2163 Commits

Author	SHA1	Message	Date
c9s	a5fb408a16	twap: refactor and call activeMakerOrders.GracefulCancel	2022-01-07 01:34:23 +08:00
c9s	d013713c00	types: add exchange name to trade key	2022-01-07 01:25:07 +08:00
c9s	e312ec953c	bbgo: rename test case	2022-01-07 01:23:54 +08:00
c9s	d63cc42867	bbgo: add trade collector test	2022-01-07 01:17:07 +08:00
c9s	a49d001c29	xmaker: add trade scanner	2022-01-07 01:03:12 +08:00
c9s	69ae3259ff	bbgo: mark trade as done in the trade collector for preventing duplicated trade	2022-01-07 00:28:12 +08:00
c9s	01c7429758	trade: use assignment instead of append	2022-01-07 00:21:14 +08:00
c9s	41574a2390	xmaker: use millisecond jitter from the util package	2022-01-07 00:14:24 +08:00
c9s	259771b0b0	all: pull out the graceful cancel process to the local active book	2022-01-07 00:10:40 +08:00
c9s	47e23fda90	bbgo: add cache expiry	2022-01-06 23:57:42 +08:00
c9s	1d5406ef21	xmaker: always update maker market	2022-01-06 23:27:06 +08:00
c9s	c8bf85f4e2	xmaker: improve pips	2022-01-05 11:34:07 +08:00
c9s	e997220321	xmaker: fix ask pips	2022-01-05 11:32:56 +08:00
c9s	8b6cae9107	max: fix max authenticated event parsing	2022-01-02 12:20:38 +08:00
c9s	e04139a330	max: clean up and refactor max stream	2022-01-02 12:02:36 +08:00
c9s	cc0e5f71b0	clean up binance stream	2022-01-02 12:02:36 +08:00
Yo-An Lin	b22bb4b28d	Merge pull request #416 from tony1223/bug/415-ftx-kline ... exchange/ftx: #415 fix kline issue	2022-01-02 02:46:22 +08:00
c9s	85c14e5966	binance: fix parser tests	2022-01-02 02:44:47 +08:00
c9s	dcea623264	binance: change listen key update interval to 10 minutes	2022-01-02 02:41:58 +08:00
c9s	96fedfd311	okex: refactor okex stream	2022-01-02 02:37:33 +08:00
TonyQ	8315607de3	exchange/ftx: #415 fix kline issue	2022-01-02 02:34:29 +08:00
c9s	9d382a6b8c	binance: use sync.Once to protect the set server time calls	2022-01-02 02:14:04 +08:00
c9s	ffe216ca2d	kucoin: remove unused fields	2022-01-02 02:11:55 +08:00
c9s	76d11af284	kucoin: fix connection field	2022-01-02 02:11:36 +08:00
c9s	f4bfd8cc6b	all: move Reconnector to standard stream	2022-01-02 02:08:34 +08:00
c9s	6f6dac611e	refactor websocket stream into standard websocket stream	2022-01-02 01:54:47 +08:00
c9s	073845baa1	bump version to v1.22.3	2022-01-01 02:52:14 +08:00
c9s	3c57ce788e	add startTime to the trade sync query	2022-01-01 02:51:58 +08:00
c9s	ab0519c4be	start time is required for syncing trades	2022-01-01 02:50:07 +08:00
c9s	83053ab807	bump version to v1.22.3	2022-01-01 02:45:59 +08:00
c9s	7d64a30a6b	kucoin: fix launch date with local time zone	2022-01-01 02:45:47 +08:00
c9s	0fc5f74cb1	bump version to v1.22.3	2022-01-01 02:43:48 +08:00
c9s	129f44bbcb	fix empty start time sync issue	2022-01-01 02:43:08 +08:00
c9s	25f01b8837	kucoin: refactor ticker request	2022-01-01 02:07:48 +08:00
c9s	be408055a6	kucoin: refactor account service api	2022-01-01 02:04:20 +08:00
c9s	61736a6263	bump version to v1.22.2	2022-01-01 01:35:37 +08:00
c9s	6ff24e713e	xmaker: fix notification format	2022-01-01 01:34:48 +08:00
c9s	6d5ab33d17	kucoin: fix kucoin order query	2022-01-01 01:28:29 +08:00
c9s	556a581ae1	kucoin: add kucoin list history orders request	2022-01-01 00:46:33 +08:00
c9s	809528a9cc	bump version to v1.22.1	2021-12-31 15:27:01 +08:00
c9s	6055f90680	xmaker: add cover and uncover logs	2021-12-31 15:26:51 +08:00
c9s	5b250d0e28	bump version to v1.22.1	2021-12-31 15:17:30 +08:00
c9s	1116fc1de1	session: print klines only when debug-kline is enabled	2021-12-31 15:13:26 +08:00
c9s	899e8d2d58	Revert "xmaker: fix s.state.CoveredPosition.AtomicAdd add" ... This reverts commit 5999dc1151.	2021-12-31 14:23:02 +08:00
c9s	e05da17f4f	sync: skip rejected withdraw record	2021-12-31 14:20:36 +08:00
c9s	eba33329d1	always sort orders and trades in the batch query	2021-12-31 14:12:41 +08:00
