https://github.com/nntaoli-project/goex_backtest

数字货币回测，模拟交易撮合
https://github.com/nntaoli-project/goex_backtest

backtest bitcoin goex-backtest quant

Last synced: 27 days ago
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数字货币回测，模拟交易撮合

• Host: GitHub
• URL: https://github.com/nntaoli-project/goex_backtest
• Owner: nntaoli-project
• License: apache-2.0
• Created: 2020-05-14T03:19:15.000Z (over 4 years ago)
• Default Branch: master
• Last Pushed: 2021-03-14T14:53:44.000Z (over 3 years ago)
• Last Synced: 2024-05-22T15:31:02.025Z (7 months ago)
• Topics: backtest, bitcoin, goex-backtest, quant
• Language: Go
• Homepage:
• Size: 911 KB
• Stars: 45
• Watchers: 6
• Forks: 14
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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• awesome-go-quant - goex_backtest - goex orderbook backtest (Golang / Trading & Backtesting)

README

        
### goex_backtest 基于orderbook数字货币回测

#### 回测数据格式说明

###### 深度数据格式说明

1.标准的csv格式文件，注意：不需要header     

2.模版如下(注意csv不需要header列，下面只是做每一列说明):

| timestamp | ask[n].price | ask[n].amount | ... | ask[0].price | ask[0].amount | bid[0].price | bid[0].amount | ... | bid[n].price | bid[n].amount |

 | --------- | ------------ | ------------- | --- | ------------ | ------------- | ------------ | ------------- | --- | ------------ | ------------- |

| 1569888000143 | 8000.1 | 0.34 | ... | 7800.5 | 1.20 | 8000 | 0.15 | ... | 7700.2 | 12.002 |

3. 第一列时间戳精确到`毫秒` , 卖单降序排列，买单升序排列.

4. 支持任意档数的深度回测，只需要设置对应的参数。

###### K线数据格式说明

| timestamp | high | low | open | close | vol |

| --------- | ---- | --- | ---- | ----- | --- |

| 1583251200|8751.99|8739.94|8751.51|8741.25|35.509519 |