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Commit Graph

6192 Commits

Author SHA1 Message Date
Andy Cheng
bb8dbb155f
exits/trailingstop: fix typo 2023-03-17 10:43:47 +08:00
chiahung
8182840685 use fixedpoint.Value as key 2023-03-16 21:58:41 +08:00
Andy Cheng
86bce7403b
exits/hhllstop: fix out of index error of klines 2023-03-16 19:44:58 +08:00
Andy Cheng
2e00e58442
exits/hhllstop: add hhllstop to exits 2023-03-16 18:39:27 +08:00
Andy Cheng
eb5479ffdf
exits/hhllstop: hhllstop prototype 2023-03-16 18:35:21 +08:00
Andy Cheng
a8438f8f72
exits/hhllstop: add basic parameters 2023-03-16 18:35:21 +08:00
c9s
0b922a929e
grid2: pull out backoff cancel all to cancelAllOrdersUntilSuccessful 2023-03-16 18:01:56 +08:00
chiahung
feabadeb59 FEATURE: make PinOrderMap's key from string to Pin 2023-03-16 17:34:02 +08:00
なるみ
57e3f46c5c
Merge pull request #1117 from c9s/narumi/fixedmaker/atr 
strategy: fixedmaker: add option to use ATR to adjust spread ratio
 2023-03-16 17:11:13 +08:00
narumi
939427c81f use ATR to adjust spread ratio 2023-03-16 17:03:45 +08:00
chiahung
a5675f72ad MINOR: use Debug config for debug log 2023-03-16 16:44:16 +08:00
なるみ
52b2ffebd1
Merge pull request #1113 from c9s/narumi/fixedmaker/skew 
strategy: fixedmaker: add skew to adjust bid/ask price
 2023-03-16 02:39:02 +08:00
narumi
cf9a2e55bf add skew to adjust bid/ask price 2023-03-16 02:04:26 +08:00
c9s
2fbe90b1e7
bbgo: fix: pass isolated context to SaveState() call 2023-03-15 22:50:50 +08:00
c9s
2378951c85
bbgo: should get isolation from the ctx when saving state 2023-03-15 22:47:40 +08:00
Yo-An Lin
4ac5a2a9e9
Merge pull request #1115 from c9s/bhwu/fix-correct-price-metrics 
FIX: [grid2] fix correct price metrics
 2023-03-15 22:10:17 +08:00
gx578007
74c465d943 FIX: [grid2] fix correct price metrics 2023-03-15 21:40:44 +08:00
chiahung
ffdc242f66 use debugOrders 2023-03-15 21:34:04 +08:00
chiahung
f987c85f17 move info log to debug log 2023-03-15 21:12:59 +08:00
chiahung
e686a26dda FEATURE: verify the grids before emit filled orders 2023-03-15 20:15:53 +08:00
chiahung
26054e4958 fix on max api level 2023-03-15 18:09:46 +08:00
chiahung
891cac0640 FIX: fix wrong fee currency 2023-03-15 17:29:17 +08:00
narumi
0f9319a2f5 make CreatePositions and CreateProfitStats public 2023-03-15 16:01:13 +08:00
c9s
0882bc4960
bollmaker: log submit order error 2023-03-15 13:26:27 +08:00
c9s
40040ff399
bump version to v1.44.1 2023-03-15 13:22:35 +08:00
なるみ
7d91fd01d8
Merge pull request #1109 from c9s/narumi/rebalance/fix-order-executor-not-found 
fix: rebalance: fix positions and profit stats map
 2023-03-15 12:25:19 +08:00
Andy Cheng
0a6c41cfe7
fix/bollmaker: fix s.MinProfitActivationRate condition 2023-03-15 11:06:26 +08:00
Andy Cheng
ca4890425c
fix/bollmaker: MinProfitActivationRate is disabled if it's not set 2023-03-15 10:57:18 +08:00
narumi
0458858de0 fix position and profitstats 2023-03-14 19:27:41 +08:00
chiahung
da48e0fc85 make end_time down to start_time + 3 days if end_time > start_time + 3 days 2023-03-14 18:39:36 +08:00
chiahung
e0b445f1c1 FEATURE: make MAX QueryTrades support start_time, end_time 2023-03-14 16:32:00 +08:00
kbearXD
ee4388406e
Merge pull request #1097 from c9s/feature/grids/recover-from-trades 
FEATURE: get filled orders when bbgo down
 2023-03-14 15:15:32 +08:00
chiahung
dce1e4c7d4 rename buildSyncOrderMap to SyncOrderMap 2023-03-14 14:35:15 +08:00
なるみ
cddf3570f2
Merge pull request #1104 from c9s/narumi/rebalance/balance 
fix: rebalance: adjust max amount by balance
 2023-03-14 14:06:31 +08:00
chiahung
9da8c39d2c avoid re-query same order 2023-03-14 13:46:46 +08:00
chiahung
4af8523144 new struct PinOrderMap 2023-03-14 10:47:25 +08:00
chiahung
7af4e3bf8a FEATURE: get filled orders when bbgo down 2023-03-14 10:47:23 +08:00
c9s
60d7d20ced
grid2: fix newline for the message format 2023-03-14 00:29:13 +08:00
なるみ
add9372eba use mid price to calculate weight 2023-03-13 15:30:33 +00:00
narumi
0690518dc7 add option to rebalance on start 2023-03-13 22:43:42 +08:00
narumi
640001ffa1 check minimal order quantity 2023-03-13 22:39:22 +08:00
narumi
c9f6995701 fix OrderExecutorMap's SumbitOrders 2023-03-13 22:39:04 +08:00
narumi
0b7f42c382 adjust max amount by balance 2023-03-13 22:39:01 +08:00
c9s
b58dcaba79
bump version to v1.44.0 2023-03-13 22:04:23 +08:00
Yo-An Lin
4b3f00fe79
Merge pull request #1105 from c9s/strategy/grid2/client-order-id-max 
grid2: use newClientOrderID only for max
 2023-03-13 21:47:02 +08:00
Yo-An Lin
07ebd83a62
Merge pull request #1052 from andycheng123/improve/linregmaker-minprofit 
Improve/linregmaker minprofit
 2023-03-13 21:31:28 +08:00
c9s
35ceda8408
grid2: use newClientOrderID only for max 2023-03-13 21:27:13 +08:00
gx578007
4b540fce88
Merge pull request #1100 from c9s/bhwu/grid2/specify-client-order-id 
FIX: [grid2] specify client order id explicitly
 2023-03-13 18:51:27 +08:00
gx578007
83ba32bf2f mock SubmitOrders by DoAndReturn 2023-03-13 18:43:52 +08:00
kbearXD
57d420fd6c
Merge pull request #1098 from c9s/fix/precision/format-string 
FIX: fix format string float point issue
 2023-03-13 16:44:06 +08:00
Andy Cheng
360173ac2b
fix/linregmaker: fix syntax error 2023-03-13 16:35:19 +08:00
Andy Cheng
cb412dc13f
improve/bollmaker: add MinProfitActivationRate 2023-03-13 16:35:19 +08:00
Andy Cheng
5fc459d404
improve/linregmaker: rename MinProfitDisableOn to MinProfitActivationRate 2023-03-13 16:35:19 +08:00
Andy Cheng
6e854f8027
improve/linregmaker: add MinProfitSpread 2023-03-13 16:35:19 +08:00
Andy Cheng
3c14382c3c
improve/linregmaker: fix StandardIndicatorSet initialization problem 2023-03-13 16:35:19 +08:00
Andy Cheng
a607f230d6
improve/linregmaker: more log for can buy sell 2023-03-13 16:35:19 +08:00
Andy Cheng
0ea345a18c
improve/linregmaker: fix balance calculation in backtesting 2023-03-13 16:35:18 +08:00
chiahung
51a52d1c18 comment out negative precision for dnum 2023-03-13 11:28:40 +08:00
narumi
4559a35f31 graceful cancel in rebalance strategy 2023-03-13 00:49:49 +08:00
c9s
b050ae4098
grid2: fix log format 2023-03-11 16:03:13 +08:00
narumi
74656e0e49 fix fixedmaker errors 2023-03-10 18:39:30 +08:00
gx578007
16b30960cc FIX: [grid2] specify client order id explicitly 2023-03-10 18:29:53 +08:00
chiahung
8c9ed0538f add more test case 2023-03-10 17:55:55 +08:00
chiahung
291a6f273a fix test error 2023-03-10 17:32:35 +08:00
Yo-An Lin
31e299baf2
Merge pull request #1101 from c9s/narumi/fixedmaker 
strategy: add fixedmaker
 2023-03-10 17:24:01 +08:00
c9s
3eae532e13
grid2: init filledOrderIDMap for tests 2023-03-10 17:11:51 +08:00
c9s
c6609927f2
grid2: fix Warn by using Warnf 2023-03-10 17:00:09 +08:00
narumi
a7cfd488ed add fixedmaker 2023-03-10 16:41:01 +08:00
gx578007
fd2032b825 FIX: [grid2] avoid handling one orderID twice 2023-03-10 16:16:11 +08:00
chiahung
36f48bc604 FIX: fix format string float point issue 2023-03-10 15:27:50 +08:00
Yo-An Lin
78d65d74d2
Merge pull request #1090 from andycheng123/fix/scale 
fix/scale: fix LinearScale calculation
 2023-03-10 14:18:02 +08:00
Andy Cheng
d51a802315
fix/scale: fix typo and add some more tests 2023-03-10 13:51:29 +08:00
c9s
df6e58d654
grid2: replace all openOrders query to queryOpenOrdersUntilSuccessful 2023-03-10 13:11:42 +08:00
c9s
89abbeb2d1
grid2: add context to backoffs 2023-03-10 13:10:14 +08:00
c9s
f093c73457
grid2: add queryOpenOrdersUntilSuccessful func 2023-03-10 13:10:14 +08:00
c9s
64e0a169e9
grid2: add debug option 2023-03-10 13:10:14 +08:00
c9s
ccf567fdab
grid2: add ClearDuplicatedPriceOpenOrders option 2023-03-10 13:10:11 +08:00
chiahung
67001fcbb7 new config 'recoverGridByScanningTrades' 2023-03-09 17:53:13 +08:00
chiahung
4288c82e25 FEATURE: recover grids with open orders by querying trades process and its buildPinOrderMap method 2023-03-09 17:10:44 +08:00
kbearXD
6a6d7a6293
Merge pull request #1095 from c9s/fix/maxapi/query-trades-by-order-id 
FIX: filter wrong order id from self-trade trades
 2023-03-09 16:59:33 +08:00
kbearXD
4586f68fdb
Merge pull request #1094 from c9s/fix/maxapi/order-updated-at 
FIX: use updated_at instead of created_at to convert MAX order to typ…
 2023-03-09 16:59:18 +08:00
chiahung
ead5486b52 FIX: filter wrong order id from self-trade trades 2023-03-09 16:15:48 +08:00
なるみ
1ebdd37f3f
Merge pull request #1093 from c9s/narumi/rebalance/positions 
strategy: rebalance: add positions and profit stats
 2023-03-09 12:07:19 +08:00
gx578007
517a7c6ad7
Merge pull request #1092 from c9s/bhwu/grid2/add-more-metrics 
FEATURE: [grid2] add more metrics and fix metric-related issues
 2023-03-09 11:41:57 +08:00
chiahung
d29c3fa05c FIX: use updated_at instead of created_at to convert MAX order to types.Order 2023-03-09 11:35:48 +08:00
kbearXD
5b4b1e8eca
Merge pull request #1091 from c9s/feature/maxapi/split-self-trade 
FEATURE: split self trades when use MAX RESTful API to query trades
 2023-03-09 11:29:19 +08:00
gx578007
045c8de2a6 refactor metric function to be separated in terms of lock 2023-03-09 11:26:02 +08:00
gx578007
5988567d09 FEATURE: [grid2] add more metrics and fix metric-related issues 2023-03-08 23:54:21 +08:00
なるみ
40e2296492 add positions and profit stats 2023-03-08 14:12:42 +00:00
Andy Cheng
f92bcda51d
improve/exit: fix typo 2023-03-08 19:31:47 +08:00
Yo-An Lin
3a6d210052
Merge pull request #1089 from andycheng123/improve/exit 2023-03-08 19:00:53 +08:00
chiahung
f9f6346468 FEATURE: split self trades when use MAX RESTful API to query trades 2023-03-08 17:18:18 +08:00
Andy Cheng
58b2678ae8
improve/exit: use roi.Percentage() instead of roi.Float64() 2023-03-08 17:12:41 +08:00
Andy Cheng
9516340303
fix/scale: update test case 2023-03-08 17:09:58 +08:00
Andy Cheng
9068ed7ae3
fix/scale: fix LinearScale calculation 2023-03-08 16:23:04 +08:00
c9s
c860e45c34
grid2: simplify isCompleteGridOrderBook 2023-03-08 16:02:31 +08:00
Andy Cheng
2970f73542
improve/exit: show symbol in trailing stop triggered message 2023-03-08 15:35:44 +08:00
c9s
a75bc2e590
grid2: add isCompleteGridOrderBook doc comment 2023-03-07 21:42:53 +08:00
c9s
72b6f73cb6
grid2: fix complete grid order book condition 2023-03-07 21:41:16 +08:00
c9s
db119a2218
grid2: update metrics before we re-play orders 2023-03-07 20:01:51 +08:00
c9s
756a3bb43f
grid2: add base round down for buy order 2023-03-07 18:37:45 +08:00
c9s
62eed9605d
grid2: round down quoteQuantity/baseQuantity after the fee reduction 2023-03-07 13:53:14 +08:00
gx578007
b04492a5a7
Merge pull request #1085 from c9s/bhwu/grid2/fix-group-id 
FIX: [grid2] group id should be bound by MaxInt32
 2023-03-07 12:01:17 +08:00
gx578007
f8054459c4 FIX: [grid2] group id should be bound by MaxInt32 2023-03-07 11:54:45 +08:00
なるみ
f064f5fbe1
Merge pull request #1080 from c9s/narumi/marketcap/order-type 
strategy: marketcap: add orderType parameter
 2023-03-06 21:46:25 +08:00
なるみ
00e022dbdc fixup! set order type default value in Defaults method 2023-03-06 13:37:03 +00:00
なるみ
cd500e6e73 set order type default value in Defaults method 2023-03-06 12:33:14 +00:00
Yo-An Lin
4e6614e711
Merge pull request #1083 from c9s/fix/maxapi/group-id 
FIX: add group id on submit order API
 2023-03-06 17:23:01 +08:00
gx578007
d4912ed3cd FIX: [grid2] avoid initializing metrics twice 2023-03-06 16:56:40 +08:00
chiahung
83d9977a57 make sure group id is > 0 2023-03-06 16:32:36 +08:00
chiahung
d466a63d22 FIX: add group id on submit order API 2023-03-06 15:58:18 +08:00
c9s
1dd6f9ef3e
grid2: remove order group cancel 2023-03-06 10:38:45 +08:00
Yo-An Lin
958e49deb4
Merge pull request #1082 from c9s/bhwu/add-mutex-to-mem-store 
FIX: add mutex in memory store
 2023-03-05 23:22:56 +08:00
c9s
9f29fbd645
grid2: add order group id to the submitOrder forms 2023-03-05 23:21:28 +08:00
c9s
773b055711
grid2: fix length check 2023-03-05 23:20:17 +08:00
gx578007
a5e35b4711 FIX: add mutex in memory store 2023-03-05 22:20:14 +08:00
c9s
dfba758e88
grid2: add one more log 2023-03-05 17:55:04 +08:00
c9s
584fae1a53
grid2: fix recover order filtering 2023-03-05 17:41:05 +08:00
c9s
4927dd7f98
grid2: add more logs 2023-03-05 17:34:50 +08:00
c9s
07f2de4300
bbgo: print submit order in the message 2023-03-05 17:23:06 +08:00
c9s
a01888dcdd
bbgo: fix logger usage in BatchRetryPlaceOrder 2023-03-05 17:21:29 +08:00
c9s
5805f0c7f0
grid2: call cancelWrite before everything 2023-03-05 17:10:11 +08:00
c9s
0f307bba7d
grid2: pull out start process to a function 2023-03-05 17:07:01 +08:00
gx578007
ec0d438f9d FIX: [grid2] fix active orderbook at recovering 2023-03-05 14:29:31 +08:00
narumi
94b946a993 add orderType parameter 2023-03-03 23:14:30 +08:00
c9s
9d1da7c847
grid2: remove outdated comment 2023-03-03 19:21:23 +08:00
c9s
e2435f1fc0
grid2: pass submit orders in one call since we have solved the order store issue 2023-03-03 19:09:53 +08:00
c9s
1a109c118d
grid2: use write context for submitting orders 2023-03-03 19:09:53 +08:00
c9s
3f560b2230
grid2: backoff retry open orders api 2023-03-03 19:09:05 +08:00
c9s
fa395b0d0a
grid2: improve the onStart handler 2023-03-03 19:09:05 +08:00
c9s
0d41f0261a
grid2: rewrite cancel all check loop 2023-03-03 19:09:05 +08:00
gx578007
41b237ec05
Merge pull request #1077 from c9s/bhwu/support-redis-expiration 
FEATURE: save expiring data to redis
 2023-03-03 17:55:24 +08:00
gx578007
4deefefe0f FEATURE: save expiring data to redis 2023-03-03 17:13:54 +08:00
c9s
bf4553d767
grid2: add OrderFillDelay option 2023-03-03 14:30:58 +08:00
c9s
ca741f91eb
grid2: add fee currency check for buy order 2023-03-03 14:30:58 +08:00
c9s
9a89237c24
grid2: fix base/quote fee reduction 2023-03-03 14:30:58 +08:00
c9s
bd86a89667
grid2: return fee currency 2023-03-03 13:13:27 +08:00
c9s
5cbc6f191f
grid2: aggregate order fee instead of only base fee 2023-03-03 13:13:27 +08:00
gx578007
8039068d51
Merge pull request #1075 from c9s/bhwu/add-persistence-to-env 
FEATURE: add persistence service to environment
 2023-03-02 23:00:20 +08:00
gx578007
bc7a071dbd FIX: add persistence service to environment 2023-03-02 22:42:02 +08:00
Yo-An Lin
d03c7d624f
Merge pull request #1074 from c9s/narumi/rebalance/order-type 
strategy: rebalance: add order type parameter
 2023-03-02 22:37:36 +08:00
c9s
e915825ac6
grid2: defer call grid closed 2023-03-02 18:16:09 +08:00
narumi
904491e750 add orderType parameter 2023-03-02 18:11:43 +08:00
c9s
c5e2acf0f5
grid2: call Initialize in clean up 2023-03-02 18:08:26 +08:00
c9s
86584b01b9
grid2: fix exchange session field 2023-03-02 18:05:48 +08:00
c9s
5212365d2f
grid2: remove s.ExchangeSession check 2023-03-02 17:40:44 +08:00
c9s
6947c8b104
grid2: improve clean up 2023-03-02 17:33:58 +08:00
c9s
ae5bd507a8
bbgo: add BBGO_SUBMIT_ORDER_RETRY_TIMEOUT env var for overriding timeout 2023-03-02 17:17:18 +08:00
c9s
f4b012623f
bbgo: add back retry timeout context 2023-03-02 16:58:14 +08:00
c9s
5c3a01e65b
bbgo: fix logger usage 2023-03-02 16:57:29 +08:00
c9s
3cb190c2c7
bbgo: apply logger into the order executor 2023-03-02 16:16:14 +08:00
c9s
385a97448d
grid2: add StopIfLessThanMinimalQuoteInvestment doc comment 2023-03-02 15:53:42 +08:00
c9s
11329dffe7
grid2: add StopIfLessThanMinimalQuoteInvestment option 2023-03-02 15:50:10 +08:00
c9s
01ecdc8d6b
fix order submit retry 2023-03-02 15:41:11 +08:00
