569 Commits

Author	SHA1	Message	Date
c9s	d3fa0a964b	bbgo: add slack attachment support for profit	2021-10-14 01:27:50 +08:00
c9s	b6b2e33cc0	extend profit stats fields for quote,base currency and symbol	2021-10-14 01:26:36 +08:00
c9s	5039a43413	bbgo: move pnl formating to the bbgo package	2021-10-14 01:26:11 +08:00
c9s	e1e6d1de12	bbgo: add net profit margin field to profit stats	2021-10-14 01:26:04 +08:00
c9s	44a0b10240	bbgo: load last price from 1m interval kline only	2021-10-14 00:37:40 +08:00
c9s	37ac907c0f	profitstats: add accumulated volume	2021-10-12 11:24:28 +08:00
c9s	d9dc7e31df	extend more fields	2021-10-12 11:24:24 +08:00
c9s	45645d0a3d	use the profit struct to pass profit info	2021-10-08 19:16:40 +08:00
c9s	fac14a8c7f	profitstats: add netProfit field	2021-10-08 15:09:55 +08:00
c9s	aadb1ed389	remove MakerExchange from the core profit stats field	2021-10-08 15:00:53 +08:00
c9s	d058125f78	bbgo: refactor profit stats	2021-10-08 14:57:44 +08:00
c9s	9e1d28f3b3	do not remove order if it's partially filled	2021-10-08 14:17:47 +08:00
c9s	ded740107f	bbgo: refactor TradeCollector bind stream for background and foreground	2021-10-08 13:24:07 +08:00
c9s	8ada9eef02	bbgo: optimize AdjustQuantityByMaxAmount, early return	2021-10-08 12:09:05 +08:00
c9s	7fb4d2f78d	return positionChanged for Process method	2021-10-05 21:44:39 +08:00
c9s	5dd2f568fe	add doc comment for trade collector	2021-10-05 21:39:10 +08:00
c9s	45c875fe7c	bbgo: improve trade collect process	2021-10-05 21:30:06 +08:00
c9s	8d01c97240	fix cyclic import issue	2021-08-26 11:46:02 +08:00
c9s	1f94ae1c19	bbgo: move moving average settings struct into bbgo	2021-08-26 11:32:39 +08:00
c9s	3ab4a570fb	bbgo: limit max kline slice	2021-06-28 14:33:32 +08:00
c9s	06a1f018c2	bbgo: push to the buffer first	2021-06-26 20:26:47 +08:00
c9s	7d853a9c74	bbgo: add emit position update	2021-06-26 20:26:47 +08:00
c9s	ecd2d9ea68	bbgo: improve trade collector callbacks	2021-06-26 20:26:47 +08:00
c9s	db4fbbc30c	bbgo: add trade collector	2021-06-26 20:26:47 +08:00
c9s	65629a77f4	bbgo: add two new position constructor	2021-06-26 20:26:47 +08:00
c9s	3d12a7df59	support: add sensitivity settings	2021-06-16 13:14:10 +08:00
c9s	e276ddd38a	bbgo: add shared local time zone	2021-06-16 13:04:23 +08:00
c9s	e23c459697	bbgo: move orderbook to the session level so that we can access it eaiser	2021-06-16 13:04:23 +08:00
c9s	2614b25de3	types: move fiat currency list to types	2021-06-16 13:04:23 +08:00
c9s	e5db780be8	notify trades and update position	2021-06-01 01:39:22 +08:00
c9s	c84d59734c	clear all trades before running backtests	2021-05-30 15:25:00 +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	38fd5422ab	xmaker: use uncovered position	2021-05-30 14:46:48 +08:00
c9s	8d31435ded	add trade store	2021-05-29 00:25:23 +08:00
c9s	5f18b89dfa	if publicOnly is set, we should not connect user data stream	2021-05-28 19:01:55 +08:00
c9s	f190b1e66a	fix market data stream initialization	2021-05-28 03:17:46 +08:00
c9s	7d62a7634b	set market data stream to public	2021-05-27 15:11:44 +08:00
c9s	b7c87c7744	core: move market data subscription to market data stream	2021-05-27 15:09:18 +08:00
