2486 Commits

Author	SHA1	Message	Date
c9s	5f8e3259eb	add stopHedgeQuoteBalance and stopHedgeBaseBalance	2021-05-11 12:47:45 +08:00
c9s	d2a770bc05	adjust second layer price according to the pips	2021-05-11 01:06:39 +08:00
c9s	b86ed36aa2	calculate price by depth	2021-05-11 00:58:11 +08:00
c9s	4429a29c29	disable hedge quote adjustment	2021-05-11 00:10:49 +08:00
c9s	fa3ca54a55	improve warning messages	2021-05-10 23:52:17 +08:00
c9s	fe4e4bf5ea	use bbgo.AdjustQuantityByMaxAmount	2021-05-10 23:50:19 +08:00
c9s	b16d2553b5	remove floating point	2021-05-10 23:49:25 +08:00
c9s	1f9558cd64	use local timezone	2021-05-10 23:27:08 +08:00
c9s	af8f718228	add more pnl details to the state	2021-05-10 20:22:33 +08:00
c9s	95d58e9385	adjust hedge quantity according to the hedge account balances	2021-05-10 20:13:23 +08:00
c9s	c1ea9ff9ed	xmaker: move cancel order calls to the go routine	2021-05-10 13:18:57 +08:00
c9s	ddab6083d4	xmaker: support quantity scale	2021-05-10 02:52:41 +08:00
c9s	dde998aced	fix graceful shutdown	2021-05-10 02:17:19 +08:00
c9s	405f9c863f	xmaker: call cancel orders everytime	2021-05-10 01:47:17 +08:00
Yo-An Lin	8a9fe7ea23	Merge pull request #221 from frankurcrazy/fix/skip-cancel-profit-order-on-graceful-exit ... fix(bollgrid): skip canceling profit orders on graceful exit	2021-05-10 01:11:20 +08:00
c9s	0307a740e3	calculate accumulatedProfit	2021-05-09 23:56:54 +08:00
c9s	a98fbeea77	reduce notify calls	2021-05-09 21:14:51 +08:00
c9s	2f326d0fed	xmaker: add interval jitter	2021-05-09 20:03:06 +08:00
c9s	74e01ce444	fix order waiting for graceful shutdown	2021-05-09 19:44:51 +08:00
c9s	ff90a704d9	fix fixedpoint format	2021-05-09 19:40:56 +08:00
c9s	e35eef2b72	fix message formatting	2021-05-09 19:15:37 +08:00
c9s	9525a334d2	add more fix	2021-05-09 19:04:44 +08:00
c9s	b343ecad61	xmaker: add more helpful messages	2021-05-09 18:55:56 +08:00
c9s	dc282182a5	fix xmaker order cancellation in the graceful shutdown	2021-05-09 18:48:25 +08:00
c9s	569bbfea54	use new bbgo position for calculating profits	2021-05-09 18:46:09 +08:00
c9s	f44d85d704	fix QuantityMultiplier	2021-05-09 18:33:11 +08:00
c9s	c0f12cf452	xmaker: add active maker order cancellation check	2021-05-09 18:32:29 +08:00
Frank Chang	da0ea3d390	fix(bollgrid): skip canceling profit order on graceful exit ... profit orders shouldn't be canceled on graceful exit unless properly persisted. a new strategy parameter `shutdownCancelProfitOrders` is added. Issue: #220	2021-05-08 15:19:04 +08:00
c9s	13d9f2ba49	grid: fix order generator checking	2021-05-08 01:00:57 +08:00
c9s	a94c42d9c2	grid: improve error messages	2021-05-08 00:59:30 +08:00
c9s	858d6bdf05	grid: adjust callback registration ordering	2021-05-07 02:14:35 +08:00
Larry850806	f1309c46fc	bollgrid: check balance before submit reverse order	2021-05-03 16:18:58 +08:00
c9s	822a010932	add moving average configuration to the schedule strategy	2021-05-02 20:58:32 +08:00
c9s	20d673f769	add schedule strategy	2021-05-02 18:03:41 +08:00
Larry850806	453a906a5a	bollgrid: use onStart instead of onConnect	2021-04-15 15:51:23 +08:00