c9s
729d32af70
grid2: add minimal quote investment check error log 2023-03-02 15:14:21 +08:00
c9s
4aa25db3ed
grid2: add one more calculateMinimalQuoteInvestment test case 2023-03-02 14:03:22 +08:00
c9s
1d8df08a74
fixedpoint: fix fixedpoint rounding 2023-03-01 22:21:24 +08:00
c9s
f553ee05a0
grid2: log base fee rounding precision 2023-03-01 21:49:15 +08:00
c9s
b2bbf2d6ca
grid2: add comment to the sync call 2023-03-01 21:09:48 +08:00
c9s
b13efdf30e
grid2: calculate grid profit only when the reverse order is placed 2023-03-01 20:05:35 +08:00
Yo-An Lin
dea86282b8
Merge pull request #1070 from c9s/feature/submit-order-backoff 
fix: add context, exponential backoff and max retry limit
 2023-03-01 17:55:39 +08:00
c9s
39f8557231
bbgo: if the error is context.Canceled, exit the retry loop 2023-03-01 17:42:01 +08:00
c9s
6137905f42
max: fix max v3 order cancel api 2023-03-01 16:45:33 +08:00
c9s
06eff47058
grid2: improve UseCancelAllOrdersApiWhenClose process 2023-03-01 16:35:09 +08:00
c9s
f82af6e6dd
grid2: use UseCancelAllOrdersApiWhenClose 2023-03-01 16:16:26 +08:00
c9s
c1cc008ecc
bbgo: add retry limit and exponential backoff to retry order 2023-03-01 15:48:38 +08:00
c9s
98739cc8a1
grid2: avoid using loop iterator var 2023-03-01 15:29:46 +08:00
c9s
04da988639
grid2: check if we have o.AveragePrice, use it for newQuantity 2023-03-01 15:29:46 +08:00
c9s
7eb953093c
grid2: merge baseSellQuantityReduction section 2023-03-01 15:29:46 +08:00
c9s
6fc45e66dd
grid2: for non-compound or earn base mode we should always use the original buy quantity 2023-03-01 15:29:46 +08:00
c9s
18478cf4c8
bbgo: apply backoff to submitOrders 2023-02-24 13:34:08 +08:00
gx578007
3acb0a0a64
Merge pull request #1066 from c9s/fix/grid2/fee-reduction 2023-02-24 12:56:09 +08:00
c9s
5b903cd4ed
grid2: always round up 2023-02-24 12:46:38 +08:00
c9s
37535e9f3e
grid2: fix fee reduction by rounding 2023-02-24 12:25:23 +08:00
c9s
59ff86e4bb
grid2: fix metrics for tests 2023-02-24 00:44:50 +08:00
c9s
d89d0cf0ff
bbgo: refactor SubmitOrders method for retry 2023-02-23 23:34:26 +08:00
c9s
ed61f70d74
bbgo: rewrite BatchRetryPlaceOrder to make it retry with err index 2023-02-23 23:17:04 +08:00
c9s
2a47d390f0
grid2: update grid2 metrics 2023-02-23 22:49:03 +08:00
c9s
5e2add8765
grid2: add the missing metrics update 2023-02-23 22:39:47 +08:00
c9s
7532c31631
bbgo: fix pending order event trigger 2023-02-23 21:46:57 +08:00
c9s
b666c8bf40
bbgo: triggering pending order update event ot the handler 2023-02-23 18:08:21 +08:00
c9s
31c9ebf34b
grid2: update metrics after recovering the grid orders 2023-02-23 11:19:10 +08:00
c9s
ef771546e3
grid2: simplify WriteString call 2023-02-22 15:45:33 +08:00
c9s
905b25655d
bbgo: provide logging configuration 2023-02-22 15:25:39 +08:00
c9s
e3fa4587d9
bbgo: add logging config struct 2023-02-22 15:18:48 +08:00
c9s
6dc92bea16
grid2: pass logger entry to debugGrid 2023-02-22 15:16:47 +08:00
c9s
9d218d93ac
grid2: use string builder for debugGrid 2023-02-22 15:11:47 +08:00
c9s
67d84b9716
grid2: sleep 100ms between the recover orders 2023-02-22 01:11:34 +08:00
c9s
9e5717ab83
grid2: sleep 2 seconds to wait for the reverse order to be placed 2023-02-22 01:10:49 +08:00
c9s
bee7b593d2
grid2: fix log index number 2023-02-22 01:08:19 +08:00
c9s
d2d818a6bc
bbgo: sleep 200ms before we retry submiting the order 2023-02-22 00:54:12 +08:00
c9s
bc98fe3bcc
grid2: fix recover sorting 2023-02-22 00:50:00 +08:00
c9s
03dfb4386e
grid2: simplify and fix calculateMinimalQuoteInvestment 2023-02-21 17:58:11 +08:00
c9s
9c1110fb44
grid2: fix calculateMinimalQuoteInvestment 2023-02-21 17:48:40 +08:00
c9s
0402fddea3
grid2: pull out order filtering 2023-02-21 15:50:25 +08:00
c9s
d53b41f4fd
grid2: use go routine to recover grid to avoid order update delay issue 2023-02-21 01:05:56 +08:00
c9s
08cc99c300
grid2: add recover debug log 2023-02-20 22:25:00 +08:00
c9s
a6047c4840
grid2: implement CleanUp interface 2023-02-20 16:52:39 +08:00
gx578007
85d002eabc FIX: [grid2] fix quote accumulation 2023-02-17 22:52:58 +08:00
c9s
4dc4f73834
bbgo: add pending order test cases 2023-02-17 19:50:46 +08:00
c9s
10eba876c4
bbgo: simplify order symbol filtering condition 2023-02-17 19:24:08 +08:00
c9s
cf1be9fc6f
bbgo: process pending order update for active order book 2023-02-17 19:15:00 +08:00
c9s
21cdb7afe8
grid2: split SubmitOrders calls 2023-02-17 18:54:47 +08:00
c9s
9d2c742496
grid2: avoid using totalBase when one of quote investment or base investment is defined 2023-02-17 18:35:42 +08:00
c9s
a5e134e98d
grid2: fix calculateMinimalQuoteInvestment tests 2023-02-17 17:33:12 +08:00
c9s
29692b0e1a
grid2: fix MinimalQuoteInvestment check 2023-02-17 17:16:25 +08:00
c9s
56628aca73
grid2: emit grid ready only when there is no error 2023-02-16 22:49:22 +08:00
c9s
55476e4176
grid2: include the order dust for the quote investment calculation 2023-02-16 22:20:34 +08:00
c9s
156da92670
grid2: check used quote balance before we generate the grid order 2023-02-16 21:38:48 +08:00
c9s
2aee3cea59
grid2: emit grid ready once the grid is recovered 2023-02-16 21:33:42 +08:00
c9s
eb4e25c008
grid2: emit grid ready earlier 2023-02-16 18:13:51 +08:00
c9s
f039c97e63
grid2: defer EmitCloseGrid callback earlier 2023-02-16 18:12:08 +08:00
c9s
7ba0e86605
grid2: use setGrid with mutex 2023-02-16 18:11:38 +08:00
c9s
9e3383606e
grid2: add quote quantity test case 2023-02-16 18:11:04 +08:00
c9s
9b69fa5465
grid2: log calculateQuoteInvestmentQuantity result 2023-02-16 14:56:28 +08:00
c9s
fa3106eefa
grid2: set the grid field if there is no missing orders 2023-02-15 22:44:07 +08:00
c9s
a9f1aab4b1
grid2: add user data stream on start log 2023-02-15 22:42:46 +08:00
c9s
62b8863ca6
grid2: fix pin price precision 2023-02-15 22:32:55 +08:00
c9s
9ab4c45727
grid2: remove buildGridPriceMap since we have HasPrice method 2023-02-15 22:17:36 +08:00
c9s
ec8e50822a
grid2: do not place sell order at price[0] 2023-02-15 21:51:22 +08:00
c9s
6dfd18bd49
grid2: run recoverGrid only when user data stream is started 2023-02-15 21:49:25 +08:00
c9s
88116440ba
grid2: define strategy field in the logger entry 2023-02-15 17:38:48 +08:00
c9s
e73081d6ba
grid2: add logFields config 2023-02-15 17:33:07 +08:00
c9s
35bfdfab8d
grid2: fix si index check 2023-02-15 16:51:12 +08:00
c9s
44210bf26a
grid2: adjust test case tick size 2023-02-15 16:05:45 +08:00
c9s
a7e100563a
grid2: add test case 2023-02-15 16:03:24 +08:00
c9s
8ef86858e2
grid2: fix calculateBaseQuoteInvestmentQuantity logging 2023-02-15 15:54:49 +08:00
c9s
276149b378
grid2: improve base+quote logging 2023-02-15 15:49:40 +08:00
c9s
79f9f9c5bb
grid2: pull out quote investment variable 2023-02-15 15:41:35 +08:00
c9s
d1cbc6a9ca
grid2: add one more quote investment test case 2023-02-15 15:41:35 +08:00
c9s
2fecf0dc79
grid2: fix HasPrice 2023-02-15 14:57:21 +08:00
c9s
3bf24d97f0
grid2: add HasPrice test 2023-02-15 14:42:01 +08:00
c9s
26c7e03dc1
grid2: fix balance check 2023-02-14 16:44:59 +08:00
c9s
353c74ef5e
grid2: gridNum can not be zero or one 2023-02-13 16:11:42 +08:00
c9s
3df846d878
grid2: fix quote investment algorithm 2023-02-13 14:06:11 +08:00
c9s
4eca007d3d
grid2: fix upper price buy order issue 2023-02-10 17:51:50 +08:00
c9s
34ab53303a
grid2: fix upper price error 2023-02-10 17:22:19 +08:00
c9s
2fed98ea55
batch: fix JumpIfEmpty algorithm 2023-02-09 17:11:26 +08:00
c9s
5bbe4ecd57
bbgo: check isolation context for log message 2023-02-08 17:39:02 +08:00
c9s
3c69556424
bbgo: fix graceful shutdown call 2023-02-08 17:30:33 +08:00
c9s
829704eda3
grid2: remove todo 2023-02-08 16:46:19 +08:00
c9s
abdded8126
grid2: add ClearOpenOrdersIfMismatch 2023-02-08 16:43:25 +08:00
c9s
760fc74187
grid2: expose order group ID field 2023-02-08 16:26:37 +08:00
c9s
e8c69dfaef
grid2: add mutex lock for the grid object field 2023-02-07 01:38:25 +08:00
c9s
06c3f5f79c
grid2: add PlainText method support to GridProfitStats 2023-02-06 16:59:50 +08:00
c9s
3a7be0e2b2
grid2: add closing grid log 2023-02-06 16:31:57 +08:00
Yo-An Lin
29d6083737
Merge pull request #1053 from zenixls2/feature/get_historical_trades_binance 
feature: get historical public trades from binance
 2023-02-02 16:14:58 +08:00
c9s
854ac4f8ea
grid2: fix pin price algorithm 2023-02-01 18:56:01 +08:00
c9s
4bf0cb6a0c
grid2: use Round instead of Trunc 2023-02-01 15:48:19 +08:00
c9s
d43acaa17c
grid2: add metrics registration guard 2023-01-31 21:30:58 +08:00
zenix
bfe5eace1a feature: get historical public trades from binance 2023-01-19 13:07:01 +09:00
Zenix
4a68f0e75c
Merge pull request #1023 from zenixls2/feature/add_indicators2 
implement indicators from phemex
 2023-01-18 20:09:40 +09:00
zenix
4c2c647160 fix: remove bind and handler for newly added indicators 2023-01-18 19:11:23 +09:00
Yo-An Lin
effd4df72e
Merge pull request #1050 from frin1/new_indicators 
Feature: New indicators
 2023-01-17 14:53:51 +08:00
c9s
74daa76e75
grid2: fix grid num calculation 2023-01-16 18:34:08 +08:00
zenix
0b71f2f1d2 fix: query price range from volume profile trades on every updates. will make it slower on updates 2023-01-16 12:37:51 +09:00
Fredrik
c8f934cafb Rename variables 2023-01-15 10:25:22 +01:00
Fredrik
f1fbf537c4 Added functions to supertrend 2023-01-14 18:13:18 +01:00
Fredrik
96405658c9 Added indicators 2023-01-14 18:13:18 +01:00
zenix
746279d0a7 Fix klingerOscillator, add test for it 2023-01-12 19:37:36 +09:00
c9s
46eb590a9f
grid2: OpenGrid, CloseGrid 2023-01-12 14:33:09 +08:00
c9s
668bf2d847
grid2: remove strategyInstance since we have custom labels 2023-01-11 00:47:36 +08:00
c9s
0d47afd5fd
grid2: add order side to the metrics label 2023-01-10 21:41:10 +08:00
c9s
75919a0bf1
grid2: reset metricsGridOrderPrices 2023-01-10 21:21:35 +08:00
c9s
857b5d0f30
grid2: integrate prometheus metrics 2023-01-10 20:15:51 +08:00
Yo-An Lin
9ee4fa0064
Merge pull request #1047 from c9s/narumi/add-rsi 
feature: add RSI to StandardIndicatorSet
 2023-01-07 19:25:56 +08:00
c9s
5765969573
service: add redis namespace support 2023-01-05 19:07:15 +08:00
なるみ
5ccdab34be add RSI to StandardIndicatorSet 2023-01-05 18:36:09 +08:00
なるみ
a238da3dc4 create log dir to avoid error 2022-12-28 17:15:30 +08:00
c9s
c9a70d9897
grid2: add grid callbacks 2022-12-26 18:15:39 +08:00
c9s
d9312abba2
grid2: adjust maxTries to 5 2022-12-26 18:08:36 +08:00
c9s
a4f5d15334
grid2: adjust rollback duration to twice 2022-12-26 18:05:35 +08:00
c9s
a66cee9130
util: remove unused func 2022-12-26 16:05:21 +08:00
c9s
c07c3c62a9
util: remove unused NotZero funcs 2022-12-26 01:51:32 +08:00
c9s
ecf5ed3c85
remove empty render.go 2022-12-26 01:50:25 +08:00
c9s
e9ff0dcc66
types: fix lint issue 2022-12-26 01:49:46 +08:00
c9s
2d2d194bda
grid2: fix InstanceID for autoRange 2022-12-26 01:40:59 +08:00
c9s
8af7d6f457
grid2: use initial grid order id to query closed order history 2022-12-26 01:35:37 +08:00
c9s
6444fd5e03
grid2: remove default profit stats 2022-12-26 01:24:56 +08:00
c9s
0a6261b6b9
grid2: split more files 2022-12-26 01:04:17 +08:00
c9s
961725f03c
grid2: support autoRange 2022-12-26 00:56:03 +08:00
c9s
54b4f593ec
grid2: validate upper price and lower price only when autoRange is not given 2022-12-26 00:29:31 +08:00
c9s
579df0cec9
types: add simple duration tests 2022-12-25 16:08:34 +08:00
c9s
f60b4630c5
grid2: add AutoRange parameter 2022-12-24 20:39:11 +08:00
c9s
d27786d5ae
types: always use pointer on duration 2022-12-24 20:39:01 +08:00
c9s
4388bc209b
types: add simple duration type for parsing [0-9]+[wd] 2022-12-24 20:37:53 +08:00
c9s
e0daf9904e
grid2: add recover time range rollback 2022-12-24 17:08:50 +08:00
c9s
cb2d9d7eb2
grid2: fix replayOrderHistory logic 2022-12-24 16:14:39 +08:00
c9s
6b75150983
refactor order related functions into core api 2022-12-24 15:58:02 +08:00
c9s
a46b3fe908
grid2: improve debugGrid func 2022-12-24 14:52:08 +08:00
c9s
8e20a55060
grid2: refactor recover functions to replayOrderHistory and reuse scanMissingPinPrices 2022-12-24 14:48:47 +08:00
c9s
53b2a0d7ab
bump version to v1.43.1 2022-12-24 01:29:05 +08:00
c9s
216bdb891f
grid2: skip canceled orders 2022-12-24 01:08:28 +08:00
c9s
3d9b919e24
grid2: fix grid recovering 2022-12-24 00:54:40 +08:00
c9s
8715d0aca9
grid2: prevent infinite loop 2022-12-23 23:50:30 +08:00
c9s
ae20cef8f4
grid2: add scanOrderCreationTimeRange func 2022-12-23 23:41:36 +08:00
c9s
606b4650b3
grid2: add RecoverOrdersWhenStart and fix grid recover logic 2022-12-23 19:15:46 +08:00
c9s
6bcf5f8f82
bbgo: improve active order book printing 2022-12-23 18:19:00 +08:00
c9s
882c56a820
grid2: add RecoverWhenStart option 2022-12-23 17:54:30 +08:00
c9s
8a45fe522e
grid2: pull out session dependency from the recoverGrid method 2022-12-23 16:48:40 +08:00
c9s
c721274adc
grid2: implement scanMissingGridOrders 2022-12-23 15:35:26 +08:00
c9s
28beca18e1
bump version to v1.43.0 2022-12-23 13:08:06 +08:00
Yo-An Lin
8bcfb78bc0
Merge pull request #1030 from c9s/feature/grid2 
WIP: Feature/grid2
 2022-12-23 12:59:43 +08:00
c9s
bf87d04d57
binance: change rate limit unit to minute 2022-12-22 19:07:55 +08:00
c9s
1ea72099ed
service: fix margin sync with asset condition 2022-12-22 14:10:35 +08:00
c9s
c59c8638be
grid2: find lastOrderTime and firstOrderTime range 2022-12-22 13:21:39 +08:00
c9s
5b4be1f9fc
max: drop unused toMaxSubmitOrder 2022-12-22 13:14:25 +08:00
zenix
1ca79db4e5 fix: volume profile 2022-12-22 13:35:04 +09:00
zenix
2811dbb580 fix: tsi, add test 2022-12-22 11:55:17 +09:00
zenix
75caa6565e feature: add sar indicator 2022-12-22 11:55:17 +09:00
zenix
c0f82977b0 feature: add psar 2022-12-22 11:55:17 +09:00
zenix
2b62616513 doc: add description about indicators generated by chatgpt 2022-12-22 11:55:17 +09:00
zenix
38461167ba feature: add tsi and klinger oscillator, fix wdrift div 0 issue 2022-12-22 11:55:17 +09:00
c9s
441e5d867b
grid2: add todo mark 2022-12-20 17:34:20 +08:00
c9s
f92ba9cbf1
grid2: implement recover func loading 2022-12-20 17:33:53 +08:00
c9s
130cf2468d
types: implement lookup method 2022-12-20 17:33:40 +08:00
c9s
330be79ec6
grid2: add recoverGrid 2022-12-20 15:56:38 +08:00
Yo-An Lin
2b20ff4da9
Merge pull request #1027 from andycheng123/strategy/linregmaker 
Strategy: LinReg Maker
 2022-12-20 14:55:48 +08:00
c9s
756bfe2402
types: print message body when message parse error 2022-12-19 19:00:35 +08:00
c9s
30f471db00
binance: fix execution report parsing 2022-12-19 19:00:14 +08:00
c9s
6f2664b03e
grid2: fix test for orderTag 2022-12-19 18:51:39 +08:00
c9s
811be78933
grid2: update log message 2022-12-17 11:57:32 +08:00
Andy Cheng
d5e37f03e2 feature/dynamic_*: move dynamic_* to risk/dynamicrisk package 2022-12-16 11:51:52 +08:00
c9s
fa73b0e7f7
grid2: add warning message 2022-12-15 19:20:15 +08:00
c9s
bbc47bb63a
grid2: remove todo item 2022-12-15 19:06:34 +08:00
c9s
78f10212b9
grid2: fix base fee format 2022-12-15 18:57:21 +08:00
c9s
fcd7a20b78
bbgo,grid2: add place order error log 2022-12-15 18:54:02 +08:00
c9s
051aa19989
grid2: add newOrderUpdateHandler and send profit to notification 2022-12-15 18:47:45 +08:00
c9s
c2133a1712
grid2: call bbgo sync api to sync profit stats 2022-12-15 18:42:25 +08:00
c9s
1964763f58
grid2: add more logs 2022-12-15 18:41:04 +08:00