c9s	45f1a13870	rename Stream field to UserDataStream and add MarketDataStream	2021-05-27 14:45:06 +08:00
c9s	2381df5009	add okex to the exchange factory	2021-05-27 00:35:51 +08:00
zenix	3d2a27fc10	Fix: nil pointer exception in indicator creation, add stoch util func	2021-05-26 00:20:31 +00:00
c9s	9c70e36e1b	save average cost with feeInQuote in the ApproximateAverageCost	2021-05-23 01:05:11 +08:00
c9s	d2e299a68a	improve position comment	2021-05-23 00:42:57 +08:00
c9s	9efb45b133	reduce side book copy	2021-05-23 00:42:44 +08:00
c9s	9b9643e1f9	improve order cancellation mechanisim	2021-05-22 17:44:20 +08:00
c9s	289227e5f3	add exists method for active book	2021-05-22 17:44:07 +08:00
c9s	0a908e5dda	fix position test for net profit	2021-05-22 17:43:53 +08:00
c9s	cca3284140	separate net profit and profit	2021-05-22 17:17:37 +08:00
c9s	8acada76a9	replace sliceorderbook with orderbook interface	2021-05-22 16:32:29 +08:00
c9s	fd710d533f	implement tree copy method	2021-05-22 12:18:08 +08:00
c9s	56b2c8845b	fix preorder, postorder and inorder	2021-05-22 11:36:58 +08:00
c9s	4fde442722	Add position Reset function	2021-05-21 00:08:04 +08:00
c9s	d737ab678f	support removing filled orders from the order store	2021-05-21 00:07:43 +08:00
c9s	422e85e3a3	twap: fix stop price check	2021-05-18 13:53:51 +08:00
c9s	896518f5c2	check if restQuantity is less than 0	2021-05-18 13:44:57 +08:00
c9s	21f7fa7846	twap: fix tick spread calculation	2021-05-18 13:38:23 +08:00
c9s	f6f1226bd0	integrate bollband indicator into xmaker	2021-05-17 20:04:13 +08:00
c9s	e7c718ee15	assign fee rate to position	2021-05-16 17:58:51 +08:00
c9s	187a9c795b	use exchange fee rate as a reference for profit	2021-05-16 17:50:08 +08:00
c9s	d0e4a5e65c	move addTrade lock section	2021-05-16 17:05:12 +08:00
c9s	e636a5008d	replace Exchange field type with ExchangeName	2021-05-16 17:02:23 +08:00
c9s	0a016cba75	split maker fee and taker fee	2021-05-16 16:50:26 +08:00
c9s	a4381a54a3	add fee rate field	2021-05-16 15:03:36 +08:00
c9s	c9cdf31df1	add pnl emoji	2021-05-16 01:16:03 +08:00
c9s	942eaac659	improve message formatting	2021-05-16 00:45:08 +08:00
c9s	1f449eca7f	implement SlackAttachment interface on Position	2021-05-15 23:50:03 +08:00
c9s	c85456b8e8	lock position for fetching base quantity	2021-05-15 10:06:48 +08:00
c9s	531799bdfb	use mutex composition since we may lock from out side	2021-05-15 10:05:39 +08:00
c9s	8071559f99	position: use pointer receiver	2021-05-15 10:02:04 +08:00
c9s	a636cdaec9	add mutex to Position since position could be changed from 2 goroutine	2021-05-15 10:01:41 +08:00
c9s	aa340f0db3	always check restQuantity	2021-05-15 10:00:32 +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	ae256ce9d3	add more quantity adjustment fix	2021-05-15 09:23:41 +08:00
c9s	356a8b77ac	adjust updateLimiter to 3 seconds one time	2021-05-15 09:20:46 +08:00
c9s	445feb016a	support price ticks option	2021-05-14 15:35:11 +08:00
c9s	bb34b1002a	improve order execution graceful shutdown	2021-05-14 14:53:26 +08:00
c9s	dc040bb82b	improving logs	2021-05-14 14:53:26 +08:00
c9s	f69cbe9c31	add basic TwapExecution	2021-05-14 14:53:26 +08:00
