TonyQ
|
8eb3eede82
|
fix backtest (with review)
|
2021-12-14 16:02:54 +08:00 |
|
Yo-An Lin
|
d531e041dd
|
Merge pull request #357 from narumiruna/rebalance
feature: add portfolio rebalancing strategy
|
2021-12-14 12:01:07 +08:00 |
|
TonyQ
|
51e23b6a0c
|
Merge branch 'main' of github.com:c9s/bbgo into feature/302-record-assets-review
|
2021-12-14 10:39:51 +08:00 |
|
TonyQ
|
4eb5a099ae
|
account: add nav_history_details and account_service for #302
|
2021-12-14 08:09:18 +08:00 |
|
なるみ
|
f320d78f2f
|
Refactor
|
2021-12-14 02:18:08 +08:00 |
|
austin362667
|
d3526b2c71
|
binance: add SubmitFuturesOrder and related conversions
|
2021-12-13 23:19:14 +08:00 |
|
austin362667
|
36c6d39612
|
bbgo: add session Futures & types: add FuturesExchange
|
2021-12-13 23:16:58 +08:00 |
|
c9s
|
74811abb36
|
okex: rewrite okex api request with requestgen
|
2021-12-13 14:55:44 +08:00 |
|
c9s
|
e2937acb28
|
apply requestgen for CancelOrderRequest and CancelAllOrderRequest
|
2021-12-13 14:55:44 +08:00 |
|
なるみ
|
f494a0f514
|
Initial commit of rebalance strategy
|
2021-12-13 05:19:44 +08:00 |
|
Yo-An Lin
|
d847d223e3
|
Merge pull request #356 from c9s/feature/kucoin
refactor: apply requestgen
|
2021-12-13 02:14:05 +08:00 |
|
Yo-An Lin
|
a3215d6f31
|
Merge pull request #354 from austin362667/order-trade
binance: parse OrderTrade event stream & add futures client connection
|
2021-12-13 02:12:19 +08:00 |
|
c9s
|
34c2b342ba
|
apply requestgen for CancelOrderRequest and CancelAllOrderRequest
|
2021-12-13 02:08:18 +08:00 |
|
c9s
|
c28833fba0
|
kucoinapi: use requestgen for list orders request
|
2021-12-13 01:53:00 +08:00 |
|
c9s
|
97b63f45d5
|
kucoin: rename receiver to r
|
2021-12-13 01:14:52 +08:00 |
|
c9s
|
22972953d0
|
use requestgen to generate the accessor methods
|
2021-12-13 01:11:15 +08:00 |
|
austin362667
|
04919e0fa4
|
binance: add futures exchange stream connection
|
2021-12-12 15:40:03 +08:00 |
|
austin362667
|
8ca60cec10
|
binance: add user stream event parser & toGlobalType converter
|
2021-12-12 15:39:06 +08:00 |
|
TonyQ
|
6915a0e573
|
ftx: update kline event handling for #318
|
2021-12-12 14:29:48 +08:00 |
|
austin362667
|
a21f3b11ba
|
types: add PositionMap in std Stream & callbacks
|
2021-12-12 05:24:39 +08:00 |
|
Yo-An Lin
|
2e7b69320b
|
Merge pull request #349 from c9s/feature/kucoin
feature: integrate kucoin api
|
2021-12-11 23:17:07 +08:00 |
|
c9s
|
de80a14715
|
kucoin: add cancel order command
|
2021-12-11 20:07:32 +08:00 |
|
c9s
|
95ecaa7a66
|
rename orderResponse to apiResponse
|
2021-12-11 20:02:35 +08:00 |
|
c9s
|
8a00509987
|
kucoin: check data pointer and return error
|
2021-12-11 19:44:07 +08:00 |
|
c9s
|
0c854a8a85
|
kucoin: add place order and list orders command
|
2021-12-11 19:40:53 +08:00 |
|
austin362667
|
1703fff8b2
|
types: refactor Position and related files
|
2021-12-11 19:16:16 +08:00 |
|
c9s
