6744 Commits

Author	SHA1	Message	Date
c9s	0b1773b959	xmaker: pull out delay hedge logics	2024-10-15 23:00:09 +08:00
c9s	334c868117	xmaker: add enableDelayHedge option	2024-10-15 18:51:37 +08:00
c9s	1210a79fc7	xmaker: improve if condition	2024-10-15 18:45:16 +08:00
c9s	59862303aa	xmaker: reset and set position start time	2024-10-15 17:29:12 +08:00
c9s	b137707723	xmaker: use mutex protected fixedpoint for covered position	2024-10-15 16:24:35 +08:00
edwin	74feb928c9	pkg/exchange: use execution.fast topoc	2024-10-15 15:31:19 +08:00
c9s	d940cde945	xmaker: check dust quantity	2024-10-15 13:40:31 +08:00
edwin	b41cd348bc	pkg/exchange: update query open orders to latest	2024-10-15 12:00:39 +08:00
edwin	5a4c38caa2	pkg/exchange: update query wallet balance to latest	2024-10-15 11:26:02 +08:00
edwin	0712a8399a	pkg/exchange: update query closed order to latest	2024-10-15 00:55:27 +08:00
edwin	f22e4a1810	pkg/exchange: move rate limiter to api	2024-10-14 22:42:48 +08:00
edwin	6f7e02daef	pkg/exchange: add marketunit for submit order	2024-10-14 22:39:17 +08:00
edwin	d48fa7c202	pkg/exchange: use fee currency of trade	2024-10-14 16:55:36 +08:00
c9s	76a627a504	xmaker: adjust metrics bucket	2024-10-09 17:24:49 +08:00
c9s	11fcf8c617	xmaker: fix buckets with prometheus.ExponentialBuckets and record cancel maker orders metrics	2024-10-09 17:09:28 +08:00
c9s	6b54c90a53	xmaker: add more info into the signal logs	2024-10-09 12:47:53 +08:00
c9s	49e949dbc9	xmaker: refactor signal methods	2024-10-09 12:35:06 +08:00
c9s	cea59ef9cf	xmaker: show signal margin range	2024-10-09 12:35:06 +08:00
c9s	022dcdf745	scale: improve error message	2024-10-09 12:35:06 +08:00
c9s	956ad10683	xmaker: stores calculated signal in lastAggregatedSignal	2024-10-09 12:35:06 +08:00
c9s	e70899a35d	xmaker: add more xmaker metrics and profiles	2024-10-09 12:35:06 +08:00
Lan Phan	8b17d78a48	solved all deprecated, comment all unused variables and functions	2024-10-08 00:08:15 +07:00
narumi	3fe4568dc2	check quote balance before submitting order	2024-10-07 21:37:49 +08:00
c9s	a5d4130625	Merge pull request #1768 from c9s/c9s/xmaker/improvements2 ... IMPROVE: [xmaker] add more improvements	2024-10-07 17:38:49 +08:00
c9s	80b1a3262d	Merge pull request #1767 from c9s/c9s/pricesolver/float64 ... IMPROVE: use float64 in pricesolver internally to make it more precise	2024-10-07 17:15:10 +08:00
c9s	544c172a9c	xmaker: improve fee price updating	2024-10-07 17:12:49 +08:00
c9s	2599a4bcd3	xmaker: add SubscribeFeeTokenMarkets option	2024-10-07 17:09:01 +08:00
c9s	969e813c7f	xmaker: fix profit fixer fee settings	2024-10-07 17:09:01 +08:00
c9s	2cdd9072c2	Merge pull request #1766 from c9s/c9s/refactor/account-value-calc ... REFACTOR: refactor account value calculator with price solver	2024-10-07 17:08:49 +08:00
c9s	a0cdfc2b8e	xmaker: fix aggregatePriceVolumeSliceWithPriceFilter	2024-10-06 12:18:03 +08:00
c9s	efc3bbeb5b	allow redis persistence config could be created with an existing redis client	2024-10-06 12:12:33 +08:00
c9s	113695eabf	Merge pull request #1749 from r03921081/task/change_circuitbreaker ... Use new circuitbreaker in common strategy	2024-10-06 12:10:22 +08:00