c9s
a340cd321b
max: add submit order limiter 2022-12-15 18:38:57 +08:00
c9s
ac8186d43d
grid2: debug submitOrder before sending them to the api 2022-12-15 18:30:28 +08:00
c9s
bc8d7e9968
grid2: add skipSpreadCheck option 2022-12-15 18:09:43 +08:00
Andy Cheng
e39b94cf51 bbgo/standard_indicator_set: embed BOLL's SMA initialization into the constructor literal 2022-12-15 17:50:05 +08:00
c9s
c0598a05f6
grid2: add slack attachment footer 2022-12-15 17:47:34 +08:00
Andy Cheng
095eb9c134 feature/dynamic_exposure: undo move dynamic_exposure and dynamic_spread 2022-12-15 17:25:56 +08:00
Andy Cheng
754f8da5d4 strategy/linregmaker: move private fields to the end of the struct 2022-12-15 17:23:43 +08:00
Andy Cheng
5b017cd361 feature/dynamic_spread: rename DynamicSpreadAmp to DynamicAmpSpread 2022-12-15 17:12:04 +08:00
Andy Cheng
5c7c125c99 feature/dynamic_spread: move to risk package 2022-12-15 17:09:47 +08:00
Andy Cheng
4c98bed76f feature/dynamic_quantity: add comment for getQuantity() 2022-12-15 17:08:36 +08:00
Andy Cheng
1002c13062 feature/dynamic_exposure: move to risk package 2022-12-15 17:08:35 +08:00
c9s
19478b1fbc
grid2: add profit stats since field 2022-12-15 15:39:48 +08:00
c9s
a7c8da7e88
grid2: add SlackAttachment on profit stats 2022-12-15 15:39:16 +08:00
c9s
7a35a652c3
grid2: add SlackAttachment on grid profit 2022-12-15 15:33:26 +08:00
c9s
a6a4be9878
grid2: sync order tag 2022-12-15 14:58:50 +08:00
c9s
16df170ca3
grid2: pull out order tag 2022-12-15 14:58:50 +08:00
c9s
aa4130ed30
grid2: add PlainText method on GridProfit struct 2022-12-15 14:58:31 +08:00
c9s
532d474564
grid2: pull out processFilledOrder method 2022-12-15 14:57:25 +08:00
Andy Cheng
8b1d19124f strategy/linregmaker: allow using amount for order qty calculation 2022-12-14 14:42:56 +08:00
Andy Cheng
d510c37e91 improve/dynamic_quantity: fix dynamic qty logic 2022-12-14 12:28:39 +08:00
Andy Cheng
2b8a5fe755 strategy/linregmaker: fix faster decrease logic 2022-12-14 11:52:15 +08:00
Andy Cheng
2ecdae6530 strategy/linregmaker: remove wrong test file 2022-12-13 17:49:31 +08:00
Andy Cheng
c6f9b0feed strategy/linregmaker: update config 2022-12-13 17:37:47 +08:00
Andy Cheng
ff334ca13d strategy/linregmaker: calculated allowed margin when leveraged 2022-12-13 17:16:30 +08:00
Andy Cheng
30f3ef2180 strategy/linregmaker: add more tg notification 2022-12-13 12:12:46 +08:00
Andy Cheng
79dcda5f52 strategy/linregmaker: add more trend reverse logs 2022-12-13 11:06:18 +08:00
Andy Cheng
a6956e50b7 strategy/linregmaker: add more logs 2022-12-12 18:23:49 +08:00
c9s
d83feec9ec
cmd: add log message for rollbar token 2022-12-12 17:37:40 +08:00
c9s
c8098b414b
cmd: add rollbar support 2022-12-12 17:18:40 +08:00
c9s
df6a34f5af binanceapi: adjust http timeout to 10s 2022-12-09 21:30:33 +08:00
c9s
096defc331 add test flag and disable lfs in test 2022-12-09 17:34:24 +08:00
c9s
6c0cc71c1c binance: avoid using fromId and timeRange at the same time 2022-12-09 17:28:06 +08:00
c9s
ae678d1b3b binance: add workaround for the myTrades api 2022-12-09 17:09:03 +08:00
c9s
85097840f1 binance: replace /api/v3/myTrades api 2022-12-09 16:44:27 +08:00
c9s
b515c24505 grid2: add earnBase test case 2022-12-07 14:48:51 +08:00
c9s
120a22f0cd grid2: add compound mode order test 2022-12-07 14:42:06 +08:00
c9s
9d24540826 grid2: add order executor mock for testing reverse order 2022-12-07 14:19:49 +08:00
c9s
9215e401d0 grid2: fix quantity, amount, quoteInvestment validation 2022-12-07 12:29:14 +08:00
c9s
df6187dc98 grid2: remove default fee rate 2022-12-07 12:25:30 +08:00
c9s
489b025702 grid2: refactor check spread 2022-12-07 12:24:52 +08:00
c9s
02bebe8ed1 grid2: use min quantity instead of max quantity 2022-12-07 11:44:22 +08:00
c9s
e1e521cec5 grid2: add comment to the minimal quote investment test 2022-12-06 16:38:12 +08:00
c9s
46d1207adb grid2: fix TestStrategy_checkMinimalQuoteInvestment 2022-12-06 16:37:12 +08:00
c9s
b0381fd927 grid2: pull out debugGridOrders func 2022-12-06 16:35:52 +08:00
c9s
b8e5bf1ddd grid2: add test case for testing checkMinimalQuoteInvestment 2022-12-06 16:09:46 +08:00
c9s
47759236e0 grid2: improve log 2022-12-06 15:57:03 +08:00
c9s
0cf43ffb11 grid2: pull out aggregateTradesQuantity func 2022-12-06 15:57:03 +08:00
c9s
b4e403d632 grid2: remove fee check from verifyOrderTrades 2022-12-06 15:57:03 +08:00
c9s
423fe521b6 grid2: add build tag for backtest_test 2022-12-06 15:57:03 +08:00
c9s
482b6f5e7b grid2: add test case for aggregateOrderBaseFee Retry 2022-12-06 15:46:21 +08:00
c9s
3d0cfd16b5 grid2: add test case for aggregateOrderBaseFee 2022-12-06 15:46:21 +08:00
c9s
555d2c5046 mocks: add mocks 2022-12-06 15:46:20 +08:00
c9s
c6ce223a13 all: refactor backtest functions so that we can run backtest in test 2022-12-06 13:16:12 +08:00
c9s
846695e632 grid2: add retry to orderQuery 2022-12-06 11:56:30 +08:00
c9s
75521352a9 grid2: pull out aggregateOrderBaseFee 2022-12-06 11:48:32 +08:00
c9s
68e7d0ec24 grid2: add doc comment for gridNumber 2022-12-06 10:47:19 +08:00
c9s
402b625126 grid2: add stringer method on gridProfit 2022-12-06 10:06:58 +08:00
c9s
e29f3c50e8 grid2: calculate TotalFee 2022-12-06 10:05:43 +08:00
c9s
d1f3d201ef grid2: add todo in the test 2022-12-06 02:40:22 +08:00
c9s
2a22866d55 grid2: inject strategy into user config and run backtest 2022-12-06 02:40:22 +08:00
c9s
d9e230a433 grid2: add TestBacktestStrategy skeleton for backtesting in unit test 2022-12-06 02:40:22 +08:00
c9s
35297b9bbf bbgo: fix backtesting flag setter 2022-12-06 02:40:22 +08:00
c9s
aa5f2a032a grid2: call TruncatePrice on profitSpread 2022-12-06 02:13:32 +08:00
c9s
dd591c936f grid2: add min order quantity protection 2022-12-06 02:07:05 +08:00
c9s
fc80cfb714 grid2: fix quote investment calculation for profit spread 2022-12-06 01:57:33 +08:00
c9s
e7ff7a49db grid2: fix calculateQuoteInvestmentQuantity for profitSpread 2022-12-06 01:51:50 +08:00
c9s
7e0ac66ea1 grid2: fix calculateQuoteBaseInvestmentQuantity grid calculation 2022-12-06 01:21:41 +08:00
c9s
541c0e76b5 grid2: consider profitSpread in calculateQuoteBaseInvestmentQuantity 2022-12-06 01:19:24 +08:00
c9s
a8c957fc8d grid2: fix profit spread behavior and tests 2022-12-06 01:17:29 +08:00
c9s
bee528c7c5 grid2: set enable prune for trade history 2022-12-06 00:55:08 +08:00
c9s
a6205e0d1d bbgo: add EnablePrune option 2022-12-06 00:28:38 +08:00
c9s
beb862be44 bbgo: add TradeStore prune func and its tests 2022-12-06 00:15:09 +08:00
c9s
6408224663 bbgo: add TradeStore prune 2022-12-05 23:54:20 +08:00
c9s
79733b963b grid2: fix take profit handler 2022-12-05 23:42:03 +08:00
c9s
9be3c79f8a grid2: handle take profit 2022-12-05 19:46:08 +08:00
c9s
a67d01e821 grid2: fix log format 2022-12-05 19:43:58 +08:00
c9s
c4544cf8b2 grid2: improve debug logging 2022-12-05 19:42:36 +08:00
c9s
8e3bfe8499 grid2: consider base sell quantity reduction 2022-12-05 19:37:42 +08:00
c9s
fae61bd91f grid2: narrow down orderQueryService support checking 2022-12-05 19:31:44 +08:00
c9s
5d441e3efe grid2: collect fees and check if we need to reduce the quantity for sell 2022-12-05 19:30:06 +08:00
c9s
16224583ff grid2: add historicalTrades store 2022-12-05 19:23:39 +08:00
c9s
5c83044297 bbgo: let tradeStore be able to collect trades from stream 2022-12-05 19:23:27 +08:00
c9s
537e9e14ec add GetOrderTrades method to TradeStore 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-12-05 19:00:39 +08:00
c9s
fcf8613319 grid2: fix feeRate var 2022-12-05 18:15:54 +08:00
c9s
f727f314e6 grid2: add FeeRate configuration for checking profit spread 2022-12-05 18:15:30 +08:00
c9s
4bba5510dd grid2: position reset should reset the total fee 2022-12-05 18:11:44 +08:00
c9s
5be140de0e grid2: improve sell,buy price calculation 2022-12-05 15:19:24 +08:00
c9s
27b42db3d7 grid2: add test case for enough base investment 2022-12-05 11:23:21 +08:00
c9s
6df4a3c319 grid2: add TestStrategy_generateGridOrders 2022-12-05 11:21:07 +08:00
c9s
0b824a09fc grid2: fix tests 2022-12-05 00:47:08 +08:00
c9s
076ec3b3c2 grid2: pull out grid order generation 2022-12-05 00:20:18 +08:00
c9s
002ce1958e grid2: add omitempty to struct tag 2022-12-04 21:44:03 +08:00
c9s
19e0a20c67 grid2: fill fixedpoint.Zero for stats 2022-12-04 21:43:40 +08:00
c9s
ec6b170f01 grid2: add more log messages for stop loss 2022-12-04 21:09:39 +08:00
c9s
3b821c8b58 grid2: fix order price shifting 2022-12-04 21:06:52 +08:00
c9s
8d78399335 grid2: fix order shifting 2022-12-04 19:48:12 +08:00
c9s
efcfcf7c18 grid2: add position reset 2022-12-04 18:42:03 +08:00
c9s
a5e6173038 grid2: fix openGrid method 2022-12-04 18:33:28 +08:00
c9s
943912f6bf grid2: add grid order debug logs 2022-12-04 18:32:17 +08:00
c9s
ea34b3a962 grid2: another fix 2022-12-04 18:28:34 +08:00
c9s
01b013fcc7 grid2: fix trigger price check for onStart handler 2022-12-04 18:27:21 +08:00
c9s
bce004106c grid2: check price 2022-12-04 18:21:43 +08:00
c9s
9d62720111 grid2: add log for trigger price 2022-12-04 18:17:05 +08:00
c9s
4f3a160bbf grid2: add stopLossPrice handler 2022-12-04 18:01:58 +08:00
c9s
bec1103a64
grid2: add more parameters to the test strategy 2022-12-04 17:36:35 +08:00
c9s
5344b3d768
grid2: add TestStrategy_calculateProfit test 2022-12-04 17:35:35 +08:00
c9s
427daba6d0
grid2: change fee rate validation 2022-12-04 15:56:35 +08:00
c9s
bbab8728e3
grid2: add orderQueryService for querying order trades 2022-12-04 15:43:27 +08:00
c9s
813f9c45a7
grid2: add order object into the profit structure 2022-12-04 15:24:59 +08:00
c9s
a8fe55c284
grid2: push profit into stats 2022-12-04 15:24:13 +08:00
c9s
bc4c22f633
grid2: pull out quoteQuantity 2022-12-04 15:15:16 +08:00
c9s
bf62fb7d2d
grid2: calculate grid profit 2022-12-04 15:01:52 +08:00
c9s
9506516ea3
grid2: add grid profit stats to the strategy 2022-12-04 14:45:04 +08:00
c9s
8d601a6cb4
grid2: add exchange session field 2022-12-04 14:24:04 +08:00
c9s
dc2ce372c4
grid2: reset grid field when it's closed 2022-12-04 14:23:00 +08:00
c9s
0ea6dfb158
grid2: add triggerPrice protection 2022-12-04 14:22:11 +08:00
c9s
5148fadf67
types: remove duplciated klineCallback type 2022-12-04 14:22:01 +08:00
c9s
7abc799da4
grid2: make openGrid and closeGrid as private method 2022-12-04 13:04:14 +08:00
c9s
c77bb83b95
grid2: move OpenGrid method and add KeepOrdersWhenShutdown 2022-12-04 12:58:01 +08:00
c9s
7dc3c448bb
grid2: remove unused fields 2022-12-04 11:47:30 +08:00
c9s
c00d59806f
grid2: add closeGrid option 2022-12-04 11:47:01 +08:00
c9s
dd2d48fde0
bbgo: handle order cancel event 2022-12-04 11:39:43 +08:00
c9s
2977c80dd1
grid2: check profitSpread for profit 2022-12-03 16:59:47 +08:00
c9s
64d8a30ecc
grid2: add earnBase option 2022-12-03 16:40:40 +08:00
c9s
5f7ad125c6
grid2: add earnBase option 2022-12-03 16:03:01 +08:00
c9s
6ed09c847d
grid2: add compound mode option 2022-12-03 15:21:03 +08:00
c9s
9bb628328c
grid2: use profit to buy more inventory 2022-12-03 15:18:47 +08:00
c9s
d5cf1a7311
grid2: log submitOrder 2022-12-03 15:17:31 +08:00
c9s
c0573210b3
grid2: log grid info 2022-12-03 14:58:53 +08:00
c9s
54ffc8cbcc
grid2: add order filled handler 2022-12-03 14:46:05 +08:00
c9s
3521d42310
trendtrader: fix converge lint issue 2022-12-03 12:36:51 +08:00
c9s
d5f8c3e756
binance: fix binanceapi client test 2022-12-03 12:35:04 +08:00
c9s
a825ae5d04
grid2: use custom logger entry 2022-12-03 11:36:14 +08:00
c9s
a715933106
grid2: allocate logger instance for fields 2022-12-03 11:31:44 +08:00
c9s
d91921f6c2
grid2: fix grid sell order quantity calculation 2022-12-03 11:25:18 +08:00
c9s
1e13fe6191
grid2: fix grid2 strategy validation 2022-12-03 11:02:55 +08:00
c9s
26e221cf7e
service: fix backtest test for binance restrict 2022-12-03 11:02:36 +08:00
c9s
2b14803829
grid2: add comment 2022-12-02 00:10:01 +08:00
c9s
29f3ff7ba2
grid2: remove todo 2022-12-02 00:10:00 +08:00
c9s
22569fcb30
grid2: fix quantity calculation 2022-12-02 00:10:00 +08:00
c9s
e80c8f2959
grid2: pull out maxNumberOfSellOrders 2022-12-02 00:10:00 +08:00
c9s
46bebb1022
grid2: calculate minBaseQuantity 2022-12-02 00:10:00 +08:00
c9s
45328a9f3d
grid2: add comment for the quantity loop 2022-12-02 00:10:00 +08:00
c9s
4eb652b560
grid2: add calculateQuoteBaseInvestmentQuantity 2022-12-02 00:10:00 +08:00
c9s
2260fd6908
grid2: add TestStrategy_calculateQuoteInvestmentQuantity test case 2022-12-02 00:10:00 +08:00
c9s
9f2e4d3f71
grid2: add calculateQuoteInvestmentQuantity so that we can calculate quantity from the quote investment 2022-12-02 00:10:00 +08:00
c9s
e385b589b6
config: add grid2 config 2022-12-02 00:10:00 +08:00
c9s
e981ad641a
grid2: ignore test build for dnum 2022-12-02 00:10:00 +08:00
c9s
1629a25beb
grid2: fix tests 2022-12-02 00:10:00 +08:00
c9s
622fe75ed3
grid2: check buy placed order price 2022-12-02 00:10:00 +08:00
c9s
020e7c8604
grid2: handle grid orders submission 2022-12-02 00:10:00 +08:00
c9s
e3c735b700
grid2: add more code to setupGridOrders 2022-12-02 00:10:00 +08:00
c9s
4407aa7f97
grid2: refactor checkRequiredInvestmentByAmount and checkRequiredInvestmentByQuantity 2022-12-02 00:10:00 +08:00
c9s
4eb21d5209
grid2: move out baseInvestment, quoteInvestment check 2022-12-02 00:09:59 +08:00
c9s
051755ec54
fixedpoint: add Floor test 2022-12-02 00:09:59 +08:00
c9s
991dc4121c
fixedpoint: add Floor() method on dnum 2022-12-02 00:09:59 +08:00
c9s
2aaa2e7775
grid2: add checkRequiredInvestmentByAmount test 2022-12-02 00:09:59 +08:00
c9s
f5219ae56b
grid2: fix error checking and add more tests 2022-12-02 00:09:59 +08:00
c9s
dcbce8aa5c
grid2: fix TestStrategy_checkRequiredInvestmentByQuantity 2022-12-02 00:09:59 +08:00
c9s
d0bdc859fb
grid2: add basic investment check test checkRequiredInvestmentByQuantity 2022-12-02 00:09:59 +08:00
c9s
3da86ab2e1
grid2: pull out check code to checkRequiredInvestmentByQuantity 2022-12-02 00:09:59 +08:00
c9s
cde463e294
grid2: remove notionalModifier 2022-12-02 00:09:59 +08:00
c9s
fa692d835f
grid2: add totalFee field and volume field 2022-12-02 00:09:59 +08:00
c9s
7fec736e7a
grid2: add GridProfitStats 2022-12-02 00:09:59 +08:00
c9s
4c8db08ccc
grid2: fix require quote and require base calculation 2022-12-02 00:09:59 +08:00
c9s
2c373959a8
grid2: add investment check 2022-12-02 00:09:59 +08:00
c9s
68b1fce634
grid2: get the last trade price and apply generalOrderExecutor 2022-12-02 00:09:59 +08:00
c9s
a42c1799e2
grid2: define PinCalculator type 2022-12-02 00:09:58 +08:00
c9s
a8cbe0e488
grid2: pull out calculate pins call 2022-12-02 00:09:58 +08:00
c9s
32b6299b93
grid2: pull out CalculatePins 2022-12-02 00:09:58 +08:00
c9s
1fa5186002
grid2: allocate grid object 2022-12-02 00:09:58 +08:00
c9s
84c3d386ca
grid2: implement find next higher/lower pin 2022-12-02 00:09:58 +08:00
c9s
629cea0f44
grid2: fix ExtendUpperPrice and its tests 2022-12-02 00:09:58 +08:00
c9s
4fb2230e5d
grid2: improve number func 2022-12-02 00:09:58 +08:00
c9s
f46fc7ee80
grid2: fix tests 2022-12-02 00:09:58 +08:00
c9s
4ddbeff7e4
grid2: fix Test_calculateArithmeticPins 2022-12-02 00:09:58 +08:00
c9s
f98c00b7aa
grid2: fix extendLowerPrice method and tests 2022-12-02 00:09:58 +08:00
c9s
75c088eb9c
refactor calculateArithmeticPins 2022-12-02 00:09:58 +08:00
c9s
725c624281
grid2: rewrite ExtendUpperPrice 2022-12-02 00:09:58 +08:00