c9s	2a8caa3780	batch: show trade sync time range in the message	2021-12-31 13:56:53 +08:00
c9s	20c6c7eb9a	all: fix trade, order sync for kucoin	2021-12-31 13:52:16 +08:00
c9s	5f84f13e21	kucoin: fix trade time field issue	2021-12-31 13:20:34 +08:00
c9s	5999dc1151	xmaker: fix s.state.CoveredPosition.AtomicAdd add	2021-12-31 02:00:39 +08:00
c9s	63ccc2d3d0	bbgo: remove order if ExecutedQuantity is zero	2021-12-31 01:55:22 +08:00
c9s	aaa52ecea4	xmaker: remove unsued localTimeZone var	2021-12-31 01:53:30 +08:00
c9s	f2b852c486	bump version to v1.22.0	2021-12-31 01:52:29 +08:00
c9s	e09b4fa5fb	kucoin: rewrite cancel all orders request	2021-12-31 01:50:56 +08:00
c9s	6addd503aa	kucoin: generate PlaceOrderRequest with requestgen	2021-12-31 01:43:31 +08:00
c9s	af19875e2e	kucoin: fix predefined generate command alias	2021-12-31 01:39:45 +08:00
c9s	b91bf10a7c	kucoin: remove New prefix from the requests	2021-12-31 01:36:41 +08:00
Yo-An Lin	8aef3c002a	Merge pull request #412 from austin362667/refactor/futures-account ... binance: add futures stream	2021-12-31 01:27:34 +08:00
c9s	b8b5ccdd2d	kucoin: refactor account service with requestgen	2021-12-31 01:25:04 +08:00
austin362667	9483a0d10d	binance: modify methods for registering callbacks	2021-12-31 00:11:47 +08:00
austin362667	65d37c1983	binance: add futures stream	2021-12-31 00:08:27 +08:00
austin362667	3d63032f7d	types: modify Positions to FuturesPositions	2021-12-31 00:08:27 +08:00
austin362667	5cc768031e	binance: add FuturesPosition conversion	2021-12-31 00:08:27 +08:00
austin362667	b000f572b4	types: add FuturesPosition	2021-12-31 00:08:27 +08:00
c9s	a4949a100d	bump version to v1.21.4	2021-12-30 23:47:31 +08:00
c9s	3c2704c4ae	add binance.us support	2021-12-30 23:46:43 +08:00
c9s	c467529b23	bump version to v1.21.3	2021-12-30 22:04:38 +08:00
c9s	ba73d5a09a	fix kucoin orderTime parsing and order id conversion	2021-12-30 22:02:50 +08:00
c9s	76d31e7614	kucoin: add client order ID to converter	2021-12-30 21:39:50 +08:00
c9s	31070c3950	pull out connection status binder	2021-12-30 17:25:47 +08:00
c9s	26ff576727	fix connection status callbacks	2021-12-30 17:23:27 +08:00
c9s	4383823135	use trimTrailingZeroFloat	2021-12-30 17:21:23 +08:00
c9s	cfc66dc13e	bbgo: add session connection notification	2021-12-30 17:18:04 +08:00
c9s	8995ce2824	binance: adjust timeout	2021-12-30 16:51:30 +08:00
c9s	890fb5327a	rename StreamRequest to WebSocketCommand	2021-12-30 16:49:07 +08:00
c9s	35e0b1d146	binance: fix binance stream graceful shutdown	2021-12-30 16:47:39 +08:00
c9s	ff87fb007e	binance: pull out dispatchEvent	2021-12-30 16:30:02 +08:00
c9s	bae7df806f	binance: pull out getEndpointUrl	2021-12-30 16:22:29 +08:00
c9s	d72d57526c	binance: add DEBUG_BINANCE_STREAM env var	2021-12-30 16:20:32 +08:00
c9s	a2931da92c	move math rand	2021-12-30 16:18:32 +08:00
c9s	e73866a232	tmp	2021-12-30 16:17:26 +08:00
c9s	7fa05b33f8	bump version to v1.21.2	2021-12-30 16:17:07 +08:00
c9s	e82800ce01	bump version to v1.21.2	2021-12-30 16:06:11 +08:00
c9s	db4a6cf305	bump version to v1.21.2	2021-12-30 15:59:19 +08:00
c9s	844b3c2e8e	fix kucoin context issue	2021-12-30 15:58:58 +08:00
c9s	3b9a191c95	binance: refactor binance stream handlers	2021-12-30 14:02:36 +08:00
c9s	f540742b42	add tradeType field	2021-12-30 02:37:17 +08:00
c9s	3cf499b605	kucoin: rewrite GetAllTickersRequest api	2021-12-30 02:33:07 +08:00
c9s	0fc91500e4	kucoin: rewrite GetTickerRequest with requestgen	2021-12-30 02:22:33 +08:00
c9s	5136001c9b	kucoin: rewrite ListSymbolsRequest	2021-12-30 02:17:03 +08:00
c9s	41435458d1	refactor orderbook requests with requestgen	2021-12-30 01:15:19 +08:00
c9s	6ff7113ace	bump version to v1.21.1	2021-12-30 00:34:52 +08:00
c9s	33801a4fbc	fix trailing zero trim	2021-12-30 00:14:01 +08:00
c9s	22e4da3775	fix pendingRemoval lock	2021-12-29 23:53:46 +08:00
