901 Commits

Author	SHA1	Message	Date
c9s	60d2ac1616	ewoDgtrd: clean up embedded struct	2022-06-22 15:37:02 +08:00
c9s	5d72ffaa0f	rsmaker: remove embedded bbgo.Persistence	2022-06-22 13:52:40 +08:00
c9s	51a2f14af7	rsmaker: remove unused vars	2022-06-22 13:52:18 +08:00
c9s	bae685d63d	rsmaker: refactor ClosePosition method	2022-06-22 13:51:36 +08:00
c9s	09d0a9bbc7	pivotshort: clean up ClosePosition method	2022-06-22 13:46:04 +08:00
c9s	dbc6d4fb44	bollmaker: refactor ClosePosition method	2022-06-22 13:46:04 +08:00
c9s	b3160815ff	dca: use order executor to close position	2022-06-22 13:46:04 +08:00
c9s	929ffc3e5e	dca: clean up	2022-06-22 13:46:04 +08:00
c9s	a5cb8355d4	dca: rewrite dca with the new order executor	2022-06-22 13:46:04 +08:00
c9s	5fe0f5a299	pull out bollinger settings	2022-06-22 13:46:04 +08:00
c9s	b75da154a8	rsmaker: remove legacy state struct	2022-06-22 13:46:04 +08:00
c9s	16eeeb852c	rsmaker: drop the legacy persistence state	2022-06-22 13:46:04 +08:00
c9s	3e5d252c10	rsmaker: clean up and remove unused code ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-22 13:46:04 +08:00
c9s	2cd44b194a	pivotshort: remove persistence from pivotshort	2022-06-22 13:46:04 +08:00
c9s	46691d5ae1	strategy/xbalance: update xbalance persistence usage	2022-06-22 13:46:04 +08:00
c9s	3112b40634	support: remove unused const	2022-06-22 13:46:03 +08:00
c9s	6ef54bf2fb	call bbgo.Sync to sync persistence	2022-06-22 13:46:03 +08:00
Yo-An Lin	d53176acdf	Merge pull request #746 from andycheng123/improve/pivotshort-control ... pivotshort: add strategy controller	2022-06-21 01:24:47 +08:00
Yo-An Lin	223b3dd95f	Merge pull request #747 from andycheng123/improve/supertrend-strategy ... strategy/supertrend: use new order executor api	2022-06-21 01:23:53 +08:00
Yo-An Lin	0e877b789e	Merge pull request #748 from andycheng123/improve/bollmaker ... bollmaker: remove redundant code for adapting new order executor api	2022-06-21 00:26:41 +08:00
austin362667	2f18ea230a	rsmaker: refactor active OB	2022-06-20 17:23:13 +08:00
austin362667	c227272542	rsmaker: add bulit-in strategy ... rsmaker: clean up	2022-06-20 17:23:13 +08:00
Andy Cheng	cc7b8c83ed	bollmaker: remove redundant code for adapting new order executor api	2022-06-20 13:47:17 +08:00
Andy Cheng	aa9296e8d5	strategy/supertrend: use new order executor api	2022-06-20 13:39:07 +08:00
Andy Cheng	24844052d2	pivotshort: add strategy controller	2022-06-20 11:39:18 +08:00
c9s	2a1beddba4	support: fix support strategy stop order update	2022-06-19 17:49:38 +08:00
c9s	f035667f37	support: refactor trailing stop order management	2022-06-19 17:23:10 +08:00
c9s	b6d1b4309b	refactor and update the support strategy	2022-06-19 15:57:59 +08:00
c9s	cb9ce753e2	strategy/bollmaker: refactor and clean up	2022-06-19 13:40:10 +08:00
c9s	156219456b	all: clean up bbgo.Notifiability	2022-06-19 13:05:02 +08:00
c9s	88a63df186	all: clean up notifiability usage	2022-06-19 13:01:22 +08:00
c9s	eacd1f1ae6	all: rewrite notification api ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-19 12:29:36 +08:00