c9s
533587ffd2
grid2: update lowerPrice 2022-12-02 00:09:58 +08:00
c9s
d6f751c027
grid2: improve ExtendLowerPrice 2022-12-02 00:09:58 +08:00
c9s
e675a084e2
grid2: refactor spread, height methods 2022-12-02 00:09:58 +08:00
c9s
2761cff2bf
grid2: add pin tests 2022-12-02 00:09:57 +08:00
c9s
21a1d550e3
grid2: add grid struct 2022-12-02 00:09:57 +08:00
c9s
cb612a22b1
add grid2 strategy 2022-12-02 00:09:57 +08:00
c9s
4b0db6b3af
bbgo: fix quantity adjustment 2022-11-27 00:25:29 +08:00
c9s
50d5449b9a
fix types.NewZeroAssetError panic error 2022-11-27 00:24:24 +08:00
Andy Cheng
71137620bd strategy/linregmaker: qty calculation for backtest 2022-11-25 16:39:15 +08:00
Andy Cheng
02a67a3de8 strategy/linregmaker: initial trend 2022-11-25 12:38:28 +08:00
Andy Cheng
5c60ad0e41 strategy/linregmaker: re-organize strategy logic 2022-11-25 12:27:47 +08:00
Andy Cheng
66f0f3e113 strategy/linregmaker: remove useTickerPrice 2022-11-24 17:06:14 +08:00
c9s
170c3b8c41
all: remove ftx 2022-11-24 17:05:20 +08:00
Andy Cheng
8c57dec793 strategy/linregmaker: parameter of check main trend interval 2022-11-24 16:51:37 +08:00
Andy Cheng
41e27a8e38 strategy/linregmaker: default value of spread 2022-11-23 17:44:40 +08:00
Andy Cheng
0f0549fa42 strategy/linregmaker: dynamic exposure works on both direction 2022-11-23 17:23:18 +08:00
Andy Cheng
fbc949a133 strategy/linregmaker: validate basic config parameters 2022-11-23 16:58:24 +08:00
Andy Cheng
cc124d4264 strategy/linregmaker: works w/o dynamic qty 2022-11-23 16:53:08 +08:00
Andy Cheng
e776c9e5ea strategy/linregmaker: use session standard indicator set 2022-11-23 12:28:38 +08:00
Andy Cheng
37a2fedf15 strategy/linregmaker: dynamic qty uses linreg slope ratio 2022-11-22 18:24:04 +08:00
Andy Cheng
dd0f13e742 strategy/linregmaker: misc 2022-11-22 11:35:32 +08:00
Andy Cheng
f121218ede strategy/linregmaker: prototype 2022-11-21 13:46:13 +08:00
zenix
a6e0edbb3c fix: naming of prepare function of openPosition and add comments 2022-11-21 12:16:11 +09:00
zenix
109f4d0e3e fix: Position not synchronized in drift. add DisableNotify for GeneralOrderExecutor 2022-11-21 12:16:11 +09:00
zenix
27800e95bd feature: add cancel_replace for binance, add FastSubmitOrders, fix drift leakage on pendingOrderCounter 2022-11-21 12:16:11 +09:00
Andy Cheng
8a81e68e27 strategy/linregmaker: add dynamic quantity 2022-11-18 16:42:51 +08:00
Andy Cheng
9be9ea2a47 strategy/linregmaker: add AllowOppositePosition and FasterDecreaseRatio 2022-11-18 15:12:38 +08:00
Andy Cheng
48c6326ac1 strategy/linregmaker: draft 2022-11-17 17:59:23 +08:00
zenix
7aaea257df feature: optimizer add profitFactor optimization. Optimization value use float64 instead to save memory and boost performance 2022-11-10 18:17:35 +09:00
Austin Liu
7d03c69406 strategy:harmonic: fix 2022-11-03 15:14:56 +08:00
austin362667
c8aa4ae400 strategy: improve harmonic by adding HMM filter to denoise shark signal 
strategy: improve harmonic by adding HMM filter to denoise shark signal
 2022-11-03 15:14:56 +08:00
Austin Liu
6c8addc4ee strategy:irr: refactor fast cancel from no wait 2022-11-02 16:51:06 +08:00
Austin Liu
5467c8ef01 strategy:irr rollback to original nirr and consume kline 2022-11-02 16:48:50 +08:00
Yo-An Lin
335b90a97c
Merge pull request #989 from austin362667/austin362667/irr 
strategy:irr: a mean reversion based on box of klines in same direction
 2022-11-02 12:59:23 +08:00
c9s
04855b023a
bbgo: listen to both order signal and the wait time channel 2022-11-02 12:55:13 +08:00
c9s
3704f3f897
bbgo: emit sigchan when new order is added or an order is removed 2022-11-02 12:42:09 +08:00
c9s
9bf070172a
bbgo: remove extra order arguments from GracefulCancelActiveOrderBook to avoid confusion 2022-11-02 12:34:04 +08:00
c9s
8707fcaa97
bbgo: drop FastCancelActiveOrderBook 2022-11-02 12:31:35 +08:00
c9s
1120821977
add activeOrderBook.Symbol check 2022-11-02 12:27:36 +08:00
c9s
7b9edd0456
all: rename cancelNoWait to fastCancel 2022-11-02 12:25:34 +08:00
なるみ
ba7985690f
Merge pull request #1000 from c9s/narumi/rebalance/backtest 
fix: rebalance: fix backtest
 2022-11-01 21:02:54 +08:00
Yo-An Lin
999d7b3799
Merge pull request #997 from zenixls2/fix/serialMarketDataStore 2022-10-31 18:00:39 +08:00
zenix
3695644f97 fix: capitalization of drift variable 2022-10-31 18:50:27 +09:00
zenix
5b7712503f fix: pendingLock on orderPendingCounter delete 2022-10-31 11:05:55 +09:00
grorge
a5555cf35a feat: cancel order for exit roi take profit and loss 2022-10-28 17:56:07 +08:00
なるみ
532f3c11e7 fix backtest 2022-10-28 15:33:08 +08:00
zenix
b2e867e51c fix: unlimited length of indicators, add draw elapsed to drift 2022-10-27 17:35:50 +09:00
zenix
493b81f16c fix: remove redundant notification 2022-10-27 17:35:50 +09:00
zenix
ce86544c43 optimize: drift strategy to use market trade signals 2022-10-27 17:35:50 +09:00
zenix
a15d125679 fix: instead of aggTrade, use market trade to match kline result 2022-10-27 17:35:50 +09:00
zenix
a8d60b251f fix: binance market/aggregated trade parsing for QuoteQuantity. fix related bugs in timestamp in serialmarketdatastore. 2022-10-27 17:35:50 +09:00
zenix
17825fbde1 fix: rate settings in telegram, make elliottwave draw async 2022-10-27 17:35:50 +09:00
zenix
3d672ea518 fix: comment format, dbg logs in session 2022-10-27 17:35:50 +09:00
zenix
d247e1cb97 fix: show error message when aggTrade is used in backtesting 2022-10-27 17:35:50 +09:00
zenix
e021cdd060 rename: lock to mu 2022-10-27 17:35:50 +09:00
zenix
675f84dccf fix: SerialMarketDataStore together with backtests 2022-10-27 17:35:50 +09:00
Andy Cheng
faee87d2ad feature/dynamicExposure: dynamicExposure as a common package 2022-10-21 17:20:31 +08:00
Andy Cheng
df05cf65d2 feature/dynamicSpread: dynamicSpread as a common package 2022-10-21 16:15:55 +08:00
Andy Cheng
7de9975336 indicator/linreg: LinReg indicator 2022-10-21 16:14:47 +08:00
austin362667
6e29359c85 strategy:irr: fix logical error 2022-10-19 22:08:44 +08:00
austin362667
778a3d8be1 strategy:irr: clean up 
strategy:irr: clean up

strategy:irr: clean up

strategy:irr: clean up
 2022-10-19 17:29:05 +08:00
austin362667
614209e9fd strategy:irr fix kline time syncing 2022-10-19 17:10:33 +08:00
austin362667
612261c48c strategy:irr add klines box mean reversion 2022-10-19 16:02:20 +08:00
austin362667
303e2c8413 strategy:irr: redesign to maker strategy 2022-10-19 16:02:20 +08:00
austin362667
42d87adeec strategy:irr: rollback to interval time ticker 2022-10-19 16:02:20 +08:00
austin362667
7974ee8fd3 strategy:irr: seperate alphas 2022-10-19 16:02:20 +08:00
austin362667
58bdb9b194 strategy:irr remove alpha ranking 2022-10-19 16:02:20 +08:00
austin362667
2b397940b8 strategy:irr fix draw goroutine 2022-10-19 16:02:20 +08:00
austin362667
150c37995e strategy:irr redesign trigger 2022-10-19 16:02:20 +08:00
austin362667
a3dd93dd9a strategy:irr: add backtest/realtime ability 2022-10-19 16:02:20 +08:00
Andy Cheng
7dd951e39c
Merge pull request #996 from andycheng123/fix/general-order-executor 
fix/general-order-executor: do not check for base balance for futures
 2022-10-18 19:14:18 +08:00
Andy Cheng
06c95a4735 fix/general-order-executor: do not check for base balance for futures orders in reduceQuantityAndSubmitOrder() 2022-10-18 18:59:04 +08:00
Zenix
4dad96755a
Merge pull request #995 from zenixls2/feature/async_telegram_notify 
feature: telegram notify to become async
 2022-10-17 19:08:41 +09:00
Zenix
798079070c
Merge pull request #993 from zenixls2/fix/indicator_for_1s 
fix: indicator timeframe 1s
 2022-10-17 18:53:05 +09:00
Zenix
6f0c4fdfd2
Merge pull request #994 from zenixls2/feature/binance_aggTrade 
feature: add aggTrade for binance
 2022-10-17 18:50:15 +09:00
zenix
8a66e5b218 feature: telegram notify to become async 2022-10-17 18:38:03 +09:00
zenix
9213caf9c5 feature: add aggTrade for binance 2022-10-17 17:01:46 +09:00
Yo-An Lin
79c93e9a0f
Merge pull request #991 from andycheng123/fix/risk 
fix/risk: remove balance check in CalculateBaseQuantity()
 2022-10-17 15:33:10 +08:00
zenix
09c85d346c feature: add cancelNoWait in GeneralOrderExecutor to make cancellation in 1s faster 2022-10-17 15:14:36 +08:00
zenix
ffae290060 fix: indicator timeframe 1s 2022-10-17 14:23:40 +09:00
Andy Cheng
d350806cdc fix/risk: remove balance check in the futures part of CalculateBaseQuantity() 2022-10-17 12:07:58 +08:00
austin362667
763bb45842 interval: avoid syncing 1s klines as default from backtest config syncSecKLines 2022-10-14 23:14:30 +08:00
austin362667
18acd668a7 interval: finalize 1s support 
interval: finalize 1s support

interval: finalize 1s support
 2022-10-14 23:14:30 +08:00
austin362667
905c1f25ee interval: add 1s support 
interval: add 1s support

interval: add 1s support

interval: fix 1s for backtesting
 2022-10-14 23:14:30 +08:00
なるみ
9330b9fde5 change variable names 2022-10-13 18:18:02 +08:00
c9s
b03687e07a
bump version to v1.42.0 2022-10-12 16:35:43 +08:00
c9s
7204e2550b
pull out shutdown timeout context 2022-10-11 14:23:02 +08:00
Andy Cheng
aa492a05a1 fix/supertrend-strategy: LinReg baseline slope wrongly calculated as reciprocal 2022-10-07 13:48:16 +08:00
Andy Cheng
5ad247c8fe fix/order-executor: check for short position 2022-10-07 13:28:24 +08:00
Andy Cheng
7a80b90dac fix/order-executor: ClosePosition() works on futures position 2022-10-07 13:06:32 +08:00
c9s
a515fff053
backtest: add order quantity check 2022-10-06 15:08:44 +08:00
Yo-An Lin
39247bb9d8
Merge pull request #982 from c9s/refactor/isolation 
refactor isolation context for persistence facade configuration
 2022-10-05 22:31:49 +08:00
c9s
e92219194f
bbgo: configure persistence facade into the isolation context 2022-10-05 18:48:12 +08:00
c9s
673304bcf1
bbgo: refactor ConfigurePersistence 2022-10-05 18:46:26 +08:00
c9s
4caa457fbe
bbgo: pull out ConfigurePersistence method to simple function 2022-10-05 18:42:55 +08:00
Fredrik
8e83fc4ad7 fix optimizer limit 2022-10-05 08:51:30 +02:00
Yo-An Lin
4d42a61607
Merge pull request #976 from austin362667/austin362667/harmonic 
strategy: add harmonic shark pattern recognition
 2022-10-05 00:37:23 +08:00
Yo-An Lin
06675d0ac8
Merge pull request #977 from austin362667/austin362667/irr 
strategy: fix irr
 2022-10-05 00:36:30 +08:00
austin362667
600b17460d strategy:irr fix drawing defer close IO issue 2022-10-04 18:47:14 +08:00
austin362667
22ef28bc39 strategy:harmonic fix drawing defer close IO issue 2022-10-04 18:44:42 +08:00
Yo-An Lin
ed8b78f839
Merge pull request #978 from c9s/refactor/isolation 
refactor: refactor isolation and add more tests
 2022-10-04 17:44:23 +08:00
c9s
070a92e3ae
max: fix max kline api 2022-10-04 17:25:29 +08:00
c9s
a8d9911e36
bbgo: refactor isolation and add more tests 2022-10-04 17:23:43 +08:00
austin362667
3c52e9e145 strategy: refactor draw lib 2022-10-04 15:23:48 +08:00
austin362667
26d640ff3b strategy: fix irr 2022-10-04 15:23:48 +08:00
austin362667
ec60c708c3 strategy: upgrade harmonic persistence sync 2022-10-04 15:22:52 +08:00
austin362667
60e51e1470 strategy: refactor harmonic draw lib 2022-10-04 15:20:17 +08:00
austin362667
f1ae7b5f30 strategy: add harmonic shark pattern recognition 
strategy: add harmonic shark pattern recognition
 2022-10-04 15:20:17 +08:00
c9s
731e5569d0
telegramnotifier: fix err check 2022-10-03 21:14:46 +08:00
c9s
2b953ad2d1
bbgo: make PersistenceServiceFacade private 2022-10-03 18:46:02 +08:00
c9s
8a50474ad1
all: add context parameter to Sync() 2022-10-03 18:45:24 +08:00
c9s
ce318fff3b
add persistenceServiceFacade to isolation 2022-10-03 18:40:49 +08:00
c9s
60956e0157
bbgo: add NewContextWithDefaultIsolation 2022-10-03 18:39:45 +08:00
c9s
198683d141
bbgo: add NewContextWithIsolation function 2022-10-03 18:39:07 +08:00
c9s
f7e76c0518
all: remove bbgo.Persistence 2022-10-03 18:37:53 +08:00
c9s
4a37273065
bbgo: remove Persistence injection 2022-10-03 16:31:04 +08:00
c9s
315f7da8f4
bbgo: remove context suffix from the isolation struct 2022-10-03 16:22:41 +08:00
c9s
59287b5116
all: support context isolation 2022-10-03 16:01:08 +08:00
c9s
a940e88016
add IsolationContext 2022-10-03 15:33:46 +08:00
c9s
77ca1a9c75
bbgo: register onShutdown from the trader 2022-10-03 15:33:46 +08:00
c9s
76b0f5518d
bbgo: let trader handles the shutdown handlers 2022-10-03 15:33:46 +08:00
zenix
5c1d0f95e2 fix/drift_stoploss 2022-10-03 14:00:18 +09:00
zenix
8e82e24c05 fix: drift close position with retry limit 2022-09-29 20:31:10 +09:00
zenix
58736b1b2d refactor: extract stoploss, fix highest/lowest in trailingExit 2022-09-29 20:15:10 +09:00
zenix
5086af2886 fix: reduce Quantity precheck, drift condition, ewo refactor 2022-09-28 20:06:37 +09:00
c9s
7b47a51fae
irr: fix strategy id 2022-09-28 17:07:13 +08:00
Yo-An Lin
1b531b66a2
Merge pull request #959 from austin362667/austin362667/factorzoo 
stratgy: add irr
 2022-09-28 17:05:03 +08:00
Yo-An Lin
bf7829973a
Merge pull request #968 from zenixls2/refactor/dump_param 
feature: add config dump / param dump / param modify for elliottwave
 2022-09-28 16:50:36 +08:00
Yo-An Lin
1fa542b895
Merge pull request #965 from c9s/fix/binance-futures-order-types 
binance: fix futures order conversion
 2022-09-28 16:49:29 +08:00
zenix
b2875eedc5 feature: add config dump / param dump / param modify for elliottwave, refactor param dump 2022-09-27 20:26:59 +09:00
zenix
ad4ee93033 fix: wrong tag in drift 2022-09-26 20:16:27 +09:00
Yo-An Lin
8d92d43710
Merge pull request #955 from narumiruna/improve-marketcap 
FEATURE: marketcap: reduce frequency of querying data from coinmarketcap
 2022-09-24 01:54:30 +08:00
Yo-An Lin
0ef565ec81
Merge pull request #963 from frin1/feature/limit_number_of_optimizer_results 
Feature: limit how many metrics is shown by optimizer
 2022-09-24 01:53:58 +08:00
c9s
1342423294
binance: fix futures order conversion 2022-09-24 01:38:25 +08:00
c9s
bfc4cc0db1
bbgo: check options.price when limit order taker ratio is given 2022-09-24 01:27:28 +08:00
c9s
14c941c9f3
bbgo: add submitOrder retry limit 2022-09-24 01:25:28 +08:00
c9s
90303b38e2
remove unused NotifyFunc 2022-09-24 01:15:18 +08:00
zenix
fdbcaef2ca fix: use ZeroAssetError, refactor 2022-09-22 20:26:18 +09:00
Fredrik
29f0e0d07c refactoring 2022-09-22 09:16:37 +02:00
なるみ
4b1f7c65ce reduce frequency of querying data from coinmarketcap 2022-09-22 14:12:18 +08:00
zenix
ac2f7decdf fix: dup naming, remove Leverage from drift field 2022-09-22 13:48:01 +09:00
zenix
15308fbe3b fix: add FieldByIndexErr and eliminate all possible panic 2022-09-22 13:41:09 +09:00
zenix
fd875c7060 fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 13:01:26 +09:00
zenix
d8dea22e10 fix: set ctx 2022-09-21 15:32:55 +09:00
zenix
9cce165aa5 fix: extract split string by length as a function 2022-09-21 15:14:33 +09:00
Fredrik
2fb4c7e258 add limit to optimizer results 2022-09-20 22:49:21 +02:00
zenix
097860af6b fix: add rate limit on telegram api and split messages by unicode with size limitation 2022-09-20 17:02:02 +09:00
c9s
2a9fdcc998
bump version to v1.41.0 2022-09-20 15:34:43 +08:00
c9s
247a22c4fe
xmaker: fix profit stats notification 2022-09-20 15:09:22 +08:00
c9s
de1b0bccfc
types: fix balance filtering 2022-09-20 15:08:49 +08:00