|
a9bc02ef3d
|
kucoin: implement order placement and cancel api
|
2021-12-11 18:33:30 +08:00 |
|
c9s
|
4d57967664
|
kucoin: add orderbook api
|
2021-12-11 18:33:30 +08:00 |
|
c9s
|
18653aca7e
|
kucoin: implement all ticker and get ticker api
|
2021-12-11 18:33:30 +08:00 |
|
c9s
|
50b79cb742
|
implement ListSymbols api
|
2021-12-11 18:33:30 +08:00 |
|
c9s
|
be7e9f551a
|
add GetAccount api
|
2021-12-11 18:33:30 +08:00 |
|
c9s
|
c8ba3f7c1b
|
kucoin: add query accounts api
|
2021-12-11 18:33:30 +08:00 |
|
c9s
|
cd69994647
|
kucoin: implement api client
|
2021-12-11 18:33:30 +08:00 |
|
Yo-An Lin
|
0c7bbba675
|
Merge pull request #346 from tony1223/bug/343-fee_currency_length
|
2021-12-11 10:57:17 +08:00 |
|
Yo-An Lin
|
3952acaf55
|
Merge pull request #342 from tony1223/bug/341-windows-issue
|
2021-12-11 10:47:41 +08:00 |
|
TonyQ
|
25d4b9a0b3
|
order: add is_futures field for #344
|
2021-12-11 10:45:21 +08:00 |
|
TonyQ
|
c38564dcc7
|
compile and update migration package
|
2021-12-11 10:40:11 +08:00 |
|
TonyQ
|
e5450492bb
|
telegram: find USERNAME when USER env not found for windows.
|
2021-12-11 10:30:57 +08:00 |
|
Yo-An Lin
|
9f14d00f3c
|
Merge pull request #340 from tony1223/feature/336-kline-table
backtest: add ftx kline table
|
2021-12-11 02:30:06 +08:00 |
|
Yo-An Lin
|
edcb8a3327
|
Merge pull request #339 from tony1223/bug/338-refine_client_order_id
orders: update client_order_id (client_id) column length
|
2021-12-11 02:29:31 +08:00 |
|
TonyQ Wang
|
776f82fcd5
|
Merge branch 'main' into feature/336-kline-table
|
2021-12-11 02:26:01 +08:00 |
|
TonyQ
|
8bb702223a
|
orders: update client_order_id (client_id) column length for
#338
|
2021-12-11 02:23:39 +08:00 |
|
TonyQ
|
0fcc5e5edc
|
compile and update migration package
|
2021-12-11 02:19:53 +08:00 |
|
Yo-An Lin
|
0cf72de21d
|
Merge pull request #335 from tony1223/bug/334-ftx-ratelimit
ftx : fix #334 rate limit
|
2021-12-10 23:24:42 +08:00 |
|
TonyQ
|
5259bba5fe
|
ftx : fix #334 rate limit
|
2021-12-10 23:08:26 +08:00 |
|
c9s
|
4665ae0e31
|
remove unused error return value
|
2021-12-10 15:03:43 +08:00 |
|
c9s
|
fe9b604d79
|
update ftx market mapping
|
2021-12-09 15:57:44 +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
|
ca85aa69e6
|
pull out global premium index type and funding rate type
|
2021-12-09 00:10:18 +08:00 |
|
c9s
|
71e043e4b2
|
move convertPremiumIndex to convert.go
|
2021-12-09 00:08:25 +08:00 |
|
c9s
|
fbae368e6c
|
make getLaunchDate as a simple function
|
2021-12-09 00:06:46 +08:00 |
|
c9s
|
078c79d73f
|
binance: refactor QueryMarkets
|
2021-12-09 00:05:36 +08:00 |
|
c9s
|
48612e2b13
|
reformat import lines and add fixme note
|
2021-12-09 00:01:33 +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
|
7b290afc2a
|
compile and update migration package
|
2021-12-08 19:57:55 +08:00 |
|
c9s
|
9413e0017d
|
bump version to v1.20.0
|