c9s	88e83c944c	pivotshort: clean up log	2022-06-19 11:21:07 +08:00
c9s	c80fe1af33	pivotshort: call BindTradeStats	2022-06-18 16:32:53 +08:00
c9s	6cae9e7449	move GeneralOrderExecutor into bbgo package	2022-06-18 16:31:53 +08:00
c9s	d367186f3e	pivotshort: clean up and pull out order executor	2022-06-18 15:27:11 +08:00
c9s	47e76a9eb5	pivotshort: refactor and redesign order executor ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-18 12:30:42 +08:00
c9s	0326c34013	pivotshort: pull out GeneralOrderExecutor	2022-06-18 11:45:24 +08:00
c9s	807a3e125c	pivotshort: split trade collector callbacks	2022-06-18 10:54:06 +08:00
zenix	a5ffca7fe8	fix: gosimple alert	2022-06-17 20:19:51 +09:00
zenix	55fa4cc8f1	fix: apply gofmt on all files, add revive action	2022-06-17 16:06:59 +09:00
Andy Cheng	5c8cc397f9	Merge pull request #720 from andycheng123/fix/supertrend ... fix: fix strategy supertrend	2022-06-17 10:26:09 +08:00
Andy Cheng	55f36b2f3e	supertrend: add comment to make the condition clearer	2022-06-17 10:15:54 +08:00
Andy Cheng	f6770df50f	supertrend: log with symbol	2022-06-16 17:14:50 +08:00
なるみ	50fbf0727e	types: move valuemap and floatmap to types	2022-06-16 16:44:27 +08:00
なるみ	5799497a09	marketp: add marketcap strategy	2022-06-16 16:44:02 +08:00
なるみ	8d9faff859	rebalance: validate symbols	2022-06-16 10:44:13 +08:00
なるみ	3d0ad010eb	rebalance: replace Float64Slice by ValueMap	2022-06-16 10:44:13 +08:00
なるみ	ad98cf883c	rebalance: remove unused subscriptions	2022-06-16 01:33:28 +08:00
なるみ	21a793e16b	rebalance: rename variable	2022-06-16 01:33:28 +08:00
なるみ	87adf694b1	rebalance: manage active order book without specifying symbol	2022-06-16 01:33:28 +08:00
なるみ	a4814951d4	rebalance: remove ignoreLock and simplify code	2022-06-16 01:33:28 +08:00
なるみ	f19e1fdf87	rebalance: rename methods	2022-06-16 00:22:19 +08:00
Andy Cheng	91e4003520	strategy: prevent supertrend from open extra position	2022-06-15 12:22:26 +08:00
c9s	5aa2f8a681	xmaker: skip quoting if bb value is zero	2022-06-15 01:18:46 +08:00
c9s	5210b97a23	xmaker: update klines to boll indicator	2022-06-15 01:17:41 +08:00
c9s	b47d103cf8	xmaker: pull out band value to fixedpoint	2022-06-15 01:13:54 +08:00
zenix	bf6726a529	fix: output color output to stderr	2022-06-14 14:41:41 +09:00
zenix	28d01486ee	clean: clean code, add comments, add more report on exit	2022-06-14 14:41:41 +09:00
zenix	0ff3d94919	refactor: ewo choose ma	2022-06-14 14:41:41 +09:00
zenix	b5b1719045	feature: filter signal by ewo histogram and 3*atr entry	2022-06-14 14:41:41 +09:00
c9s	a506a00001	xmaker: fix position notify	2022-06-13 12:04:35 +08:00
c9s	5949c7587e	make bounce short optional	2022-06-11 16:41:56 +08:00
c9s	3d0c0717ba	pivotshort: fix bounce short	2022-06-11 16:33:21 +08:00
c9s	ec68dc2f40	reimplement placeBounceSellOrders	2022-06-11 00:26:44 +08:00
c9s	46450c0122	pivotshort: rename pivotLength to window and update indicator manually	2022-06-10 15:34:57 +08:00
c9s	91b9605884	pivotshort: manually update pivot indicator	2022-06-10 15:18:12 +08:00
c9s	a9d2a9e57a	pivotshort: add breakLow.bounceRatio option	2022-06-10 11:36:04 +08:00
