c9s
8f17d6b019
maxapi: rewrite public service with requestgen
2022-08-10 23:59:50 +08:00
c9s
fc73a12689
maxapi: add get klines request
2022-08-10 23:59:43 +08:00
c9s
6f35aa0f20
maxapi: replace client field type with interface
2022-08-10 23:59:38 +08:00
c9s
c5e93dba00
max: replace client field type with interface
2022-08-10 23:59:25 +08:00
c9s
ae3f6001b9
maxapi/v3: add order type alias
2022-08-10 23:59:21 +08:00
c9s
2380ebb285
maxapi/v3: apply order type constant type
2022-08-10 23:59:16 +08:00
c9s
2f8020efd6
max: add v2 order api back
2022-08-10 23:59:10 +08:00
c9s
3bdc6c7f28
bollmaker: remove unused embedded struct
2022-08-10 23:46:24 +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
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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
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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
5be6e822e9
fix: highest price and lowest price reset, condition gets crossed
2022-08-09 13:26:56 +09:00
zenix
2c4e03a102
fix: takeProfitFactor NaN
2022-08-09 13:26:56 +09:00
zenix
0e3aecb549
fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m
2022-08-09 13:26:56 +09:00
zenix
9704c09a09
feature: output config to telegram
2022-08-09 13:26:56 +09:00
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
zenix
214e7259ed
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype
2022-08-09 13:26:56 +09:00
zenix
53d4f21c30
feature: add smart cancel to drift
2022-08-09 13:26:56 +09:00
Andy Cheng
ef18791c6a
Merge pull request #865 from andycheng123/fix/protective-stoploss
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fix: protectivestoploss not working on long position
2022-08-09 12:15:33 +08:00
Yo-An Lin
072b808a6e
Merge pull request #868 from c9s/fixes
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fix: many minor fixes
2022-08-09 12:11:38 +08:00
c9s
9867aa9c68
bbgo: add mutex protection to tradecollector
2022-08-09 11:37:44 +08:00
c9s
2dff1e72da
types: rbtree - add panic check
2022-08-09 11:37:38 +08:00
c9s
4e4ffe83e5
cmd: fix cpu profile starter
2022-08-09 11:37:30 +08:00
c9s
ba7b6f82e2
types: add average price support in order in/out method
2022-08-09 11:37:23 +08:00
c9s
dce64871e8
types: add IsUSDFiatCurrency helper
2022-08-09 11:37:17 +08:00
c9s
99121d19c0
exchange/max: fix order trades query field name
2022-08-09 11:37:12 +08:00
c9s
b4dcdc4031
exchange/max: fix GetOrderTradesRequest order id field
2022-08-09 11:37:05 +08:00
c9s
a5a40c3a42
exchange/max: check order id field
2022-08-09 11:36:59 +08:00
c9s
cba9ffe064
exchange/max: add order trades api
2022-08-09 11:36:53 +08:00
c9s
df4ea9c1e6
types: update ExchangeOrderQueryService interface
2022-08-09 11:36:45 +08:00
c9s
babb0abc95
types: add Out() and Int() methods on SubmitOrder type
2022-08-09 11:36:39 +08:00
c9s
938e612c42
util: move emoji and pnl related functions to util
2022-08-09 11:36:24 +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
c9s
f9fe5d7790
cmd: move package import paths
2022-08-09 11:36:02 +08:00
c9s
96b10caa8c
types: add callbacks to the stream order book
2022-08-09 11:35:35 +08:00
austin362667
bb4db871b2
factorzoo: add comments for strategy
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factorzoo: add comments for strategy
2022-08-09 00:01:34 +08:00
austin362667
d282568614
factorzoo: add customized indicators
2022-08-08 23:50:42 +08:00
austin362667
bdb04a4322
strategy: factorzoo: refactor to logistic regression
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re-format
2022-08-08 20:09:15 +08:00
Andy Cheng
6c2fc3fee0
exits/protectivestoploss: fix shouldStop()
2022-08-08 17:57:05 +08:00
Andy Cheng
5455ae810b
strategy/supertrend: only show nterval profit report in backtesting
2022-08-08 17:42:21 +08:00
Andy Cheng
b133767e47
exit/protectivestoploss: works in long position
2022-08-08 16:49:19 +08:00
Andy Cheng
1cd48177ae
Merge pull request #862 from andycheng123/improve/supertrend-strategy
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Improve: supertrend strategy
2022-08-08 14:11:49 +08:00
Andy Cheng
c6407e92c8
strategy/supertrend: supertrend indicator adapted new indicator API
2022-08-08 13:07:59 +08:00
Andy Cheng
9d0eecc5bc
strategy/supertrend: linreg adapted new indicator API
2022-08-08 12:43:38 +08:00
Raphanus Lo
318590f41b
types: rbtree: resolve neel reusing problem
2022-08-08 00:51:37 +08:00
Andy Cheng
737f6e99ba
strategy/supertrend: use CalculateQuoteQuantity() in strategy
2022-08-05 16:28:42 +08:00
Andy Cheng
b564e69f82
strategy/supertrend: add CalculateQuoteQuantity()
2022-08-05 15:59:20 +08:00
Andy Cheng
dba1102588
strategy/supertrend: rename AvailableValue() to AvailableQuote()
2022-08-05 15:38:19 +08:00
Andy Cheng
eb57e80119
strategy/supertrend: different qty calculation for spot and leveraged
