pdbrito / rebalancer

A go library to help rebalancing your portfolio assets to match a target index

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

rebalancer's Issues

Balance doesn't work when index assets are missing from holdings

Doing so causes a division by zero error.

Furthermore it's impossible to calculate the amount of an asset to purchase as prices are currently passed through as part of holdings.

Need to rethink how we pass in price information to enable these sorts of calculations