lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-09-21 08:41:10 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity
2,760 Commits 56 Branches 138 Tags 185 MiB
5136001c9b
Commit Graph

1774 Commits

Author SHA1 Message Date
c9s
93761ba5d9 bump version to v1.19.0 2021-12-06 01:51:34 +08:00
c9s
aeeecba8dc support different time format for backtesting 2021-12-06 01:50:50 +08:00
c9s
0472b7f21e avoid recording trades in backtest by default 
introducing a RecordTrades option
 2021-12-06 01:42:53 +08:00
c9s
85bb9f214e grid: disable trade marking 2021-12-06 01:34:08 +08:00
c9s
5929385a2e bump version to v1.18.5 2021-12-06 01:08:04 +08:00
c9s
474be4e815 support json output for backtesting 2021-12-06 01:05:33 +08:00
c9s
1e151a170a add JSON method to the pnl report 2021-12-06 00:47:41 +08:00
c9s
0c6055a201 add json tag for AverageCostPnlReport 2021-12-06 00:46:50 +08:00
c9s
3615477d8f backtest: allocate matching books from the exchange constructor 
also adds the mutex for trades and closed orders
 2021-12-06 00:38:36 +08:00
c9s
3d536efec8 types: extend FuturesSettings fields for isolated margin 2021-12-05 16:47:01 +08:00
c9s
c8ba2e59e3 types: reformat account usd cal expression 2021-12-05 16:28:30 +08:00
c9s
91f26cc501 types: add account types for futures 2021-12-05 16:28:19 +08:00
c9s
0431014867 bump version to v1.18.4 2021-12-05 12:25:06 +08:00
c9s
b301ea549a adjust default rate to DefaultFeeRate 0.075% 2021-12-05 12:24:51 +08:00
c9s
f692ef2c31 realign account fields 2021-12-05 12:23:27 +08:00
c9s
44d7055809 fix backtest fee rate calculation 2021-12-05 12:10:45 +08:00
c9s
4d7fe7f37d call matchingBooksMutex when assigning matching book 2021-12-05 12:06:36 +08:00
c9s
dac1967e2f bump version to v1.18.3 2021-12-05 12:03:53 +08:00
c9s
298e981de0 bump version to v1.18.2 2021-12-05 12:01:37 +08:00
c9s
df683bdf56 use position to calculate the pnl 2021-12-05 02:17:15 +08:00
Yo-An Lin
9d38dc2c87 Merge pull request #297 from tony1223/bug/261-default-notification 
fix #261 provide default config for notification setting
 2021-12-05 01:17:04 +08:00
c9s
35da3ba3a0 check env vars for query related tests 2021-12-05 01:11:47 +08:00
c9s
062f9243c6 max: fix query ticker tests 2021-12-05 01:08:50 +08:00
c9s
715363298f fix query ticker tests 2021-12-05 00:58:01 +08:00
Yo-An Lin
19548a9449 Merge pull request #296 from tony1223/feature/294-force-backtest 
add force parameter for backtest
 2021-12-05 00:25:23 +08:00
TonyQ
bd325f02a5 add force parameter for backtest 2021-12-04 16:18:51 +00:00
c9s
52218c513f compile and update migration package 2021-12-04 23:03:35 +08:00
TonyQ
a1b6be3bda compile and update migration package 2021-12-04 03:06:04 +00:00
TonyQ
30c14a6828 fix #261 provide default config for notification setting 2021-12-04 02:37:21 +00:00
TonyQ
056afb577c fix generateGridSellOrders with ProfitSpread for begining 2021-11-30 11:55:00 +08:00
c9s
5ed337926d add mutex lock protection for backtesting 
solving issue #282
 2021-11-30 10:40:28 +08:00
c9s
9a589bf71c show broadcast enabled 2021-11-25 18:49:29 +08:00
c9s
032b62e4e1 broadcast should also send message to owner 2021-11-25 16:22:20 +08:00
c9s
fc81f7b6cb add Command function 2021-11-25 11:54:09 +08:00
c9s