c9s	a94d1b424f	pricesolver: use float64 internally to make it faster and more precise	2024-10-05 14:26:15 +08:00
c9s	7506fb63a8	refactor account value calculator	2024-10-05 14:22:13 +08:00
c9s	6079e7b06a	all: refactor NewAccountValueCalculator	2024-10-05 13:09:31 +08:00
c9s	a718e30bb4	refactor tests	2024-10-04 23:46:43 +08:00
c9s	8f0d58aee9	add new test helper to create balance map objects ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 23:32:11 +08:00
c9s	14fa561f6e	Fix account value tests with price solver ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 19:45:07 +08:00
c9s	c3bf0ed7e7	only query ticker on the symbol that is defined in the market map ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 19:16:39 +08:00
c9s	8199428b61	Add ticker test helper ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 19:10:05 +08:00
c9s	83ab00a601	allow redis persistence config could be created with an existing redis client	2024-10-04 18:11:15 +08:00
kbearXD	a548596c16	Merge pull request #1760 from c9s/chiahung/max/query-depth ... FEATURE: [max] add QueryDepth v3 API to query orderbook	2024-10-04 13:11:05 +08:00
Lan Phan	dad7b53d9c	add new tag ignore to prevent printing specific field	2024-10-02 23:00:48 +07:00
edwin	fc4a9769c9	pkg/exchange: use individual rate limit	2024-10-02 17:23:20 +08:00
edwin	771a136acd	pkg/exchange: fix redundant code	2024-10-01 21:22:42 +08:00
kbearXD	2bbaf48057	move to convert.go	2024-10-01 17:16:28 +08:00
c9s	5e7627cc7a	xmaker: fix signal depth metrics	2024-10-01 16:52:58 +08:00
kbearXD	d1c5671a83	FEATURE: [max] add QueryDepth v3 API to query orderbook	2024-10-01 14:53:32 +08:00
bailantaotao	7e908c3ff7	Merge pull request #1759 from c9s/edwin/bybit/add-v5-execution-request ... FEATURE: [bybit] integrate the v5 trade history	2024-10-01 14:06:46 +08:00
edwin	a68764b763	pkg/exchange: merge FeeRatePoller into StreamDataProvider	2024-10-01 11:45:33 +08:00
edwin	7f1e1a3a51	pkg/exchange: export SymbolFeeDetail struct	2024-10-01 11:45:33 +08:00
edwin	eb2a7421da	pkg/exchange: integrate the v5 query trade api	2024-10-01 11:45:31 +08:00
edwin	d2c1ae0642	pkg/exchange: move fee rate calculate method outside	2024-10-01 00:06:47 +08:00
edwin	f6e58ded02	pkg/exchange: add PollAndGet method and declare an interface	2024-10-01 00:06:43 +08:00
bailantaotao	a639a5831b	Merge pull request #1757 from c9s/edwin/bybit/add-v5-execution-request ... FEATURE: [bybit] add v5 execution request	2024-09-30 17:51:26 +08:00
c9s	3c48663032	add more tests	2024-09-30 17:32:46 +08:00
edwin	bdfcbdcf56	pkg/exchange: move common execution field to bybitapi.trade	2024-09-30 16:28:07 +08:00
edwin	aac833d135	pkg/exchange: add execution list request to bybit	2024-09-30 16:27:33 +08:00
c9s	39fad2e0b5	xmaker: add depth ratio signal	2024-09-30 16:21:22 +08:00
c9s	f776914e8c	do not return when failed cleaning up orders	2024-09-27 21:23:11 +08:00
c9s	4661ec629d	xdepthmaker: add priceImpactRatio detection	2024-09-27 20:14:34 +08:00
c9s	be353c533b	xmaker: bind price solver with market data stream	2024-09-27 18:43:09 +08:00
