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5,711 Commits 60 Branches 138 Tags 189 MiB
1d1d5d497f
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925 Commits

Author SHA1 Message Date
c9s
33fdcefba3
bbgo: add notification tag 2022-09-07 01:05:43 +08:00
c9s
c2eec1e72b
bbgo: move fixedpoint one const to consts.go 2022-09-07 00:50:54 +08:00
c9s
62fb09c8d9
bbgo: protective stop should send notification when it's activated 2022-09-07 00:50:16 +08:00
zenix
66c8a3bb0d fix: rename getSource to sourceGetter 2022-09-06 19:15:13 +09:00
zenix
36a5579660 fix: SourceSelector json marshal/unmarshal without Init from strategy. smartCancel check on order status 2022-09-06 19:08:05 +09:00
c9s
8f363677bc
move bootstrap functions 2022-09-06 16:50:45 +08:00
zenix
67e57b49eb fix: move sourceselector to bbgo folder 2022-09-06 14:43:05 +09:00
zenix
6c8902dd9c fix: export kline query limit as a variable for preload decisions from strategy 2022-09-05 20:36:41 +09:00
zenix
4a878b5596 fix: rename generalorderexecutor.cancel to gracefulcancelorder 2022-09-05 19:32:35 +09:00
zenix
81084ddea6 feature: SerialMarketDataStore from session 2022-09-05 19:32:35 +09:00
zenix
fad9dedd1f fix: active order book cancel message 2022-09-05 19:32:35 +09:00
zenix
938dc3c497 feature: add serialmarketdatastore, add elliottwave strategy to replace ewoDgtrd, add active cancel on general order executor, add pca 2022-09-05 19:32:35 +09:00
Raphanus Lo
65cd17dbbb bbgo: add G-H & Kalman filters to the standard indicator set 2022-09-05 17:13:50 +08:00
Larry Lu
269529afa4
Fix typo 2022-09-04 13:35:01 +08:00
c9s
5c8d2a019a
backtest: rename BackTest to Backtest 2022-09-02 14:16:16 +08:00
c9s
8cd646668a
bbgo: use enumer to generate enumer parser 2022-09-02 14:16:16 +08:00
c9s
3d32faff46
backtest: add fee mode config 2022-09-02 14:16:15 +08:00
c9s
51972e9e28
bbgo: fix indicator load key duplicate issue 2022-08-31 01:45:06 +08:00
c9s
8fcc3ee368
indicator: update pivot low and pivot high indicator 2022-08-31 01:44:38 +08:00
c9s
179a9b1ddb
fix: ensure that orders.tsv are rendered in local timezone 2022-08-26 19:09:11 +08:00
c9s
17ba1c142d
bbgo: fix support take profit field type 2022-08-26 18:12:42 +08:00
c9s
fb9a4994c0
bbgo: add supportTakeProfit method to the core exit methods 2022-08-26 18:11:45 +08:00
c9s
11854db51a
pivotshort: move SupportTakeProfit to the core api 2022-08-26 18:09:46 +08:00
c9s
a48471d4c8
pivotshort: refactor trend ema and stop ema 2022-08-26 17:52:46 +08:00
c9s
8b7f4c6222
bbgo: add ProtectiveStopLoss doc comment 2022-08-26 17:52:46 +08:00
c9s
09cc91bab8
bbgo: update VWMA and add VWMA to the indicator method 2022-08-24 17:45:43 +08:00
c9s
469c6bfb28
bbgo: move rightWindow to the IntervalWindow struct 2022-08-24 17:43:28 +08:00
c9s
d930065bea
bbgo: move stoch to the simple indicator set 2022-08-24 17:34:19 +08:00
c9s
8a020c34e3
bbgo: add package doc to bbgo 2022-08-24 16:54:31 +08:00
c9s
c86b29e6dc
all: resolve import cycle 2022-08-23 02:12:26 +08:00