Yo-An Lin	aeae2d58c9	Merge pull request #699 from c9s/strategy/pivot ... pivotshort: add roiMinTakeProfitPercentage option and cumulatedVolume…	2022-06-10 02:47:13 +08:00
c9s	35a58268cf	pivotshort: add roiMinTakeProfitPercentage option and cumulatedVolume option	2022-06-10 02:39:14 +08:00
Yo-An Lin	449186f460	Merge pull request #697 from andycheng123/fix/supertrend ... strategy: remove redundant code	2022-06-10 01:29:45 +08:00
c9s	e575236db8	pivotshort: adjust shadow ratio calculation	2022-06-10 01:21:59 +08:00
c9s	260857b5b1	pivotshort: add TradeStats	2022-06-10 00:49:32 +08:00
c9s	a8134561f5	pivotshort: add stopEMA	2022-06-09 18:16:32 +08:00
c9s	aa2ba265f1	pivotshort: refactor and add more fix	2022-06-09 17:36:22 +08:00
Andy Cheng	2e3badc0da	strategy: remove redundant code	2022-06-09 16:37:19 +08:00
c9s	4f9ac6f3fb	pivotshort: move notification message to make log clean	2022-06-09 15:50:43 +08:00
c9s	5a809f60e0	pivotshort: fix order cancel step	2022-06-09 13:26:30 +08:00
c9s	4b08e93758	rename st = store	2022-06-09 12:34:23 +08:00
c9s	e17535e651	pivotshort: fix position close bugs	2022-06-09 12:34:23 +08:00
c9s	1bfc125a52	gracefully cancel order before closing position	2022-06-09 12:34:23 +08:00
c9s	77b704b6ec	move some methods back for refactoring	2022-06-09 12:34:22 +08:00
austin362667	3c40f9e90e	pivotshort: improve market sell when breaks previous pivot low only ... pivotshort: improve market sell when breaks previous pivot low only	2022-06-09 12:34:22 +08:00
zenix	7a045a48d4	fix: drift window in factorzoo, order_execution print order, refactor: use defer to mu.Unlock in depth/buffer.go	2022-06-08 12:14:53 +09:00
zenix	9dd8dbbede	feature: add drift indicator, split heikinashi's Queue	2022-06-08 01:21:18 +08:00
c9s	9a29843477	add dca strategy	2022-06-07 20:26:44 +08:00
Andy Cheng	9836fbbf82	strategy: rebase	2022-06-07 16:49:43 +08:00
Andy Cheng	34465fac89	Merge pull request #653 from andycheng123/strategy/supertrend ... strategy: add supertrend strategy	2022-06-07 16:25:49 +08:00
Andy Cheng	ee26d6ce34	strategy: Persistence.Sync() after position change	2022-06-07 16:04:40 +08:00
Yo-An Lin	037f2949bd	Merge pull request #678 from andycheng123/fix/interact ... interact: fix missing make()	2022-06-07 12:31:53 +08:00
c9s	32837d85a0	fix fmaker	2022-06-07 12:31:06 +08:00
Yo-An Lin	16e9535b8c	Merge pull request #638 from austin362667/strategy/f1 ... strategy: add fmaker	2022-06-07 12:24:26 +08:00
Andy Cheng	8410b1cc33	interact: update interact test	2022-06-06 17:34:39 +08:00
c9s	b209d94a9c	rename active order book constructor function	2022-06-06 06:57:25 +08:00
c9s	4dafa32e97	strategy: should always handle trade even if the strategy status is not running	2022-06-06 06:56:44 +08:00
c9s	3786fc64f1	rename LocalActiveOrderBook to just ActiveOrderBook	2022-06-06 05:43:38 +08:00
c9s	1e27caa5e2	flashcrash: update local active book usage	2022-06-05 21:45:43 +08:00
c9s	1d340256ea	fix and simplify LocalActiveOrderBook	2022-06-05 18:12:26 +08:00
c9s	016ddfd8cd	pivotshort: also check isClosed	2022-06-05 13:14:17 +08:00