Larry850806	980f1ae3e7	bollgrid: submit buy/sell orders separately	2021-04-15 12:31:18 +08:00
Larry850806	aa950b3dc4	bollgrid: track createdOrders when error occurs	2021-04-15 12:31:18 +08:00
Larry850806	a80afff0c2	grid: track createdOrders when error occurs	2021-04-15 12:31:18 +08:00
c9s	13a8597d59	add MaxExposurePosition settings	2021-04-04 11:14:09 +08:00
Larry850806	6718aace8c	Add validation for support strategy	2021-04-02 10:32:38 +08:00
Larry850806	53133851cc	Add validation for grid strategy	2021-04-02 10:32:38 +08:00
Larry850806	2c41ec28ae	Add validation for bollgrid strategy	2021-04-02 10:32:34 +08:00
c9s	c82df27cf3	grid: fix message format	2021-03-25 15:22:52 +08:00
c9s	129b25d86e	fix persistence key	2021-03-25 13:18:38 +08:00
c9s	89c01adf60	xmaker: fix state passing for persistence	2021-03-25 13:16:48 +08:00
c9s	5de221524f	adjust state and reset per day	2021-03-22 18:48:18 +08:00
c9s	2b27815929	move out groupID to the maxapi package	2021-03-22 17:32:22 +08:00
c9s	706b38efa3	gap: finalize the implementation	2021-03-22 17:32:22 +08:00
c9s	865dda14f5	gap: accumulate fee	2021-03-22 17:32:22 +08:00
c9s	e86f29b7cc	add gap strategy	2021-03-22 17:32:21 +08:00
c9s	814a77ea39	xmaker: improve balance checking	2021-03-21 12:55:33 +08:00
c9s	2a067e5cb4	add more balance check for hedging	2021-03-21 12:55:33 +08:00
c9s	4e3f325bb6	first commit of xmaker strategy from mobydick	2021-03-21 12:55:33 +08:00
c9s	ca27bf100d	grid: use instance id for persistence	2021-03-20 23:07:04 +08:00
c9s	ef8543db8a	show accumulative arbitrage profit in the message	2021-03-20 23:05:11 +08:00
c9s	761d51597d	add todo fee rate here	2021-03-18 17:48:05 +08:00
c9s	4975fb5498	track arbitrage orders	2021-03-18 17:20:21 +08:00
c9s	0e6918a352	grid: add profit field	2021-03-18 15:46:14 +08:00
c9s	8d784576cd	put state vars into the state struct for persistence	2021-03-18 01:14:56 +08:00
c9s	72c1f55b70	fix grid price calculation	2021-03-18 00:46:25 +08:00
c9s	216c12b49e	backup and restore position	2021-03-16 20:07:54 +08:00
c9s	a1667010eb	fix filled grid map assignment	2021-03-16 20:05:03 +08:00
c9s	714d61a829	add grid restore behavior	2021-03-16 20:04:06 +08:00
c9s	8c08cfebb7	rename MarkStrategyID to just Mark	2021-03-16 14:07:47 +08:00
c9s	ebcef65b01	mark trades with the strategy ID	2021-03-16 10:58:51 +08:00
c9s	478bef526d	copy the position object and send notification	2021-03-16 02:22:00 +08:00
c9s	98995bc75c	use debug log for skipping filled grid	2021-03-16 02:21:46 +08:00
c9s	f56df038aa	fix position and add catchup mode for grid strategy	2021-03-16 02:18:17 +08:00
c9s	2bf4a555ec	use OnStart instead of OnConnect ... this is for avoiding re-connect issue	2021-03-15 18:04:55 +08:00
Larry850806	689734567a	Remove unused conditions when generating orders	2021-03-03 14:55:11 +08:00
c9s	da79920ca9	rename scale struct name to PriceVolumeScale	2021-02-28 14:51:24 +08:00
c9s	99f236d2e0	integrate quantity scale into support strategy and grid strategy	2021-02-28 11:57:25 +08:00
