: fix linter issue also shift burden of proof to caller instead of repair, more performant. * currency: more linter * pairs: optimize; reduce allocs/op and B/op * currency: Add in function 'NewPairsFromString' for testing purposes * currency: don't suppress error * currency: stop panic on empty currency code * currency: Add helper method to match currencies between exchanges * currency: fixed my bad spelling * currency: Implement stable coin checks, refactored base code methods, optimized upper and lower case strings for currency code/pairs * currency: add pairs method to derive stable coins from internal list. * Currency: Cleanup, fix tests. * engine/exchanges/currency: fix whoops * Currency: force govet no copy on Item datatype * Currency: fix naughty linter issues * exchange: revert change * currency/config: fix config upgrade mistake * currency: re-implement currency sub-systems * *RetrieveConfigCurrencyPairs removed *CheckCurrencyConfigValues to only provide warnings, add additional support when, disable when support is lost or not available and set default values. *Drop Cryptocurrencies from configuration as this is not needed. *Drop REST Poll delay field as this was unused. *Update default values for currencyFileUpdateDuration & foreignExchangeUpdateDuration. *Allow Role to be marshalled for file type. *Refactor RunUpdater to verify and check config values and set default running foreign exchange provider. * currency: cleanup * currency: change match -> equal for comparison which is more of a standard and little easier to find * currency: address nits * currency: fix whoops * currency: Add some more pairs methods * currency: linter issues * currency: RM unused field * currency: rm verbose * currency: fix word * currency: gocritic * currency: fix another whoopsie * example_config: default to show log system name * Currency: Force all support packages to use Equal method for comparison as there is a small comparison bug when checking upper and lower casing, this has a more of a pronounced impact between exchanges and client instances of currency generation * currency: fix log name * ordermanager: fix potential panic * currency: small optim. * engine: display correct bool and force shutdown * currency: add function and fix regression * Change ConvertCurrency -> ConvertFiat to be more precise * ADD GetForeignExchangeRate to get specific exchange rate for fiat pair * Fix currency display and formatting regression and tied in with config.Currency fields * engine: fix tests * currency: return the amount when no conversion needs to take place * currency: reduce method name * currency: Address nits glorious nits * currency: fix linter * currency: addr nits * currency: check underlying role in test * gct: change to EMPTYCODE and EMPTYPAIR across codebase * currency: fix nits * currency: this fixes test race but this issue has not been resolved. Please see: https://trello.com/c/54eizOIo/143-currency-package-upgrades * currency: Add temp dir for testing * Update engine/engine.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * documentation: update and regen * currency: Address niterinos * currency: Add test case for config upgrade when falling over to exchange rate host as default from exchangeRates provider * currency: addr nits * currency: fix whoops Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
GoCryptoTrader Backtester: Funding package
This funding 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
Funding 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 for a list of supported exchanges | Binance |
| Asset | The asset type to set funds. Typically, this will be spot, however, see this package 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
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:
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