921 Commits

Author	SHA1	Message	Date
zenix	36a5579660	fix: SourceSelector json marshal/unmarshal without Init from strategy. smartCancel check on order status	2022-09-06 19:08:05 +09:00
c9s	8f363677bc	move bootstrap functions	2022-09-06 16:50:45 +08:00
zenix	67e57b49eb	fix: move sourceselector to bbgo folder	2022-09-06 14:43:05 +09:00
zenix	6c8902dd9c	fix: export kline query limit as a variable for preload decisions from strategy	2022-09-05 20:36:41 +09:00
zenix	4a878b5596	fix: rename generalorderexecutor.cancel to gracefulcancelorder	2022-09-05 19:32:35 +09:00
zenix	81084ddea6	feature: SerialMarketDataStore from session	2022-09-05 19:32:35 +09:00
zenix	fad9dedd1f	fix: active order book cancel message	2022-09-05 19:32:35 +09:00
zenix	938dc3c497	feature: add serialmarketdatastore, add elliottwave strategy to replace ewoDgtrd, add active cancel on general order executor, add pca	2022-09-05 19:32:35 +09:00
Raphanus Lo	65cd17dbbb	bbgo: add G-H & Kalman filters to the standard indicator set	2022-09-05 17:13:50 +08:00
Larry Lu	269529afa4	Fix typo	2022-09-04 13:35:01 +08:00
c9s	5c8d2a019a	backtest: rename BackTest to Backtest	2022-09-02 14:16:16 +08:00
c9s	8cd646668a	bbgo: use enumer to generate enumer parser	2022-09-02 14:16:16 +08:00
c9s	3d32faff46	backtest: add fee mode config	2022-09-02 14:16:15 +08:00
c9s	51972e9e28	bbgo: fix indicator load key duplicate issue	2022-08-31 01:45:06 +08:00
c9s	8fcc3ee368	indicator: update pivot low and pivot high indicator	2022-08-31 01:44:38 +08:00
c9s	179a9b1ddb	fix: ensure that orders.tsv are rendered in local timezone	2022-08-26 19:09:11 +08:00
c9s	17ba1c142d	bbgo: fix support take profit field type	2022-08-26 18:12:42 +08:00
c9s	fb9a4994c0	bbgo: add supportTakeProfit method to the core exit methods	2022-08-26 18:11:45 +08:00
c9s	11854db51a	pivotshort: move SupportTakeProfit to the core api	2022-08-26 18:09:46 +08:00
c9s	a48471d4c8	pivotshort: refactor trend ema and stop ema	2022-08-26 17:52:46 +08:00
c9s	8b7f4c6222	bbgo: add ProtectiveStopLoss doc comment	2022-08-26 17:52:46 +08:00
c9s	09cc91bab8	bbgo: update VWMA and add VWMA to the indicator method	2022-08-24 17:45:43 +08:00
c9s	469c6bfb28	bbgo: move rightWindow to the IntervalWindow struct	2022-08-24 17:43:28 +08:00
c9s	d930065bea	bbgo: move stoch to the simple indicator set	2022-08-24 17:34:19 +08:00
c9s	8a020c34e3	bbgo: add package doc to bbgo	2022-08-24 16:54:31 +08:00
c9s	c86b29e6dc	all: resolve import cycle	2022-08-23 02:12:26 +08:00
zenix	2720ee90b1	fix: equation of exit dump	2022-08-18 17:38:27 +09:00
zenix	5e7ea71613	feature: withdraw print config functionality from drift to be a general function	2022-08-18 17:38:27 +09:00
c9s	df8a4bef93	bbgo: remove unused trade store symbol argument	2022-08-17 16:02:42 +08:00
zenix	da28750313	feature: dump parameter to tg, esp series, fix: order tag, position calculation and bp/sp of drift	2022-08-15 21:05:29 +09:00
zenix	6a4eec71d6	feature: create simpleinteract and remove command in notification	2022-08-15 21:03:48 +09:00
zenix	90e596f463	feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering	2022-08-15 21:03:14 +09:00
Andy Cheng	62d450b92d	Merge pull request #872 from andycheng123/fix/trailing-stop ... fix: trailing stop properly works on both long and short positions	2022-08-11 17:37:07 +08:00