c9s	e8c063c09b	xdepthmaker: support countery party 5 hedge and force full replenish	2024-09-27 18:43:09 +08:00
c9s	5dcd375279	add more update methods for price solver	2024-09-27 18:43:09 +08:00
c9s	9194a9152c	extend ticker method	2024-09-27 18:43:09 +08:00
c9s	d5a6930545	add disconnectedC method	2024-09-27 18:43:09 +08:00
c9s	98011e1e97	extend price volume slice methods	2024-09-27 18:43:09 +08:00
c9s	79b636fa02	move bbo monitor to bbgo package	2024-09-27 18:43:09 +08:00
c9s	091eb5d9c5	xdepthmaker: return when we can't clean up the open orders	2024-09-27 14:27:20 +08:00
c9s	fb35a2b79f	types: add AnyDisconnected() method on ConnectivityGroup	2024-09-27 13:31:37 +08:00
c9s	c07661af57	all: refactor depthmaker with connectivity	2024-09-27 13:24:03 +08:00
c9s	ccb617f30f	types: add connectivity test	2024-09-27 12:56:44 +08:00
c9s	431d6964d5	xdepthmaker: split quote worker and hedge worker	2024-09-26 17:57:12 +08:00
c9s	0c842e0eb5	Merge pull request #1753 from c9s/c9s/xdepthmaker/improvements ... IMPROVE: [xdepthmaker] use order query to update the canceled order, fix depth price, fix symbol column lengths, fix covered position	2024-09-26 15:06:12 +08:00
c9s	6e19777277	Merge pull request #1751 from lanphan/fixemitnew ... fix OnNew event must be called before OnFilled	2024-09-26 12:26:34 +08:00
c9s	1b5da22c90	xdepthmaker: fix coveredPosition reduction	2024-09-25 18:16:04 +08:00
c9s	f4e905833c	xdepthmaker: improve HedgeMaxOrderQuantity check	2024-09-25 18:16:03 +08:00
c9s	42cd3cba1e	xdepthmaker: clean up todo	2024-09-25 18:16:03 +08:00
c9s	67fd15c88f	xdepthmaker: log covered position	2024-09-25 18:16:03 +08:00
c9s	d83297b605	migrations: add table column symbol length fix	2024-09-25 18:16:03 +08:00
c9s	e11db4a2d1	xdepthmaker: avoid using the same depth price for the new maker order	2024-09-25 18:16:02 +08:00
c9s	6a5ab424c9	xdepthmaker: add hedgeMaxOrderQuantity protection	2024-09-25 15:52:23 +08:00
c9s	b3d58a9e05	bbgo: add types.ExchangeOrderQueryService support for checking canceled orders	2024-09-25 14:13:23 +08:00
c9s	768428a7eb	bbgo: pass the actual context object instead of background context	2024-09-25 13:36:49 +08:00
c9s	329b8a40d9	xdepthmaker: adjust covered position when order is canceled	2024-09-25 13:36:31 +08:00
c9s	60d5126b61	xdepthmaker: add HedgeStrategyBboQueue1 hedge method	2024-09-24 17:10:50 +08:00
c9s	59191cf6bf	xdepthmaker: support bbgo counter party 1 hedge method	2024-09-24 16:33:53 +08:00
c9s	566234d3ab	xdepthmaker: rename last price var to just price	2024-09-24 16:14:03 +08:00
c9s	e7c76ddd26	xdepthmaker: refactor hedge methods	2024-09-24 16:12:17 +08:00
c9s	61ea41d999	xdepthmaker: simplify hedge	2024-09-23 22:16:53 +08:00
c9s	b02580f9f6	xdepthmaker: remove shared mutex lock usage	2024-09-23 18:28:46 +08:00
c9s	345c92c295	all: improve UniversalCancelAllOrders and add mutex to covered position	2024-09-23 18:26:23 +08:00
c9s	a8444e9796	bybit,biget: improve bitget, bybit query log messages	2024-09-23 17:51:33 +08:00
Lan Phan	2a767aba71	fix OnNew event must be called before OnFilled	2024-09-20 20:01:24 +07:00
Andy Liao	7137343ba0	Use new circuitbreaker in common strategy	2024-09-18 22:35:35 +08:00