c9s	2c0af99a51	rewrite kucoin bullet api with requestgen	2021-12-29 22:06:21 +08:00
c9s	8f97ee7787	binance: add isolated margin flag	2021-12-29 17:36:08 +08:00
c9s	2ef4d713f8	binance: fix margin order cancel	2021-12-29 17:35:27 +08:00
c9s	1a820936c4	binance: change log level from info to debug	2021-12-29 17:30:04 +08:00
c9s	6030a62cf0	change to debug level message	2021-12-29 17:28:45 +08:00
c9s	b637d46c83	adjust keep alive interval	2021-12-29 17:27:37 +08:00
c9s	eec699cbc9	binance: adjust timeout and interval	2021-12-29 15:25:59 +08:00
c9s	6440c7659b	let mask ke shows head and tail	2021-12-29 15:25:59 +08:00
austin362667	d691bfa106	binance: add futures parser	2021-12-28 06:26:27 +08:00
c9s	f78a7d37a2	xgap: subscribe 1m kline	2021-12-28 02:14:49 +08:00
c9s	8f4ae1e15b	xgap: check balance and adjust order quantity according to the available balance	2021-12-28 02:11:11 +08:00
c9s	090d60b44e	fix session connection status metrics	2021-12-28 01:58:36 +08:00
c9s	958dd97f52	xgap: add SimulateVolume	2021-12-28 01:48:24 +08:00
c9s	a0e41650be	add metricsLastUpdateTimeBalance metrics	2021-12-28 01:39:17 +08:00
c9s	bb9ef72028	update metricsConnectionStatus metrics	2021-12-28 00:49:56 +08:00
c9s	acd1f6fdf3	update dev build version	2021-12-27 23:10:37 +08:00
c9s	9b1783a92a	fix version file generator	2021-12-27 23:10:29 +08:00
c9s	4ea4bfb3fa	fix dev version build flag	2021-12-27 21:18:48 +08:00
c9s	0779b3e20a	bump version to v1.21.0	2021-12-27 19:13:44 +08:00
c9s	4a6c9deb8d	compile and update migration package	2021-12-27 19:13:44 +08:00
c9s	5fca633495	types: remove trade trailing zero digits	2021-12-27 17:36:58 +08:00
c9s	8d02f0b03e	trade notification format	2021-12-27 17:34:31 +08:00
c9s	bb7b33e532	bbgo: bind and update balance metrics updater	2021-12-27 17:27:16 +08:00
c9s	7b629c9d30	bbgo: update balances metrics and trade metrics	2021-12-27 17:16:30 +08:00
c9s	0f24eec715	bbgo: fix: filter trades by symbol	2021-12-27 16:32:30 +08:00
c9s	42f22e0ef3	add prometheus metrics server	2021-12-27 16:27:14 +08:00
c9s	1fa03cdfd6	xmaker: add back profit function	2021-12-27 02:59:55 +08:00
c9s	a31e2743ee	fix kline log space	2021-12-27 00:54:10 +08:00
c9s	f7c39290a0	call tradeCollector process to check trades	2021-12-27 00:51:57 +08:00
c9s	c49b9ef276	fix order status convert	2021-12-27 00:21:52 +08:00
c9s	dcdf33e2c9	xmaker: pull out notifyTrade to a single callback	2021-12-27 00:12:35 +08:00
c9s	e08b2e9a85	fix max exchange order status conversion and document the order status	2021-12-26 15:58:12 +08:00
c9s	770c1067fc	bbgo: fix order store RemoveCancelled	2021-12-26 15:47:39 +08:00
c9s	65da02af2c	xmaker: call TruncateQuantity when the quantity is adjusted	2021-12-26 15:45:39 +08:00
c9s	902e27ede4	xmaker: truncate quantity when hedging	2021-12-26 15:44:41 +08:00
c9s	05a0745d08	fix InitExchange for publicOnly session	2021-12-26 15:29:42 +08:00
c9s	30a7ca1ce1	rename gap to xgap	2021-12-26 15:13:51 +08:00
c9s	1c54e59d55	xmaker: fix trade handling	2021-12-26 12:10:10 +08:00
c9s	e44390b655	kucoin: add more comment	2021-12-26 03:19:03 +08:00
c9s	9b8995acea	fix supportedIntervals map	2021-12-26 03:17:26 +08:00
c9s	8bf5c5f778	fix kline sync query	2021-12-26 03:14:19 +08:00
c9s	a5c7ffa134	kucoin: add the missing 5min kline convert	2021-12-26 03:07:49 +08:00
c9s	4c263dd205	fix batch kline sync	2021-12-26 03:04:21 +08:00
c9s	cf6da76ef0	service: add kucoin_klines to backtest insert table mapping	2021-12-26 02:40:13 +08:00
c9s	b79ab5d68d	kucoin: fix kline query param	2021-12-26 02:39:44 +08:00
c9s	be10019007	compile and update migration package	2021-12-26 02:31:09 +08:00
c9s	1da0c8e755	kucoin: implement QueryKLines and fix interval conversion	2021-12-26 02:23:06 +08:00
c9s	e3181202db	kucoin: implement QueryTrades	2021-12-26 01:44:05 +08:00
c9s	8c03147ff4	kucoin: implement QueryClosedOrders	2021-12-26 01:34:03 +08:00
