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portfolio_types.go
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/
portfolio_types.go
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package portfolio
import (
"errors"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/backtester/common"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/exchange"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/holdings"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/risk"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/fill"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/order"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/signal"
"github.com/thrasher-corp/gocryptotrader/backtester/funding"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
)
var (
errInvalidDirection = errors.New("invalid direction")
errRiskManagerUnset = errors.New("risk manager unset")
errSizeManagerUnset = errors.New("size manager unset")
errAssetUnset = errors.New("asset unset")
errCurrencyPairUnset = errors.New("currency pair unset")
errExchangeUnset = errors.New("exchange unset")
errNegativeRiskFreeRate = errors.New("received negative risk free rate")
errNoPortfolioSettings = errors.New("no portfolio settings")
errNoHoldings = errors.New("no holdings found")
errHoldingsNoTimestamp = errors.New("holding with unset timestamp received")
errHoldingsAlreadySet = errors.New("holding already set")
)
// Portfolio stores all holdings and rules to assess orders, allowing the portfolio manager to
// modify, accept or reject strategy signals
type Portfolio struct {
riskFreeRate decimal.Decimal
sizeManager SizeHandler
riskManager risk.Handler
exchangeAssetPairSettings map[string]map[asset.Item]map[currency.Pair]*Settings
}
// Handler contains all functions expected to operate a portfolio manager
type Handler interface {
OnSignal(signal.Event, *exchange.Settings, funding.IPairReserver) (*order.Order, error)
OnFill(fill.Event, funding.IPairReader) (*fill.Fill, error)
GetLatestOrderSnapshotForEvent(common.EventHandler) (compliance.Snapshot, error)
GetLatestOrderSnapshots() ([]compliance.Snapshot, error)
ViewHoldingAtTimePeriod(common.EventHandler) (*holdings.Holding, error)
setHoldingsForOffset(*holdings.Holding, bool) error
UpdateHoldings(common.DataEventHandler, funding.IPairReader) error
GetComplianceManager(string, asset.Item, currency.Pair) (*compliance.Manager, error)
SetFee(string, asset.Item, currency.Pair, decimal.Decimal)
GetFee(string, asset.Item, currency.Pair) decimal.Decimal
Reset()
}
// SizeHandler is the interface to help size orders
type SizeHandler interface {
SizeOrder(order.Event, decimal.Decimal, *exchange.Settings) (*order.Order, error)
}
// Settings holds all important information for the portfolio manager
// to assess purchasing decisions
type Settings struct {
Fee decimal.Decimal
BuySideSizing exchange.MinMax
SellSideSizing exchange.MinMax
Leverage exchange.Leverage
HoldingsSnapshots []holdings.Holding
ComplianceManager compliance.Manager
}