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Commit Graph

4748 Commits

Author SHA1 Message Date
c9s
b881aea228
add position action 2023-03-22 21:38:56 +08:00
c9s
e93d13e425
xfunding: implement CrossRun 2023-03-22 21:36:42 +08:00
c9s
12b9775eb3
rename funding to xfunding 2023-03-22 21:17:33 +08:00
c9s
ab52dd6349
funding: filter kline event with types.KLineWith 2023-03-22 21:11:58 +08:00
c9s
88af0a18f9
max: move tradeQueryLimiter to the exchange instance 2023-03-21 16:26:47 +08:00
c9s
fda4e48146
max: move submitOrderLimiter to the exchange wide var 2023-03-21 16:25:16 +08:00
chiahung
bc23055536 FEATURE: emit grid error when failed to recover or open grid 2023-03-20 16:27:08 +08:00
narumi
7114016bc9 clamp skew 2023-03-18 23:31:03 +08:00
Andy Cheng
b455ae7742
Merge pull request #1123 from andycheng123/fix/exits 
exits/trailingstop: fix typo
 2023-03-17 15:03:51 +08:00
kbearXD
294c09b9e8
Merge pull request #1119 from c9s/feature/grids/recover-from-trades 
FEATURE: make PinOrderMap's key from string to Pin
 2023-03-17 10:45:09 +08:00
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
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