6326d52c1b add /start command 2021-11-25 11:52:14 +08:00
c9s
8acc2cd87f fix chat nil pointer issue 2021-11-25 11:50:14 +08:00
c9s
4bde40f2db override binance default http client timeout instead of zero timeout 2021-11-23 10:54:43 +08:00
c9s
513a799ced fix ewma calculation 2021-11-22 02:14:44 +08:00
c9s
20f0e8dbd5 preallocate kline window with capacity 2021-11-22 01:17:08 +08:00
c9s
540722e430 adjust ewma truncate size 2021-11-22 01:17:08 +08:00
Austin
c5d1a70a61 add Continuous Contract Kline/Candlestick Streams 2021-11-16 14:26:27 +08:00
Austin
a36739f119 add MarkPriceUpdateEvent 2021-11-16 01:24:36 +08:00
c9s
aceca1b49f adjust listen key keep alive to 30 min 2021-11-07 23:40:13 +08:00
c9s
7a3963b34e techsignal: if it's already high funding rate, do not show change 2021-11-06 15:23:52 +08:00
c9s
a2c2646a16 binance: adjust rate limiter bucket 2021-11-05 01:25:16 +08:00
c9s
82d859a43d binance: fix binance order rate limiter 2021-11-05 01:21:58 +08:00
c9s
0c8addc58b grid: refactor trade callback for s.TradeService.Mark 2021-11-05 01:05:43 +08:00
c9s
6851d8d254 grid: add field guards 2021-11-05 01:04:13 +08:00
c9s
7db7596abe grid: refactor trade handler with trade collector 2021-11-05 00:30:04 +08:00
c9s
7787edffa0 refactor grid strategy state loading/saving 2021-11-05 00:22:44 +08:00
c9s
bfaec8fdd8 increase min amount if it's not greater than min notional 2021-11-04 23:22:01 +08:00
c9s
13577fc2b4 improve SubmitOrder formating 2021-11-04 23:21:01 +08:00
c9s
6002a958d2 grid: fix format error 2021-11-04 13:08:38 +08:00
c9s
1a861c98a1 binance: add order rate limiter for binance 2021-11-04 12:50:32 +08:00
c9s
7eb91cc7cc adjust grid quantity if it does not match min notional and min quantity 2021-11-04 12:50:32 +08:00
c9s
ed1d0ea27e add xnav strategy 2021-10-29 10:40:14 +08:00
Yo-An Lin
b8e5942f1c Merge pull request #274 from kkc/fix_emwa_indicator_in_backtest_mode 2021-10-20 18:03:51 +08:00
c9s
6cb593cd90 techsignal: use realtime funding rate 2021-10-20 14:01:19 +08:00
Kakashi Liu
8938478d93 Truncate emwa slice to be the same size as given kLines 2021-10-19 21:38:12 +08:00
c9s
16fca0150d implement futures PremiumIndex support 2021-10-19 15:54:16 +08:00
c9s
1e6692ec8d rename funding rate query method name 2021-10-19 15:29:55 +08:00
c9s
af602df302 techsignal: add math.Round for quote volumes 2021-10-18 20:06:23 +08:00
c9s
3a68d9dae4 techsignal: fix arg cast 2021-10-18 19:40:51 +08:00
c9s
d763a3c415 bbgo: add debug ewma and sma 2021-10-18 17:26:03 +08:00
c9s
30b82390b7 bbgo: add EMA and SMA debug var 2021-10-18 15:23:22 +08:00
c9s
721d63bee0 techsignal: add skip log 2021-10-18 11:10:54 +08:00
c9s
ebc61de946 techsignal: fix ma subscription 2021-10-18 09:00:56 +08:00
c9s
c36bbd6c35 bbgo: show pnl in the slack fields 2021-10-18 08:45:27 +08:00
c9s
d446dbbed7 bollpp: send profit stat notification 2021-10-18 01:16:46 +08:00
c9s
d6b707c832 bollpp: fix order quantity 2021-10-18 00:56:22 +08:00
c9s
0bd32094ee bollpp: improve bolling ping pong maker 2021-10-18 00:42:01 +08:00
c9s
e3431ef970 binance: fix binance order type for limit maker 2021-10-18 00:41:41 +08:00
c9s
759b6a812b techsignal: fix funding rate diff 2021-10-17 22:26:04 +08:00
c9s