c9s	f883d42c58	pivotshort: avoid market sell again if position is already opened	2022-06-05 13:13:23 +08:00
c9s	629ae39095	fix var comparison	2022-06-05 13:09:32 +08:00
c9s	defff9b01d	pivotshort: add new found return value	2022-06-05 13:04:48 +08:00
c9s	f39ba4854d	pivotshort: add notify	2022-06-05 12:58:12 +08:00
c9s	74ee92832b	pivotshort: rename pivotBuffer to pivotLowPrices	2022-06-05 12:56:40 +08:00
c9s	32f324761e	pivotshort: market sell to open short	2022-06-05 12:55:36 +08:00
c9s	4bd322feb4	pivotshort: use notify and always collect trades	2022-06-05 12:51:45 +08:00
c9s	e7078edacd	pivotshort: add kline event handler and a todo	2022-06-05 12:48:54 +08:00
c9s	b20e1335c2	pivotshort: pull out market sell to a single method	2022-06-05 12:47:15 +08:00
c9s	f0578c5fa2	pivotshort: rename place order method	2022-06-05 12:40:41 +08:00
c9s	46b766857a	pivotshort: always collect trades after submitting orders	2022-06-05 12:40:08 +08:00
c9s	b9c32c7f7e	pivotshort: numLayers should be int	2022-06-05 12:37:35 +08:00
c9s	c20e3fee4b	fix persistence unmarshalling issue	2022-06-05 01:48:56 +08:00
c9s	221a2d9dc7	fix persistence: calling type method on z zero value	2022-06-05 01:09:31 +08:00
austin362667	9b8239abba	pivotshort: add symbol name	2022-06-04 02:31:04 +08:00
austin362667	fcdc26e188	pivotshort: add init place order	2022-06-04 02:31:04 +08:00
austin362667	5ca651a9b4	pivotshort: clean up field name	2022-06-03 23:28:48 +08:00
austin362667	af2d88d9a3	pivotshort: add immediate market sell	2022-06-03 23:23:26 +08:00
austin362667	9dab39849b	pivotshort: clean up	2022-06-03 16:38:06 +08:00
austin362667	30be15dd34	pivotshort: add repay margin side effect	2022-06-03 15:48:49 +08:00
austin362667	2aac5bb273	pivotshort: improve post order & add margin	2022-06-03 15:48:49 +08:00
c9s	6936503cde	bollmaker: fix profit stats notification	2022-06-03 14:46:45 +08:00
c9s	4fc0687cf9	bollmaker: remove debug code	2022-06-03 03:14:19 +08:00
c9s	68d6e9e850	service: fix state loading (use correct ID method)	2022-06-03 03:10:50 +08:00
c9s	7fce6a0fca	bollmaker: call persistence.Sync when position is changed	2022-06-03 02:44:00 +08:00
c9s	50d7d235a4	bollmaker: pull out functions	2022-06-03 02:44:00 +08:00
c9s	1a85299204	bollmaker: make detectPriceTrend simple function	2022-06-03 02:44:00 +08:00
c9s	d7c8b0b127	autoborrow: render balance map as SlackAttachment	2022-06-02 19:50:39 +08:00
c9s	5277098f70	add api .UnrealizedProfit and .IsDust method on Position	2022-06-02 18:05:35 +08:00
c9s	6a25f30b39	add IsLong and IsShort method on Position	2022-06-02 17:58:18 +08:00
c9s	e2f339e641	bollmaker: fix short position order	2022-06-02 17:55:14 +08:00
Andy Cheng	bf385899b9	strategy: use private for non-exported fields and functions	2022-06-02 13:47:16 +08:00
c9s	5527b3c48a	rename Withdrawal to Withdraw since it's a noun	2022-06-02 11:42:03 +08:00
c9s	f87a0ab316	autoborrow: add json tags	2022-06-02 01:53:22 +08:00
c9s	34e1b642d1	autoborrow: add exchange name to the margin action struct	2022-06-02 01:51:03 +08:00