Andy Cheng	8527d4996e	trailingstop: add default case	2022-08-11 17:23:42 +08:00
Andy Cheng	8d3dfd17c7	trailingstop: add side both	2022-08-11 16:39:16 +08:00
Andy Cheng	6f2eb1688b	generalorderexecutor: retry submit/cancel order once	2022-08-11 13:49:16 +08:00
Andy Cheng	df0e527e1e	exits/trailingstop: properly works on both long and short positions	2022-08-11 13:36:31 +08:00
c9s	677b122964	bbgo: use types.KLineWith for roi take profit	2022-08-10 23:45:21 +08:00
Yo-An Lin	62aff676da	Revert "feature: add smart cancel to drift"	2022-08-09 16:25:36 +08:00
Yo-An Lin	55b4edc595	Merge pull request #853 from zenixls2/feature/smartcancel_drift ... feature: add smart cancel to drift	2022-08-09 16:23:33 +08:00
Raphanus Lo	ed975b7ed9	Merge pull request #860 from COLDTURNIP/feature/exchange_order_amount_protection ... exchange: order fee-amount protection	2022-08-09 15:01:53 +08:00
c9s	0283f2ad55	bbgo: fix doneTrades lock	2022-08-09 14:52:05 +08:00
zenix	45e819ebe7	feature: create simpleinteract and remove command in notification	2022-08-09 13:26:56 +09:00
zenix	4117a83cd1	feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering	2022-08-09 13:26:56 +09:00
Andy Cheng	ef18791c6a	Merge pull request #865 from andycheng123/fix/protective-stoploss ... fix: protectivestoploss not working on long position	2022-08-09 12:15:33 +08:00
c9s	9867aa9c68	bbgo: add mutex protection to tradecollector	2022-08-09 11:37:44 +08:00
c9s	f191d3c091	bbgo: make position object optional for trade collector	2022-08-09 11:36:17 +08:00
c9s	cae8bc2882	bbgo: add mutli symbol support to active order book	2022-08-09 11:36:10 +08:00
Andy Cheng	6c2fc3fee0	exits/protectivestoploss: fix shouldStop()	2022-08-08 17:57:05 +08:00
Andy Cheng	b133767e47	exit/protectivestoploss: works in long position	2022-08-08 16:49:19 +08:00
Raphanus Lo	d76245cb43	exchange: adjust tests for order fee-amount protection	2022-08-02 15:12:14 +08:00
Raphanus Lo	ed7df4ddbe	exchange: order fee-amount protection ... Reduce the order amount to prevent submit rejection because of balance exceeding. submit_amount = original_amount / (1 + fee_rate) Currently supported only by FTX Pro.	2022-08-02 13:35:24 +08:00
Andy Cheng	4bc70820c4	positionmodifier: move functions into types.Position	2022-07-29 14:40:54 +08:00
Andy Cheng	9588a6f6bd	positionupdater: update command flow	2022-07-29 13:45:33 +08:00
Andy Cheng	2724949678	positionupdater: update avaerage cost	2022-07-29 12:05:39 +08:00
Andy Cheng	32b91b67dd	positionupdater: update quote position	2022-07-29 12:00:11 +08:00
Andy Cheng	8c53c7e575	positionupdater: update base position	2022-07-29 11:52:20 +08:00
zenix	d46267aff9	feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml	2022-07-28 19:34:12 +09:00
c9s	93593ffa06	bbgo: add close position tag log	2022-07-28 10:27:04 +08:00
Yo-An Lin	3aeb6912c9	Merge pull request #846 from c9s/strategy/pivotshort ... strategy/pivotshort: refactor breaklow + add fake break stop	2022-07-27 12:18:50 +08:00
c9s	7438798390	bbgo: add ClosedKLineStop trigger	2022-07-27 11:47:12 +08:00
Yo-An Lin	4fd571d712	Merge pull request #813 from zenixls2/feature/drift_study ... feature: drift study	2022-07-27 11:29:48 +08:00
c9s	3fbc634d81	bbgo: narrow down indicator interface type	2022-07-27 02:21:25 +08:00