c9s	21a4669905	adjust max query limiter and sync before running trader	2021-02-22 16:54:08 +08:00
c9s	ff5233ba3e	support: use Notfiy	2021-02-20 10:51:01 +08:00
c9s	e3d3eacb78	fix trade service injection	2021-02-16 16:30:01 +08:00
c9s	0c9ca851e5	improve support strategy	2021-02-15 01:26:46 +08:00
c9s	f8378957ee	add more checks for bollgrid ... related to #93	2021-02-13 16:03:31 +08:00
Yo-An Lin	de195b3c17	Merge pull request #130 from Larry850806/fix/bollgrid	2021-02-11 15:38:50 +08:00
Larry850806	ca31179b40	Fix balance calculation	2021-02-11 14:48:13 +08:00
c9s	4a0bd45301	remove order test code	2021-02-11 00:30:37 +08:00
c9s	88411a134b	add supportAndTargets strategy	2021-02-11 00:21:06 +08:00
c9s	4b66deec3d	subscribe RepostInterval as well ... might be related to issue #93	2021-02-10 22:45:23 +08:00
c9s	061312771c	fix float formatting	2021-02-10 22:41:42 +08:00
Larry850806	9f6d9028fa	Use fixedpoint type to calculate the balance	2021-02-10 16:01:11 +08:00
Larry850806	6d399647cf	Remove unused functions	2021-02-10 11:37:37 +08:00
Larry850806	11a176145e	Refactor placeGridOrders into three functions	2021-02-10 11:37:33 +08:00
Larry850806	d22a8e9c63	Improve bollgrid strategy's balance check and quote calculation	2021-02-10 10:11:32 +08:00
c9s	ffb6a29d0d	fix startPrice value conversion	2021-02-08 13:21:22 +08:00
c9s	173074f5e4	improve grid strategy's balance check and quote calculation	2021-02-07 11:37:24 +08:00
c9s	367e9fcae1	fix price range check	2021-02-07 10:58:31 +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	84b6982033	add order store to exchange session	2021-01-24 14:14:25 +08:00
c9s	995f9a9ea0	grid: add order amount field	2021-01-06 13:31:17 +08:00
c9s	208c88cbd5	support single exchange trailingstop	2020-12-31 17:12:35 +08:00
c9s	87568ede70	reformat	2020-12-31 14:29:53 +08:00
c9s	395d3f17df	grid: add long mode support	2020-12-31 13:54:32 +08:00
c9s	45e4d8c558	rename movingstop to trailingstop	2020-12-31 13:07:39 +08:00
c9s	f485c1ba7f	fix grid strategy order placing	2020-12-29 18:18:32 +08:00
c9s	3eae58322a	add trade update callbacks and order update callbacks to order executor	2020-12-21 13:40:23 +08:00
c9s	e282a8a917	improve order submit loop	2020-12-17 17:54:48 +08:00
c9s	64dea71249	grid: use the default active order book order handler	2020-12-17 16:29:00 +08:00
c9s	6962582236	grid: add orders to the order store	2020-12-17 16:22:43 +08:00
c9s	9e1476dcb1	grid: improve position management by fixedpoint	2020-12-17 15:52:53 +08:00
c9s	572f7a0e12	buyandhold: remove kline event debug log	2020-12-14 14:59:46 +08:00
c9s	6d15c629a7	fix buyandhold strategy	2020-12-14 14:40:31 +08:00
c9s	cabd8f8dcb	improve buyandhold strategy	2020-12-14 14:21:02 +08:00
c9s	846f463cfc	print loaded position	2020-12-08 16:32:39 +08:00
c9s	03afa060d5	add updateInterval for mirrormaker	2020-12-08 16:01:46 +08:00
c9s	0222c33330	fix kline tail method	2020-12-08 10:26:20 +08:00
c9s	3aa8d70622	add mirrormaker	2020-12-07 23:04:09 +08:00
c9s	b188901ed0	fix ewma calculation	2020-12-05 13:32:41 +08:00