c9s	4f842c521a	fix log message	2022-06-02 01:47:55 +08:00
c9s	78f9c7d569	improve autoborrow checks	2022-06-02 01:27:04 +08:00
Andy Cheng	205921ea42	strategy: remove HasTradableBase()	2022-06-01 10:54:13 +08:00
Andy Cheng	cd96c01131	strategy: use Market.IsDustQuantity instead	2022-06-01 10:51:57 +08:00
Andy Cheng	237d1205e8	strategy: check update balance response in calculateQuantity	2022-06-01 10:26:04 +08:00
Andy Cheng	6285e145a7	strategy: margin side effect	2022-05-31 15:46:55 +08:00
Andy Cheng	3421423cd6	strategy: update balance for exchanges like FTX	2022-05-31 14:30:37 +08:00
Andy Cheng	a5124c743f	strategy: supertrend strategy TP/SL	2022-05-31 12:53:14 +08:00
c9s	f29e8bd6d2	service: use reflect to generate insert sql	2022-05-30 18:08:54 +08:00
Andy Cheng	d72a4e8e94	strategy: supertrend strategy config example	2022-05-30 16:48:07 +08:00
Andy Cheng	756284378b	strategy: supertrend strategy control	2022-05-30 16:35:10 +08:00
Andy Cheng	44469ed3aa	strategy: supertrend position control	2022-05-30 16:26:17 +08:00
Andy Cheng	07fe68d740	strategy: Validate()	2022-05-30 16:22:13 +08:00
Andy Cheng	0e1e5369f2	strategy: leverage parameter	2022-05-30 16:07:36 +08:00
Andy Cheng	1d24379c17	strategy: refactor supertrend sconfig	2022-05-30 14:52:51 +08:00
Zenix	8652b4e043	Merge pull request #633 from zenixls2/fix/ewo_entry ... Fix/ewo entry, backtest	2022-05-30 15:47:46 +09:00
zenix	e3a8ef4e69	fix: statistics on entry/exit on signal changes, fix position check	2022-05-30 12:45:52 +09:00
austin362667	c904f9f0f7	strategy: add fmaker ... fmaker: cleanup	2022-05-29 21:39:11 +08:00
Andy Cheng	39b0013513	strategy: supertrend strategy tp/sl	2022-05-27 18:24:08 +08:00
Yo-An Lin	424c235b43	Merge pull request #617 from andycheng123/improve/bollmaker-dynamic-spread ... feature: bollmaker dynamic spread	2022-05-27 16:55:20 +08:00
Andy Cheng	98b794f265	strategy: DynamicSpreadSettings struct to make it more clean	2022-05-27 16:24:50 +08:00
Andy Cheng	bf26076112	strategy: prototype of supertrend strategy	2022-05-27 14:36:48 +08:00
なるみ	c99be984d1	rebalance: place limit orders	2022-05-26 17:28:48 +08:00
zenix	e81216e678	fix: TP compare direction in ewo, feature: add trade report fro ewo, fix: db lock on insertion in sqlite3	2022-05-25 16:11:19 +09:00
zenix	99122f44bc	fix: backtest kline prev close -> new open, pass exchange as pointer (for Mutex passing), ewo add filter ma34	2022-05-24 23:05:01 +09:00
zenix	dbe0fbcd4c	fix: split implementation, fix code comments, add explanation on ewo params	2022-05-24 16:19:00 +09:00
Andy Cheng	944856eb72	strategy: fix typo	2022-05-23 12:58:45 +08:00
Andy Cheng	bb4d6e61b0	strategy: fix typo	2022-05-23 12:06:24 +08:00
Andy Cheng	64b1ec3780	strategy: update calculation of dynamic spread	2022-05-23 11:37:57 +08:00
c9s	13bf5d69a3	use types.Interval instead of string	2022-05-19 10:04:03 +08:00
Andy Cheng	b41cef4bd7	strategy: use scale for dynamic spread	2022-05-18 14:31:59 +08:00
austin362667	bb94d4a1bd	pivotshort: clean up strategy	2022-05-17 19:18:21 +08:00
austin362667	62d11181a4	pivotshort: clean up	2022-05-17 19:18:21 +08:00