a3f68d7b72 xmaker: use bbgo.NewPositionFromMarket 2021-10-17 22:24:57 +08:00
c9s
450b7bb61e bollpp: improve boll ping pong strategy with profit stats 2021-10-17 22:23:34 +08:00
c9s
15cfd735a0 bbgo: add doc comment for ExchangeSessionSubscriber 2021-10-17 22:23:21 +08:00
c9s
39b7a956e0 Add market field to position 2021-10-17 22:23:09 +08:00
c9s
30c7c34826 bbgo: fix kline backward query for backtest 2021-10-16 13:49:00 +08:00
c9s
4bcea5a388 bbgo: add AllFilled method on OrderStore 2021-10-16 13:39:18 +08:00
c9s
2b17124d06 telegramnotifier: support broadcast flag 2021-10-15 18:01:11 +08:00
c9s
77e7f814d9 support: refactor PercentageTargetStop logics 2021-10-15 16:10:57 +08:00
c9s
f5f96b585a apply broadcast option from config file 2021-10-15 16:10:39 +08:00
c9s
6c46c2cad1 telegramnotifier: add broadcast option 2021-10-15 16:10:25 +08:00
c9s
2b0793ee49 bbgo: add telegram config 2021-10-15 16:10:09 +08:00
c9s
a2c29f4519 support: remove legacy resistance code 2021-10-15 12:38:16 +08:00
c9s
d704e19f04 move signedPercentage method to fixedpoint 2021-10-15 12:22:53 +08:00
c9s
01f6d70d28 telegramnotifier: add broadcast function and subscribe command 2021-10-15 12:14:15 +08:00
c9s
a1779b6823 telegramnotifier: add warning 2021-10-15 12:03:15 +08:00
c9s
08c300fbad add warning if owner's chat is not configured 2021-10-15 11:56:17 +08:00
c9s
0fe11438bd telegramnotifier: rename Chat to OwnerChat 2021-10-15 11:55:05 +08:00
c9s
93e297dd7e adjust qutoe currency formatter symbol for fiat currency 2021-10-15 11:53:01 +08:00
c9s
952bdf8218 move currency formatter to market struct 2021-10-15 11:50:37 +08:00
c9s
790b3357d7 techsignal: adjust funding rate notification 2021-10-15 11:13:00 +08:00
c9s
4523135012 techsignal: add funding rate checker 2021-10-14 23:01:10 +08:00
c9s
e7fe443cbe show kline in the notification 2021-10-14 14:32:49 +08:00
c9s
fbbefe2878 techsignal: show interval in the message 2021-10-14 14:30:45 +08:00
c9s
a6848a6af4 add strategy/techsignal 2021-10-14 14:24:08 +08:00
c9s
c84ba12735 implement PlainText interface for kline 2021-10-14 14:22:24 +08:00
c9s
3581c1768c fix SMA indicator value length check 2021-10-14 14:22:07 +08:00
c9s
47e4847034 fix kline query endtime 2021-10-14 14:21:38 +08:00
c9s
4c2897a86d use Float64 indicator from the types package 2021-10-14 13:15:08 +08:00
c9s
4c061439d3 rename buyandhold to pricedrop 2021-10-14 13:10:00 +08:00
c9s
768a88247b rename bpp to bollpp (bollinger pingpong) 2021-10-14 12:52:54 +08:00
c9s
6e7f12ca9f rename trailingstop to emastop 2021-10-14 12:04:56 +08:00
c9s
b3661f5d32 bbgo: improve profit stat PlainText format 2021-10-14 10:16:11 +08:00
c9s
7d416c3467 bbgo: fix profit json tag 2021-10-14 10:14:11 +08:00
c9s
7874471828 bbgo: improve pnlEmojiMargin function 2021-10-14 10:13:21 +08:00
c9s
c8554f09a0 bbgo: refactor the pnl functions 2021-10-14 10:07:27 +08:00
c9s
2116efc42e bbgo: fix profit title 2021-10-14 08:59:45 +08:00
c9s
49a78c0c88 bbgo: fix profit stat title 2021-10-14 08:58:19 +08:00
c9s
c12ff57e57 bbgo: improve profit stats plaintext format 2021-10-14 08:55:55 +08:00
c9s
e2f58d0466 xmaker: use report ticker to report profit stats 2021-10-14 08:53:44 +08:00
c9s
77f11f4515 bbgo: add ticker for collecting trades 2021-10-14 07:56:40 +08:00
