6eaa2e4073
* Initial concept for creating price tracking pairs * Completes coverage, even with a slow test * I dont know what point to hook this stuff up * Bit of a broken way of handling tracking pairs * Correctly calculates USD rates against all currencies * Removes dependency on GCT config * Failed currency statistics redesign * initial Update chart to use highcharts * Minor changes to stats * Creats funding stats to handle the stat calculations. Needs more work * tracks USD snapshots and BREAKS THINGS FURTHER * Fixed! * Adds ratio calculations and such, but its WRONG. do it at totals level dummy * End of day basic lint * Remaining lints * USD totals statistics * Minor panic fixes * Printing of funding stats, but its bad * Properly calculates overall benchmark, moves funding stat output * Adds some template charge, removes duplicate fields * New charts! * Darkcharts. funding protection when disabled * Now works with usd tracking/funding disabled! * Attempting to only show working stats based on settings. * Spruces up the goose/reporting * Completes report HTML rendering * lint and test fixes * funding statistics testing * slightly more test coverage * Test coverage * Initial documentation * Fixes tests * Database testing and rendering improvements and breakages * report and cmd rendering, linting. fix comma output. rm gct cfg * PR mode 🎉 Path field, config builder support,testing,linting,docs * minor calculation improvement * Secret lint that did not show up locally * Disable USD tracking for example configs * ShazNitNoScope * Forgotten errors * "" * literally Logarithmically logically renders the date 👀 * Fixes typos, fixes parallel test, fixes chart gui and exporting
GoCryptoTrader Backtester: Portfolio package
This portfolio 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.
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Portfolio package overview
The portfolio is one of the most critical packages in the GoCryptoTrader Backtester. It is responsible for making sure that all orders, simulated or otherwise are within all defined risk and sizing rules defined in the config.
The portfolio receives three kinds of events to be processed: OnSignal, OnFill and Update
The following steps are taken for the OnSignal function:
- Retrieve previous iteration's holdings data
- If a buy order signal is received, ensure there are enough funds
- If a sell order signal is received, ensure there are any holdings to sell
- If any other direction, return
- The portfolio manager will then size the order according to the exchange asset currency pair's settings along with the portfolio manager's own sizing rules
- In the event that the order is to large, the sizing package will reduce the order until it fits that limit, inclusive of fees.
- When an order is sized under the limits, an order event cannot be raised an no order will be submitted by the exchange
- The portfolio manager's sizing rules override any CurrencySettings' rules if the sizing is outside the portfolio manager's
- The portfolio manager will then assess the risk of the order, it will compare existing holdings and ensures that if an order is placed, it will not go beyond risk rules as defined in the config
- If the risk is too high, the order signal will be changed to
CouldNotBuy,CouldNotSellorDoNothing - If the order is deemed appropriate, the order event will be returned and appended to the event queue for the exchange event handler to run and place the order
The following steps are taken for the OnFill function:
- Previous holdings are retrieved and amended with new order information.
- The stats for the exchange asset currency pair will be updated to reflect the order and pricing
- The order will be added to the compliance manager for analysis in future events or the statistics package
The following steps are taken for the Update function:
- The
Updatefunction is called when orders are not placed, this allows for the portfolio manager to still keep track of pricing and holding statistics, while not needing to process any orders
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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