README.md

rebalancer

Rebalancer provides tools to help you with rebalancing your assets.

Examples

Rebalancing

Let's assume the current price of 1 BTC is $5000 and the current price of 1 ETH is $200.

First set the global pricelist to reflect these prices:

err := SetPricelist(Pricelist{
	"ETH": decimal.NewFromFloat(200),
	"BTC": decimal.NewFromFloat(5000),
})

if err != nil {
	log.Fatalf("unexpected error whilst setting pricelist: %v", err)
}

If your assets are 20 ETH and 0.5 BTC, you can model your account like this:

account, err := NewAccount(Portfolio{
	"ETH": decimal.NewFromFloat(20),
	"BTC": decimal.NewFromFloat(0.5),
})

if err != nil {
	log.Fatalf("unexpected error whilst creating account: %v", err)
}

The current value of all your assets is:

0.5 x 5000 + 20 x 200 = 6500

The current percentage of each asset is:

ETH = 20 * 200 / 6500 = 0.615384...
BTC = 0.5 * 5000 / 6500 = 0.384615...

If you wanted to change this to a 50/50 split, we need to model a target index:

targetIndex := Index{
	"ETH": decimal.NewFromFloat(0.5),
	"BTC": decimal.NewFromFloat(0.5),
})

You can then pass targetIndex to your account.Rebalance() and you'll receive
the trades necessary to rebalance your portfolio as a map[Asset]Trade.

requiredTrades, err := account.Rebalance(targetIndex)

if err != nil {
	log.Fatalf("unexpected error whilst rebalancing account: %v", err)
}

for asset, trade := range requiredTrades {
	fmt.Printf("%s %s %s\n", trade.Action, trade.Amount, asset)
}

// Unordered output:
// sell 3.75 ETH
// buy 0.15 BTC

Rebalancing into new assets

You can also rebalance your current portfolio into other new assets, as long as these new assets are included in the global pricelist:

err := SetPricelist(Pricelist{
	"ETH":  decimal.NewFromFloat(200),
	"BTC":  decimal.NewFromFloat(2000),
	"IOTA": decimal.NewFromFloat(0.3),
	"BAT":  decimal.NewFromFloat(0.12),
	"XLM":  decimal.NewFromFloat(0.2),
})

if err != nil {
	log.Fatalf("unexpected error whilst setting pricelist: %v", err)
}

account, err := NewAccount(Portfolio{
	"ETH": decimal.NewFromFloat(42),
})

if err != nil {
	log.Fatalf("unexpected error whilst creating account: %v", err)
}

targetIndex := Index{
	"ETH":  decimal.NewFromFloat(0.2),
	"BTC":  decimal.NewFromFloat(0.2),
	"IOTA": decimal.NewFromFloat(0.2),
	"BAT":  decimal.NewFromFloat(0.2),
	"XLM":  decimal.NewFromFloat(0.2),
}

requiredTrades, err := account.Rebalance(targetIndex)

if err != nil {
	log.Fatalf("unexpected error whilst rebalancing account: %v", err)
}

for asset, trade := range requiredTrades {
	fmt.Printf("%s %s %s\n", trade.Action, trade.Amount, asset)
}

// Unordered output:
// sell 33.6 ETH
// buy 0.84 BTC
// buy 5600 IOTA
// buy 14000 BAT
// buy 8400 XLM