82 Commits

Author	SHA1	Message	Date
c9s	234932bc0c	add kline dumper	2022-05-09 18:03:03 +08:00
c9s	6f16f32e16	optimize single exchange back-test	2022-05-09 17:03:01 +08:00
c9s	c9c16f1e47	show missing exchange name in the back-test config	2022-05-03 16:46:38 +08:00
c9s	946bbdbca3	backtest: rename backtest.account to backtest.accounts	2022-05-03 12:18:40 +08:00
zenix	2a942eab0e	fix: rename EVWMP to VWEMP, fix backtesting fee	2022-04-15 19:12:11 +09:00
ankion	ccb7fe39fa	backtest: fix order cancel fail when run order cancel on the filled event.	2022-03-16 15:01:19 +08:00
zenix	d6995e40ff	fix: submit order on userDataStream == nil	2022-03-15 20:51:15 +09:00
zenix	25b5eddc03	feature: add multiple exchange support in backtest ... fix: change doc, since --exchange removed from backtest fix: test for config changes	2022-03-07 13:18:56 +09:00
c9s	0c09e6b32a	use global timeInForce type	2022-02-18 13:52:13 +08:00
zenix	8648528435	fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests	2022-02-15 14:55:19 +09:00
zenix	05521a98b6	add skeleton strategy. fix most of the tests. fix final asset value	2022-02-15 12:01:39 +09:00
zenix	d9450e823e	fix all the fixedpoint use other than strategy	2022-02-15 12:01:39 +09:00
c9s	0667c138ab	backtest: fix duplicate trade emit issue	2022-01-30 03:05:19 +08:00
c9s	e595b9acb2	backtest: should panic if last price is zero	2022-01-30 02:41:00 +08:00
c9s	ec8129ab87	backtest: fix market order fee calculation	2022-01-30 02:00:30 +08:00
c9s	78855d552a	backtest: fix backtest trade for market order	2022-01-30 01:37:24 +08:00
c9s	2255f3ed0a	bollmaker: check dust order for stop	2022-01-29 17:44:42 +08:00
c9s	007207e24f	all: use types.LooseFormatTime to parse loose format date time string	2022-01-25 00:24:12 +08:00
zenix	213ceeda82	fix: #431 for not updating lastPrice if no tade happened	2022-01-21 20:57:55 +09:00
austin362667	91d2312c5c	cache: refactor moving from bbgo to pkg/cache	2022-01-15 08:28:02 +08:00
c9s	cb189d885c	fix backtest for limit maker order and bollpp strategy	2022-01-08 02:18:44 +08:00
c9s	dd22776a7e	cmd: refactor the exchange factory function	2021-12-25 23:27:05 +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	f5bbe29ac6	cmd: fix debug flag loading and add debug log to cache function	2021-12-23 23:02:07 +08:00
c9s	562c287a4e	all: move publicOnly to StandardStream	2021-12-23 17:49:18 +08:00
c9s	cfd68fdd1d	all: change trade id to uint64	2021-12-23 17:49:18 +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
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