Yo-An Lin
17b5e3566a
Merge pull request #960 from c9s/refactor/notification 
improve: improve the existing notification switch settings
 2022-09-20 12:25:06 +08:00
Yo-An Lin
1086845522
Merge pull request #961 from frin1/fix/exit_protective_stop_loss-repay 
Feature: Add auto-repay to exit_protective_stop_loss
 2022-09-20 12:04:24 +08:00
austin362667
beb13449cb strategy: refactor oneliner to irr 2022-09-20 10:32:57 +08:00
austin362667
4f99110d2b stratgy: add oneliner 2022-09-20 10:32:57 +08:00
Fredrik
2dfa27d934 Add auto-repay 2022-09-19 21:39:13 +02:00
c9s
4387b078c0
bbgo: add basic notification switch 2022-09-19 19:28:29 +08:00
c9s
75b61ea285
bbgo: add NotificationSwitches 2022-09-19 19:25:18 +08:00
c9s
b067d67eab
bbgo: drop legacy notification routing 2022-09-19 19:22:08 +08:00
Yo-An Lin
29376defa3
Merge pull request #958 from c9s/strategy/pivotshort 
WIP: strategy/pivotshort: more improvements
 2022-09-19 17:27:31 +08:00
c9s
1c58a44e44
binance: implement get margin max borrowable request 2022-09-19 17:09:34 +08:00
c9s
d73880d0a8
binance: upgrade github.com/adshao/go-binance/v2 to v2.3.8 2022-09-19 17:02:50 +08:00
c9s
c8f5bf8b08
bbgo: check e.session.Margin flag 2022-09-19 16:00:12 +08:00
c9s
b3ae4929be
bbgo: make the max borrowing error message clear 2022-09-19 14:56:13 +08:00
c9s
7ef008dc4f
telegramnotifier: show error message in the telegram log 2022-09-19 14:55:58 +08:00
Yo-An Lin
cddc70fb0d
Merge pull request #957 from c9s/fix/submit-order-notify 
bbgo: remove submitOrder notification
 2022-09-19 14:23:38 +08:00
c9s
1c23881da9
bbgo: check closing flag to avoid double closing 2022-09-19 13:23:23 +08:00
c9s
05defc3aad
bbgo: fix base amount borrow check 2022-09-19 13:12:49 +08:00
c9s
d4398bbbf9
bbgo: add more simple slice types to FilterSimpleArgs 2022-09-19 13:07:56 +08:00
c9s
e48ae215e5
bbgo: remove Notifiability from the order executor 2022-09-19 09:51:48 +08:00
Yo-An Lin
8e8979645d
Merge pull request #956 from c9s/improve/max-borrowable 
improve: bbgo: use margin asset borrowable amount to adjust the quantity
 2022-09-19 09:47:23 +08:00
c9s
850f3c86ba
types: fix net asset value display in telegram 2022-09-19 09:45:18 +08:00
c9s
d7711867b2
types: fix net asset value display in telegram 2022-09-19 09:44:26 +08:00
c9s
5800eab165
bbgo: remove submitOrder notification 2022-09-19 09:40:52 +08:00
c9s
59b1e52439
bbgo: remove submitOrder notification 2022-09-19 09:38:57 +08:00
c9s
f9f2df29e7
types: use passed time to reset today pnl 2022-09-19 09:33:18 +08:00
c9s
26cf048c84
types: preset fixedpoint zero fields 2022-09-19 09:31:04 +08:00
c9s
dc0fca09f2
types: rename json fields to grossProfit and grossLoss 2022-09-19 09:28:28 +08:00
c9s
1d1d5d497f
bbgo: init call to updateMarginAssetMaxBorrowable 2022-09-19 09:25:54 +08:00
c9s
8180153e9c
bbgo: use margin asset borrowable amount to adjust the quantity 2022-09-19 09:10:59 +08:00
Yo-An Lin
3230088f9f
Merge pull request #953 from zenixls2/fix/drift 
fix: drift minus weight, preloaded kline not enough
 2022-09-17 18:15:44 +08:00
Yo-An Lin
39c347f0a0
Merge pull request #950 from c9s/strategy/pivotshort 
strategy/pivotshort
 2022-09-17 18:14:41 +08:00
zenix
7044b0d8ea fix: drift minus weight, preloaded kline not enough 2022-09-16 19:11:36 +09:00
Zenix
44de961ea1
Merge pull request #942 from zenixls2/feature/modifiable 
feature: add modify tg command. fix wdrift ma length
 2022-09-16 15:23:38 +09:00
c9s
be40ed7410
bbgo: refactor marginAssetUpdater 2022-09-16 12:19:30 +08:00
c9s
d4f74822ad
bbgo/exit_protective_stop_loss: use types.KLineWith 2022-09-16 11:20:39 +08:00
c9s
2f575488c2
pivotshort: fix log format and notification 2022-09-16 11:18:11 +08:00
c9s
9ebb8ada13
optimizer: wrap error with the output if err is not nil 2022-09-16 01:53:23 +08:00
c9s
9819f0941b
pivotshort: clean up debug comment 2022-09-16 01:24:01 +08:00
c9s
cd338f8fe2
pivotshort: add pivotWindow parameter 2022-09-16 01:23:15 +08:00
c9s
427723dcaf
bbgo: improve trendEMA condition 2022-09-16 01:20:48 +08:00
c9s
3d7fc75e4b
pivotshort: add MACDDivergence protection 2022-09-16 01:15:18 +08:00
c9s
e2dd7c7360
indicator: improve macd indicator update callback 2022-09-15 17:53:12 +08:00
c9s
24fd81986c
types: init today since if it's 0 2022-09-15 17:29:16 +08:00
c9s
f0c0c6712d
types: use tradedAt time instead of time.Now 2022-09-15 17:26:35 +08:00
c9s
0ead18a95b
types: fix gross profit calculation 2022-09-15 17:12:12 +08:00
c9s
8bfd1f7f30
indicator: refactor pivot function to floats 2022-09-15 17:12:10 +08:00
c9s
a297b26dfb
types: fix AccumulatedSince initialization 2022-09-15 17:10:53 +08:00
c9s
0096d561d7
types: fix gross profit calculation 2022-09-15 17:09:32 +08:00
c9s
432f9df137
indicator: refactor pivot function to floats 2022-09-15 11:49:19 +08:00
c9s
539513ada0
pivotshort: fix breaklow parameters 2022-09-14 21:03:54 +08:00
zenix
528d65c9fb fix: hide ZeroValue from dynamic 2022-09-14 20:12:53 +09:00
zenix
b66bcb1f67 fix: add more test cases on reflect.Value.Set 2022-09-14 20:11:38 +09:00
c9s
53d622daf5
pivotshort: add the kline object to the notification 2022-09-14 19:08:54 +08:00
c9s
728cb6d56c
pivotshort: add one more kline pattern to check the break 2022-09-14 19:08:21 +08:00
c9s
3ab5d35b77
bbgo: fix macdIndicators map initialization 2022-09-14 18:44:38 +08:00
c9s
67b526120a
indicator/macd: fix update callback and add log in pivotshort 2022-09-14 18:41:11 +08:00
c9s
7fd2b7472c
bbgo: integrate MACD indicator into standard indicator set 2022-09-14 18:33:06 +08:00
c9s
82b4594984
pivotshort: remove unused trendEMA floats 2022-09-14 18:20:56 +08:00
c9s
ebf4abf54d
pivotshort: improve last high/low invalidation 2022-09-14 18:20:02 +08:00
c9s
88696bc6d2
bbgo: add more interface implementation for order executor 2022-09-14 15:54:43 +08:00
Yo-An Lin
dc195e824b
Merge pull request #920 from austin362667/austin362667/factorzoo 
strategy: add trend trader
 2022-09-14 15:00:08 +08:00
Yo-An Lin
54782e763b
Merge pull request #947 from c9s/fix/acc-vol-stop 
improve: accumulated volume stop method
 2022-09-14 12:42:16 +08:00
c9s
1880553a65
bbgo: cumulated volume stop - compare shadow height 2022-09-14 12:32:36 +08:00
c9s
4b04beb729
types: fix kline receiver type 2022-09-14 12:04:19 +08:00
c9s
d022c80727
bbgo: add strict condition for CumulatedVolumeTakeProfit 2022-09-14 12:04:12 +08:00
zenix
aaa657dcc3 fix: move some modify implementation to dynamic 2022-09-14 12:38:22 +09:00
Yo-An Lin
a3034546f4
Merge pull request #945 from narumiruna/feature/marketcap/coinmarketcap 
FEATURE: marketcap: get marketcap values from coinmarketcap
 2022-09-14 10:58:08 +08:00
Yo-An Lin
cfeb0ba97b
Merge pull request #946 from c9s/fix/telegram-error 
bbgo: fix telegram message error, there must be one message to send
 2022-09-14 10:57:10 +08:00
zenix
d40b34e4d6 feature: add modify tg command. fix wdrift ma length 2022-09-14 11:08:10 +09:00
c9s
402ac58b53
pivotshort: fix pilotQuantity calculation 2022-09-14 03:10:48 +08:00
c9s
0b9320f7dc
interact: fix telegram message length check 2022-09-14 02:56:47 +08:00
c9s
b855267604
bbgo: wrap keyboard removal in defer func 2022-09-14 02:53:32 +08:00
なるみ
7b218e65e2 remove unused field 2022-09-14 02:51:12 +08:00
c9s
1d1ec12417
bbgo: fix telegram message error, there must be one message to send 2022-09-14 02:51:07 +08:00
なるみ
71ae75df73 fixup! get marketcap values from coinmarketcap 2022-09-14 02:47:12 +08:00
なるみ
e7a7e21b68 remove notifiability 2022-09-14 02:46:23 +08:00
なるみ
9b5f204cbe get marketcap values from coinmarketcap 2022-09-14 02:44:57 +08:00
c9s
b76d779902
types: add BalanceMap_Assets test case 2022-09-14 02:26:06 +08:00
c9s
b4990f173d
xnav: fix negative usd value check 2022-09-14 02:20:54 +08:00
c9s
02dab542c4
bbgo: add USDTTWD price test case 2022-09-14 02:18:39 +08:00
c9s
c9b064f0ac
types: define PriceMap type 2022-09-14 02:18:39 +08:00
c9s
809294b054
bbgo: add test case for calculateNetValueInQuote 2022-09-14 02:18:39 +08:00
c9s
7617679651
pivotshort: add EarlyStopRatio config 2022-09-14 02:18:39 +08:00
c9s
fe9a546c65
pivotshort: improve notification 2022-09-14 02:18:39 +08:00
c9s
f0ea9a357a
pivotshort: add one more kline price compare condition 2022-09-14 02:18:39 +08:00
なるみ
0a07a70415
Merge pull request #943 from narumiruna/fix/marketcap-market-error 
FIX: fix market error
 2022-09-13 23:45:41 +08:00
なるみ
9af58b07ec fix market error 2022-09-13 23:35:29 +08:00
c9s
613b23eab5
pivotshort: add FastWindow parameter 2022-09-13 13:09:11 +08:00
c9s
e171932f07
pivotshort: fix fast high filtering 2022-09-13 11:57:38 +08:00
c9s
8d4eb611f3
bbgo: add more open position doc comments 2022-09-12 23:48:40 +08:00
c9s
68d40de62c
pivotshort/failedbreakhigh: call OpenPosition method 2022-09-12 23:38:27 +08:00
c9s
b22a48cb8a
pivotshort: fix fast low pivot filtering 2022-09-12 23:32:53 +08:00
c9s
ba85e7e5ff
pivotshort: add fastWindow parameter 2022-09-12 23:26:40 +08:00
c9s
776f89b2f2
pivotshort: apply OpenPositionOptions to breakLow 2022-09-12 23:24:37 +08:00
c9s
04f7b96c6a
pivotshort: add fast pivot high filtering 2022-09-12 23:13:31 +08:00
c9s
e23ed8c783
pivotshort: add fastpivot 2022-09-12 23:13:31 +08:00
Yo-An Lin
4b78ba112f
Merge pull request #939 from c9s/fix/rate-limit-adjustment 
binance: add queryTrades rate limiter
 2022-09-12 15:11:53 +08:00
c9s
a5ba870cd8
binance: add queryTrades rate limiter 2022-09-12 15:03:01 +08:00
c9s
424a1dec3f
bbgo: add lightweight mode 2022-09-12 14:24:18 +08:00
c9s
f729937527
bump version to v1.40.4 2022-09-12 00:43:53 +08:00
Yo-An Lin
2214920b37
Merge pull request #935 from c9s/fix/open-position 
bbgo: add price check and add max leverage for cross margin
 2022-09-12 00:42:12 +08:00
Yo-An Lin
4ea723d1d8
Merge pull request #937 from c9s/feature/telegram-error-log-hook 
notifier: redirect error, panic, fatal error to telegram
 2022-09-12 00:39:12 +08:00
Yo-An Lin
8462054d58
Merge pull request #936 from COLDTURNIP/fix/bollmaker_dyn_spread_setting_backward_compatibility 
bollmaker: fix settings overriding
 2022-09-12 00:38:58 +08:00
Yo-An Lin
5db41f4be2
Merge pull request #934 from c9s/fix/pnl-position 
pnl: fix nil position point issue
 2022-09-12 00:32:17 +08:00
c9s
b8e18dd75c
notifier: redirect error, panic, fatal error to telegram 2022-09-12 00:29:12 +08:00
Raphanus Lo
8286356d3b bollmaker: fix settings overriding 2022-09-12 00:27:11 +08:00
c9s
20dd37c1e2
slacknotifier: drop unused code 2022-09-12 00:17:00 +08:00
c9s
caf57010a6
bbgo: move up base balance variable 2022-09-12 00:13:49 +08:00
c9s
53c4178ae2
bbgo: fix reverse pair price lookup and add tests 2022-09-12 00:05:22 +08:00
c9s
3b1725014b
bbgo: fix account value calculation for mixed usd fiat 2022-09-11 23:51:24 +08:00
c9s
307c5f2a8d
bbgo: add price check and add max leverage for cross margin 2022-09-11 23:26:48 +08:00
c9s
4617245cbf
pnl: fix nil position point issue 2022-09-11 23:18:54 +08:00
Raphanus Lo
cf16176f5e bollmaker: fix backward compatibility of dynamic spread settings 2022-09-11 20:58:13 +08:00
c9s
aebc6f7fb8
bump version to v1.40.3 2022-09-11 18:02:42 +08:00
c9s
db94b2690a
bbgo: check base balance only for long position 2022-09-11 17:49:24 +08:00
c9s
7b68e5ee27
bbgo: fix balance lock issue 2022-09-11 17:46:23 +08:00
c9s
a425c940fa
bollmaker: add trendEMA support 2022-09-11 17:28:54 +08:00
c9s
080b4dea95
bollmaker: add doc file for bollmaker 2022-09-11 16:56:05 +08:00
Yo-An Lin
3c4bad6124
Merge pull request #930 from andycheng123/fix/pivotshort-trendema 
Fix: Pivotshort
 2022-09-11 16:53:02 +08:00
Yo-An Lin
e0d3a5ec95
Merge pull request #929 from frin1/supertrend-draw-pnl 
feature: strategy/supertrend: draw pnl on
 2022-09-11 16:52:46 +08:00
Fredrik
386ab1f6f3 refactor draw on supertrend 2022-09-11 09:48:08 +02:00
Fredrik
3a188aa66a rename variables 2022-09-11 08:44:59 +02:00
Andy Cheng
df7d768b94 strategy/pivotshort: add trendema test case 2022-09-11 14:42:05 +08:00
c9s
f2e3acf8ec
binance: emit reconnect when received ListenKeyExpired 2022-09-11 14:11:50 +08:00
c9s
ff635195fb
binance: add listenKeyExpired callback 2022-09-11 14:10:30 +08:00
Andy Cheng
98bd6ca1d2 strategy/pivotshort: make strategy controller work 2022-09-11 14:09:46 +08:00
c9s
4890d19ebf
binance: parse listenKeyExpired event 2022-09-11 14:06:55 +08:00
Andy Cheng
f132666738 strategy/pivotshort: fix trendema 2022-09-11 13:56:36 +08:00
Yo-An Lin
42a358fd34
Merge pull request #928 from c9s/refactor/iteract-filter 
refactor: refactor interact strategy filter functions
 2022-09-11 12:20:38 +08:00
Fredrik
e02840e08d Feature: draw pnl 2022-09-11 01:19:23 +02:00
c9s
7b58460d00
bbgo/interact: move strategy filter functions to the bottom 2022-09-11 03:15:11 +08:00
c9s
8961c940b2
bbgo: add two test cases for reflect 2022-09-11 03:13:10 +08:00
Yo-An Lin
d45bc9e509
Merge pull request #927 from c9s/refactor/submit-order 
refactor: simplify submit order
 2022-09-11 02:58:47 +08:00
c9s
278aa026f2
bbgo/interact: refactor strategy filter functions 2022-09-11 02:55:58 +08:00
c9s
442ca9287d
bbgo: implement position reset 2022-09-11 02:46:58 +08:00
c9s
3be801ab6b
bbgo/interact: add /resetposition command 2022-09-11 02:41:59 +08:00
c9s
9474c2779c
bbgo: call notify when opening new position 2022-09-11 02:36:45 +08:00
c9s
5c18bc4d41
bbgo: notify closing position 2022-09-11 02:33:32 +08:00
c9s
6c22c3799e
bbgo: Add ClosePosition doc comment 2022-09-11 02:01:48 +08:00
Yo-An Lin
e0228f80f4
Merge pull request #926 from c9s/feature/open-position 
fix: handle created orders before we retry
 2022-09-10 13:37:16 +08:00
c9s
c484c1f176
reformat code 2022-09-10 13:31:31 +08:00
c9s
29105eb57f
all: simplify underlying exchange submitOrder method 
- Replace SubmitOrders with SubmitOrder
- Accept only one submit order and return one created order
- Add bbgo.BatchPlaceOrders helper method and bbgo.BatchRetryPlaceOrders method
 2022-09-09 18:41:06 +08:00
Yo-An Lin
e86df62daf
Merge pull request #925 from c9s/feature/open-position 
feature: order executor open position method
 2022-09-09 17:58:12 +08:00
c9s
94780b39e6
bbgo: order executor should collect the created orders first before we retry 2022-09-09 17:55:51 +08:00
c9s
5f2254e2cb
bbgo: add description to the open position options 2022-09-09 17:50:21 +08:00
c9s
8dca24e9ee
all: solve cyclic import 2022-09-09 17:40:17 +08:00
c9s
2e95246687
bbgo: add OpenPosition method 2022-09-09 13:57:39 +08:00
c9s
90f3727d68
pivotshort: log submit order error 2022-09-08 23:19:14 +08:00
c9s
edc8c132d5
pivotshort: print stopEMA protection 2022-09-08 23:17:35 +08:00
Yo-An Lin
1c7b40a0be
Merge pull request #922 from c9s/fix/trade-stats-for-live 
fix: types/tradeStats: use last order id to identity consecutive win and loss
 2022-09-08 17:30:48 +08:00
c9s
3aebb58091
types/tradeStats: use tester 2022-09-08 16:37:47 +08:00
c9s
3b208ee4ef
types/tradeStats: expose Recalculate trade stats method 2022-09-08 16:29:48 +08:00
c9s
950e998ed1
types/tradeStats: call updates when marshalling 2022-09-08 16:10:18 +08:00
c9s
d12df59c1b
types/tradeStats: use last order id to identity consecutive win and loss 2022-09-08 15:49:23 +08:00
Yo-An Lin
3e07f1fa86
Merge pull request #921 from andycheng123/improve/supertrend-strategy-profit-report 