c9s	8265ada5a0	compile and update migration package	2024-09-18 13:30:56 +08:00
c9s	a0c41f89f2	bump version to v1.60.3	2024-09-16 00:31:00 +08:00
c9s	26b1fd2ae7	xmaker: fix price initialization	2024-09-16 00:29:37 +08:00
Lan Phan	1f8b2b3710	call b.EmitNew() when new order is added into activeorderbook	2024-09-14 18:26:36 +07:00
c9s	aca2c32442	bump version to v1.60.2	2024-09-12 17:51:57 +08:00
c9s	0d6b7b29d5	Merge pull request #1742 from c9s/c9s/fix-ws-close-err ... FIX: types/stream: change errorf to warnf	2024-09-12 17:46:24 +08:00
c9s	ea8f3a5485	types/stream: change errorf to warnf	2024-09-12 17:35:13 +08:00
c9s	52f32e0ad0	upgrade github.com/c9s/requestgen to 1.4.3	2024-09-12 17:27:30 +08:00
c9s	de0d11b511	max: regenerate order cancel requests	2024-09-11 16:47:20 +08:00
kbearXD	f83491af26	FEATURE: [dca2] set exchange fee rate for round position	2024-09-11 15:40:59 +08:00
edwin	619cce53f6	pkg/exchange: update to latest	2024-09-10 17:11:58 +08:00
c9s	d7ddc9c462	Merge pull request #1737 from c9s/c9s/xmaker/ioc-arb ... FEATURE: [xmaker] implement tryArbitrage	2024-09-09 22:57:20 +08:00
c9s	34ef50d889	xmaker: refactor and clean up tryArbitrage	2024-09-09 22:03:06 +08:00
c9s	52925c5643	xmaker: calculate balance for arbitrage	2024-09-09 18:12:46 +08:00
c9s	b4f2748892	xmaker: fix sides	2024-09-09 18:03:03 +08:00
c9s	ceda1e06b9	xmaker: implement tryArbitrage	2024-09-09 17:49:53 +08:00
c9s	bc1715f8ad	Merge pull request #1736 from c9s/kbearXD/session/remove-log ... MINOR: [session] remove environment nil validation log	2024-09-09 16:17:17 +08:00
c9s	f361b19564	Merge pull request #1734 from c9s/c9s/xmaker/ioc-arb ... REFACTOR: [xmaker] refactor for supporting ioc arb [part1]	2024-09-09 16:05:11 +08:00
kbearXD	f44486447e	MINOR: [session] remove environment nil validation log	2024-09-09 16:04:04 +08:00
kbearXD	129e2c438e	FIX: add debug log	2024-09-09 15:13:02 +08:00
c9s	90749f4873	xmaker: pull out s.UseDepthPrice dependency	2024-09-09 15:04:56 +08:00
c9s	77dfe213e5	xmaker: pull out getLayerPrice and add test against the method	2024-09-09 14:41:41 +08:00
c9s	960ea89d8c	testhelper: add more test helpers	2024-09-09 14:41:27 +08:00
c9s	f24a96c8c3	xmaker: refactor getInitialLayerQuantity for quantity multiplier	2024-09-07 14:19:07 +08:00
c9s	6ad16b7488	xmaker: add EnableArbitrage option and makerBook	2024-09-07 13:47:34 +08:00
c9s	e14f09a914	xmaker: add sourceDepthLevel option	2024-09-06 21:47:43 +08:00
c9s	3cc96ff6ad	Merge pull request #1724 from dropbigfish/main ... fix: fix slice init length	2024-09-06 18:06:21 +08:00
c9s	a282654c02	bbgo: fix the defaults / initialize steps	2024-09-06 17:33:31 +08:00
kbearXD	63a58e1b12	FIX: fix memory leak	2024-09-05 17:05:58 +08:00
longhutianjie	c75a685cc0	bug: fix json tag	2024-09-04 17:58:27 +08:00
c9s	9fc3a1b44a	xmaker: rename to aggTradeVolume	2024-09-04 16:09:58 +08:00
c9s	656112de45	xmaker: call signalConfig.TradeVolumeWindowSignal.Bind	2024-09-04 16:07:28 +08:00
c9s	ba73eeaad1	xmaker: add TradeVolumeWindowSignal	2024-09-04 15:59:21 +08:00
c9s	2527c0c7b7	max: convert v3 DepositStateFailed into rejected	2024-09-04 15:00:37 +08:00