c9s	0cef2c52ef	all: improve cancel command and add uuid field to order struct	2021-12-26 01:27:22 +08:00
c9s	471d86c801	kucoin: implement order submit	2021-12-26 00:27:52 +08:00
c9s	50fac9d491	kucoin: pull out queryDepth method to exchange	2021-12-25 23:53:34 +08:00
c9s	ba8ebfe3a7	refactor and add doc comment for InitExchangeSession	2021-12-25 23:42:29 +08:00
c9s	307d0b8e1f	bbgo: add passphrase field to session struct	2021-12-25 23:28:00 +08:00
c9s	dd22776a7e	cmd: refactor the exchange factory function	2021-12-25 23:27:05 +08:00
Yo-An Lin	8aa2ae1b32	Merge pull request #397 from austin362667/refactor/futures-account ... binance: add futures related conversion	2021-12-25 23:17:27 +08:00
c9s	dcbce18fd8	fix format	2021-12-25 23:12:54 +08:00
c9s	442afe8eb9	backtest: pull out market data feeding to a function and call it in the main thread	2021-12-25 22:57:28 +08:00
c9s	60853bee23	backtest: pull out market data feeder	2021-12-25 22:37:38 +08:00
c9s	57bc65a729	avoid calling EmitConnect and EmitStart outside of the kline feeding goroutine ... this causes 2 goroutine running in the same time hence cause the concurrent map read / write should fix #399, #401	2021-12-25 21:05:50 +08:00
c9s	5f9753b281	kucoin: convert symbol to global symbol	2021-12-25 19:35:08 +08:00
c9s	f0d4236169	all: fix and improve kucoin orderbook stream	2021-12-25 19:34:27 +08:00
c9s	3d1ca46c77	depth: remove updates assertion	2021-12-25 02:14:49 +08:00
c9s	217499528d	binance: refactor binance depthBuffer with depth query	2021-12-25 02:14:49 +08:00
c9s	7e7115b18f	replace binance.depthFrame with the extracted depth.Buffer	2021-12-25 02:14:49 +08:00
c9s	b217a0dec8	depth: implement depth.Buffer	2021-12-25 02:14:49 +08:00
austin362667	ba972e4058	binance: add futures related conversion ... binance: remove comments	2021-12-24 01:38:10 +08:00
Yo-An Lin	d1c5e93e4f	Merge pull request #385 from austin362667/refactor/futures-account ... types: add global structs for futures	2021-12-24 00:33:27 +08:00
c9s	49e516b80e	backtest: allocate public exchange (with empty key secret) for backtesting	2021-12-24 00:24:19 +08:00
c9s	c4838f5631	binance: fix depth event conversion	2021-12-23 23:55:13 +08:00
c9s	fdc5d6a54e	binance: use types.PriceVolumeSlice for depth entry	2021-12-23 23:55:02 +08:00
c9s	dae104cf9f	binance: optimize depth parsing	2021-12-23 23:54:43 +08:00
c9s	2adce6dd00	binance: return the pre-allocated err object when parsing	2021-12-23 23:54:26 +08:00
c9s	d01b9968a6	okex: format comment	2021-12-23 23:40:49 +08:00
c9s	40c4dcf2a0	okex: remove event logging	2021-12-23 23:40:10 +08:00
c9s	a3e3e1d177	bbgo: do not sync trades when running backtest	2021-12-23 23:20:35 +08:00
austin362667	df62683313	types: remove exchange specific fields	2021-12-23 23:16:20 +08:00
austin362667	6c1642eed6	types: add PositionRisk	2021-12-23 23:14:38 +08:00
austin362667	cc13ae2aab	types: add FuturesUserAsset	2021-12-23 23:14:38 +08:00
austin362667	c507722745	types: add FuturesAccountInfo	2021-12-23 23:14:38 +08:00
c9s	f5bbe29ac6	cmd: fix debug flag loading and add debug log to cache function	2021-12-23 23:02:07 +08:00
c9s	168e6306e7	binance: remove verbose log	2021-12-23 22:29:14 +08:00
c9s	ed6f400161	implement UnixMilli in the util package	2021-12-23 22:20:47 +08:00
c9s	d433c7f5b1	kucoin: replace UnixMilli	2021-12-23 21:09:40 +08:00
c9s	e76dd1cbc4	kucoin: fix kline parsing and subscription	2021-12-23 17:49:18 +08:00
c9s	e2415857b0	cmd: graceful close the connection	2021-12-23 17:49:18 +08:00
c9s	562c287a4e	all: move publicOnly to StandardStream	2021-12-23 17:49:18 +08:00
c9s	fd8b97b2ad	cmd: use log category	2021-12-23 17:49:18 +08:00
c9s	8e834ce8fe	kucoin: convert websocket trade and order	2021-12-23 17:49:18 +08:00
c9s	cfd68fdd1d	all: change trade id to uint64	2021-12-23 17:49:18 +08:00