c9s	936650d879	rename kline trend to direction	2020-12-04 10:18:51 +08:00
c9s	976a4c6732	add verbose log message for movingstop	2020-12-03 16:46:02 +08:00
c9s	17fd6a405b	add StopPriceRatio support	2020-12-03 09:50:36 +08:00
c9s	19d76928fd	support movingstop by BalancePercentage	2020-12-03 09:41:41 +08:00
c9s	ef03c0cf20	separate Run and CrossRun ... so that we mount one strategy as cross strategy or single exchange strategy	2020-12-03 09:31:40 +08:00
c9s	2b264905f9	add warnings and fix subscription	2020-12-03 09:26:10 +08:00
c9s	9d7aa2fe22	add movingstop strategy	2020-12-03 08:52:32 +08:00
c9s	d226ec2e01	change field names to lower case so that we can use shorter name for the accessors	2020-12-02 22:21:13 +08:00
c9s	e8b5379202	bollgrid: add warn messages	2020-11-12 17:41:28 +08:00
c9s	2b6547df47	bollgrid: add profit orderbook for bolling grid	2020-11-12 17:38:13 +08:00
c9s	1a6f5b99ae	bollgrid: submit orders on connect	2020-11-12 16:31:09 +08:00
c9s	8cc1c589a1	fix waitgroup counting	2020-11-12 14:59:47 +08:00
c9s	fc9409673f	add graceful shutdown	2020-11-12 14:50:21 +08:00
c9s	af8826a9e4	improve messages	2020-11-12 08:30:57 +08:00
c9s	6740541bcd	improve bollgrid	2020-11-12 08:28:59 +08:00
c9s	0264baa922	refactor and improve bollgrid	2020-11-11 23:18:53 +08:00
c9s	3912de235b	rename baseQuantity to just quantity	2020-11-11 17:55:44 +08:00
c9s	b2cd595069	grid: rename baseQuantity to just quantity	2020-11-11 17:55:16 +08:00
c9s	04f6da3cb8	add traditional grid strategy	2020-11-10 19:06:20 +08:00
c9s	4ab402a188	clean up legacy code	2020-11-10 16:56:30 +08:00
c9s	941c93794c	fix grid strategy for backtesting	2020-11-10 14:18:54 +08:00
c9s	6c2aef31a3	improve backtest logging	2020-11-09 16:47:29 +08:00
c9s	e7cc79f3cf	replace errors.Errorf with fmt.Errorf	2020-11-09 16:34:35 +08:00
c9s	0d8fa08171	add book Update method	2020-11-07 15:07:06 +08:00
c9s	1e925cac6e	move onConnect to the standard stream	2020-11-07 12:38:57 +08:00
c9s	94bb7f5dac	max: fix order symbol convertion	2020-11-07 12:19:57 +08:00
c9s	573a082391	add flashcrash strategy	2020-11-07 12:02:15 +08:00
c9s	5bdf5e0034	remove goroutine from the strategy	2020-11-06 11:01:19 +08:00
c9s	b86b74effb	fix max kline parsing	2020-11-05 15:04:56 +08:00
c9s	c54c0788ab	rewrite grid strategy trigger	2020-11-05 14:27:22 +08:00
c9s	8388f443a9	move active order book to the bbgo package	2020-11-05 11:14:14 +08:00
c9s	8e0b5d11a7	add max grid config and fix max price formatting	2020-10-31 20:38:20 +08:00
c9s	14abe3fb7e	pull out active order book to the types package	2020-10-31 20:38:20 +08:00
c9s	1eb263de23	use AnyFilled to simplify the order management in the strategy	2020-10-31 20:38:20 +08:00
c9s	e264257d23	implement OrderMap and SyncOrderMap	2020-10-31 20:38:20 +08:00
c9s	a60207db2a	only re-submit the order when the order is filled on the opposite side	2020-10-31 18:33:04 +08:00
c9s	458fa8aa9d	add types.OrderStatusFilled	2020-10-31 18:29:58 +08:00
c9s	17a2f74add	finalize grid strategy	2020-10-31 18:29:58 +08:00
c9s	c3961024cf	implement grid strategy update orders method	2020-10-31 18:29:58 +08:00