c9s	c8b97629e0	add NumOfOrders method on active book	2021-05-14 14:53:26 +08:00
c9s	a49cf531b5	fix cross exchange order executor for the basic risk control	2021-05-12 19:02:09 +08:00
c9s	98e0390c1d	improve slack notification	2021-05-12 12:43:03 +08:00
c9s	807c049d63	refactor notifiers and add liquidity field to the trade	2021-05-12 12:37:48 +08:00
c9s	85e1b6b1c7	move field assignment	2021-05-12 12:05:54 +08:00
c9s	df11112d64	refactor exchange session initialization	2021-05-12 12:05:54 +08:00
c9s	8d63647104	assign session.Withdrawal	2021-05-12 12:05:54 +08:00
c9s	29b7326f19	add withdrawal property to the exchange session	2021-05-12 12:05:54 +08:00
zenix	ba091dccf6	Fix: binance's cancel update is sent through New status with 0 quantity	2021-05-11 06:57:09 +00:00
c9s	95d58e9385	adjust hedge quantity according to the hedge account balances	2021-05-10 20:13:23 +08:00
c9s	ddab6083d4	xmaker: support quantity scale	2021-05-10 02:52:41 +08:00
c9s	ce63641d70	print otp auth guide when session is loaded	2021-05-10 01:38:19 +08:00
c9s	3f8f5616d7	add more order info the local order book printing	2021-05-09 20:03:16 +08:00
c9s	e06310da26	print unhandled order status	2021-05-09 19:44:43 +08:00
c9s	d01abffde3	add todo for the backtest trades	2021-05-08 01:09:06 +08:00
c9s	6bbd66a4f9	split environment start and init	2021-05-08 00:45:24 +08:00
c9s	494a270c54	insert trades to db only when backtest service is nil	2021-05-07 01:50:38 +08:00
c9s	584a4c2ef8	move fiat currency definition out	2021-05-07 01:30:09 +08:00
c9s	1ad8b0b641	remove unused SourceDir func	2021-05-04 01:06:20 +08:00
c9s	50db944053	fix initSymbol stages	2021-05-02 23:58:34 +08:00
c9s	2230c56e56	fix comment warning	2021-05-02 23:48:53 +08:00
c9s	2ef13293e9	fix IDE warnings	2021-05-02 23:47:57 +08:00
c9s	5ec0566888	add more injection checks	2021-05-02 23:46:16 +08:00
c9s	822a010932	add moving average configuration to the schedule strategy	2021-05-02 20:58:32 +08:00
c9s	e29d9af9c8	fix persistence config unmarshalling	2021-05-02 18:16:34 +08:00
c9s	9f77236999	fix and improve position accessor	2021-04-28 19:32:49 +08:00
c9s	70a53ed286	make config compatible with key 'strategies'	2021-04-28 17:58:50 +08:00
c9s	2ec4617694	add SyncService check	2021-04-09 12:44:30 +08:00
c9s	34fe915a9f	fix sync issue for pnl command	2021-04-09 12:43:13 +08:00
Larry850806	dbf5d27f30	Add a validator interface to validate strategy before run	2021-04-02 10:12:55 +08:00
c9s	6c8babfb27	allow public session	2021-03-22 17:40:17 +08:00
c9s	088b22f338	support bbgo-no-cache option	2021-03-22 17:32:21 +08:00
c9s	814a77ea39	xmaker: improve balance checking	2021-03-21 12:55:33 +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	a95c3b94a0	core: set default store ID	2021-03-18 17:20:07 +08:00
Yo-An Lin	40b376802e	Merge pull request #168 from c9s/feature/mark-trade-strategy	2021-03-18 10:31:59 +08:00
c9s	85b6cb81a2	make local active orderbook json marshallable	2021-03-18 01:15:06 +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
Yo-An Lin	f5b65e795e	Merge pull request #160 from c9s/feature/grid-options	2021-03-16 12:59:14 +08:00