c9s	74b09551b5	kucoin: record kucoin json as files	2021-12-23 17:49:18 +08:00
c9s	838bc69f65	kucoin: reformat testdata json	2021-12-23 17:49:18 +08:00
c9s	6330a1845d	kucoin: connecting stream callbacks	2021-12-23 17:49:18 +08:00
c9s	449434da4c	kucoin: generate callback methods	2021-12-23 17:49:18 +08:00
TonyQ	75633dbf09	exchange/okex : implement bookticker for okex , #388	2021-12-23 12:42:13 +08:00
Yo-An Lin	98de0862a4	Merge pull request #395 from tony1223/bug/okex-maskkey ... exchange/okex: update QueryTickers behaviour	2021-12-23 02:51:54 +08:00
c9s	911574d8d6	kucoin: parse websocket messages	2021-12-23 02:50:56 +08:00
c9s	cec4b3dd1e	add websocket message parser	2021-12-23 02:50:56 +08:00
c9s	3fb2e12c24	kucoin: add websocket types	2021-12-23 02:50:56 +08:00
c9s	1a3f9ed4b2	kucoin: use returned ping interval instead of default	2021-12-23 02:50:56 +08:00
c9s	730ce31e67	kucoin: implement NewStream	2021-12-23 02:50:56 +08:00
c9s	0a9575aaca	kucoin: pull out ping worker	2021-12-23 02:50:56 +08:00
c9s	92076878cd	kucoin: refactor ping worker	2021-12-23 02:50:56 +08:00
c9s	b0d4688528	kucoin: implement getEndpoint method	2021-12-23 02:50:56 +08:00
c9s	a4c9aea6c6	kucoin: refactor bullet url code	2021-12-23 02:50:56 +08:00
c9s	6cbccc9a3f	kucoin: add websocket command	2021-12-23 02:50:56 +08:00
c9s	4303342841	kucoin: export ApiClient interface methods	2021-12-23 02:50:56 +08:00
c9s	c390bbc31d	add generated files	2021-12-23 02:50:56 +08:00
c9s	2230b484a8	kucoin: add bullet service	2021-12-23 02:50:56 +08:00
c9s	7f92588883	kucoinapi: refactor api client	2021-12-23 02:50:56 +08:00
c9s	c8dd02335b	kucoin: refactor and clean up	2021-12-23 02:50:56 +08:00
TonyQ	5645161403	exchange/okex: update QueryTickers behaviour	2021-12-23 01:29:43 +08:00
TonyQ	d7ac645253	exchange: update maskkey handling	2021-12-23 01:18:36 +08:00
Yo-An Lin	bcbf7c3f3b	Merge pull request #389 from tony1223/feature/388-bookticker ... exchange/stream : implement booktickerupdate event for ftx and binance	2021-12-22 22:35:52 +08:00
TonyQ	16862e7208	exchange/stream : implement booktickerupdate event for ftx and ... binance	2021-12-22 21:01:11 +08:00
Yo-An Lin	b2ffcb7993	Merge pull request #387 from narumiruna/narumi/rebalance/validate ... strategy: rebalance: validate parameters	2021-12-22 10:52:37 +08:00
なるみ	4a8be9cc1a	Fix log	2021-12-22 02:04:44 +08:00
なるみ	2999e41ef0	Validate config	2021-12-22 01:59:38 +08:00
なるみ	41d4001872	Add log	2021-12-22 01:59:25 +08:00
c9s	388cfe0854	kucoin: fix go 1.17 compatibility issue	2021-12-22 01:45:07 +08:00
c9s	3b5015e1ca	kucoin: integrate list tickers	2021-12-22 01:34:24 +08:00
c9s	0b6e66348e	kucoin: implement query tickers	2021-12-22 01:28:16 +08:00
c9s	c32f3ab2f3	add generate_symbol_map.go generator	2021-12-22 01:28:16 +08:00
c9s	bd5e956892	add kucoin to the exchange factory	2021-12-22 01:28:16 +08:00
c9s	58212290ad	types: update market structure for doc comment	2021-12-22 01:28:16 +08:00
c9s	fce71cb37e	implement QueryAccounts and QueryMarkets	2021-12-22 01:28:16 +08:00
c9s	62fa6dd274	implement get fills request	2021-12-22 01:28:16 +08:00
c9s	bace225470	binance: fix, call set time service only when key and secret is given	2021-12-22 01:27:25 +08:00
c9s	8b93aeeeb2	fix ewma truncation	2021-12-22 00:54:13 +08:00
Yo-An Lin	53f6ea6490	Merge pull request #384 from tony1223/feature/record-account ... types: update account struct	2021-12-22 00:04:30 +08:00
TonyQ	06fc821b3d	types: update account struct	2021-12-21 23:59:02 +08:00
Yo-An Lin	e0844459b9	Merge pull request #380 from tony1223/bug/kline-scan ... backtest : finetune for kline scan logic to prevent hanging for	2021-12-21 22:47:50 +08:00
TonyQ	740989ca64	exchange/ftx: add more guard condition	2021-12-21 20:46:40 +08:00
TonyQ	f62235b94e	backtest : finetune for kline scan logic to prevent hanging for ... query	2021-12-21 20:44:20 +08:00
