52 Commits

Author	SHA1	Message	Date
c9s	4665ae0e31	remove unused error return value	2021-12-10 15:03:43 +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	d52edce40b	fix markets info cache	2021-12-08 17:26:43 +08:00
c9s	634ce6180b	avoid using panic when order cancel failed	2021-12-06 13:32:08 +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	b301ea549a	adjust default rate to DefaultFeeRate 0.075%	2021-12-05 12:24:51 +08:00
c9s	f692ef2c31	realign account fields	2021-12-05 12:23:27 +08:00
c9s	44d7055809	fix backtest fee rate calculation	2021-12-05 12:10:45 +08:00
c9s	4d7fe7f37d	call matchingBooksMutex when assigning matching book	2021-12-05 12:06:36 +08:00
c9s	5ed337926d	add mutex lock protection for backtesting ... solving issue #282	2021-11-30 10:40:28 +08:00
c9s	60e4442f85	add document for the backtest engine	2021-10-05 22:06:36 +08:00
c9s	3aa36b5989	refactor and fix backtest for user data stream and market data stream	2021-05-30 15:08:11 +08:00
c9s	57a78777df	move Time type to types.Time	2021-05-21 00:10:53 +08:00
c9s	e636a5008d	replace Exchange field type with ExchangeName	2021-05-16 17:02:23 +08:00
c9s	d8d2e17b9e	fix backtest exchange query klines methods	2021-05-08 00:57:12 +08:00
c9s	6bbd66a4f9	split environment start and init	2021-05-08 00:45:24 +08:00
c9s	61ad2b6567	emit start callback for backtest	2021-05-08 00:43:53 +08:00
c9s	3501e8f5fd	refactor backtest, add BootstrapBacktestEnvironment	2021-05-08 00:14:25 +08:00
ycdesu	c8447663db	refactor: use fixedpoint to store fee	2021-03-19 08:49:24 +08:00
ycdesu	83ae943a4f	ftx: calculate commission	2021-03-18 23:58:28 +08:00
c9s	c5eb6483a5	integrate QueryTicker for backtesting	2021-03-16 02:13:52 +08:00
c9s	0ba595bd55	Fix trade sync for self trades ... MAX uses one single trade for presenting self trade. BINANCE uses two trade records for presenting self trade. the trade creation time are the same.	2021-02-18 17:37:49 +08:00
c9s	ffa001fc29	fix quantity format	2021-02-11 00:21:56 +08:00
ycchen	288f7257eb	fix testcases	2021-02-06 19:39:43 +01:00
c9s	26f9e5488d	apply datatype.Time to order time fields	2021-02-06 14:30:00 +08:00
c9s	3abdb3dd7b	convert time struct for sqlite driver	2021-02-06 12:32:21 +08:00
c9s	9db1c78171	add public only mode to backtest	2020-12-21 15:45:40 +08:00
c9s	936650d879	rename kline trend to direction	2020-12-04 10:18:51 +08:00
c9s	04f6da3cb8	add traditional grid strategy	2020-11-10 19:06:20 +08:00
c9s	69a33b6400	fix and improve backtest	2020-11-10 14:18:04 +08:00
c9s	e7cc79f3cf	replace errors.Errorf with fmt.Errorf	2020-11-09 16:34:35 +08:00
c9s	ded89e099f	refactor simple price matching	2020-11-09 03:17:02 +08:00
c9s	5cc9506960	simplify executeTrade method since we should not use over locked funds	2020-11-09 03:09:12 +08:00
c9s	443f2c6891	document fee rate for BNB holders	2020-11-09 03:01:40 +08:00
c9s	377f4cae34	add account balance lock and unlock for testing maker strategies	2020-11-09 02:58:46 +08:00
c9s	f69c87b3a8	fix fee calculation and add account balance checking	2020-11-08 21:52:44 +08:00
c9s	090011da9e	pull out order matching trigger from the kline event callbacks	2020-11-08 13:07:45 +08:00
c9s	e3a1184d22	fix backtest sync exchange and consider fee rate	2020-11-08 12:47:14 +08:00
c9s	6bd3573287	add exchange field in the table so that we can reuse the kline objects for backtest	2020-11-08 12:13:34 +08:00
c9s	641784e1b1	calculate pnl after the backtest	2020-11-07 20:34:34 +08:00
c9s	f3571b9832	fix tests	2020-11-07 20:18:11 +08:00
c9s	6040c69327	add sync flag for backtesting	2020-11-07 20:14:53 +08:00
c9s	f1db12eb10	add done channel for backtest exchange	2020-11-07 20:11:07 +08:00
c9s	a4a9067c6a	integrate matching engine with backtest exchange	2020-11-07 19:57:36 +08:00
c9s	5be4aa53db	move simple price matching to matching.go	2020-11-07 16:09:21 +08:00
c9s	3778adc8c8	implement SimplePriceMatching engine	2020-11-07 16:08:20 +08:00
c9s	b13a2deec5	emit klines and setup account balances	2020-11-07 03:18:05 +08:00
c9s	22a214328d	implement backtest command, stream and add backtest config	2020-11-07 02:57:50 +08:00
c9s	c9fa565c24	remove the legacy submit order method	2020-10-26 16:44:05 +08:00