lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-09-20 16:21:09 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity
2,887 Commits 56 Branches 138 Tags 185 MiB
1b1fc3ad66
Commit Graph

1871 Commits

Author SHA1 Message Date
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