strategy/supertrend: use ma by day instead of by trade
 2022-09-08 12:15:50 +08:00
Andy Cheng
6ca1a80cf9 strategy/supertrend: use ma by day instead of by trade 2022-09-07 18:27:11 +08:00
Zenix
afad9cca47
Merge pull request #910 from zenixls2/feature/ewo_renew 
SerialMarketDataStore, elliottwave renewal
 2022-09-07 18:54:01 +09:00
Yo-An Lin
d24b816518
Merge pull request #919 from c9s/fix/trade-stats-for-live 
feature: add fixedpoint.Reducer, Counter and add update stats method on TradeStats
 2022-09-07 17:36:49 +08:00
austin362667
46b3fabfe3 strategy: add trend trader 
strategy: add trend treader

strategy: add trend treader
 2022-09-07 16:11:31 +08:00
austin362667
8b97e4c4e8 audacity: finalize strategy 2022-09-07 16:05:51 +08:00
austin362667
713ead669e audacity: stddev outlier func & all order change to maker 2022-09-07 16:05:51 +08:00
austin362667
43a3e21a7b audacitymaker: rename perTrade 2022-09-07 16:05:51 +08:00
austin362667
132f700377 builtib: update strategy registery 2022-09-07 16:05:51 +08:00
austin362667
73a8f3586f builtib: update strategy list 
builtib: update strategy list
 2022-09-07 16:05:51 +08:00
austin362667
1d727345ee strategy: redesign to audacitymaker 2022-09-07 16:05:51 +08:00
austin362667
833d30ce64 ktrade: add second try 2022-09-07 16:05:51 +08:00
austin362667
6a119bfca0 ktrade: remove ticker 2022-09-07 16:05:51 +08:00
austin362667
a18a06819e ktrade: error handling 
ktrade: remove error handling

ktrade: remove error handling

ktrade: remove error handling

ktrade: error handling
 2022-09-07 16:05:51 +08:00
austin362667
49f7c3de46 ktrade: rounding instead of ceil/floor 2022-09-07 16:05:51 +08:00
austin362667
42d7117464 strategy: add ktrade 2022-09-07 16:05:51 +08:00
c9s
56c53958cd
fixedpoint: positive tester and negative tester 2022-09-07 15:11:07 +08:00
c9s
c62330b2c1
fixedpoint: add counter func 2022-09-07 14:05:44 +08:00
c9s
e28921879d
types: implement stats update method for live trading 2022-09-07 14:02:57 +08:00
zenix
e7a5669018 fix: lowestPrice in elliottwave, add more logs 2022-09-07 15:02:38 +09:00
c9s
668180f8aa
fixedpoint: add reducer and its tests 2022-09-07 14:00:26 +08:00
c9s
e161f4ec1a
fixedpoint: add sort interface support on fixedpoint 2022-09-07 12:35:09 +08:00
c9s
e0e279f756
fixedpoint: add reducer 2022-09-07 12:28:13 +08:00
c9s
6b4661783d
types: group profits by order id 2022-09-07 11:59:08 +08:00
c9s
4c3334c482
types: assign orderID to profit object 2022-09-07 11:57:09 +08:00
c9s
889318ddcb
cmd/order: add market order support 2022-09-07 02:17:56 +08:00
c9s
90b633158a
cmd/order: add margin-side-effect option 2022-09-07 02:01:38 +08:00
c9s
33fdcefba3
bbgo: add notification tag 2022-09-07 01:05:43 +08:00
c9s
c2eec1e72b
bbgo: move fixedpoint one const to consts.go 2022-09-07 00:50:54 +08:00
c9s
62fb09c8d9
bbgo: protective stop should send notification when it's activated 2022-09-07 00:50:16 +08:00
c9s
9bbd69c030
bump version to v1.40.2 2022-09-07 00:40:01 +08:00
c9s
f62eb301e3
fix: fix pivothigh indicator use high instead of low 2022-09-06 23:39:13 +08:00
zenix
66c8a3bb0d fix: rename getSource to sourceGetter 2022-09-06 19:15:13 +09:00
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
b35bce1afd fix: remove non-code file 2022-09-06 14:36:55 +09:00
zenix
1d0893b699 fix: enable interval parsing for non-whitelisted time spans 2022-09-06 14:26:17 +09:00
c9s
ed975de2cd
cmd: write config json file into the backtest report dir 2022-09-06 13:20:37 +08:00
c9s
8ed39f7565
cmd: add session name to the symbol report json file 2022-09-06 13:18:35 +08:00
Raphanus Lo
7416f1074a
Merge pull request #915 from COLDTURNIP/feature/observer_filters 
feature: add G-H filter and Kalman filter
 2022-09-05 20:29:41 +08:00
zenix
6c8902dd9c fix: export kline query limit as a variable for preload decisions from strategy 2022-09-05 20:36:41 +09:00
zenix
28802dd107 feature: re-implement heikinashi for elliottwave 2022-09-05 19:32:35 +09:00
zenix
4a878b5596 fix: rename generalorderexecutor.cancel to gracefulcancelorder 2022-09-05 19:32:35 +09:00
zenix
ff7fd38372 feature: ewo add draw function 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
c9s
925df19ee0
bump version to v1.40.1 2022-09-05 18:19:03 +08:00
c9s
28027518f6
fix utils/generate-version-file.sh 2022-09-05 18:18:45 +08:00
c9s
bf4eade604
backtest: fix backtest fee mode when fee currency is not base or quote 2022-09-05 17:41:12 +08:00
Raphanus Lo
65cd17dbbb bbgo: add G-H & Kalman filters to the standard indicator set 2022-09-05 17:13:50 +08:00
Raphanus Lo
425d9e0475 indicator: GH & Kalman filters: remove deprecated method implementation 2022-09-05 16:51:30 +08:00
Raphanus Lo
9c684c124c feature: add G-H filter and Kalman filter 
- implement G-H (alpha beta) filter and Kalman filter
- compare the predict accurateness with other indicator
 2022-09-04 21:48:05 +08:00
Larry Lu
269529afa4
Fix typo 2022-09-04 13:35:01 +08:00
Yo-An Lin
55474b4bf9
Merge pull request #913 from COLDTURNIP/fix/fixedpoint_support_inf_string_unmarshal 
fix: fixedpoint UnarshalJson on inf
 2022-09-02 15:14:34 +08:00
Raphanus Lo
338c4ea170 fix: fixedpoint UnarshalJson on inf for decimal support 2022-09-02 15:02:46 +08:00
c9s
3a225fe7c7
backtest: fix tests for fee 2022-09-02 14:31:04 +08:00
Raphanus Lo
750bdc82b5 fix: fixedpoint UnarshalJson on inf 2022-09-02 14:17:51 +08:00
c9s
db622fbb55
types: add CsvHeaders and CsvRecords methods to TradeStats 2022-09-02 14:16:16 +08:00
c9s
5c8d2a019a
backtest: rename BackTest to Backtest 2022-09-02 14:16:16 +08:00
c9s
30742bcf0b
backtest: set default fee mode to quote mode 2022-09-02 14:16:16 +08:00
c9s
2e9487e9f4
backtest: fix fee calculator 2022-09-02 14:16:16 +08:00
c9s
d2f9a352a2
backtest,accounting: add position info to the average cost pnl report 2022-09-02 14:16:16 +08:00
c9s
45fb87f2b8
backtest: add fee mode function tests 2022-09-02 14:16:16 +08:00
c9s
10ed706ed6
backtest: move fee mode functions to fee.go 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
zenix
acd057cf3e fix: set exchangeDataSource to pointer in backtest to prevent pass by copy in for loop 2022-09-02 12:32:38 +09:00
Zenix
57d283726a
Merge pull request #900 from zenixls2/fix/backtest 
fix: backtest
 2022-09-01 11:57:05 +09:00
Yo-An Lin
58487aca4b
Merge pull request #908 from c9s/strategy/pivotshort-failed-break-high 
strategy/pivotshort: failed break high improvements
 2022-08-31 13:56:59 +08:00
c9s
149b1e1444
pivotshort: add BreakInterval config 2022-08-31 13:00:32 +08:00
c9s
3598550d3f
pivotshort: vwma interval should be consistent 2022-08-31 13:00:25 +08:00
c9s
c7bff1695e
pivotshort: avoid using 1m interval to check break 2022-08-31 12:59:54 +08:00
c9s
df902b236c
pivotshort: add vwma condition 2022-08-31 12:59:48 +08:00
zenix
a28b257568 fix: debug code 2022-08-31 13:01:00 +09:00
Raphanus Lo
0b6cc6d3cd strategy: bollmaker: sensitivity factor of BB width ratio 2022-08-31 04:31:17 +08:00
c9s
51972e9e28
bbgo: fix indicator load key duplicate issue 2022-08-31 01:45:06 +08:00
c9s
70fb6d19a9
indicator: rename PivotHigh value field 2022-08-31 01:44:51 +08:00
c9s
8fcc3ee368
indicator: update pivot low and pivot high indicator 2022-08-31 01:44:38 +08:00
c9s
9d97eedc0e
pivotshort: add failedBreakHigh 2022-08-31 00:37:17 +08:00
c9s
ca1e9e9657
pivotshort: remove the legacy support take profit 2022-08-31 00:37:12 +08:00
zenix
b52598d1ad fix: fixedpoint MarshalJson on inf 2022-08-30 21:55:16 +09:00
zenix
51d7c1b9ad fix: currentTime in backtest not updated 2022-08-30 21:12:23 +09:00
zenix
be1f6e7242 fix: add description on the limit taker behavior 2022-08-30 21:07:49 +09:00
zenix
c2d5a5961f fix: legacy fixedpoint inf handling, refactor backtest kline consuming 2022-08-30 21:02:21 +09:00
zenix
20ee3fdfbb fix: nan in sortino and sharpe 2022-08-30 12:42:50 +09:00
zenix
c73f4018d0 fix: null pointer error on NextKLine 2022-08-30 12:09:39 +09:00
Yo-An Lin
251d1b7095
Merge pull request #899 from c9s/fix/local-timezone 
fix: fix localtime zone issue for the web-based backtest report
 2022-08-30 00:57:24 +08:00
Raphanus Lo
6314a31554 strategy: bollmaker: dynamic spread by weighted Bollinger width ratio 2022-08-29 21:41:34 +08:00
zenix
ecc959835a fix: cache params and kline until next kline 1m appears 2022-08-29 19:46:58 +09:00
zenix
1eb03c3dba fix: taker price, matching engine kline emit order and process order, nan in sortino and sharpe 2022-08-29 14:11:02 +09:00
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
c8c7211e75
pivotshort: fix resistance short subscribe 2022-08-26 17:55:59 +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
ba918f80ee
floats: add test case for Lower and Higher 2022-08-26 16:57:46 +08:00
c9s
f0ef60bb2b
floats: add reference link 2022-08-26 16:28:57 +08:00
c9s
9a0988db35
floats: port some functions from ta-lib 
see https://github.com/markcheno/go-talib/blob/master/talib.go
 2022-08-26 16:25:31 +08:00
c9s
52d245ecf1
floats: move floats related functions and add crossover, crossunder funcs 2022-08-26 16:15:39 +08:00
Raphanus Lo
a2ab9db4eb strategy: bollmaker: fix nil pointer 2022-08-25 23:43:31 +08:00
c9s
5953fe49d1
all: move float slice/map to a single package 2022-08-25 17:31:42 +08:00
Raphanus Lo
de4f3721a2 backtest: avoid inifite float64 JSON serializing issue 2022-08-25 15:45:08 +08:00
Raphanus Lo
de59c1bd13 backtest: reformat sharpe/sortino report 2022-08-25 15:45:08 +08:00
Raphanus Lo
ad1b9a53a1 backtest: calculate realized Sharpe & Sortino ratios 2022-08-25 15:45:08 +08:00
Andy Cheng
e2774ed2b5
Merge pull request #880 from andycheng123/improve/supertrend-strategy-report 
Improve: strategy-supertrend output acc. profit report to tsv file
 2022-08-25 14:25:03 +08:00
Andy Cheng
fcaa6466b6 strategy/bollmaker: preload dynamic spreads 2022-08-25 13:44:38 +08:00
c9s
702ce5220b
autoborrow: improve debtRatio repay 2022-08-25 11:05:31 +08:00
Yo-An Lin
066b0ca30e
Merge pull request #892 from c9s/feature/pivot-right-window 
feature: add pivot low right window support
 2022-08-24 19:44:44 +08:00
c9s
2e71e63fae
all: fix interval window struct usage 2022-08-24 18:17:37 +08:00
c9s
d71fd362b7
indicator: rename KLinePriceMapper to KLineValueMapper 2022-08-24 17:53:22 +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
f43f9af20f
indicator: extract pivot calculator and pull out the function handler 2022-08-24 17:37:44 +08:00
c9s
d930065bea
bbgo: move stoch to the simple indicator set 2022-08-24 17:34:19 +08:00
c9s
1a9c9a6d30
indicator: fix pivot low window calculation 2022-08-24 17:34:01 +08:00
c9s
8a020c34e3
bbgo: add package doc to bbgo 2022-08-24 16:54:31 +08:00
Zenix
3a98ae00b9
Merge pull request #890 from zenixls2/feature/wdrift 
weighted drift
 2022-08-24 16:59:25 +09:00
Andy Cheng
6176c06002 strategy/supertrend: use pointer for AccumulatedProfitReport field in strategy struct 2022-08-24 13:58:30 +08:00
c9s
bf09533a6d
make: run gofmt on the version file 2022-08-24 13:03:00 +08:00
c9s
68064bfe44
move and fix binance exchange api examples 2022-08-24 12:58:06 +08:00
c9s
88f243c91b
util: move math util functions to util 2022-08-24 11:34:55 +08:00
Andy Cheng
978db22c0a strategy/supertrend: accumulated daily profit uses its own window config 2022-08-24 11:23:48 +08:00
Andy Cheng
592eae8c3c strategy/supertrend: output by interval 2022-08-23 18:43:13 +08:00
zenix
6b6a24a655 feature: add gma, add wdrift, export drift filter, fix: LastPrice truncation 2022-08-23 17:22:45 +09:00
c9s
94615f7ecf
all: remove empty files 2022-08-23 02:25:02 +08:00
c9s
c86b29e6dc
all: resolve import cycle 2022-08-23 02:12:26 +08:00
c9s
0947c28294
all: move PrintConfig to pkg/util 2022-08-23 01:56:15 +08:00
c9s
2611012d28
types: move json struct to types package 2022-08-23 01:54:29 +08:00
c9s
c0abae90a7
bump version to v1.39.2 2022-08-20 00:10:01 +08:00
c9s
5a4d71b073
strategy/autoborrow: fix reBalanceDebt check 2022-08-19 18:56:25 +08:00
c9s
5d85ceeec4
service/backtest: filter klines that will be closed in the future 2022-08-19 17:55:48 +08:00
c9s
49728622bc
service/backtest: use second instead of milliseconds for filtering 2022-08-19 17:53:45 +08:00
c9s
5e1e0c7661
service/backtest: check and filter kline by its endTime 2022-08-19 17:28:55 +08:00
c9s
834487d568
strategy/schedule: add MaxBaseBalance config 2022-08-19 16:48:43 +08:00
c9s
4622f9f34e
autoborrow: add more verbose logs 2022-08-19 16:10:13 +08:00
c9s
8827fc3ec6
binance: fix futures/margin order sync issue 
fixes: #887
 2022-08-19 15:28:24 +08:00
Zenix
bcd524361d
Merge pull request #886 from COLDTURNIP/feature/sortino_ratio 
Add Sortino ratio
 2022-08-19 16:14:46 +09:00
Yo-An Lin
039fc21505
Merge pull request #881 from zenixls2/feature/print_strategy_config 
print strategy config
 2022-08-19 15:13:50 +08:00
Raphanus Lo
747839212a feature: add Sortino ratio 2022-08-18 23:26:54 +08:00
zenix
5030b93285 fix: move canInt to dynamic 2022-08-18 18:05:52 +09:00
c9s
369fc8c4ea
bump version to v1.39.1 2022-08-18 16:44:53 +08:00
zenix
a958d4d092 fix: matching_test add TickSize 2022-08-18 17:38:27 +09:00
zenix
e1c2ed40ff fix: truncate price in backtest, don't truncate amount, add TruncatePrice function 2022-08-18 17:38:27 +09:00
zenix
66a2f55f9a fix: matching test by adding default stepSize on BTCUSDT 2022-08-18 17:38:27 +09:00
zenix
f7398f163a fix: inequality on quantites of balances and submitted orders in backtest 2022-08-18 17:38:27 +09:00
zenix
2720ee90b1 fix: equation of exit dump 2022-08-18 17:38:27 +09:00
zenix
e5c1152030 doc: add comment to strategy config printing func 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
4d32a578d7
backtest: emit balance update if we got some quote back 2022-08-18 16:09:07 +08:00
c9s
bd8b362274
backtest: delay the order update after the balance unlock 2022-08-18 15:43:09 +08:00
c9s
3a24a48cde
backtest: fix execution price for stop limit taker orders 2022-08-18 15:26:09 +08:00
c9s
9f9fc098f4
backtest: clean up todo 2022-08-18 15:11:27 +08:00
c9s
6c4d5041ba
backtest: fix limit taker lock issue 2022-08-18 15:09:46 +08:00
c9s
d7dbfd7613
bump version to v1.39.0 2022-08-18 13:43:48 +08:00
Andy Cheng
f990947370 bump version to v1.39.0 2022-08-17 18:59:26 +08:00
c9s
94e2e28edd
strategy/autoborrow: add debt re-balancing 2022-08-17 16:45:10 +08:00
c9s
c6e4fcf0c2
binance: fix QueryOrderTrades 2022-08-17 16:08:11 +08:00
c9s
b4e71dd5bb
binance: implement QueryOrderTrades method 2022-08-17 16:08:09 +08:00
c9s
53b8fd488e
types: add trade stats omitempty tag option 2022-08-17 16:07:47 +08:00
c9s
df8a4bef93
bbgo: remove unused trade store symbol argument 2022-08-17 16:02:42 +08:00
c9s
fa34a0ee70
binance: handle order status expired 2022-08-17 16:02:11 +08:00
Andy Cheng
2b638d1f8f strategy/supertrend: use pkg/data/tsv for tsv output 2022-08-16 15:49:08 +08:00
Andy Cheng
cd09ee0e34
Merge pull request #877 from andycheng123/improve/supertrend-strategy 
strategy/supertrend: update example config
 2022-08-16 15:38:21 +08:00
Andy Cheng
b5beadceb4 exhange/binance: exclude unrealized pnl from balance calculation 2022-08-16 15:06:13 +08:00
Raphanus Lo
b4e32a9ba7 hoptimizer: manually early stop 
User is now able to stop trials by sending system signal (SIGINT & SIGTERM) and see the report earlier at any time.