2021-12-08 19:57:55 +08:00 |
|
Yo-An Lin
|
cf0cdf5b83
|
Merge pull request #320 from c9s/minor/integrate-binance-future-types
feature: integrate binance future types
|
2021-12-08 19:55:31 +08:00 |
|
c9s
|
874c7b39fa
|
service: add is_futures fields to trade service
|
2021-12-08 19:38:16 +08:00 |
|
c9s
|
9b56e9e32b
|
service: add is_futures fields to order service
|
2021-12-08 19:38:10 +08:00 |
|
c9s
|
5aa027f883
|
types: add is_futures field to the global trade
|
2021-12-08 19:37:27 +08:00 |
|
c9s
|
20e61d5b5c
|
types: extend order fields for futures
|
2021-12-08 19:36:57 +08:00 |
|
TonyQ
|
3dff1acd79
|
finetune ftx for #318
|
2021-12-08 19:36:37 +08:00 |
|
c9s
|
b71d0f5b6e
|
bump version to v1.19.4
|
2021-12-08 17:27:08 +08:00 |
|
c9s
|
d52edce40b
|
fix markets info cache
|
2021-12-08 17:26:43 +08:00 |
|
c9s
|
08a264d4eb
|
add futures exchange check in the markets cache
|
2021-12-07 21:29:40 +08:00 |
|
c9s
|
245905a25a
|
remove unnecessary parent node assignment
|
2021-12-07 21:23:43 +08:00 |
|
c9s
|
f716dd12c0
|
re-arrange rb node fields for alignment
|
2021-12-07 21:22:11 +08:00 |
|
c9s
|
fb2204a86d
|
share one neel object for all rbtree
|
2021-12-07 21:21:30 +08:00 |
|
c9s
|
aa21ea874a
|
make rbtree properties in lower case
|
2021-12-07 21:16:40 +08:00 |
|
Yo-An Lin
|
3fb6d204aa
|
Fix pointer check
|
2021-12-07 18:52:24 +08:00 |
|
c9s
|
da8b15d817
|
bump version to v1.19.3
|
2021-12-07 16:16:25 +08:00 |
|
c9s
|
5c23dfb14f
|
bump version to v1.19.3
|
2021-12-07 16:16:02 +08:00 |
|
c9s
|
a6604174d9
|
bump version to v1.19.3
|
2021-12-07 16:15:12 +08:00 |
|
c9s
|
f61f89da65
|
bump version to v1.19.3
|
2021-12-07 16:15:00 +08:00 |
|
c9s
|
85b5c760ea
|
bump version to v1.19.3
|
2021-12-07 16:14:32 +08:00 |
|
c9s
|
ecd67cf23e
|
bump version to v1.19.3
|
2021-12-07 16:14:23 +08:00 |
|
c9s
|
70017101bb
|
bump version to v1.19.3
|
2021-12-07 16:12:41 +08:00 |
|
c9s
|
1ff02b08ce
|
add release note
|
2021-12-07 16:12:35 +08:00 |
|
c9s
|
ccd9d8c466
|
improve makefile for version target
|
2021-12-07 16:10:49 +08:00 |
|
c9s
|
522d1bd8bf
|
bump version to 1.19.3
|
2021-12-07 16:03:32 +08:00 |
|
c9s
|
1de4e5ee4c
|
grid: fix parameter checking for fixed amount
|
2021-12-07 15:37:37 +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
|
ca3f438288
|
show symbol name in the error message
|
2021-12-07 14:35:00 +08:00 |
|
c9s
|
ac08e9d3c2
|
bump version to v1.19.2
|
2021-12-06 18:34:27 +08:00 |
|
c9s
|
af837ea237
|
do not omit empty for field feeInUSD
|
2021-12-06 13:36:38 +08:00 |
|
c9s
|
5d6bd5a964
|
not to omit empty all fields
|
2021-12-06 13:34:39 +08:00 |
|
c9s
|
634ce6180b
|
avoid using panic when order cancel failed
|
2021-12-06 13:32:08 +08:00 |
|
c9s
|
744af85a94
|
bump version to v1.19.1
|
2021-12-06 13:32:08 +08:00 |
|
c9s
|
93761ba5d9
|
bump version to v1.19.0
|
2021-12-06 01:51:34 +08:00 |
|
c9s
|
aeeecba8dc