c9s
b154e3baea bbgo: add pnl emoji with margin 2021-10-14 07:48:32 +08:00
c9s
7e8897f1d0 bbgo: fix profit field check condition 2021-10-14 07:33:34 +08:00
c9s
5c3f305060 bbgo: implement SlackAttachment interface for profitstats 2021-10-14 01:27:58 +08:00
c9s
d3fa0a964b bbgo: add slack attachment support for profit 2021-10-14 01:27:50 +08:00
c9s
a4a9ef015e slacknotifier: fallback to PlainText if it's not supported 2021-10-14 01:27:46 +08:00
c9s
c55cc4323e notifier: making slackAttachmentCreator as private interface 2021-10-14 01:27:42 +08:00
c9s
e4281b1a02 xmaker: update notification message with strategy ID 2021-10-14 01:27:37 +08:00
c9s
bbc1775ec5 xmaker: update symbol, base, quote currency to profit stats 2021-10-14 01:26:40 +08:00
c9s
b6b2e33cc0 extend profit stats fields for quote,base currency and symbol 2021-10-14 01:26:36 +08:00
c9s
8374c98609 xmaker: fix time type casting 2021-10-14 01:26:31 +08:00
c9s
5039a43413 bbgo: move pnl formating to the bbgo package 2021-10-14 01:26:11 +08:00
c9s
e1e6d1de12 bbgo: add net profit margin field to profit stats 2021-10-14 01:26:04 +08:00
c9s
db7a681290 types: merge field decls 2021-10-14 01:25:18 +08:00
c9s
44a0b10240 bbgo: load last price from 1m interval kline only 2021-10-14 00:37:40 +08:00
c9s
764a8be46a adjust grid backtest parameters 2021-10-13 10:43:56 +08:00
c9s
37ac907c0f profitstats: add accumulated volume 2021-10-12 11:24:28 +08:00
c9s
d9dc7e31df extend more fields 2021-10-12 11:24:24 +08:00
c9s
45645d0a3d use the profit struct to pass profit info 2021-10-08 19:16:40 +08:00
c9s
fac14a8c7f profitstats: add netProfit field 2021-10-08 15:09:55 +08:00
c9s
aadb1ed389 remove MakerExchange from the core profit stats field 2021-10-08 15:00:53 +08:00
c9s
d058125f78 bbgo: refactor profit stats 2021-10-08 14:57:44 +08:00
c9s
9e1d28f3b3 do not remove order if it's partially filled 2021-10-08 14:17:47 +08:00
c9s
9e93cd66de strategy: update trade collector api 2021-10-08 13:24:14 +08:00
c9s
ded740107f bbgo: refactor TradeCollector bind stream for background and foreground 2021-10-08 13:24:07 +08:00
c9s
8f74c106d6 support: merge stash 2021-10-08 13:14:21 +08:00
c9s
184f93ce79 support: fix interval check 2021-10-08 13:13:49 +08:00
c9s
01de2c5f66 support: fix long term ema kline subscription 2021-10-08 13:13:49 +08:00
c9s
f97eb8914a support: add resistance check 2021-10-08 13:13:49 +08:00
c9s
1091010f64 support: move property configuration to the top 2021-10-08 13:13:49 +08:00
c9s
3539047a39 support: show ema price 2021-10-08 13:13:49 +08:00
c9s
8ada9eef02 bbgo: optimize AdjustQuantityByMaxAmount, early return 2021-10-08 12:09:05 +08:00
c9s
31358a69d1 types: calculate boolean logics outside of critical section 2021-10-08 12:08:57 +08:00
c9s
dab45cf3ba types: add balance map copy method 2021-10-08 12:08:33 +08:00
c9s
6917b98a74 schedule: show closed price 2021-10-08 11:59:23 +08:00
c9s
f0503b99a1 schedule: add interval check 2021-10-08 11:58:50 +08:00
c9s
7016d24fad import types.FuturesSettings into binance exchange 2021-10-07 21:29:52 +08:00
c9s
454564506f add futures exchange interface and futures settings struct 2021-10-07 21:29:14 +08:00
c9s
193961c4e0 add bpp strategy 2021-10-07 16:39:20 +08:00
