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Code Issues Actions 2 Packages Projects Releases Wiki Activity
6,239 Commits 60 Branches 138 Tags 189 MiB
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Commit Graph

4419 Commits

Author SHA1 Message Date
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