2455 Commits

Author	SHA1	Message	Date
c9s	3ba5cbe262	xmaker: remove book copy	2024-10-22 11:45:49 +08:00
kbearXD	5878fd8aed	Merge pull request #1784 from c9s/chiahung/grid2/not-use-minQuantity ... FEATURE: no use MAX(quantity, minQuantity) to avoid sufficient quantity	2024-10-21 16:42:22 +08:00
kbearXD	704924a905	FEATURE: no use MAX(quantity, minQuantity) to avoid sufficient quantity	2024-10-21 16:29:27 +08:00
kbearXD	ce5234b429	FEATURE: [xalign] detect active depoit. if found, skip align	2024-10-21 15:58:23 +08:00
c9s	fb96756460	xmaker: reset position started time when hedge order is submitted	2024-10-17 13:13:45 +08:00
c9s	5fbb06639d	xmaker: prune expired orders	2024-10-17 13:02:44 +08:00
c9s	bfe8ce9f2c	grid2,xmaker: prune expired trades	2024-10-17 12:53:51 +08:00
c9s	f9a75036a7	xmaker: fix disableHedge check	2024-10-16 17:36:05 +08:00
c9s	4f1b216fbf	xmaker: fix trade window test	2024-10-16 15:55:55 +08:00
c9s	c066a187d9	xmaker: fix TradeVolumeWindowSignal algo	2024-10-16 15:45:11 +08:00
c9s	e55676abab	xmaker: add delayHedgeCounterMetrics counter	2024-10-16 15:41:09 +08:00
c9s	165c8d99b8	xmaker: fix covered position field	2024-10-16 14:39:09 +08:00
c9s	a650534a98	xmaker: rename arbitrage option to enableArbitrage	2024-10-16 11:44:30 +08:00
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
c9s	d940cde945	xmaker: check dust quantity	2024-10-15 13:40:31 +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	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	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	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	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	5e7627cc7a	xmaker: fix signal depth metrics	2024-10-01 16:52:58 +08:00
c9s	3c48663032	add more tests	2024-09-30 17:32:46 +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	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	c07661af57	all: refactor depthmaker with connectivity	2024-09-27 13:24:03 +08:00
c9s	431d6964d5	xdepthmaker: split quote worker and hedge worker	2024-09-26 17:57:12 +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	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	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
Andy Liao	7137343ba0	Use new circuitbreaker in common strategy	2024-09-18 22:35:35 +08:00
c9s	26b1fd2ae7	xmaker: fix price initialization	2024-09-16 00:29:37 +08:00
kbearXD	f83491af26	FEATURE: [dca2] set exchange fee rate for round position	2024-09-11 15:40:59 +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	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
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	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
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	d404b20bd1	deposit2transfer: fix comments	2024-09-04 11:19:43 +08:00
c9s	7135895006	xmaker: fix MaxExposurePosition check condition	2024-09-03 03:25:37 +08:00
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