 2022-08-16 14:55:39 +08:00
Andy Cheng
f7feb7e0fc strategy/supertrend: output acc. profit report to tsv file 2022-08-16 14:42:04 +08:00
Zenix
2e9f554f9e
Merge pull request #878 from zenixls2/drift_rebase 
Drift rebase
 2022-08-16 15:35:42 +09:00
Yo-An Lin
0fa8692679
Merge pull request #875 from ankion/fix_pivotshort_trendema 
pivotshort: trendema add initial date
 2022-08-16 14:31:17 +08:00
Andy Cheng
0b5f2c308e exchange/binance: fix missing github.com/adshao/go-binance/v2 2022-08-16 14:21:48 +08:00
zenix
17d6b2465c fix: drift add back symbol in InstanceID 2022-08-16 12:50:30 +09:00
zenix
14aa667d59 fix: drift pnl and cumpnl 2022-08-16 12:45:40 +09:00
zenix
9f8b8d97d0 fix: drift empty pnl. exit condition 2022-08-16 12:30:29 +09:00
Andy Cheng
9cf29b6cc6 exchange/binance: get locked balance of futures account 2022-08-16 10:55:45 +08:00
zenix
71d3b926ec fix: go1.7 2022-08-15 21:46:13 +09:00
zenix
c1d9df8cdb feature: export drift1m, remove take profit, add profit report for listing pnl by date 2022-08-15 21:06:46 +09:00
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
2f75dda6ee fix: highest price and lowest price reset, condition gets crossed 2022-08-15 21:05:08 +09:00
zenix
ba532bd98c fix: takeProfitFactor NaN 2022-08-15 21:04:48 +09:00
zenix
e34b0c6c30 fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m 2022-08-15 21:04:31 +09:00
zenix
0cc3c5d485 feature: output config to telegram 2022-08-15 21:04:01 +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
zenix
008814992f fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype 2022-08-15 21:02:59 +09:00
zenix
d11738b6b5 feature: add smart cancel to drift 2022-08-15 21:02:43 +09:00
Andy Cheng
3da86556b5 risk: AvailableQuote() should use Net() to get net value 2022-08-13 13:28:45 +08:00
Yo-An Lin
dad562db97
Merge pull request #874 from ankion/fix_binance_futures 
Fix binance futures
 2022-08-12 01:43:15 +08:00
ankion
65218d8920 pivotshort: trendema add length check 2022-08-12 00:54:40 +08:00
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
ankion
1b0f653450 pivotshort: trendema add initial date 2022-08-11 16:42:29 +08:00
Andy Cheng
8d3dfd17c7 trailingstop: add side both 2022-08-11 16:39:16 +08:00
ankion
69e03c8428 binance: fix futures position 2022-08-11 14:29:28 +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
ankion
ffd46fd71d binance: fix futures orderTypelimitMaker timeInForce was null 2022-08-11 11:30:00 +08:00
ankion
68a65f1913 binance: fix futures not emit filled event 2022-08-11 10:40:19 +08:00
c9s
e735362efd
cmd/kline: show klines from restful api 2022-08-11 00:08:48 +08:00
c9s
ba87ffab43
max: fix order type casting 2022-08-11 00:00:25 +08:00
c9s
e2df05c054
maxapi: add option to disable user agent header 2022-08-10 23:59:55 +08:00
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 
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
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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
c9s
c65456e44b
pivotshort: refactor and add trendEMA to resistance short 2022-07-27 19:22:56 +08:00
c9s
2719c86400
pivotshort: drop unused tail function 2022-07-27 19:22:56 +08:00
c9s
5821dd02cb
pivotshort: fix log format 2022-07-27 19:22:56 +08:00
c9s
9b35c789ee
pivotshort: add total quantity to the notification 2022-07-27 19:22:55 +08:00
c9s
b067c02cf0
pivotshort: fix resistance order quantity calculation 2022-07-27 19:22:55 +08:00
c9s
a9eef3fb93
pivotshort: fix pivot low usage 2022-07-27 19:22:55 +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
4c6fe11796
pivotshort: rename ClosedKLineStop to fake break stop 2022-07-27 12:04:54 +08:00
c9s
7438798390
bbgo: add ClosedKLineStop trigger 2022-07-27 11:47:12 +08:00
c9s
f323e91a56
pivotshort: fix resistance short 2022-07-27 11:30:32 +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
zenix
84c7c0596d fix: fix drift naming style, fix kline Copy -> Set 2022-07-27 12:17:33 +09:00
zenix
3f33111182 fix: rename kline Copy to Set 2022-07-27 10:55:15 +09:00
c9s
3fbc634d81
bbgo: narrow down indicator interface type 2022-07-27 02:21:25 +08:00
c9s
feef912930
indicator: pivot low reformat 2022-07-27 01:58:05 +08:00
c9s
ac496e8488
pivotshort: refactor pivot low collector 2022-07-27 01:57:28 +08:00
c9s
b746f801f7
pivotshort: get the correct pivot low value 2022-07-27 01:56:18 +08:00
c9s
854af6b4bd
pivotshort: use new config struct stopEMA and trendEMA 2022-07-27 01:53:53 +08:00
c9s
6f64b6d08e
pivotshort: introduce new config struct 2022-07-27 01:51:47 +08:00
c9s
4fd318701d
indicator: fix slice 2022-07-27 01:43:36 +08:00
c9s
0e18aa68f7
indicator: fix length slice calculation 2022-07-27 01:32:37 +08:00
c9s
5dd14feb42
indicator: fix pivot low indicator 2022-07-27 01:30:43 +08:00
c9s
076f196621
risk: return quantity directly if it's not zero 2022-07-27 01:29:53 +08:00
c9s
578e4b2801
indicator: fix pivot low indicator 2022-07-27 00:58:05 +08:00
zenix
da51bf44c8 fix: rebase error 2022-07-26 20:14:23 +09:00
c9s
2822e39e7b
pivotshort: remove the legacy preloadPivot 2022-07-26 19:00:09 +08:00
c9s
f460a7901d
indicator: refactor macd indicator 2022-07-26 19:00:09 +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
2459dbd384
indicator: refactor hull indicator 2022-07-26 18:26:52 +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
94efa8890b
rename inf.go to interface.go 2022-07-26 18:07:43 +08:00
c9s
82673e501b
indicator: fix test cases 2022-07-26 18:07:43 +08:00
c9s
16c62eab2b
indicator/pivotlow: drop the legacy CalculateAndUpdate 2022-07-26 17:33:09 +08:00
c9s
0df321c880
indicator: drop the legacy CalculateAndUpdate for standard indicators 2022-07-26 17:30:41 +08:00
c9s
8bf9b280fc
add low indicator 2022-07-26 17:27:38 +08:00
c9s
eeab328648
indicator: rewrite pivotlow indicator 2022-07-26 17:00:17 +08:00
zenix
85f8b9510d fix: gofmt 2022-07-26 18:00:05 +09:00
zenix
4dd4c5823f fix: unlock lock to get latest price 2022-07-26 18:00:05 +09:00
zenix
2ceb24ad09 fix: panic on image drawing, reduce fee by smoothing the drift curve 2022-07-26 18:00:05 +09:00
zenix
553a55811c fix: buyPrice/sellPrice calculation on one order multiple trades 2022-07-26 18:00:05 +09:00
zenix
d2dee44647 fix: ewma copy 2022-07-26 18:00:05 +09:00
zenix
a8fe20ae3a fix: drift exit condition, trade_stats serialization in redis 2022-07-26 18:00:05 +09:00
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
b6fb5e958d feature: deduct fee from entry, move StopLoss orders cleanup to the begin of close position function 2022-07-26 18:00:05 +09:00
zenix
ac5c7f5773 feature: add pnl / cummulative pnl graph, add continuous graph 2022-07-26 18:00:05 +09:00
zenix
62aac8ecc4 fix: indicator limits 2022-07-26 18:00:05 +09:00
zenix
0d65fe1b8a feature: trailing stop, print mean and modify normalization function of output graph 2022-07-26 18:00:05 +09:00
zenix
c6563aa9bd feature: add stoploss from stopPrice 2022-07-26 18:00:05 +09:00
zenix
9c73aa4adb fix: fine tune drift config. fix atr updating issue 2022-07-26 18:00:05 +09:00
zenix
b52208d7b6 fix: bug in wrong channel subscription in drift 2022-07-26 18:00:05 +09:00
zenix
7368069c7a fix: add persistence to drift 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
55704fdd21 fix: Reverse length, alma comment 2022-07-26 18:00:05 +09:00
zenix
e097421b7b feature: export canvas path for drift strategy. fix exit/entry order and fix missing columns from json parsing 2022-07-26 18:00:05 +09:00
zenix
586f1ff269 fix: clone on sma 2022-07-26 18:00:05 +09:00
zenix
83f8b7a84e fix: logistic regression test case 2022-07-26 18:00:05 +09:00
zenix
7310feb0de fix: highest price normalization in drift strategy 2022-07-26 18:00:05 +09:00
zenix
c51a99400d feature: add plot for series. add autocorrelation. add clone for indicators/series 2022-07-26 18:00:05 +09:00
zenix
69b45e90e9 add drift exit condition 2022-07-26 18:00:05 +09:00
zenix
6a9e00ebd4 fix: update drift strategy 2022-07-26 18:00:05 +09:00
zenix
0ae6b6736c feature: use drift indicator to create basic strategy for study 2022-07-26 18:00:05 +09:00
c9s
44c3e5a6f7
indicator: split pivot low indicator 2022-07-26 16:50:45 +08:00
c9s
5bb1722007
binance: remove ineffected DEBUG_BINANCE_STREAM 2022-07-26 16:26:40 +08:00
c9s
e1e725878e
binance: refactor server time offset setter 2022-07-26 16:25:08 +08:00
c9s
ff61235e70
binance: rename to timeSetterOnce 2022-07-26 16:22:57 +08:00
c9s
cf5e81c848
binance: refactor set server time go routine 2022-07-26 16:22:29 +08:00
zenix
2568a81dfe fix: binance time sync, exchange interval query interface, yaml for fixedpoint 2022-07-26 16:42:34 +09:00
Yo-An Lin
9bf48e9de4
Merge pull request #822 from c9s/fix/api-upgrade 
refactor: ewoDgtrd: upgrade order executor api
 2022-07-26 14:33:06 +08:00
c9s
8986eeb3a4
bollmaker: apply kline filter closure 2022-07-26 12:08:47 +08:00
c9s
c252a7dcf9
bollmaker: fix log format issue 2022-07-26 12:08:47 +08:00
c9s
d26dd2f1da
bollmaker: remove status change setter 2022-07-26 12:08:47 +08:00
c9s
83c8bc819a
all: drop the legacy smart stops 2022-07-26 12:08:47 +08:00
c9s
c3b6cb80c3
bollmaker: upgrade bollmaker exits methods 2022-07-26 12:08:47 +08:00
c9s
6ae0620730
bollmaker: integrate exits method to bollmaker 2022-07-26 12:08:47 +08:00
c9s
06d71aab4a
types: add doc comment 2022-07-26 11:53:22 +08:00
c9s
ee4fb1a677
add 24hours guard to AddProfit 2022-07-26 11:51:58 +08:00
c9s
9c944d4aba
types: fix profit stats titles 2022-07-26 11:51:24 +08:00
c9s
549e28079b
autoborrow: call Debt() for repay 2022-07-26 11:49:04 +08:00
c9s
bdfb5d08aa
risk: pull out max quantity variable 2022-07-26 11:47:07 +08:00
c9s
9787b867ac
types: call debt() 2022-07-26 11:44:57 +08:00
c9s
79fe49f66f
types: for net() always return total sub debt 2022-07-26 11:44:34 +08:00
c9s
e482a164cf
types: repay debt when closing position 2022-07-25 22:10:02 +08:00
Yo-An Lin
2e7ed9f583
Merge pull request #840 from andycheng123/fix/supertrend-strategy 
strategy/supertrend: fix exit methods problem
 2022-07-25 15:14:22 +08:00
c9s
0d5d92b26d
pivotshort: fix tail function 2022-07-25 15:02:59 +08:00
Andy Cheng
07959c8862 strategy/supertrend: fix exit methods problem 2022-07-25 14:11:55 +08:00
Yo-An Lin
bfb7dd51d6
Merge pull request #838 from c9s/improve/backtest-json-format 
improve: use marshal instead of marshal indent
 2022-07-23 12:33:27 +08:00
c9s
4345cef8d7
util: use marshal instead of marshal indent 2022-07-23 12:16:06 +08:00
c9s
a609c0606a
risk: fix margin level prec assertion 2022-07-22 15:06:10 +08:00
c9s
4b7126ce41
risk: add doc comment for MarginLevel method 2022-07-22 14:54:25 +08:00
c9s
a9f9fc4e5e
risk: add margin level calculator 2022-07-22 14:53:17 +08:00
c9s
b53da177c2
risk: add test case for account calculator 2022-07-22 14:42:30 +08:00
c9s
3cf5175baa
risk: make calculateAccountNetValue public 2022-07-22 13:36:03 +08:00
c9s
a1387bb4dd
risk: move spot condition to the top 2022-07-22 12:04:43 +08:00
c9s
36cfaa924d
risk: move leverage quantity calculation to the risk package 2022-07-22 11:55:24 +08:00
c9s
54affd2f99
pivotshort: quantity calculation -- sub debt 2022-07-22 11:47:48 +08:00
c9s
76def2fe9d
pull out AccountValueCalculator 2022-07-21 19:46:58 +08:00
c9s
15879adf3b
pivotshort: fix trade loss ratio 2022-07-21 13:17:46 +08:00
c9s
88c0f31e87
pivotshort: add trade loss to the quantity calculating 2022-07-21 13:05:46 +08:00
c9s
756fcb4807
pivotshort: fix min leverage protection 2022-07-21 13:04:19 +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
b6d0482517
pivotshort: add more logs and check 2022-07-21 12:05:05 +08:00
c9s
ea08a61e28
indicator/stoch: simplify CalculateAndUpdate 2022-07-21 01:35:27 +08:00
c9s
86c1619e50
indicator/stoch: move emitUpdate 2022-07-21 01:35:03 +08:00
c9s
9c89359a5f
indicator/stoch: move endTime check to pushK 2022-07-21 01:34:35 +08:00
c9s
6e043ba129
indicator/till: fix e1 check 2022-07-21 01:33:30 +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
a821641dcf
indicator/atr: implement LoadK and BindK 2022-07-21 01:27:38 +08:00
c9s
0b9d6939f3
indicator/till: add zero time check 2022-07-21 01:22:28 +08:00
c9s
2523c2261b
indicator/till: refactor CalculateAndUpdate 2022-07-21 01:21:29 +08:00
c9s
9f937f529e
bbgo: refactor standard indicator 2022-07-21 01:05:08 +08:00
c9s
4300e00580
indicator/rma: move endTime update to PushK 2022-07-21 01:05:08 +08:00
Yo-An Lin
ed91fdc915
Merge pull request #831 from c9s/feature/defaulter 
feature: api: add strategy defaulter interface
 2022-07-19 17:55:24 +08:00
c9s
ea4efccd89
schedule: use general order executor and fix notification message format 2022-07-19 17:38:32 +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
f72cf9bfff
pivotshort: fix quantity check 2022-07-19 11:25:27 +08:00
c9s
9302474d51
add 1m subscribe to RoiTakeProfit 2022-07-19 11:00:45 +08:00
c9s
a6fc03efe5
bump version to v1.37.0 2022-07-19 09:48:21 +08:00
c9s
29fc58cb18
autoborrow: fix repay amount 2022-07-18 19:14:31 +08:00
Raphanus Lo
13455e4ee1 backtest: resolve data race on index.json 2022-07-17 15:46:55 +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
Raphanus Lo
620381f64b optimizer: eliminate limitation of number of grid point 2022-07-15 23:01:56 +08:00
c9s
44f3793db8
max: emit debt event and ad ratio event 2022-07-15 13:25:02 +08:00
c9s
26f5f36f7e
backtest: for types.OrderTypeStopMarket, use stop price to simulate the actual price for balance locking 2022-07-14 19:26:04 +08:00
c9s
a370a5e489
pivotshort: fix on start handler 2022-07-14 18:36:28 +08:00
c9s
89ffd94d98
update pivotlow on start 2022-07-14 18:35:58 +08:00
Yo-An Lin
191e00adeb
Merge pull request #827 from c9s/strategy/pivotshort 
strategy/pivotshort: improve quantity calculation for margin and futures
 2022-07-14 18:16:48 +08:00
c9s
c4332fcac2
pivotshort: add leverage settings 2022-07-14 17:44:33 +08:00
c9s
adb96cac39
pivotshort: check maximum margin leverage 2022-07-14 17:38:11 +08:00
c9s
0284d090d8
all: move getExchangeAttributes 2022-07-14 17:36:16 +08:00
c9s
6c91af2392
pivotshort: improve useQuantityOrBaseBalance 2022-07-14 17:36:03 +08:00
c9s
0ba529cb45
pivotshort: replace orders if the active orders is empty 2022-07-14 16:34:03 +08:00
c9s
8fb216ce52
pivotshort: when resistance order is filled, reset the current resistance price 2022-07-14 16:28:30 +08:00
c9s
dd3bd6a325
indicator: rewrite VWMA calculator 2022-07-14 15:57:17 +08:00
c9s
2ef8ecf3d9
indicator: clean up bollinger band indicator api usage 2022-07-14 14:26:08 +08:00
c9s
a5715c6aee
indicator: rewrite boll indicator with stddev indicator 2022-07-14 14:26:08 +08:00
c9s
975d0d6995
indicator: pull out emit update 2022-07-14 11:36:34 +08:00
c9s
bbf01275cc
indicator/sma: clean CalculateAndUpdate and make cache field private 2022-07-14 11:34:53 +08:00
c9s
7696c9f21e
indicator: improve rma preload 2022-07-14 10:54:46 +08:00
c9s
da4dbf4800
indicator: macd: add link for macd https://school.stockcharts.com/doku.php?id=technical_indicators:macd-histogram 2022-07-14 10:45:22 +08:00
c9s
0b07fb5a83
indicator/macd: drop the legacy func calculateMACD 2022-07-14 10:36:16 +08:00
c9s
a7b7ed6610
rename to KLineClosedEmitter 2022-07-14 10:33:10 +08:00
c9s
77264342ce
indicator: add KLineLoader interface 2022-07-14 10:31:38 +08:00
c9s
cb481c660f
fix all indicators for KLineCalculateUpdater interface 2022-07-14 10:28:53 +08:00
c9s
e6c634690b
indicator: clean up ewma's CalculateAndUpdate 2022-07-14 09:29:54 +08:00
c9s
8d8d9a7c59
indicator/rsi: make update callback field private 2022-07-14 09:18:43 +08:00
c9s
b2538b6960
indicator: make callback field private 2022-07-14 09:18:43 +08:00
c9s
2a3118a086
indicator: clean up and update calculator method names 2022-07-14 09:18:42 +08:00
c9s
c27f416dbc
indicator: canonicalize the CalculateAndUpdate method call 
also fix the xmaker boll indicator preloading
 2022-07-14 09:18:42 +08:00
c9s
1152fae346
ewoDgtrd: upgrade order executor api 2022-07-14 01:36:02 +08:00
c9s
5bbccacc89
risk: rename func 2022-07-14 00:07:49 +08:00
c9s
c7424479bb
risk: add tests 2022-07-14 00:03:47 +08:00
c9s
8985a7a635
risk: add risk function tests 2022-07-13 23:56:22 +08:00
c9s
7932688aa7
add risk calculator functions 2022-07-13 23:45:47 +08:00
Yo-An Lin
affe46655f
Merge pull request #818 from COLDTURNIP/fix/backtest_correct_final_asset 
backtest: correct final asset calculation
 2022-07-13 23:02:19 +08:00
Yo-An Lin
01d50496a1
Merge pull request #817 from COLDTURNIP/fix/optimizer_initial_storage 
optimizer: prepare database before executing backtests
 2022-07-13 23:01:59 +08:00
Raphanus Lo
36bdacf3a3 backtest: correct final asset calculation 2022-07-13 17:20:48 +08:00
Raphanus Lo
4985c760be optimizer: prepare database before executing backtests 2022-07-13 15:28:11 +08:00
Yo-An Lin
b9729b0c4f
Merge pull request #816 from c9s/refactor/backtest-report 
strategy/pivotshort: add trendEMA
 2022-07-13 13:45:15 +08:00
Yo-An Lin
647182e575
Merge pull request #815 from COLDTURNIP/fix/optimizer_progress_bar_counter 
optimizer: correct progress bar counter & ETA calculation
 2022-07-13 13:35:34 +08:00
c9s
cecb278aa1
autoborrow: use info logger for the margin level info 2022-07-13 13:34:59 +08:00
Raphanus Lo
363c7b6ef6 optimizer: correct progress bar counter & ETA calculation 2022-07-13 11:44:04 +08:00
zenix
d1689a3b14 fix: add error message on wrong sizeof klines passed in calculateSMA 2022-07-13 12:33:57 +09:00
zenix
4e2adcf29e fix: sma calculation, length, and add test case 2022-07-13 12:28:41 +09:00
c9s
ee163eb441
pivotshort: add trendEMA protection 2022-07-13 11:09:57 +08:00
c9s
f5f6fabe07
pivotshort: add trendEMA and add stopEMA subscribe 2022-07-13 10:49:52 +08:00
Yo-An Lin
8119afbb44
Merge branch 'main' into strategy/pivotshort 2022-07-12 23:38:23 +08:00
c9s
f91e1afe95
atrp: multiple 100 for percentage 2022-07-12 22:54:47 +08:00
c9s
a51f26e3a7
backtest: add gross profit and gross loss fields 2022-07-12 19:50:28 +08:00
c9s
7d232f86b8
remove duplicated dumper close 2022-07-12 19:34:07 +08:00
c9s
24e009f333
backtest: avoid writing same record into the file 2022-07-12 18:46:09 +08:00
c9s
6ce9f6a2b7
fix FilterSimpleArgs 2022-07-12 17:55:15 +08:00
c9s
b521a7cf70
pivotshort: fix resistance price update algo 2022-07-12 17:45:47 +08:00
c9s
da4b35bd31
pivotshort: add 1m subscribe 2022-07-12 17:45:47 +08:00
Yo-An Lin
1ef2c1d668
Merge pull request #811 from andycheng123/fix/supertrend-strategy 
strategy/supertrend: fix double dema initialization problem
 2022-07-12 13:13:19 +08:00
c9s
28d9aa6820
autoborrow: show margin level when check 2022-07-11 16:26:25 +08:00
c9s
3f15df4c0e
autoborrow: fix repay balance check 2022-07-11 16:22:21 +08:00
c9s
98aaa6ce43
autoborrow: fix repay mech 2022-07-11 16:20:45 +08:00
Andy Cheng
1b5dc309f0 strategy/supertrend: fix double dema initialization problem 2022-07-11 13:37:01 +08:00
c9s
2a9a34ae66
bump version to v1.36.0 2022-07-10 19:08:30 +08:00
c9s
c62aafdf2b
compile and update migration package 2022-07-10 19:08:30 +08:00
Zenix
e633cedd3c
Merge pull request #809 from zenixls2/feature/logistic_regression 
feature: logistic regression
 2022-07-09 17:27:20 +09:00
Yo-An Lin
eacbd13e6b
Merge pull request #810 from andycheng123/fix/supertrend-strategy 2022-07-08 21:03:01 +08:00
Yo-An Lin
e6d9a8a84a
Merge pull request #808 from c9s/fix/kline-with-filtering 2022-07-08 21:02:28 +08:00
c9s
cc8821bb66
update max order api path 2022-07-08 20:47:51 +08:00
c9s
e9faf34b5e
max: fix balance field for api 2022-07-08 17:28:07 +08:00
c9s
59fcef0b6d
supertrend: avoid using embedded struct on DoubleDema 2022-07-08 17:13:12 +08:00
Andy Cheng
d73d7b4380
