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306 Commits

Author SHA1 Message Date
TonyQ
8eb3eede82 fix backtest (with review) 2021-12-14 16:02:54 +08:00
なるみ
f494a0f514 Initial commit of rebalance strategy 2021-12-13 05:19:44 +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
a0f46bf9b8 improve error checking, avoid using panic inside the constructor 2021-12-08 23:30:58 +08:00
Yo-An Lin
3fb6d204aa Fix pointer check 2021-12-07 18:52:24 +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
0472b7f21e avoid recording trades in backtest by default 
introducing a RecordTrades option
 2021-12-06 01:42:53 +08:00
c9s
474be4e815 support json output for backtesting 2021-12-06 01:05:33 +08:00
c9s
df683bdf56 use position to calculate the pnl 2021-12-05 02:17:15 +08:00
TonyQ
bd325f02a5 add force parameter for backtest 2021-12-04 16:18:51 +00:00
c9s
513a799ced fix ewma calculation 2021-11-22 02:14:44 +08:00
c9s
ed1d0ea27e add xnav strategy 2021-10-29 10:40:14 +08:00
c9s
a6848a6af4 add strategy/techsignal 2021-10-14 14:24:08 +08:00
c9s
4c061439d3 rename buyandhold to pricedrop 2021-10-14 13:10:00 +08:00
c9s
768a88247b rename bpp to bollpp (bollinger pingpong) 2021-10-14 12:52:54 +08:00
c9s
6e7f12ca9f rename trailingstop to emastop 2021-10-14 12:04:56 +08:00
c9s
764a8be46a adjust grid backtest parameters 2021-10-13 10:43:56 +08:00
c9s
45c875fe7c bbgo: improve trade collect process 2021-10-05 21:30:06 +08:00
c9s
e8f0cbcff8 cmd: register etf strategy 2021-08-26 11:31:52 +08:00
c9s
5cf134a756 cmd: add account cmd --total option 2021-07-06 12:19:59 +08:00
c9s
c84d59734c clear all trades before running backtests 2021-05-30 15:25:00 +08:00
c9s
b430128ba1 okex: fix okex order cancellation 2021-05-28 03:05:59 +08:00
c9s
777701c0cb add userdatastream cmd for testing private stream 2021-05-28 00:47:34 +08:00
c9s
2844b7c3a7 okex: add kline command for testing kline data 2021-05-27 18:35:34 +08:00
c9s
2381df5009 add okex to the exchange factory 2021-05-27 00:35:51 +08:00
c9s
29ad95a639 add okex to the valid exchange name 2021-05-27 00:29:16 +08:00
c9s
4ded82c94e pull out types.Exchange interfaces to make it minimal 2021-05-27 00:05:43 +08:00
c9s
9b9643e1f9 improve order cancellation mechanisim 2021-05-22 17:44:20 +08:00
c9s
8acada76a9 replace sliceorderbook with orderbook interface 2021-05-22 16:32:29 +08:00
c9s
56b2c8845b fix preorder, postorder and inorder 2021-05-22 11:36:58 +08:00
c9s
d1ad802806 improve trade command output layout 2021-05-19 17:54:30 +08:00
c9s
2fddc9166f show bid/ask volume in the message 2021-05-19 00:41:34 +08:00
c9s
34106cf65e add cpu profile option 2021-05-18 15:38:22 +08:00
c9s
b8139e6e86 add xarb strategy 2021-05-18 10:19:35 +08:00
Jui-Nan Lin
2d5ae1dde3 fix(ftxExchange): the env variable is "FTX_ACCOUNT" 2021-05-17 12:42:04 +08:00
c9s
a4381a54a3 add fee rate field 2021-05-16 15:03:36 +08:00
c9s
236df245a2 adjust quantity bases on the balances 2021-05-15 09:46:07 +08:00
c9s
f9cb414832 twap: add update-interval option 2021-05-15 09:29:44 +08:00
c9s
445feb016a support price ticks option 2021-05-14 15:35:11 +08:00
c9s
66bc06bc5f add more order execution parameter checks 2021-05-14 14:53:26 +08:00
c9s
f69cbe9c31 add basic TwapExecution 2021-05-14 14:53:26 +08:00
c9s
3437515d6a rename placeOrder to submitOrder for making the api consistent 2021-05-14 14:53:26 +08:00
c9s
9ff7b62123 add xbalance strategy 2021-05-12 01:21:40 +08:00
c9s
dde998aced fix graceful shutdown 2021-05-10 02:17:19 +08:00
c9s
14eedecd0e fix backtest sync from time 2021-05-08 00:44:43 +08:00
c9s
3501e8f5fd refactor backtest, add BootstrapBacktestEnvironment 2021-05-08 00:14:25 +08:00
c9s
494a270c54 insert trades to db only when backtest service is nil 2021-05-07 01:50:38 +08:00
c9s
1264c50e83 improve balances, account command usability 2021-05-06 23:50:26 +08:00
c9s
1a81813e17 add --session option check 2021-05-06 23:44:05 +08:00
c9s
859bf35255 set sync-from from config by default 2021-05-05 16:45:17 +08:00