c9s	a2f8fe5f72	max: add v3 DepositStateFailed state	2024-09-04 14:59:58 +08:00
c9s	ed51eff242	max: drop unused function	2024-09-04 14:59:10 +08:00
c9s	24de49860f	bump version to v1.60.1	2024-09-04 14:58:07 +08:00
c9s	ec68e3c5f6	Merge pull request #1727 from lanphan/ioc ... FIX: update timeInForce for binance margin order	2024-09-04 14:38:40 +08:00
c9s	f27afac77b	max: use error log instead of warning log for convertion	2024-09-04 11:20:30 +08:00
c9s	d404b20bd1	deposit2transfer: fix comments	2024-09-04 11:19:43 +08:00
c9s	1b8d7bd805	max: fix v3 deposit state conversion	2024-09-04 11:17:56 +08:00
c9s	7d034d1ba8	bbgo: add stringer method to the quota struct	2024-09-03 03:26:47 +08:00
c9s	7135895006	xmaker: fix MaxExposurePosition check condition	2024-09-03 03:25:37 +08:00
Lan Phan	ba913ce4de	update timeInForce for binance margin order	2024-09-03 00:38:17 +07:00
c9s	f12ba1adb9	bbgo: add comments to the quota methods	2024-09-02 22:18:13 +08:00
c9s	294e529a98	xmaker: add more logs	2024-09-02 16:08:51 +08:00
c9s	f30aca1b5a	xmaker: update position metrics when restored	2024-09-02 15:51:31 +08:00
c9s	f9b9832fff	add more logs	2024-09-02 15:51:31 +08:00
c9s	4d1c357c3d	xmaker: reuse makerMarket field	2024-09-01 17:55:00 +08:00
c9s	a4833524cf	xmaker: add more logs	2024-09-01 16:41:16 +08:00
c9s	ed073264f1	xmaker: add MaxHedgeAccountLeverage option	2024-09-01 15:42:36 +08:00
c9s	ad6056834e	xmaker: separate maximumValueInUsd in a new var	2024-09-01 01:34:25 +08:00
c9s	8b1306a6a6	xmaker: calculate maximum leveraged account value	2024-09-01 01:31:50 +08:00
c9s	d85da78e17	xmaker: improve hedge account credit calculation	2024-09-01 00:58:50 +08:00
dropbigfish	9d581adc04	fix: fix slice init length ... Signed-off-by: dropbigfish <fillfish@foxmail.com>	2024-09-01 00:36:43 +08:00
c9s	cff7103ece	fix math import	2024-08-30 22:41:13 +08:00
c9s	d501e8ff4d	xmaker: apply math.Abs on signal for margin scale	2024-08-30 22:38:59 +08:00
c9s	ec80cbfd9f	xmaker: check 0.0	2024-08-30 17:52:28 +08:00
c9s	7c4b3e81df	xmaker: add more logs	2024-08-30 17:42:20 +08:00
c9s	cc820d3df0	xmaker: apply margin from signal	2024-08-30 17:39:25 +08:00
c9s	371db8e7d1	xmaker: update signal conditions to metrics	2024-08-30 17:18:29 +08:00
c9s	b8abc065de	xmaker: initialize bollinger band signal	2024-08-30 17:15:12 +08:00
c9s	9ebab4f4f7	xmaker: add signal providers	2024-08-30 15:44:55 +08:00
c9s	d9fb9ff3e0	xmaker: remove unused var	2024-08-29 13:18:50 +08:00
c9s	88d7783843	bbgo/activeOrderBook: filter market order when filtering existing orders	2024-08-29 00:38:44 +08:00
c9s	86e464b1bc	xmaker: when submitting hedge orders, do not add it to the active orderbook	2024-08-29 00:33:04 +08:00
c9s	8de0c67503	xmaker: fix aggregatePrice function	2024-08-28 22:36:44 +08:00
c9s	e187614179	xmaker: log best bid and best ask	2024-08-28 22:32:56 +08:00
c9s	d36bbe5fb5	xmaker: adjust accountUpdater's ticker to 3 min	2024-08-28 16:41:50 +08:00
c9s	77b7b29739	xmaker: adjust credit buffer algo	2024-08-28 16:37:39 +08:00
c9s	1d6282a10b	xmaker: add account updater and handle margin account to add more flexibility	2024-08-28 16:07:11 +08:00