Yo-An Lin	1ab20e6397	Merge pull request #381 from narumiruna/maxamount ... strategy: rebalance: adjust quantity by max amount	2021-12-21 20:20:44 +08:00
なるみ	531805a449	Adjust quantity by max amount	2021-12-20 23:46:22 +08:00
Andy Cheng	e4bdb1de06	strategy: allow setting the interval and the window for trigger MA	2021-12-19 18:28:47 +08:00
Andy Cheng	d281182432	strategy: fix support strategy criteria	2021-12-19 17:53:34 +08:00
Yo-An Lin	97f9285449	Merge pull request #376 from tony1223/bug/backtest-fix-auto-sync ... backtest : fix auto sync missing the part from last db kiline to	2021-12-19 14:59:35 +08:00
austin362667	f9cf71cef3	indicator: add kline close volatility ... indicator: add kline close volatility	2021-12-19 14:20:09 +08:00
TonyQ	711575c6d0	backtest : fix auto sync missing the part from last db kiline to ... end time	2021-12-19 12:14:18 +08:00
なるみ	b144d8e107	feature: add volume weighted moving average indicator	2021-12-17 14:36:39 +08:00
TonyQ	3e45035ab1	database: sqlite3 issue fix ... database: upgrade gosqllite3 version for increasing variable amount limit types: update kline starttime/endtime field to prevent sqlite3 time parsing issue. fix #215	2021-12-15 14:34:31 +08:00
TonyQ	c0b9cc0f0b	exchange: make ftx kline event more reliable	2021-12-15 11:23:07 +08:00
Yo-An Lin	05323f211f	Merge pull request #368 from tony1223/feature/355-update-sync ... backtest : auto sync	2021-12-15 01:39:19 +08:00
TonyQ	16933555b8	backtest : auto sync missing range	2021-12-15 01:26:05 +08:00
austin362667	ccd607ba28	binance: remove unsupported comments	2021-12-15 01:01:05 +08:00
austin362667	7f96fa8dde	binance: add multierr	2021-12-15 01:01:05 +08:00
austin362667	bb592663ab	binance: removed unsupport isolated futures trade	2021-12-15 01:01:05 +08:00
austin362667	a0130affe4	binance: add query orders & trades	2021-12-15 01:01:05 +08:00
TonyQ	20b03fe4a5	exchange: fix ftx for wrong last kline issue	2021-12-15 00:07:54 +08:00
austin362667	839bb6d0e8	binance: remove comments cuz not support isolated futures	2021-12-14 20:41:55 +08:00
Yo-An Lin	6c6eb252cc	Merge pull request #363 from tony1223/feature/355-ftx-backtest	2021-12-14 16:09:16 +08:00
TonyQ	8eb3eede82	fix backtest (with review)	2021-12-14 16:02:54 +08:00
Yo-An Lin	d531e041dd	Merge pull request #357 from narumiruna/rebalance ... feature: add portfolio rebalancing strategy	2021-12-14 12:01:07 +08:00
TonyQ	51e23b6a0c	Merge branch 'main' of github.com:c9s/bbgo into feature/302-record-assets-review	2021-12-14 10:39:51 +08:00
TonyQ	4eb5a099ae	account: add nav_history_details and account_service for #302	2021-12-14 08:09:18 +08:00
なるみ	f320d78f2f	Refactor	2021-12-14 02:18:08 +08:00
austin362667	d3526b2c71	binance: add SubmitFuturesOrder and related conversions	2021-12-13 23:19:14 +08:00
austin362667	36c6d39612	bbgo: add session Futures & types: add FuturesExchange	2021-12-13 23:16:58 +08:00
c9s	74811abb36	okex: rewrite okex api request with requestgen	2021-12-13 14:55:44 +08:00
c9s	e2937acb28	apply requestgen for CancelOrderRequest and CancelAllOrderRequest	2021-12-13 14:55:44 +08:00
なるみ	f494a0f514	Initial commit of rebalance strategy	2021-12-13 05:19:44 +08:00
Yo-An Lin	d847d223e3	Merge pull request #356 from c9s/feature/kucoin ... refactor: apply requestgen	2021-12-13 02:14:05 +08:00
Yo-An Lin	a3215d6f31	Merge pull request #354 from austin362667/order-trade ... binance: parse OrderTrade event stream & add futures client connection	2021-12-13 02:12:19 +08:00
c9s	34c2b342ba	apply requestgen for CancelOrderRequest and CancelAllOrderRequest	2021-12-13 02:08:18 +08:00
c9s	c28833fba0	kucoinapi: use requestgen for list orders request	2021-12-13 01:53:00 +08:00
c9s	97b63f45d5	kucoin: rename receiver to r	2021-12-13 01:14:52 +08:00