2022-08-05 15:11:15 +08:00
Andy Cheng
550f2f3fd7
strategy/supertrend: adapt risk.AccountValueCalculator
2022-08-05 11:47:36 +08:00
Andy Cheng
9369ad3155
strategy/supertrend: adapt SetIntervalProfitCollector
2022-08-04 10:39:52 +08:00
Andy Cheng
0d82f32769
Merge pull request #852 from andycheng123/position-updater
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feature: PositionModifier
2022-08-03 16:45:02 +08:00
Andy Cheng
e60aae40eb
positionModifier: combine callbacks into one
2022-08-03 16:27:05 +08:00
Andy Cheng
5d1bfc6010
strategy/supertrend: add last period accumulated profit report
2022-08-03 15:31:20 +08:00
Andy Cheng
dc9ecdd6ca
strategy/supertrend: add accumulated profit SMA report
2022-08-03 14:04:30 +08:00
Yo-An Lin
1b177044fb
Merge pull request #855 from COLDTURNIP/feature/optimizer_hyperparam
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optimizeex: hyperparameter optimization tool
2022-08-02 17:38:38 +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
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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
Raphanus Lo
68af2d0ff8
optimizer: rename optimizeex to hoptimize
2022-08-02 12:44:42 +08:00
Yo-An Lin
609508288c
Merge pull request #856 from COLDTURNIP/fix/ftx_default_fee
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exchange: FTX default fee
2022-07-31 13:16:01 +08:00
Raphanus Lo
5ef34a3b61
optimizer: calculate equity diff from whole assets instead of first symbol
2022-07-31 12:52:21 +08:00
Raphanus Lo
bad0aa31b7
optimizer: print best result in the same parameter order defined in config
2022-07-30 23:43:40 +08:00
Raphanus Lo
09940ed3cd
optimizer: optimizeEx supports discrete parameters
2022-07-30 20:34:28 +08:00
c9s
55a128ea90
pivotshort: use bbgo notify instead of just info log
2022-07-30 18:14:53 +08:00
c9s
8873101752
pivotshort: move trendEMA log
2022-07-30 18:02:28 +08:00
c9s
adb8a2a713
remove ping / pong debug
2022-07-30 16:27:43 +08:00
c9s
efaf8e9559
pivotshort: add more logs
2022-07-30 13:14:29 +08:00
Raphanus Lo
76d908e2bc
optimizer: workaround for data race in TPE optimization
2022-07-30 09:57:15 +08:00
Raphanus Lo
ae3eaaaeb3
optimizer: testing: param config
2022-07-30 00:19:12 +08:00
Raphanus Lo
f5d4fa098d
optimizer: refactor selector config types
2022-07-29 23:39:56 +08:00
Raphanus Lo
4e14df443a
optimizer: fix typo
2022-07-29 23:33:51 +08:00
Raphanus Lo
23dc8a9ce3
exchange: FTX default fee
2022-07-29 21:49:04 +08:00
Raphanus Lo
67f8b1c32c
optimizeex: hyperparameter optimization tool
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Currently support the following search algorithms:
- Tree-structured Parzen Estimators (tpe, default)
- Covariance Matrix Adaptation Evolution Strategy (cmaes)
- Quasi-monte carlo sampling based on Sobol sequence (sobol)
- random search (random)
And the following objective function:
- profit
- volume
- equity
2022-07-29 17:09:54 +08:00
c9s
bd754e1714
pivotshort: use infof log
2022-07-29 16:13:57 +08:00
Fredrik
b324149db2
added SideEffectTypeAutoRepay to supportTakeProfit
2022-07-29 09:41:35 +02:00
c9s
a132e789da
bump version to v1.38.0
2022-07-29 14:42:03 +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
Yo-An Lin
ae6c6c90a7
Merge pull request #849 from COLDTURNIP/feature/optimizer_output_asset_diff
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optimizer: print equity diff in final report
2022-07-28 18:56:41 +08:00
Yo-An Lin
a32ef8ca9a
Merge pull request #850 from COLDTURNIP/feature/optimizer_predict_grid_number
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optimizer: calculate total number of grids before testing
2022-07-28 18:54:21 +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
Raphanus Lo
16814138a1
optimizer: calculate total number of grids before testing
2022-07-28 12:36:44 +08:00
Raphanus Lo
3c0d5727e6
optimizer: print equity diff in final report
2022-07-28 12:31:17 +08:00
c9s
30978ecbd4
pivotshort: check TrendEMA pointer
2022-07-28 11:29:27 +08:00
c9s
d61047cd26
pivotshort: add maxGradient config to trendEMA
2022-07-28 10:27:16 +08:00
c9s
93593ffa06
bbgo: add close position tag log
2022-07-28 10:27:04 +08:00
c9s
a791b455b8
types: fix average profit/loss overflow issue
2022-07-28 10:26:48 +08:00
c9s
5fa2606357
pivotshort: rename kLineClosedStop to fakeBreakStop
2022-07-28 09:29:10 +08:00
c9s
abd99a1d93
types: fix IntervalProfits struct tag
2022-07-27 19:26:16 +08:00
c9s
03541ca746
types: record the position open time
2022-07-27 19:25:30 +08:00
c9s
56bfa22dbe
types: add position openedAt time field
2022-07-27 19:25:30 +08:00
c9s
9f06be14aa
types: calculate MaximumConsecutiveLosses and MaximumConsecutiveProfits
2022-07-27 19:25:29 +08:00
c9s
151d907457
use debug log for trendEMA
2022-07-27 19:22:56 +08:00