Merge branch 'main' into fix/supertrend-strategy 2022-07-08 16:45:26 +08:00
c9s
5bd292d0b2
bbgo: add notify(profit) 2022-07-08 16:43:32 +08:00
Andy Cheng
574e142cf9 strategy/supertrend: use types.IntervalWindow instead of types.Interval 2022-07-08 16:42:31 +08:00
c9s
79b70d4a31
supertrend: fix interval window for exit methods 2022-07-08 16:31:28 +08:00
zenix
0e64a14d7f feature: add entropy, cross entropy, sigmoid, softmax, and logistic regression 2022-07-08 16:58:59 +09:00
c9s
46d6ecc663
fix types.TradeStats usage 2022-07-08 15:44:32 +08:00
c9s
581e4be218
supertrend: clean up and update 2022-07-08 15:41:28 +08:00
c9s
d7f83a45b3
fix: check if interval is empty string 2022-07-08 14:47:36 +08:00
Andy Cheng
f8777752a0
Merge branch 'main' into improve/supertrend-strategy 2022-07-07 10:33:30 +08:00
Yo-An Lin
e778db1f24
Merge pull request #801 from c9s/feature/optimizer-metrics-tsv-format 
feature: optimizer: support --tsv option and render tsv output
 2022-07-07 06:23:49 +08:00
c9s
ba74e83552
optimizer: show *exec.ExitError 2022-07-07 02:26:39 +08:00
c9s
81560746bd
all: reformat code 2022-07-07 02:26:39 +08:00
c9s
c9859c9238
add more struct field tests 2022-07-07 02:26:39 +08:00
c9s
30deaad079
dynamic: add IterateFields 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
7b7d0690c7
optimizer: support --tsv option and render tsv output 2022-07-07 02:11:52 +08:00
c9s
81e05a3f2c
add more struct field tests 2022-07-06 22:01:35 +08:00
c9s
825022715d
dynamic: add IterateFields 2022-07-06 21:58:26 +08:00
c9s
b3e04a68da
bbgo: fix trailing stop binding 2022-07-06 21:50:38 +08:00
Andy Cheng
c43d4e0b24 strategy/supertrend: func to get order side 2022-07-06 18:11:09 +08:00
Andy Cheng
8aa5b706b6 strategy/supertrend: fix double dema missing interval 2022-07-06 17:05:38 +08:00
Andy Cheng
6c93c42ef6 strategy/supertrend: pull double dema into a single file 2022-07-06 16:45:19 +08:00
Andy Cheng
c62e7bbb58 strategy/supertrend: refactor to smaller functions 2022-07-06 16:26:30 +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
c9s
d140012fd5
fix mockgen command 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-06 01:32:05 +08:00
c9s
f329af2c6b
generate mocks for the exchange interface 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-06 01:31:12 +08:00
Andy Cheng
2de16ac7d1 strategy/supertrend: fix missing Bind() of DEMA 2022-07-05 17:11:58 +08:00
Andy Cheng
91077ce61d strategy/supertrend: add ExitMethod 2022-07-05 16:55:48 +08:00
Andy Cheng
f0dc9d6147 strategy/supertrend: add TradeStats 2022-07-05 16:30:13 +08:00
Andy Cheng
5b3ba03042 strategy/supertrend: preload indicators 2022-07-05 16:25:02 +08:00
c9s
4de5b0bc9b
add TrailingStop2 2022-07-05 16:10:55 +08:00
Andy Cheng
0a0e5ac4d8 strategy/supertrend: config switch for stop by different signals 2022-07-05 15:59:35 +08:00
c9s
b643b8ed0d
fix LowerShadowTakeProfit kline filter condition 2022-07-05 12:15:31 +08:00
c9s
8ac21fa16e
fix LowerShadowTakeProfit kline filter condition 2022-07-05 12:14:53 +08:00
c9s
193703a9a0
all: use tradeStats constructor 2022-07-05 11:14:50 +08:00
Yo-An Lin
0b4044bbb6
Merge pull request #796 from c9s/strategy/pivotshort 
strategy/pivotshort: add supportTakeProfit method
 2022-07-04 12:26:32 +08:00
c9s
c258d522e6
backtest: update backtest.Exchange currentTime 2022-07-04 02:38:42 +08:00
c9s
82f9fc139c
backtest: refactor exchange field, clean up startTime and endTime deps 2022-07-04 02:34:46 +08:00
c9s
8fc17f9c0b
backtest: move QueryOrder method 2022-07-04 02:29:18 +08:00
c9s
a31f61736a
backtest: pull out userDataStream to backtestEx.BindUserData 2022-07-04 02:27:29 +08:00
c9s
ecd4df86f9
backtest: assign user data stream to backtest.Exchange before we call EmitStart 2022-07-04 02:21:14 +08:00
c9s
449b2d8220
backtest: fix order update emit binding 2022-07-04 02:20:50 +08:00
c9s
3a37154737
pivotshort: fix supportTakeProfit binding 2022-07-04 02:20:15 +08:00
Yo-An Lin
6fe980a2a3
Merge pull request #793 from LarryLuTW/larry/fix-pnl-market 
Fix pnl command
 2022-07-04 01:42:32 +08:00
Fredrik
771f578efd optimizer/fix: prevent from crashing if missing SummaryReport 2022-07-03 13:16:41 +02:00
c9s
81f9639c85
pivotshort: bind supportTakeProfit method 2022-07-03 17:22:29 +08:00
c9s
278fbb7b51
pivotshort: fix support take profit method 2022-07-03 17:13:01 +08:00
c9s
74cac6e977
pivotshort: adjust layer price calculation 2022-07-03 15:44:37 +08:00
c9s
a408b20eda
fix resistance price calculation 2022-07-03 15:26:05 +08:00
c9s
1e8ac0d08a
pivotshort: improve price grouping 2022-07-02 18:51:17 +08:00
LarryLuTW
a0e8359d23
add market for calculator 2022-07-02 17:45:24 +08:00
c9s
f940bb8e0a
implement SupportTakeProfit method 2022-07-02 13:21:27 +08:00
c9s
ac1b5e4df4
check market in the NewPositionFromMarket 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-02 12:43:57 +08:00
c9s
004e6b0e0b
pivotshort: fix findNextResistancePriceAndPlaceOrders 2022-07-02 00:28:41 +08:00
c9s
f1867b02c3
pivotshort: fix message 2022-07-01 18:10:39 +08:00
c9s
9a11fd59ed
pivotshort: fix open close price compare 2022-07-01 17:43:51 +08:00
c9s
178913dd1b
reformat code 2022-07-01 17:32:59 +08:00
c9s
b158c44b95
fix profit stats notification 2022-07-01 17:32:40 +08:00
c9s
4bb9fb7e1b
fix profit stats wording 2022-07-01 17:32:01 +08:00
c9s
53204f47ea
bollmaker: remove legacy state loading 2022-07-01 17:28:48 +08:00
c9s
04df515aea
pivotshort: clean up and force kline direction 2022-07-01 17:26:45 +08:00
c9s
9374125712
pivotshort: pull out break low logics 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-01 17:22:09 +08:00
c9s
7f5e92d1b5
cancel order when shutdown 2022-07-01 16:29:03 +08:00
c9s
c792da2164
pivotshort: improve balance check for margin 2022-07-01 15:41:50 +08:00
c9s
09ba2d31c3
pivortshort: run placeResistanceOrders with margin borrow buy 2022-07-01 15:34:21 +08:00
c9s
1af18a5fac
pivotshort: fix breakLow handle event 2022-07-01 15:30:06 +08:00
c9s
8851e67356
dynamic: add doc comment to CallMatch 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-01 13:10:53 +08:00
c9s
910c17a567
dynamic: implement CallWithMatch for dynamic calls 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-01 13:09:30 +08:00
c9s
503d851c9d
pivotshort: move resistance short to a single file 2022-07-01 01:24:34 +08:00
c9s
454036b166
use types.KLineWith to wrap callbacks 2022-07-01 01:06:10 +08:00
c9s
a4af4776d2
pivotshort: use active orderbook to maintain the resistance orders 2022-07-01 00:57:19 +08:00
c9s
fa98f3fda2
fix position.IsOpened method 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 18:29:59 +08:00
c9s
3e6b975c2c
pivotshort: refactor ResistanceShort entry method 2022-06-30 18:29:02 +08:00
c9s
6aa6e57d96
add ema condition to the lower shadow take profit 2022-06-30 17:42:23 +08:00
Andy Cheng
1573a9acf3 strategy/supertrend: add linear regression as filter 2022-06-30 16:35:00 +08:00
c9s
903d773025
dynamic: invert if 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 15:49:18 +08:00
c9s
b15e8d0ce4
all: refactor exit method set and fix dynamic call/merge 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 15:49:18 +08:00
c9s
e2ab363e64
dynamic: add CallStructFieldsMethod for map struct field call 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 15:49:18 +08:00
c9s
527070d13d
all: rewrite and clean up graceful shutdown api 2022-06-30 15:49:18 +08:00
c9s
7d5474e3dd
pivotshort: call MergeStructValues to update the field value 2022-06-30 15:49:18 +08:00
c9s
cf0ca70d24
move and rename isSymbolBasedStrategy 2022-06-30 15:49:18 +08:00
c9s
3013eeccc7
move dynamic stuff to the pkg/dynamic package 2022-06-30 15:49:18 +08:00
c9s
a74decc47d
add more test case for reflect 2022-06-30 15:49:18 +08:00
c9s
fa917b0b77
bbgo: implmenet reflectMergeStructFields so that we can merge field values 2022-06-30 15:49:17 +08:00
c9s
ab3341d5ae
pivotshort: make preload pivot as a pure function 2022-06-30 15:49:17 +08:00
c9s
9733eec280
pivotshort: move pure funcs to the bottom 2022-06-30 15:49:17 +08:00
c9s
38767cd2df
move private methods to the bottom 2022-06-30 15:49:17 +08:00
c9s
ee45f154a1
pivotshort: rename bounce short to resistance short 2022-06-30 15:49:17 +08:00
zenix
0141f81086 refactor: ewo use SeriesExtend 2022-06-29 22:02:50 +09:00
zenix
70f4676340 feature: extend indicators, extend seriesbase methods 2022-06-29 21:49:02 +09:00
zenix
69533c0397 feature: add sharpe function implementation 2022-06-29 20:10:20 +09:00
zenix
d8d77cec1e feature: add skew, covariance and variance 2022-06-29 20:10:20 +09:00
zenix
1e31c4fb04 feature: add correlation for series 2022-06-29 20:10:20 +09:00
zenix
36127a6332 feature: implement omega, sharp, sortino related functions 2022-06-29 20:10:20 +09:00
zenix
b26d3005a3 feature: add pct_change implementation in indicator 2022-06-29 20:10:20 +09:00
Yo-An Lin
ccfaf0e070
Merge pull request #784 from c9s/strategy/pivotshort 
strategy: pivotshort: fix stopEMA
 2022-06-29 17:04:24 +08:00
c9s
4bb2e4a25f
fix stopEMA range check 2022-06-29 16:59:50 +08:00
Andy Cheng
6222ceef9a
Merge pull request #785 from andycheng123/improve/optimizer-progressbar 
optimizer: add progressbar
 2022-06-29 16:28:03 +08:00
Andy Cheng
a029509b63 optimizer: add progressbar 2022-06-29 16:17:43 +08:00
c9s
83d6f4764c
types: fix profit factor calculation 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-29 15:37:18 +08:00
c9s
84083f56b7
bbgo: add ExchangeSession param to the subscribe method 2022-06-29 15:16:56 +08:00
c9s
cb1c5634a2
pivotshort: remove redundant notification 2022-06-29 15:14:24 +08:00
Zenix
6b6686caa8
Merge pull request #778 from zenixls2/feature/series_extend 
feature: add seriesExtend
 2022-06-29 12:35:48 +09:00
c9s
38920dfc7a
pivotshort: fix kline history loading 2022-06-29 11:23:05 +08:00
zenix
0b8441f4a2 rename: ToArray -> Array, ToReverseArray -> Reverse 2022-06-29 11:13:43 +09:00
c9s
fc3e76204a
bbgo: add todo for the reflect Subscribe call 2022-06-29 02:03:00 +08:00
c9s
95c2711b0d
bbgo: call Subscribe method dynamically 2022-06-29 02:02:23 +08:00
c9s
16f2a06b1f
all: move exit methods to the bbgo core 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-29 01:58:15 +08:00
c9s
cfc4fd1f81
add doc for CumulatedVolumeTakeProfit 2022-06-29 01:39:33 +08:00
c9s
3d4f765678
rename protectionStopLoss to protectiveStopLoss 2022-06-29 01:31:56 +08:00
c9s
37413e4355 pivotshort: fix bounce ratio calculation 2022-06-28 23:47:34 +08:00
c9s
b32cfef2fd backtest: set order price for market order 2022-06-28 23:47:34 +08:00
c9s
609b6a7a50 add ref link to trade stats 2022-06-28 23:47:34 +08:00
c9s
32c76105b0 types: add total net profit field to trade states 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-28 23:47:34 +08:00
c9s
1617005114 pivotshort: fix pivotshort trigger condition 2022-06-28 23:47:34 +08:00
zenix
12757a0458 feature: add seriesExtend 2022-06-28 21:11:07 +09:00
c9s
1156e15cfe
backtest: add order cancel test case 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-28 18:25:51 +08:00
c9s
c0f8bb9a2d
backtest: do not change the backtest order price 
- apply the last price on the executed trade
- add more tests
 2022-06-28 17:43:51 +08:00
c9s
81ed5bff4f
backtest: refactor calculateNativeOrderFee and add test case 2022-06-28 15:29:01 +08:00
c9s
abee61cdc4
backtest: fix stop order backtest, add more test cases and assertions 2022-06-28 14:35:06 +08:00
c9s
09e98eed82
backtest: handle stop market and add test case 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 20:49:55 +08:00
c9s
34900776f6
pivotshort: reformat code 2022-06-27 19:54:58 +08:00
c9s
10d5a8a4f2
backtest: fix stop limit order matching 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 19:48:14 +08:00
c9s
2784408b8b
add submit order tag 2022-06-27 18:17:57 +08:00
c9s
b97ec7bb1e
pivotshort: remove unused struct 2022-06-27 18:14:12 +08:00
c9s
dfdfd6b85e
types: use pointer receiver for submit order 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 15:56:09 +08:00
c9s
94ad8a5096
gross loss and gross profit 2022-06-27 14:40:49 +08:00
Yo-An Lin
fc5a753933
Merge pull request #764 from c9s/strategy/pivotshort 
strategy/pivotshort: refactor exit methods and add protection stop exit method
 2022-06-27 00:20:11 +08:00
c9s
d46954a4b1
fix SimplePriceMatching test 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 00:13:57 +08:00
c9s
1557423229
pivotshort: improve useQuantityOrBaseBalance and add bounce short check 2022-06-26 19:45:37 +08:00
c9s
4d862a4286
pivotshort: remove market trade debug 2022-06-26 19:29:01 +08:00
c9s
e1a9df0a2d
pivotshort: add safety check 2022-06-26 19:20:46 +08:00
c9s
3604bae933
pivotshort: pull out stop price check to a single method 2022-06-26 19:06:16 +08:00
c9s
ef31e90728
pivotshort: clean up 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:32:48 +08:00
c9s
e9b87f6f1e
pivotshort: refactor exit methods 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:31:48 +08:00
c9s
47677e303f
pivotshort: refactor take profit and stop loss methods 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:13:58 +08:00
c9s
4c02d8f729
implement QueryOrder on the backtest exchange 2022-06-26 16:10:10 +08:00
c9s
88059016b4
add position roi tests 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:03:42 +08:00
c9s
0715437cc5
fix lastRecordTime 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 13:23:04 +08:00
c9s
25fb684fd1
types: add ROI method on position 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 13:11:19 +08:00
なるみ
cbb3effc42 glassnode: add QueryOptions 2022-06-25 20:25:42 +08:00
なるみ
99d6c0550d glassnode: add Request struct 2022-06-25 19:59:00 +08:00
なるみ
5ce5571b5e glassnode: delete all requests 2022-06-25 19:59:00 +08:00
c9s
4e670c67a8
pivotshort: change ratio calculation 2022-06-25 18:13:50 +08:00
c9s
66f923ad0d
backtest: add kline fixture generator 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-25 17:55:31 +08:00
c9s
118928d388
implement kline fixture generator 2022-06-25 17:52:37 +08:00
c9s
2e49a95d32
bbgo: remove unused context object 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-25 17:02:53 +08:00
c9s
b25be3d702
add doc comments 2022-06-25 16:55:54 +08:00
c9s
9f0e12dc25
service: fix import 2022-06-25 16:46:40 +08:00
c9s
7dd314703c
service: fix trade test 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-24 19:30:17 +08:00
c9s
751085f8ff
clean up todo comment 2022-06-24 19:24:49 +08:00
c9s
f4bb7bd231
service: drop unused methods 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-24 19:11:21 +08:00
c9s
bd991a7080
service: remove unused QueryLast method 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-24 19:08:51 +08:00
c9s
a9bff7701c
sync: avoid adding the millisecond one to the start time 2022-06-24 18:14:52 +08:00
c9s
cace7c8f97
sync: add more debug logs 2022-06-24 17:14:30 +08:00
c9s
4f42f90b49
service: update id map when inserting record 2022-06-24 16:49:41 +08:00
c9s
54d0a83eee
use local time instead of UTC 2022-06-24 15:42:30 +08:00
c9s
1587630b7b
service: pull out record to a var 2022-06-24 15:27:51 +08:00
c9s
3ad1f0e351
show trade ID in the console 2022-06-24 15:19:12 +08:00
c9s
7b60e34821
revert time range check change, it's the same lol 2022-06-23 17:59:46 +08:00
c9s
a78119b9ca
fix time range checking 2022-06-23 17:51:45 +08:00
c9s
4556e501da
batch: fix time range checking 2022-06-23 17:49:28 +08:00
c9s
8c1198de83
service: use created_at field to sort the orders 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-23 01:35:16 +08:00
c9s
2c96d079b8
skeleton: fix log WithField comment 2022-06-22 23:32:31 +08:00
c9s
2c5b553d21
skeleton: add notation 2022-06-22 23:29:29 +08:00
c9s
2550528f60
skeleton: add notification sample 2022-06-22 23:28:49 +08:00
c9s
dcbeace40e
skeleton: update more comments 2022-06-22 23:24:11 +08:00
c9s
b9cbb9d478
skeleton: add detailed comment to the skeleton 2022-06-22 23:18:11 +08:00
Yo-An Lin
7398afbde7
Merge pull request #758 from c9s/improve/pnl-cmd 
improve: add pnl cmd options and fix trade query
 2022-06-22 18:38:02 +08:00
Yo-An Lin
d1abfcf80b
Merge pull request #757 from iamken1204/improve/totp-user 
totp-user: add default user 'bbgo'
 2022-06-22 18:35:12 +08:00
c9s
8c850c71a2
cmd/pnl: add --sync option 2022-06-22 18:24:34 +08:00
c9s
fa7177426f
cmd/pnl: fix trade table query 2022-06-22 18:19:11 +08:00
c9s
9574a04cce
types: add time alias string to ParseLooseFormatTime 2022-06-22 17:20:10 +08:00
kettan
a0a96abeec totp-user: add default user 'bbgo' 
There's no  env in alpine image, causes the program throw error 'No USER or USERNAME' in containers.

* Create and assign  env in bbgo image
* Fallback to use the default user 'bbgo' when env  or  was unassigned
 2022-06-22 16:45:23 +08:00
c9s
3150480db8
bollmaker: remove stopC 2022-06-22 16:30:29 +08:00
c9s
c26d0d7824
bollmaker: clean up commment 2022-06-22 16:20:59 +08:00
c9s
fa26d5260f
bollmaker: use bbgo.IsBackTesting 2022-06-22 16:18:50 +08:00
c9s
60d2ac1616
ewoDgtrd: clean up embedded struct 2022-06-22 15:37:02 +08:00
c9s
027f1f01cf
improve callID fallback for persistence 2022-06-22 15:19:30 +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
c9s
7c9ad535fd
bbgo: call global persistence facade to sync data 2022-06-21 14:32:43 +08:00
Yo-An Lin
612df45c5e
Merge pull request #750 from c9s/refactor/persistence-singleton 
refactor: persistence singleton and improve backtest cancel performance
 2022-06-21 14:01:14 +08:00
c9s
9b82de596b
refine optimizer executor config structure 2022-06-21 12:31:42 +08:00
Andy Cheng
edfdb5b888 optimizer: add max num of thread in config 2022-06-21 11:51:20 +08:00
c9s
9f2b810fd3
reformat go code 2022-06-21 01:25:47 +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
c9s
19d8013f49
bbgo: optimize order cancel for back-testing 2022-06-21 01:12:16 +08:00
c9s
58c819bd75
bbgo: pull out PersistenceServiceFacade to singleton 2022-06-21 01:05:13 +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
Yo-An Lin
74e8540550
Merge pull request #749 from c9s/improve/optimizer-local-proc 
improve: add parallel local process executor for optimizer
 2022-06-20 21:47:06 +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
c9s
6afe2de9f7
optimizer: add parallel local process worker support for optimizer 2022-06-20 17:18:05 +08:00
c9s
626934a059
move out label copy and params copy to the outside of the loop 2022-06-20 15:27:01 +08:00
c9s
9be38e2421
optimizer: support multi metric value functions 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-20 14:52:40 +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
c9s
6669db4264
optimizer: refactor Execute method 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-20 11:54:55 +08:00
Andy Cheng
24844052d2 pivotshort: add strategy controller 2022-06-20 11:39:18 +08:00
c9s
dd087b287d
optimizer: refactor LocalProcessExecutor and pull out config test 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-20 11:20:26 +08:00
c9s
3a072181bc
optimizer: close config file handle 2022-06-20 11:07:48 +08:00
c9s
d1b8710102
add export symbol comment 2022-06-20 10:21:42 +08:00
c9s
ee89a1c382
depth: do not test depth buffer when race is on 2022-06-20 02:49:07 +08:00
c9s
2a1beddba4
support: fix support strategy stop order update 2022-06-19 17:49:38 +08:00
c9s
6e562e2ede
increase batch insert size to 1000 for klines 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-19 17:41:52 +08:00
c9s
bf0186cf55
fix batch buffer size check 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-19 17:36:28 +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