|
support different time format for backtesting
|
2021-12-06 01:50:50 +08:00 |
|
c9s
|
0472b7f21e
|
avoid recording trades in backtest by default
introducing a RecordTrades option
|
2021-12-06 01:42:53 +08:00 |
|
c9s
|
85bb9f214e
|
grid: disable trade marking
|
2021-12-06 01:34:08 +08:00 |
|
c9s
|
5929385a2e
|
bump version to v1.18.5
|
2021-12-06 01:08:04 +08:00 |
|
c9s
|
474be4e815
|
support json output for backtesting
|
2021-12-06 01:05:33 +08:00 |
|
c9s
|
1e151a170a
|
add JSON method to the pnl report
|
2021-12-06 00:47:41 +08:00 |
|
c9s
|
0c6055a201
|
add json tag for AverageCostPnlReport
|
2021-12-06 00:46:50 +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
|
3d536efec8
|
types: extend FuturesSettings fields for isolated margin
|
2021-12-05 16:47:01 +08:00 |
|
c9s
|
c8ba2e59e3
|
types: reformat account usd cal expression
|
2021-12-05 16:28:30 +08:00 |
|
c9s
|
91f26cc501
|
types: add account types for futures
|
2021-12-05 16:28:19 +08:00 |
|
c9s
|
0431014867
|
bump version to v1.18.4
|
2021-12-05 12:25:06 +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
|
dac1967e2f
|
bump version to v1.18.3
|
2021-12-05 12:03:53 +08:00 |
|
c9s
|
298e981de0
|
bump version to v1.18.2
|
2021-12-05 12:01:37 +08:00 |
|
c9s
|
df683bdf56
|
use position to calculate the pnl
|
2021-12-05 02:17:15 +08:00 |
|
Yo-An Lin
|
9d38dc2c87
|
Merge pull request #297 from tony1223/bug/261-default-notification
fix #261 provide default config for notification setting
|
2021-12-05 01:17:04 +08:00 |
|
c9s
|
35da3ba3a0
|
check env vars for query related tests
|
2021-12-05 01:11:47 +08:00 |
|
c9s
|
062f9243c6
|
max: fix query ticker tests
|
2021-12-05 01:08:50 +08:00 |
|
c9s
|
715363298f
|
fix query ticker tests
|
2021-12-05 00:58:01 +08:00 |
|
Yo-An Lin
|
19548a9449
|
Merge pull request #296 from tony1223/feature/294-force-backtest
add force parameter for backtest
|
2021-12-05 00:25:23 +08:00 |
|
TonyQ
|
bd325f02a5
|
add force parameter for backtest
|
2021-12-04 16:18:51 +00:00 |
|
c9s
|
52218c513f
|
compile and update migration package
|
2021-12-04 23:03:35 +08:00 |
|
TonyQ
|
a1b6be3bda
|
compile and update migration package
|
2021-12-04 03:06:04 +00:00 |
|
TonyQ
|
30c14a6828
|
fix #261 provide default config for notification setting
|
2021-12-04 02:37:21 +00:00 |
|
TonyQ
|
056afb577c
|
fix generateGridSellOrders with ProfitSpread for begining
|
2021-11-30 11:55:00 +08:00 |
|
c9s
|
5ed337926d
|
add mutex lock protection for backtesting
solving issue #282
|
2021-11-30 10:40:28 +08:00 |
|
c9s
|
9a589bf71c
|
show broadcast enabled
|
2021-11-25 18:49:29 +08:00 |
|
c9s
|
032b62e4e1
|
broadcast should also send message to owner
|
2021-11-25 16:22:20 +08:00 |
|
c9s
|
fc81f7b6cb
|
add Command function
|
2021-11-25 11:54:09 +08:00 |
|
c9s
|
6326d52c1b
|
add /start command
|
2021-11-25 11:52:14 +08:00 |
|
c9s
|
8acc2cd87f
|