austin362667	2c4a52ba30	pivot: fix futures & spot clean up ... pivot: clean up	2022-05-17 19:18:21 +08:00
austin362667	8ab696deaa	pivotshort: rename strategy & fix pivot indicator	2022-05-17 19:18:21 +08:00
austin362667	1a441425b5	strategy: pivot: add shadow TP ... strategy: pivot: add shadow TP	2022-05-17 19:18:21 +08:00
austin362667	60a8c1f42b	WIP: strategy: pivot: pivot low shorting strategy	2022-05-17 19:18:21 +08:00
Andy Cheng	7d3181f3fd	strategy: update dynamic spread after kline being filtered	2022-05-17 19:00:02 +08:00
Andy Cheng	db62352e6e	strategy: temp vars for faster calculation	2022-05-17 10:43:18 +08:00
c9s	b4a79479fd	add pkg/strategy/ewoDgtrd/trylock_18.go	2022-05-17 01:33:24 +08:00
c9s	343434685b	rollback to go1.17 and make try lock backward compatible	2022-05-17 01:32:51 +08:00
Zenix	356ec71570	Merge pull request #610 from zenixls2/feature/liveSLTP ... feature: SLTP from bookticker. fix: bookTicker typename, depth buffer…	2022-05-16 20:41:15 +09:00
zenix	641d08c3d2	fix: disable book tick log	2022-05-16 20:37:08 +09:00
Andy Cheng	3c094a195b	strategy: check min/max spread settings	2022-05-16 12:57:00 +08:00
c9s	d326494d57	set exchange fee to position	2022-05-13 22:30:04 +08:00
zenix	382e6ee0fb	fix: error exit on wrong subscription in backtest. NaN issue in stoch indicator. feature: position management in ewo	2022-05-13 22:58:35 +09:00
Andy Cheng	64a760cf32	strategy: dynamic spread for bollmaker	2022-05-13 17:58:46 +08:00
c9s	eac0117e02	add adjustment orders	2022-05-13 13:01:03 +08:00
c9s	e950ee9559	add wall strategy	2022-05-12 22:51:39 +08:00
zenix	2bea47003f	feature: add InstanceID for report	2022-05-12 20:02:34 +09:00
zenix	71fe6c2d26	feature: SLTP from bookticker. fix: bookTicker typename, depth buffer error message	2022-05-12 19:43:04 +09:00
zenix	668328dd16	fix: message typo	2022-05-11 21:22:22 +08:00
zenix	51e2343299	fix: add more live logs to ewo	2022-05-11 21:22:22 +08:00
zenix	5fa9e930d3	fix: wrong balance, wrong bottom/peak, feature: stdev	2022-05-11 21:22:22 +08:00
c9s	b11c4c7337	turn off UseTickerPrice when in the back-testing environment	2022-05-09 19:42:39 +08:00
Andy Cheng	c9ba81fcbb	strategy: Update bollmaker to support new strategy controller	2022-05-06 16:52:00 +08:00
c9s	82c7c024ce	bbgo: add persistence Sync api	2022-05-05 18:18:38 +08:00
c9s	6635fd749d	xmaker: migrate xmaker persistence	2022-05-05 15:05:38 +08:00
c9s	10a7928580	extract NewProfitStats method	2022-05-05 14:48:50 +08:00
c9s	c3db85443e	bollmaker: add Deprecated note	2022-05-05 14:47:06 +08:00
c9s	3140b7e2ef	bollmaker: remove unnecessary log	2022-05-05 14:41:11 +08:00
c9s	019e6a2a88	improve legacy state handling and move fnv	2022-05-05 14:39:29 +08:00
c9s	21f81dec29	implement reflect-based persistence restore and load	2022-05-05 12:53:48 +08:00
c9s	58e8da914e	bollmaker: migrating state.position to strategy.position	2022-05-05 09:54:50 +08:00
c9s	36c764efa9	refactor balance, asset and remove price cache check	2022-05-04 17:17:09 +08:00
c9s	0e417f6f71	xnav: rename assets to allAssets	2022-05-04 16:21:53 +08:00