c9s
60e4442f85 add document for the backtest engine 2021-10-05 22:06:36 +08:00
c9s
7fb4d2f78d return positionChanged for Process method 2021-10-05 21:44:39 +08:00
c9s
5dd2f568fe add doc comment for trade collector 2021-10-05 21:39:10 +08:00
c9s
45c875fe7c bbgo: improve trade collect process 2021-10-05 21:30:06 +08:00
Jui-Nan Lin
feca628319 fix(ftx): array length should > 0 2021-09-03 15:38:02 +08:00
c9s
1bc36b17ff xbalance: add verbose flag 2021-09-03 14:25:26 +08:00
c9s
b6fff482a4 binance: fix withdrawal time parsing 2021-09-03 14:21:59 +08:00
c9s
35ec9ae7b6 binance: fix binance withdrawal api 2021-09-02 00:27:57 +08:00
c9s
f177860450 binance: fix withdrawal service 2021-09-02 00:21:56 +08:00
c9s
99f97df43b etf: use break instead of return 2021-08-26 11:58:25 +08:00
c9s
8d01c97240 fix cyclic import issue 2021-08-26 11:46:02 +08:00
c9s
1f94ae1c19 bbgo: move moving average settings struct into bbgo 2021-08-26 11:32:39 +08:00
c9s
e8f0cbcff8 cmd: register etf strategy 2021-08-26 11:31:52 +08:00
c9s
2c378d6047 add etf strategy 2021-08-26 11:31:36 +08:00
c9s
0dd7438fd7 schedule: show scheduled order price 2021-08-26 10:29:27 +08:00
c9s
684bfcea19 xbalance: capitalize message 2021-08-19 16:35:16 +08:00
c9s
66b7e1fc3f schedule: fix schedule subscription 2021-08-19 16:35:05 +08:00
c9s
cf29cfadd0 xbalance: show balance error message 2021-08-17 12:18:29 +08:00
c9s
fc860cd9a9 bbgo: add json tags to interval window 2021-08-17 11:37:27 +08:00
c9s
47258b31c6 xbalance: fix message 2021-08-17 11:36:51 +08:00
c9s
5a0ae6773c xbalance: configure middle value automatically from total value 2021-08-16 12:52:12 +08:00
c9s
732281b55d bump version 2021-08-16 12:20:04 +08:00
c9s
490eb15748 schedule: fix order notification 2021-08-16 12:11:15 +08:00
zebra
2e1400d594 add transfer function 2021-08-07 15:30:51 +08:00
sincoew
4f2b1d975a fix type change on max api 2021-07-15 17:51:14 +08:00
c9s
5cf134a756 cmd: add account cmd --total option 2021-07-06 12:19:59 +08:00
c9s
5e2b8af4dc xmaker: fix reset today 2021-07-06 12:19:59 +08:00
c9s
1d316ed89c xmaker: call reset today if the date exceeded 2021-07-06 12:19:59 +08:00
c9s
3ab4a570fb bbgo: limit max kline slice 2021-06-28 14:33:32 +08:00
c9s
01bdef502b indicator: rename consts for max ma values 2021-06-28 14:33:27 +08:00
c9s
4ccbb82237 indicator: truncate values if length exceeded 2021-06-28 14:33:23 +08:00
c9s
a8048703b3 max: fix order delete refurl 2021-06-27 11:33:00 +08:00
c9s
3fdcf466bf max: set reqcount for nonce by default 1 2021-06-27 11:32:54 +08:00
c9s
3165d10986 support: use trade collector 2021-06-26 20:26:47 +08:00
c9s
aab0c377d7 xmaker: reformat code 2021-06-26 20:26:47 +08:00
c9s
b58b48d668 xmaker: refactor profit stats 2021-06-26 20:26:47 +08:00
c9s
cef28fa651 xbalance: use time util function from the util package 2021-06-26 20:26:47 +08:00
c9s
c6d66ebb46 util: add BeginningOfTheDay function 2021-06-26 20:26:47 +08:00
c9s
06a1f018c2 bbgo: push to the buffer first 2021-06-26 20:26:47 +08:00
c9s
7d853a9c74 bbgo: add emit position update 2021-06-26 20:26:47 +08:00
c9s
ecd2d9ea68 bbgo: improve trade collector callbacks 2021-06-26 20:26:47 +08:00
c9s
db4fbbc30c bbgo: add trade collector 2021-06-26 20:26:47 +08:00
c9s