zenix
2720ee90b1 fix: equation of exit dump 2022-08-18 17:38:27 +09:00
zenix
5e7ea71613 feature: withdraw print config functionality from drift to be a general function 2022-08-18 17:38:27 +09:00
c9s
df8a4bef93
bbgo: remove unused trade store symbol argument 2022-08-17 16:02:42 +08:00
zenix
da28750313 feature: dump parameter to tg, esp series, fix: order tag, position calculation and bp/sp of drift 2022-08-15 21:05:29 +09:00
zenix
6a4eec71d6 feature: create simpleinteract and remove command in notification 2022-08-15 21:03:48 +09:00
zenix
90e596f463 feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering 2022-08-15 21:03:14 +09:00
Andy Cheng
62d450b92d
Merge pull request #872 from andycheng123/fix/trailing-stop 
fix: trailing stop properly works on both long and short positions
 2022-08-11 17:37:07 +08:00
Andy Cheng
8527d4996e trailingstop: add default case 2022-08-11 17:23:42 +08:00
Andy Cheng
8d3dfd17c7 trailingstop: add side both 2022-08-11 16:39:16 +08:00
Andy Cheng
6f2eb1688b generalorderexecutor: retry submit/cancel order once 2022-08-11 13:49:16 +08:00
Andy Cheng
df0e527e1e exits/trailingstop: properly works on both long and short positions 2022-08-11 13:36:31 +08:00
c9s
677b122964
bbgo: use types.KLineWith for roi take profit 2022-08-10 23:45:21 +08:00
Yo-An Lin
62aff676da
Revert "feature: add smart cancel to drift" 2022-08-09 16:25:36 +08:00
Yo-An Lin
55b4edc595
Merge pull request #853 from zenixls2/feature/smartcancel_drift 
feature: add smart cancel to drift
 2022-08-09 16:23:33 +08:00
Raphanus Lo
ed975b7ed9
Merge pull request #860 from COLDTURNIP/feature/exchange_order_amount_protection 
exchange: order fee-amount protection
 2022-08-09 15:01:53 +08:00
c9s
0283f2ad55
bbgo: fix doneTrades lock 2022-08-09 14:52:05 +08:00
zenix
45e819ebe7 feature: create simpleinteract and remove command in notification 2022-08-09 13:26:56 +09:00
zenix
4117a83cd1 feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering 2022-08-09 13:26:56 +09:00
Andy Cheng
ef18791c6a
Merge pull request #865 from andycheng123/fix/protective-stoploss 
fix: protectivestoploss not working on long position
 2022-08-09 12:15:33 +08:00
c9s
9867aa9c68
bbgo: add mutex protection to tradecollector 2022-08-09 11:37:44 +08:00
c9s
f191d3c091
bbgo: make position object optional for trade collector 2022-08-09 11:36:17 +08:00
c9s
cae8bc2882
bbgo: add mutli symbol support to active order book 2022-08-09 11:36:10 +08:00
Andy Cheng
6c2fc3fee0 exits/protectivestoploss: fix shouldStop() 2022-08-08 17:57:05 +08:00
Andy Cheng
b133767e47 exit/protectivestoploss: works in long position 2022-08-08 16:49:19 +08:00
Raphanus Lo
d76245cb43 exchange: adjust tests for order fee-amount protection 2022-08-02 15:12:14 +08:00
Raphanus Lo
ed7df4ddbe exchange: order fee-amount protection 
Reduce the order amount to prevent submit rejection because of balance exceeding.

  submit_amount = original_amount / (1 + fee_rate)

Currently supported only by FTX Pro.