c9s
0fbc388333 add --webserver-bind option and add option to --enable-webserver 2021-05-03 17:24:39 +08:00
c9s
20d673f769 add schedule strategy 2021-05-02 18:03:41 +08:00
c9s
471e0a4c45 pass string format quantity and price 2021-04-28 19:48:17 +08:00
zenix
2bda296194 Fix: upgrade binance api, fix go fmt, add hard start time for binance to reduce sync execution time 2021-04-21 19:50:33 +09:00
c9s
34fe915a9f fix sync issue for pnl command 2021-04-09 12:43:13 +08:00
c9s
d315c12f2d call environ.Init to setup sessions 2021-04-09 00:46:36 +08:00
ycdesu
e152aa1036 ftx: trade update 2021-03-29 22:11:39 +08:00
ycdesu
f60f1ef52e ftx: authenticate websocket 2021-03-27 18:16:52 +08:00
ycdesu
24254a869d ftx: invoke SetPublicOnly in orderbook command 2021-03-27 17:37:16 +08:00
ycdesu
9e77b3afd8 ftx: support queryTrades method 2021-03-26 00:43:15 +08:00
YC
80e5144950 Merge pull request #184 from c9s/ftx/add-missing-query-string 2021-03-24 16:26:33 +08:00
ycdesu
33046df35b ftx: list closed orders 2021-03-23 22:25:21 +08:00
ycdesu
cb52b436cb ftx: add log 2021-03-23 22:25:05 +08:00
c9s
29f77c2176 add environ.DatabaseService nil check for backtest 2021-03-22 22:48:43 +08:00
c9s
6c8babfb27 allow public session 2021-03-22 17:40:17 +08:00
c9s
e86f29b7cc add gap strategy 2021-03-22 17:32:21 +08:00
ycdesu
ab743f85c2 ftx:support deposit histories 2021-03-21 20:17:41 +08:00
ycdesu
c30a026243 ftx: support market cmd 2021-03-21 13:06:46 +08:00
c9s
814a77ea39 xmaker: improve balance checking 2021-03-21 12:55:33 +08:00
ycdesu
a7bdcdff38 fix: fix placeorder cmd 2021-03-19 10:07:39 +08:00
ycdesu
8a75b21a38 ftx: support account info 2021-03-18 23:53:55 +08:00
Larry850806
28f4584191 Use empty config if config file doesn't exist 2021-03-18 10:04:41 +08:00
Larry850806
4dc478590f Remove configuring database in balances cmd 2021-03-17 14:35:00 +08:00
Yo-An Lin
7ecb17dbe2 Merge pull request #163 from c9s/feature/mark-trade-strategy 2021-03-16 22:34:09 +08:00
c9s
714d61a829 add grid restore behavior 2021-03-16 20:04:06 +08:00
ycdesu
c08899f7fb ftx: add ftx to supported exchange 2021-03-15 20:40:04 +08:00
c9s
7b7811bbc3 revise orderbook command options 2021-03-15 10:23:53 +08:00
c9s
97d427a9ca add ftx into the standard exchange factory 2021-03-15 10:22:45 +08:00
Yo-An Lin
e0d7fefbf2 Merge pull request #150 from c9s/fix/pnl 
feature: add deposit service and withdraw service for sync
 2021-03-15 09:01:24 +08:00
Yo-An Lin
806a32724f Merge pull request #153 from c9s/improve/balances-cmd 2021-03-14 11:51:49 +08:00
c9s
4b49fda463 refactor sync service 2021-03-14 11:18:22 +08:00
c9s
22a9809327 improve balances command 2021-03-14 10:35:01 +08:00
c9s
33213746f4 cmd: add --all option to the cancel command 2021-03-14 10:29:45 +08:00
ycdesu
a83b95d262 ftx: implemenet place order func 2021-03-13 10:41:04 +08:00
ycdesu
c3a677e2b8 ftx: rename orders cmd to listorders 2021-03-13 10:41:04 +08:00
Yo-An Lin
b58e96a8a2 Merge pull request #148 from jnlin/fix/telegram-config 2021-03-10 12:42:28 +08:00
Jui-Nan Lin
19e523c1e9 fix: typo of telegram bot auth token 2021-03-10 12:31:26 +08:00
ycdesu
6599f276db ftx: implement query open orders 2021-03-07 12:51:13 +08:00
ycdesu
be7c393fcb ftx: print orderbook update 2021-03-04 10:02:40 +08:00
ycdesu
081aa17deb doc: modify comment 2021-03-03 08:38:55 +08:00
ycdesu
160f6323e8 ftx: emit orderbook snapshot 2021-03-02 22:18:41 +08:00
ycdesu
a26c0553ee cmd: raise symbol not found err 2021-03-02 18:33:19 +08:00
ycdesu
f7ef4a8028 cmd: create orderbook command to print orderbook snapshot and updates 2021-02-27 19:28:01 +08:00
ycdesu
282ce3ee99 cmd: move simple session factory to cmd/utils.go 2021-02-27 18:42:45 +08:00
ycdesu
fd5574b006 cmd: add balances testing cmd 
Only support ftx
 2021-02-27 17:24:59 +08:00
ycdesu
45da7ca1f5 cmd: add ftx flags 2021-02-27 17:23:59 +08:00
c9s
21a4669905 adjust max query limiter and sync before running trader 2021-02-22 16:54:08 +08:00