fix chat nil pointer issue
|
2021-11-25 11:50:14 +08:00 |
|
c9s
|
4bde40f2db
|
override binance default http client timeout instead of zero timeout
|
2021-11-23 10:54:43 +08:00 |
|
c9s
|
513a799ced
|
fix ewma calculation
|
2021-11-22 02:14:44 +08:00 |
|
c9s
|
20f0e8dbd5
|
preallocate kline window with capacity
|
2021-11-22 01:17:08 +08:00 |
|
c9s
|
540722e430
|
adjust ewma truncate size
|
2021-11-22 01:17:08 +08:00 |
|
Austin
|
c5d1a70a61
|
add Continuous Contract Kline/Candlestick Streams
|
2021-11-16 14:26:27 +08:00 |
|
Austin
|
a36739f119
|
add MarkPriceUpdateEvent
|
2021-11-16 01:24:36 +08:00 |
|
c9s
|
aceca1b49f
|
adjust listen key keep alive to 30 min
|
2021-11-07 23:40:13 +08:00 |
|
c9s
|
7a3963b34e
|
techsignal: if it's already high funding rate, do not show change
|
2021-11-06 15:23:52 +08:00 |
|
c9s
|
a2c2646a16
|
binance: adjust rate limiter bucket
|
2021-11-05 01:25:16 +08:00 |
|
c9s
|
82d859a43d
|
binance: fix binance order rate limiter
|
2021-11-05 01:21:58 +08:00 |
|
c9s
|
0c8addc58b
|
grid: refactor trade callback for s.TradeService.Mark
|
2021-11-05 01:05:43 +08:00 |
|
c9s
|
6851d8d254
|
grid: add field guards
|
2021-11-05 01:04:13 +08:00 |
|
c9s
|
7db7596abe
|
grid: refactor trade handler with trade collector
|
2021-11-05 00:30:04 +08:00 |
|
c9s
|
7787edffa0
|
refactor grid strategy state loading/saving
|
2021-11-05 00:22:44 +08:00 |
|
c9s
|
bfaec8fdd8
|
increase min amount if it's not greater than min notional
|
2021-11-04 23:22:01 +08:00 |
|
c9s
|
13577fc2b4
|
improve SubmitOrder formating
|
2021-11-04 23:21:01 +08:00 |
|
c9s
|
6002a958d2
|
grid: fix format error
|
2021-11-04 13:08:38 +08:00 |
|
c9s
|
1a861c98a1
|
binance: add order rate limiter for binance
|
2021-11-04 12:50:32 +08:00 |
|
c9s
|
7eb91cc7cc
|
adjust grid quantity if it does not match min notional and min quantity
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2021-11-04 12:50:32 +08:00 |
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c9s
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ed1d0ea27e
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add xnav strategy
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2021-10-29 10:40:14 +08:00 |
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Yo-An Lin
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b8e5942f1c
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Merge pull request #274 from kkc/fix_emwa_indicator_in_backtest_mode
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2021-10-20 18:03:51 +08:00 |
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c9s
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6cb593cd90
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techsignal: use realtime funding rate
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2021-10-20 14:01:19 +08:00 |
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