c9s	22972953d0	use requestgen to generate the accessor methods	2021-12-13 01:11:15 +08:00
austin362667	04919e0fa4	binance: add futures exchange stream connection	2021-12-12 15:40:03 +08:00
austin362667	8ca60cec10	binance: add user stream event parser & toGlobalType converter	2021-12-12 15:39:06 +08:00
TonyQ	6915a0e573	ftx: update kline event handling for #318	2021-12-12 14:29:48 +08:00
austin362667	a21f3b11ba	types: add PositionMap in std Stream & callbacks	2021-12-12 05:24:39 +08:00
Yo-An Lin	2e7b69320b	Merge pull request #349 from c9s/feature/kucoin ... feature: integrate kucoin api	2021-12-11 23:17:07 +08:00
c9s	de80a14715	kucoin: add cancel order command	2021-12-11 20:07:32 +08:00
c9s	95ecaa7a66	rename orderResponse to apiResponse	2021-12-11 20:02:35 +08:00
c9s	8a00509987	kucoin: check data pointer and return error	2021-12-11 19:44:07 +08:00
c9s	0c854a8a85	kucoin: add place order and list orders command	2021-12-11 19:40:53 +08:00
austin362667	1703fff8b2	types: refactor Position and related files	2021-12-11 19:16:16 +08:00
c9s	a9bc02ef3d	kucoin: implement order placement and cancel api	2021-12-11 18:33:30 +08:00
c9s	4d57967664	kucoin: add orderbook api	2021-12-11 18:33:30 +08:00
c9s	18653aca7e	kucoin: implement all ticker and get ticker api	2021-12-11 18:33:30 +08:00
c9s	50b79cb742	implement ListSymbols api	2021-12-11 18:33:30 +08:00
c9s	be7e9f551a	add GetAccount api	2021-12-11 18:33:30 +08:00
c9s	c8ba3f7c1b	kucoin: add query accounts api	2021-12-11 18:33:30 +08:00
c9s	cd69994647	kucoin: implement api client	2021-12-11 18:33:30 +08:00
Yo-An Lin	0c7bbba675	Merge pull request #346 from tony1223/bug/343-fee_currency_length	2021-12-11 10:57:17 +08:00
Yo-An Lin	3952acaf55	Merge pull request #342 from tony1223/bug/341-windows-issue	2021-12-11 10:47:41 +08:00
TonyQ	25d4b9a0b3	order: add is_futures field for #344	2021-12-11 10:45:21 +08:00
TonyQ	c38564dcc7	compile and update migration package	2021-12-11 10:40:11 +08:00
TonyQ	e5450492bb	telegram: find USERNAME when USER env not found for windows.	2021-12-11 10:30:57 +08:00
Yo-An Lin	9f14d00f3c	Merge pull request #340 from tony1223/feature/336-kline-table ... backtest: add ftx kline table	2021-12-11 02:30:06 +08:00
Yo-An Lin	edcb8a3327	Merge pull request #339 from tony1223/bug/338-refine_client_order_id ... orders: update client_order_id (client_id) column length	2021-12-11 02:29:31 +08:00
TonyQ Wang	776f82fcd5	Merge branch 'main' into feature/336-kline-table	2021-12-11 02:26:01 +08:00
TonyQ	8bb702223a	orders: update client_order_id (client_id) column length for ... #338	2021-12-11 02:23:39 +08:00
TonyQ	0fcc5e5edc	compile and update migration package	2021-12-11 02:19:53 +08:00
Yo-An Lin	0cf72de21d	Merge pull request #335 from tony1223/bug/334-ftx-ratelimit ... ftx : fix #334 rate limit	2021-12-10 23:24:42 +08:00
TonyQ	5259bba5fe	ftx : fix #334 rate limit	2021-12-10 23:08:26 +08:00
c9s	4665ae0e31	remove unused error return value	2021-12-10 15:03:43 +08:00
c9s	fe9b604d79	update ftx market mapping	2021-12-09 15:57:44 +08:00
c9s	06262f0172	check sync from time with start time instead of end time	2021-12-09 15:57:12 +08:00
c9s	61817e1e83	add startPrice and lastPrice in the backtest report ... closes #321	2021-12-09 11:58:19 +08:00
c9s	ca85aa69e6	pull out global premium index type and funding rate type	2021-12-09 00:10:18 +08:00
c9s	71e043e4b2	move convertPremiumIndex to convert.go	2021-12-09 00:08:25 +08:00
c9s	fbae368e6c	make getLaunchDate as a simple function	2021-12-09 00:06:46 +08:00
c9s	078c79d73f	binance: refactor QueryMarkets	2021-12-09 00:05:36 +08:00
c9s	48612e2b13	reformat import lines and add fixme note	2021-12-09 00:01:33 +08:00
c9s	a0f46bf9b8	improve error checking, avoid using panic inside the constructor	2021-12-08 23:30:58 +08:00
c9s	2223ef088c	add ftx, okex to the public exchange factory for backtest	2021-12-08 23:27:01 +08:00