65629a77f4 bbgo: add two new position constructor 2021-06-26 20:26:47 +08:00
c9s
5621effd6b add resistance 2021-06-21 19:03:50 +08:00
c9s
4bc0612265 support: add minBaseAssetBalance 2021-06-17 19:28:11 +08:00
c9s
f9fa6e96c3 support: refactor kline handler 2021-06-16 20:33:52 +08:00
c9s
811319fa25 support: fix sensitivity calculation 2021-06-16 14:16:39 +08:00
c9s
5fecccedd6 add resistance check 2021-06-16 13:23:33 +08:00
c9s
3d12a7df59 support: add sensitivity settings 2021-06-16 13:14:10 +08:00
c9s
15ed802a54 util: add TimeProfile 2021-06-16 13:04:23 +08:00
c9s
e276ddd38a bbgo: add shared local time zone 2021-06-16 13:04:23 +08:00
c9s
e23c459697 bbgo: move orderbook to the session level so that we can access it eaiser 2021-06-16 13:04:23 +08:00
c9s
2614b25de3 types: move fiat currency list to types 2021-06-16 13:04:23 +08:00
c9s
fd2928fc82 types: add maker/taker fee rate fields to the account struct 2021-06-16 13:04:23 +08:00
c9s
657e1dc9bf maxapi: pre-parse relative url and cache them 2021-06-16 13:04:05 +08:00
c9s
cbd0180939 maxapi: remove extra user agent header 2021-06-16 13:04:05 +08:00
c9s
16e5e08d58 maxapi: fix dump request error check 2021-06-16 13:04:05 +08:00
c9s
48c84824cf maxapi: volume, side, market is always required for creating orders 2021-06-16 13:04:05 +08:00
c9s
2da633c221 maxapi: add HTTP_TRANSPORT_IDLE_CONN_TIMEOUT env var for override 2021-06-16 13:04:05 +08:00
c9s
7c5b676366 maxapi: create an isolated http transport rather than the default one 2021-06-16 13:04:05 +08:00
c9s
684232041c maxapi: load http transport settings from env vars 2021-06-16 13:04:05 +08:00
c9s
b31b830b2b max: add request dump for debugging request 2021-06-16 13:03:45 +08:00
c9s
8c3992d514 max: no need to check order volume separately 2021-06-16 13:02:21 +08:00
c9s
fdf1ee9258 max: use precision -1 to trim zeros 2021-06-16 13:02:21 +08:00
c9s
a8eda62a8d max: set debug vars from env vars 2021-06-16 13:02:21 +08:00
c9s
990da5ad3b xbalance: add foreign fee for withdrawal 2021-06-09 01:37:33 +08:00
c9s
18f72a9118 fixedpoint: add more multiplication benchmarks 2021-06-09 01:37:29 +08:00
c9s
3d1d659c81 fixedpoint: add math/big version multiplication support 2021-06-09 01:37:24 +08:00
c9s
0df26e0570 binance: adjust listen key keep alive to 20 minutes 2021-06-09 01:37:19 +08:00
c9s
457ca79517 binance: for network error, we should retry the request 2021-06-09 01:37:14 +08:00
c9s
3c4eb5aec7 telegram: add more emojis 2021-06-09 01:37:09 +08:00
c9s
89c3df730b telegram: add emoji for greetings 2021-06-09 01:37:04 +08:00
c9s
ac71a392c6 fixedpoint: fix fixedpoint value int64 cast 2021-06-09 01:36:32 +08:00
c9s
ecf888dfd6 util: add env var util functions 2021-06-09 01:36:16 +08:00
c9s
ec6c10a96a binance: adjust read timeout and increase read buffer size 2021-06-09 01:36:06 +08:00
c9s
3fd170a4ff xmaker: check book before copying 2021-06-09 01:35:56 +08:00
c9s
f5a241a1a8 xmaker: improve warn message 2021-06-09 01:35:50 +08:00
c9s
a0d8a3718a xmaker: fix bid/ask price check 2021-06-07 02:50:11 +08:00
c9s
d5617d44aa xmaker: pass source market and maker market for formatting 2021-06-07 02:49:54 +08:00
c9s
0a74cc7171 xmaker: add useDepthPrice option 2021-06-07 02:49:44 +08:00
c9s