c9s	40fded70b2	reformat scale.go	2021-03-16 02:14:10 +08:00
c9s	2f7c7d344b	move emitStart method call into the stream Connect method	2021-03-16 01:32:27 +08:00
c9s	7951c38edc	skip connection if there is no subscription	2021-03-16 01:31:56 +08:00
ycdesu	c08899f7fb	ftx: add ftx to supported exchange	2021-03-15 20:40:04 +08:00
c9s	c3996aee2b	add Backup method to the local active order book	2021-03-15 18:25:36 +08:00
c9s	e311a182fa	add onStart callbacks	2021-03-15 18:04:03 +08:00
c9s	9f7af3ce82	assign SubAccount name to the new exchange session	2021-03-15 17:51:17 +08:00
c9s	e8ccc5eabf	pass SubAccount field to the factory	2021-03-15 10:23:00 +08:00
c9s	2eda012f43	add SubAccount field to the exchange session config	2021-03-15 10:13:41 +08:00
c9s	4b49fda463	refactor sync service	2021-03-14 11:18:22 +08:00
ben	40eadfeaca	add yaml tag for mapping basic risk control order executor.	2021-03-01 13:44:58 +08:00
Yo-An Lin	592a8d87ae	Merge pull request #137 from c9s/feature/scale ... feature: add exp scale and log scale formula	2021-02-28 16:13:38 +08:00
c9s	b71ea867c5	ignore sync if sync service is nil	2021-02-28 15:05:49 +08:00
c9s	da79920ca9	rename scale struct name to PriceVolumeScale	2021-02-28 14:51:24 +08:00
c9s	83111c9eb9	test exponential scale with reverse range	2021-02-28 12:12:03 +08:00
c9s	99f236d2e0	integrate quantity scale into support strategy and grid strategy	2021-02-28 11:57:25 +08:00
c9s	bf87fbbf55	add LinearScale	2021-02-28 02:20:47 +08:00
c9s	8572df2cb3	add link to TestQuadraticScale	2021-02-28 02:07:48 +08:00
c9s	83af52c53b	add QuadraticScale	2021-02-28 02:06:33 +08:00
c9s	52395fd460	add log scale graph link	2021-02-28 01:55:35 +08:00
c9s	fbb8837c5c	add exp scale and log scale formula	2021-02-28 01:53:45 +08:00
c9s	5a7cf05701	integrate reward service into the sync service	2021-02-23 16:39:48 +08:00
c9s	73cb80ee96	improve logging	2021-02-22 17:06:43 +08:00
c9s	eaad414706	adjust max api call rate limiting	2021-02-22 15:01:05 +08:00
c9s	724dad70bb	remove trade sync from environ init	2021-02-22 14:14:39 +08:00
c9s	84775652fe	remove defer wrapper func	2021-02-22 13:49:26 +08:00
c9s	63ebbc0e73	fix frontend sync status checking	2021-02-21 19:36:03 +08:00
c9s	3629a1f5a2	pre-save syncing var for return	2021-02-21 18:54:48 +08:00
c9s	a8516edb98	add Get method to the persistence service facade	2021-02-21 16:55:45 +08:00
c9s	21b092037e	refactor notification configuration	2021-02-21 16:52:47 +08:00
c9s	fa4e813729	resolve cyclic imports	2021-02-21 01:01:39 +08:00
c9s	6845db6dd3	refactor database configure method	2021-02-21 00:58:34 +08:00
c9s	12ed5a1efe	move persistence service into the service package	2021-02-21 00:45:56 +08:00
c9s	be00aae81e	move trade configuration to the trader struct method	2021-02-20 12:23:31 +08:00
c9s	7684099f01	add /api/environment/syncing api	2021-02-20 11:54:48 +08:00
c9s	4ce6e85624	add sync status to the environment	2021-02-20 11:29:33 +08:00
c9s	dd13b9a8bf	remove start time query condition for trade sync since starting from trade id = 1 works	2021-02-19 14:18:50 +08:00
c9s	44fa74a4c9	refactor session sync	2021-02-19 10:42:24 +08:00