c9s	108fb6138a	xmaker: check hedge balance only when it's spot account	2024-08-28 14:48:38 +08:00
c9s	1e2f086643	xmaker: set notional var back	2024-08-27 22:45:43 +08:00
c9s	6011fd5157	xmaker: set profitChanged only when Hedge is called	2024-08-27 22:45:11 +08:00
c9s	9939b5ce68	xmaker: improve bid/ask pricing when UseDepthPrice and DepthQuantity are on	2024-08-27 20:05:46 +08:00
c9s	a740ef10c2	xmaker: add price checker and field logger	2024-08-27 20:05:45 +08:00
c9s	f81ce5ce95	xmaker: improve bollinger band trend detection	2024-08-27 20:05:45 +08:00
c9s	4ae8ad77b3	xmaker: add profit changed flag for notification	2024-08-27 20:05:45 +08:00
c9s	3819feacf3	xmaker: improve dust quantity check	2024-08-27 20:05:45 +08:00
c9s	3d4ccd1344	xmaker: integrate bid/ask margin metrics	2024-08-27 15:39:38 +08:00
c9s	b3c8739983	xmaker: add config bid/ask margin metrics	2024-08-27 15:35:39 +08:00
c9s	7e65aca62e	xmaker: add more config metrics	2024-08-27 15:22:06 +08:00
c9s	199b86df86	xmaker: add comments	2024-08-27 14:52:27 +08:00
c9s	6fb6467d59	xmaker: refactor hedge worker and quote worker	2024-08-27 14:48:30 +08:00
c9s	e3079c134c	xmaker: add todo note	2024-08-26 18:37:02 +08:00
c9s	7367ea73b8	xmaker: profit object can be nil	2024-08-26 18:35:10 +08:00
c9s	866751cc3d	Merge pull request #1712 from c9s/c9s/xmaker/add-profit-fixer ... FEATURE: [xmaker] add profit fixer	2024-08-26 13:32:41 +08:00
c9s	80949bf0e1	Merge pull request #1710 from c9s/c9s/xmaker/stb-improvements ... IMPROVE: [xmaker] improve stability	2024-08-26 13:32:19 +08:00
c9s	90bcd25bef	Merge pull request #1711 from lanphan/autoborrowrepay ... FEATURE: [binance] add new margin order side effect AUTO_BORROW_REPAY	2024-08-26 13:15:21 +08:00
c9s	7fdb3f671f	risk: add Enabled config to circuitbreaker	2024-08-26 12:50:13 +08:00
c9s	77e185ffa7	xmaker: add profit fixer	2024-08-26 12:45:18 +08:00
Lan Phan	9a7517a72a	add new sideeffect AUTO_BORROW_REPAY	2024-08-25 12:31:10 +07:00
c9s	9a1d9ae27b	xmaker: rewrite maker order submission logics and integrate metrics	2024-08-24 21:22:35 +08:00
c9s	c76a80da6a	xmaker: add xmaker metrics	2024-08-24 21:22:34 +08:00
c9s	afac81a3e8	all: integrate metrics into stream book	2024-08-24 21:22:34 +08:00
c9s	0df56ad6e7	xmaker: use v2 indicator boll	2024-08-24 13:28:32 +08:00
c9s	1c1959b8a8	all: rename priceresolver to pricesolver ... integrate pricesolver into xmaker	2024-08-24 12:28:05 +08:00
c9s	9f01dc28c8	xmaker: remove report ticker and ... isolate rate limiter for each different instance	2024-08-24 12:19:34 +08:00
c9s	e8bd370aa2	xmaker: remove duplicated log entry	2024-08-24 12:13:44 +08:00
c9s	5ca1c4fb62	xmaker: rewrite and clean up order submission	2024-08-24 12:13:15 +08:00
c9s	f7dc07327e	xmaker: assign position strategy id and instance id	2024-08-24 12:01:11 +08:00
c9s	6ef8aa62e5	xmaker: integrate CircuitBreaker	2024-08-24 11:58:09 +08:00
c9s	5f65e87e89	change default HaltDuration to 1h	2024-08-24 11:43:12 +08:00
c9s	14fff8dbad	xmaker: integrate circuitbreaker	2024-08-24 11:42:16 +08:00
c9s	40a0585187	types: fix missing labels	2024-08-23 19:59:56 +08:00