c9s	f0681177f9	inject market into the skeleton strategy	2020-10-29 17:06:34 +08:00
c9s	b0cc128b79	pull out trend types	2020-10-29 17:03:36 +08:00
c9s	a7325e86f0	document swing strategy	2020-10-29 13:42:53 +08:00
c9s	19b600bb35	simplify strategy registration api	2020-10-29 07:54:59 +08:00
c9s	2f8bffeaca	add strict injection check fo pointer only objects	2020-10-29 07:49:06 +08:00
c9s	33257c591e	refactor swing strategy with types IntervalWindow	2020-10-29 07:44:22 +08:00
c9s	6d8ec7894e	refactor standard indicator set with store	2020-10-29 07:40:02 +08:00
c9s	d6553a1155	move strategy subscribe out	2020-10-28 17:49:49 +08:00
c9s	67446670ac	finalize swing strategy and fix trade reporter issue	2020-10-28 17:48:16 +08:00
c9s	2680ad5072	refactor environment, market data store, injection and add swing strategy	2020-10-28 17:48:16 +08:00
c9s	e2df24f31c	support standard indicatorset	2020-10-28 09:43:19 +08:00
c9s	e1c2f7cc3d	improve notifier signatures and fix slack Notify method	2020-10-27 20:13:10 +08:00
c9s	ccc381143d	support pointer type filling	2020-10-27 19:33:11 +08:00
Yo-An Lin	1e5327a5e4	Update strategy.go	2020-10-27 15:51:36 +08:00
c9s	b3eaf832af	Add pricealert strategy for demonstrating notification	2020-10-27 13:54:39 +08:00
c9s	085d02bee4	clean up strategy code since we can loaded from the config	2020-10-26 22:04:48 +08:00
c9s	cd666fdf9e	pull out db parameter from the constructor	2020-10-26 15:06:39 +08:00
c9s	aa6ccbf905	refactor xpuremaker strategy	2020-10-26 10:08:58 +08:00
c9s	fbba9b12ce	xpuremaker: final clean up	2020-10-26 10:01:18 +08:00
c9s	145264aae4	cancel orders and re-submit maker orders	2020-10-26 00:26:17 +08:00
c9s	308427416a	Add more exchange order features ... - use uuid for client order id - add stop limit and stop market order types - add order convert functions - improve submit orders	2020-10-25 19:22:22 +08:00
c9s	1e12de28da	Add xpuremaker skeleton	2020-10-25 18:32:46 +08:00
c9s	944b673626	Add skeleton strategy	2020-10-25 18:32:43 +08:00
c9s	58265d14f9	move cmdutil package	2020-10-21 15:58:58 +08:00
c9s	4ee10de40f	add LoadedCrossExchangeStrategies loader api	2020-10-20 14:21:46 +08:00
c9s	2fbf19455e	implement strategy yaml loader	2020-10-20 13:52:25 +08:00
c9s	fc687f3174	max: implement kline event parser for websocket	2020-10-19 22:46:34 +08:00
c9s	dab264a4ad	add more accessors to exchange session, so that we can make it as an interface	2020-10-18 12:29:38 +08:00
c9s	c224eb7af7	add kline to the market data store	2020-10-18 00:06:08 +08:00
c9s	98192ae91f	move Cmd to the strategy package	2020-10-16 10:09:42 +08:00
c9s	7482fa52d6	add error check and logger	2020-10-15 23:38:00 +08:00
c9s	a91f851ac7	pass types.SubmitOrder by value	2020-10-13 18:08:02 +08:00
c9s	ec23266cc2	implement buyandhold strategy to test the api design	2020-10-13 16:17:07 +08:00
c9s	d1b618850d	add context parameter to the strategy method	2020-10-13 14:50:59 +08:00
c9s	6398f049d0	bind market data store and query avg price before we start	2020-10-12 22:46:06 +08:00