3754 Commits

Author	SHA1	Message	Date
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