c9s	3959e288fd	all: refactor standard indicator helper and fix tests	2022-07-26 18:35:50 +08:00
c9s	0456cdc7a9	bbgo: add hull to the standard indicator	2022-07-26 18:27:22 +08:00
c9s	808d742efc	bbgo: add CCI helper	2022-07-26 18:07:43 +08:00
c9s	f5e64e8e70	bbgo: add ATR, ATRP, EMV to the standard indicator set	2022-07-26 18:07:43 +08:00
c9s	1d6b1de8ba	bbgo: rename standard indicator receiver name	2022-07-26 18:07:43 +08:00
c9s	46afc54559	bbgo: refactor standard indicator set	2022-07-26 18:07:43 +08:00
c9s	0df321c880	indicator: drop the legacy CalculateAndUpdate for standard indicators	2022-07-26 17:30:41 +08:00
zenix	a5039de6aa	feature: add omega ratio, print sharpe/omega/interval profit from trade_stats, use stdev for high/low diff for drift to estimate the variance and improve profit, add yaml marshal for dnum fixedpoint	2022-07-26 18:00:05 +09:00
zenix	f2d37650a5	fix: drift bias on long entry position condition, make cancel faster	2022-07-26 18:00:05 +09:00
zenix	6a9e00ebd4	fix: update drift strategy	2022-07-26 18:00:05 +09:00
c9s	83c8bc819a	all: drop the legacy smart stops	2022-07-26 12:08:47 +08:00
c9s	76def2fe9d	pull out AccountValueCalculator	2022-07-21 19:46:58 +08:00
c9s	763ae1f62f	bbgo: fix missing var	2022-07-21 12:36:26 +08:00
c9s	1079757833	bbgo: bind market data store to market data stream when allocating new instance	2022-07-21 12:35:38 +08:00
c9s	de62d9dd67	bbgo: fix injection	2022-07-21 12:33:29 +08:00
c9s	c78ba6a539	bbgo: fix strategy struct field injection phase	2022-07-21 12:18:09 +08:00
c9s	946fb96b03	bbgo: reformat	2022-07-21 01:32:09 +08:00
c9s	02c978b812	bbgo: remove volatility from the standard indicator set	2022-07-21 01:31:42 +08:00
c9s	9f937f529e	bbgo: refactor standard indicator	2022-07-21 01:05:08 +08:00
c9s	ab83805b34	bbgo: add StrategyShutdown interface	2022-07-19 17:13:35 +08:00
c9s	8af2f2f83f	add defaulter interface	2022-07-19 16:59:56 +08:00
c9s	808ba2fc02	bbgo: make slack-app-token optional	2022-07-19 11:41:49 +08:00
c9s	9302474d51	add 1m subscribe to RoiTakeProfit	2022-07-19 11:00:45 +08:00
c9s	6e4c28ed1b	disable marketTrade stop	2022-07-17 00:59:35 +08:00
c9s	2d0fbe4b99	fix ProtectiveStopLoss subscribe	2022-07-16 14:45:02 +08:00
c9s	2a3118a086	indicator: clean up and update calculator method names	2022-07-14 09:18:42 +08:00
Yo-An Lin	8119afbb44	Merge branch 'main' into strategy/pivotshort	2022-07-12 23:38:23 +08:00
c9s	5bd292d0b2	bbgo: add notify(profit)	2022-07-08 16:43:32 +08:00
c9s	81560746bd	all: reformat code	2022-07-07 02:26:39 +08:00
c9s	3131786c02	bbgo: fix trailing stop binding	2022-07-07 02:26:39 +08:00
c9s	74593720a7	add ExitMethodSet.Bind method	2022-07-07 02:26:39 +08:00
c9s	d2637ce261	trailing stop: apply ClosePosition parameter	2022-07-07 02:26:39 +08:00
c9s	b3e04a68da	bbgo: fix trailing stop binding	2022-07-06 21:50:38 +08:00
c9s	3d9db2786d	add trailing stop to the exit method	2022-07-06 10:56:10 +08:00
c9s	b49f12300c	add long position test for trailing stop ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-07-06 10:54:53 +08:00
c9s	03481000cc	reset activated flag when stop order is submitted ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-07-06 03:09:57 +08:00
c9s	2bc12c0522	add trailing stop and it's test cases with gomock ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-07-06 03:04:01 +08:00