c9s	390c9b1a4b	move Sync method into the sync service	2021-02-19 10:26:13 +08:00
c9s	eaa8c647b5	refactor session sync	2021-02-18 22:40:46 +08:00
c9s	b2bcd3528c	use sqlx for testing connection	2021-02-17 17:35:54 +08:00
c9s	a1cb3859c3	fix db driver setup	2021-02-17 14:57:29 +08:00
c9s	3867fdde91	add stringer interface to Position	2021-02-16 16:40:11 +08:00
c9s	e3d3eacb78	fix trade service injection	2021-02-16 16:30:01 +08:00
c9s	8ae4cab550	inject TradeService field if we found it	2021-02-16 16:14:49 +08:00
c9s	c75eb6b5ba	pull out Persistence injection to the common injection	2021-02-16 16:13:52 +08:00
c9s	5c1630f000	refactor strategy executor	2021-02-16 16:12:00 +08:00
c9s	fc4419b49b	refactor injection	2021-02-16 15:58:21 +08:00
c9s	1c2646b0af	add Test_injectField	2021-02-16 15:49:57 +08:00
c9s	c219dc7be0	add test code for testing migration scripts	2021-02-15 21:04:44 +08:00
c9s	f8378957ee	add more checks for bollgrid ... related to #93	2021-02-13 16:03:31 +08:00
c9s	ffa001fc29	fix quantity format	2021-02-11 00:21:56 +08:00
c9s	57435419b4	add marketData label	2021-02-10 22:40:36 +08:00
ycchen	6655e16889	minor tweaks	2021-02-08 22:41:44 +01:00
ycchen	61c98432f2	feat: tickers for asset calculation	2021-02-08 22:41:44 +01:00
c9s	99b56003eb	clean up legacy db connection handling with the new database service	2021-02-06 11:22:04 +08:00
c9s	276b6c1e48	drop the legacy upgradeDB	2021-02-06 11:22:04 +08:00
c9s	de51eb29e4	refactor db stuff with database service	2021-02-06 11:22:04 +08:00
c9s	d8d1249293	fix env var prefix by using os.Getenv directly	2021-02-04 15:14:54 +08:00
c9s	c35cef5b09	implement config saving api	2021-02-03 17:27:18 +08:00
c9s	f7a4f7d415	add strategies endpoint and strategy review page	2021-02-03 15:00:01 +08:00
c9s	705edc38c0	implement config yaml dummper	2021-02-03 09:58:31 +08:00
c9s	098a966813	add test case for config.Map method	2021-02-03 09:34:53 +08:00
c9s	1a2c3556a8	add ID method to the TestStrategy	2021-02-03 09:09:19 +08:00
c9s	7904c6f4d0	add ID() to Strategy interface	2021-02-03 09:08:05 +08:00
c9s	8aa96c4546	integrate strateg adding api	2021-02-03 02:26:41 +08:00
c9s	578451bb51	add setup flag to run server	2021-02-02 18:17:58 +08:00
c9s	17d5e301dc	refine setup steps	2021-02-02 17:26:35 +08:00
c9s	73762d9888	support exchange session test from the setup wizard	2021-02-02 11:44:07 +08:00
c9s	a60aeb4771	pull out .Subscribe from trader.Run	2021-02-01 20:44:15 +08:00
c9s	ddcc8ae4ee	move ExchangeOrderExecutor into exchange session	2021-02-01 20:44:15 +08:00
c9s	de8e717a41	refactor session initialization function	2021-02-01 20:44:15 +08:00
c9s	fbbe304dfb	add trades query api	2021-01-29 18:48:00 +08:00
c9s	cc8133a90e	print order query sql	2021-01-29 18:34:03 +08:00
c9s	32645f228b	add order query api	2021-01-29 13:15:44 +08:00
c9s	be750b94df	fix layout and margin	2021-01-29 12:55:11 +08:00
c9s	8031c6066e	mount static files to routes	2021-01-29 11:19:37 +08:00
c9s	78890834b5	support symbol segment	2021-01-28 18:51:35 +08:00
c9s	9ee49ea3f1	Add TradingVolumeBar	2021-01-26 18:10:08 +08:00
c9s	95129e94d7	add lastPrcieUpdatedAt timestamp for checking last price cache	2021-01-26 17:23:40 +08:00