c9s	7b290afc2a	compile and update migration package	2021-12-08 19:57:55 +08:00
c9s	9413e0017d	bump version to v1.20.0	2021-12-08 19:57:55 +08:00
Yo-An Lin	cf0cdf5b83	Merge pull request #320 from c9s/minor/integrate-binance-future-types ... feature: integrate binance future types	2021-12-08 19:55:31 +08:00
c9s	874c7b39fa	service: add is_futures fields to trade service	2021-12-08 19:38:16 +08:00
c9s	9b56e9e32b	service: add is_futures fields to order service	2021-12-08 19:38:10 +08:00
c9s	5aa027f883	types: add is_futures field to the global trade	2021-12-08 19:37:27 +08:00
c9s	20e61d5b5c	types: extend order fields for futures	2021-12-08 19:36:57 +08:00
TonyQ	3dff1acd79	finetune ftx for #318	2021-12-08 19:36:37 +08:00
c9s	b71d0f5b6e	bump version to v1.19.4	2021-12-08 17:27:08 +08:00
c9s	d52edce40b	fix markets info cache	2021-12-08 17:26:43 +08:00
c9s	08a264d4eb	add futures exchange check in the markets cache	2021-12-07 21:29:40 +08:00
c9s	245905a25a	remove unnecessary parent node assignment	2021-12-07 21:23:43 +08:00
c9s	f716dd12c0	re-arrange rb node fields for alignment	2021-12-07 21:22:11 +08:00
c9s	fb2204a86d	share one neel object for all rbtree	2021-12-07 21:21:30 +08:00
c9s	aa21ea874a	make rbtree properties in lower case	2021-12-07 21:16:40 +08:00
Yo-An Lin	3fb6d204aa	Fix pointer check	2021-12-07 18:52:24 +08:00
c9s	da8b15d817	bump version to v1.19.3	2021-12-07 16:16:25 +08:00
c9s	5c23dfb14f	bump version to v1.19.3	2021-12-07 16:16:02 +08:00
c9s	a6604174d9	bump version to v1.19.3	2021-12-07 16:15:12 +08:00
c9s	f61f89da65	bump version to v1.19.3	2021-12-07 16:15:00 +08:00
c9s	85b5c760ea	bump version to v1.19.3	2021-12-07 16:14:32 +08:00
c9s	ecd67cf23e	bump version to v1.19.3	2021-12-07 16:14:23 +08:00
c9s	70017101bb	bump version to v1.19.3	2021-12-07 16:12:41 +08:00
c9s	1ff02b08ce	add release note	2021-12-07 16:12:35 +08:00
c9s	ccd9d8c466	improve makefile for version target	2021-12-07 16:10:49 +08:00
c9s	522d1bd8bf	bump version to 1.19.3	2021-12-07 16:03:32 +08:00
c9s	1de4e5ee4c	grid: fix parameter checking for fixed amount	2021-12-07 15:37:37 +08:00
c9s	5ef1ee927b	improve the error message	2021-12-07 15:23:09 +08:00
c9s	f1e3cc6049	add strict start time, sync time checking for preventing back-test failure ... related to #311	2021-12-07 15:21:37 +08:00
c9s	132fe893e1	use stderr for verbose log	2021-12-07 14:45:20 +08:00
c9s	ca3f438288	show symbol name in the error message	2021-12-07 14:35:00 +08:00
c9s	ac08e9d3c2	bump version to v1.19.2	2021-12-06 18:34:27 +08:00
c9s	af837ea237	do not omit empty for field feeInUSD	2021-12-06 13:36:38 +08:00
c9s	5d6bd5a964	not to omit empty all fields	2021-12-06 13:34:39 +08:00
c9s	634ce6180b	avoid using panic when order cancel failed	2021-12-06 13:32:08 +08:00
c9s	744af85a94	bump version to v1.19.1	2021-12-06 13:32:08 +08:00
c9s	93761ba5d9	bump version to v1.19.0	2021-12-06 01:51:34 +08:00
c9s	aeeecba8dc	support different time format for backtesting	2021-12-06 01:50:50 +08:00
c9s	0472b7f21e	avoid recording trades in backtest by default ... introducing a RecordTrades option	2021-12-06 01:42:53 +08:00
c9s	85bb9f214e	grid: disable trade marking	2021-12-06 01:34:08 +08:00
c9s	5929385a2e	bump version to v1.18.5	2021-12-06 01:08:04 +08:00
c9s	474be4e815	support json output for backtesting	2021-12-06 01:05:33 +08:00
c9s	1e151a170a	add JSON method to the pnl report	2021-12-06 00:47:41 +08:00
c9s	0c6055a201	add json tag for AverageCostPnlReport	2021-12-06 00:46:50 +08:00
c9s	3615477d8f	backtest: allocate matching books from the exchange constructor ... also adds the mutex for trades and closed orders	2021-12-06 00:38:36 +08:00
c9s	3d536efec8	types: extend FuturesSettings fields for isolated margin	2021-12-05 16:47:01 +08:00
c9s	c8ba2e59e3	types: reformat account usd cal expression	2021-12-05 16:28:30 +08:00