 2022-08-02 13:35:24 +08:00
Andy Cheng
4bc70820c4 positionmodifier: move functions into types.Position 2022-07-29 14:40:54 +08:00
Andy Cheng
9588a6f6bd positionupdater: update command flow 2022-07-29 13:45:33 +08:00
Andy Cheng
2724949678 positionupdater: update avaerage cost 2022-07-29 12:05:39 +08:00
Andy Cheng
32b91b67dd positionupdater: update quote position 2022-07-29 12:00:11 +08:00
Andy Cheng
8c53c7e575 positionupdater: update base position 2022-07-29 11:52:20 +08:00
zenix
d46267aff9 feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 19:34:12 +09:00
c9s
93593ffa06
bbgo: add close position tag log 2022-07-28 10:27:04 +08:00
Yo-An Lin
3aeb6912c9
Merge pull request #846 from c9s/strategy/pivotshort 
strategy/pivotshort: refactor breaklow + add fake break stop
 2022-07-27 12:18:50 +08:00
c9s
7438798390
bbgo: add ClosedKLineStop trigger 2022-07-27 11:47:12 +08:00
Yo-An Lin
4fd571d712
Merge pull request #813 from zenixls2/feature/drift_study 
feature: drift study
 2022-07-27 11:29:48 +08:00
c9s
3fbc634d81
bbgo: narrow down indicator interface type 2022-07-27 02:21:25 +08:00
c9s
3959e288fd
all: refactor standard indicator helper and fix tests 2022-07-26 18:35:50 +08:00
c9s
0456cdc7a9
bbgo: add hull to the standard indicator 2022-07-26 18:27:22 +08:00
c9s
808d742efc
bbgo: add CCI helper 2022-07-26 18:07:43 +08:00
c9s
f5e64e8e70
bbgo: add ATR, ATRP, EMV to the standard indicator set 2022-07-26 18:07:43 +08:00
c9s
1d6b1de8ba
bbgo: rename standard indicator receiver name 2022-07-26 18:07:43 +08:00
c9s
46afc54559
bbgo: refactor standard indicator set 2022-07-26 18:07:43 +08:00
c9s
0df321c880
indicator: drop the legacy CalculateAndUpdate for standard indicators 2022-07-26 17:30:41 +08:00
zenix
a5039de6aa feature: add omega ratio, print sharpe/omega/interval profit from trade_stats, use stdev for high/low diff for drift to estimate the variance and improve profit, add yaml marshal for dnum fixedpoint 2022-07-26 18:00:05 +09:00
zenix
f2d37650a5 fix: drift bias on long entry position condition, make cancel faster 2022-07-26 18:00:05 +09:00
zenix
6a9e00ebd4 fix: update drift strategy 2022-07-26 18:00:05 +09:00
c9s
83c8bc819a
all: drop the legacy smart stops 2022-07-26 12:08:47 +08:00
c9s
76def2fe9d
pull out AccountValueCalculator 2022-07-21 19:46:58 +08:00
c9s
763ae1f62f
bbgo: fix missing var 2022-07-21 12:36:26 +08:00
c9s
1079757833
bbgo: bind market data store to market data stream when allocating new instance 2022-07-21 12:35:38 +08:00
c9s
de62d9dd67
bbgo: fix injection 2022-07-21 12:33:29 +08:00
c9s
c78ba6a539
bbgo: fix strategy struct field injection phase 2022-07-21 12:18:09 +08:00
c9s
946fb96b03
bbgo: reformat 2022-07-21 01:32:09 +08:00
c9s
02c978b812
bbgo: remove volatility from the standard indicator set 2022-07-21 01:31:42 +08:00
c9s
9f937f529e
bbgo: refactor standard indicator 2022-07-21 01:05:08 +08:00
c9s
ab83805b34
bbgo: add StrategyShutdown interface 2022-07-19 17:13:35 +08:00
c9s
8af2f2f83f
add defaulter interface 2022-07-19 16:59:56 +08:00
c9s
808ba2fc02
bbgo: make slack-app-token optional 2022-07-19 11:41:49 +08:00
c9s
9302474d51
add 1m subscribe to RoiTakeProfit 2022-07-19 11:00:45 +08:00
c9s
6e4c28ed1b
disable marketTrade stop 2022-07-17 00:59:35 +08:00
c9s
2d0fbe4b99
fix ProtectiveStopLoss subscribe 2022-07-16 14:45:02 +08:00
c9s
2a3118a086
indicator: clean up and update calculator method names 2022-07-14 09:18:42 +08:00
Yo-An Lin
8119afbb44
Merge branch 'main' into strategy/pivotshort 2022-07-12 23:38:23 +08:00
c9s
5bd292d0b2
bbgo: add notify(profit) 2022-07-08 16:43:32 +08:00
c9s
81560746bd
all: reformat code 2022-07-07 02:26:39 +08:00
c9s
3131786c02
bbgo: fix trailing stop binding 2022-07-07 02:26:39 +08:00
c9s
74593720a7
add ExitMethodSet.Bind method 2022-07-07 02:26:39 +08:00
c9s
d2637ce261
trailing stop: apply ClosePosition parameter 2022-07-07 02:26:39 +08:00
c9s
b3e04a68da
bbgo: fix trailing stop binding 2022-07-06 21:50:38 +08:00