2486d04332 rbt: fix copyNode 2021-06-07 02:44:30 +08:00
c9s
5a5cb71a5e rbt: add more rbtorderbook test 2021-06-07 02:44:25 +08:00
c9s
062443a29c rbt: check if returned node is neel 2021-06-07 02:44:21 +08:00
c9s
3b0ed4e3dc rbt: add more test cases 2021-06-07 02:44:14 +08:00
c9s
9622956c71 rbt: fix rbtree search for neel 2021-06-07 02:44:09 +08:00
c9s
5d8f7b3ea6 rbt: fix preorder 2021-06-07 02:44:04 +08:00
c9s
7805dcd72e rbt: fix pointer check of iteration 2021-06-07 02:44:00 +08:00
c9s
9bc55def44 rbt: fix deleting, copy value to the deleting node's memory 2021-06-07 02:43:54 +08:00
c9s
f34631c7ae rbt: add pointer check 2021-06-07 02:43:50 +08:00
c9s
6d2771aca9 rbt: fix rightmost and leftmost 2021-06-07 02:43:43 +08:00
c9s
06bf0d0f2b rbt: fix rbtree deletion 2021-06-07 02:43:39 +08:00
c9s
103b1ea560 rbt: add rbt insert test 2021-06-07 02:43:34 +08:00
c9s
7512f56b84 rbt: avoid sharing rbtree neel pointer 2021-06-07 02:43:22 +08:00
c9s
f487b53d9e binance: fix client order id checking 2021-06-07 01:07:00 +08:00
c9s
5fd0ab4cd3 skip client order id when no client order is given 2021-06-07 01:03:21 +08:00
c9s
291fdbaf25 optimize max submit order api priority 2021-06-07 01:03:09 +08:00
c9s
f20e809940 types: add bestBidAndAsk method 2021-06-07 01:02:43 +08:00
c9s
e8205556ff show bbgo version name 2021-06-07 00:57:47 +08:00
c9s
b60fd9e356 support: fix quantity formatting 2021-06-07 00:57:47 +08:00
c9s
b9584117d6 add QueryLastFundingRate api to binance exchange 2021-06-01 03:15:19 +08:00
c9s
b5c4fc3e4e fix kline record insert fields 2021-06-01 01:39:23 +08:00
c9s
4bec8984c0 add klines columns 2021-06-01 01:39:23 +08:00
c9s
507ae934c0 compile and update migration package 2021-06-01 01:39:23 +08:00
c9s
f66095eff9 support: add target orders to the orders 2021-06-01 01:39:22 +08:00
c9s
e5db780be8 notify trades and update position 2021-06-01 01:39:22 +08:00
c9s
40c3a5870f support strategy improvements: 
- add taker buy base volume ratio option
- add max base asset balance config
- add min quote asset balance config
- record orders and trades
 2021-06-01 01:39:22 +08:00
c9s
6a999b2906 kline: show taker buy base volume and taker buy quote volume 2021-06-01 01:39:22 +08:00
c9s
4da7d3b50b fix side effect order type 2021-06-01 01:39:22 +08:00
c9s
bf73def701 binance: embed fixedpoint.Value into binance Balance struct 2021-06-01 01:39:22 +08:00
c9s
e3473572e9 types: add TakerBuyBaseAssetVolume and TakerBuyQuoteAssetVolume fields to kline 2021-06-01 01:39:22 +08:00
c9s
2925a77815 binance: use fixedpoint.Value for parsing floating number string 2021-06-01 01:39:22 +08:00
Jui-Nan Lin
7abd7225e1 fix(ftx): klines should not be empty 2021-05-31 22:56:26 +08:00
c9s
7ff4051c61 binance: fix websocket handshake 2021-05-30 18:20:14 +08:00
c9s
0b935eff4f fix connection lock call 2021-05-30 18:14:22 +08:00
c9s
69e76485c5 xbalance: fix ticker usage 2021-05-30 18:06:31 +08:00
Yo-An Lin
406f592963 Merge pull request #258 from c9s/feature/okex 
feature: add okex exchange user data stream and public stream
 2021-05-30 16:21:12 +08:00
c9s
8d12c9262f okex: move connection context cancel calls 2021-05-30 15:54:31 +08:00
c9s
d6bd33a682 okex: remove unused code 2021-05-30 15:53:43 +08:00
c9s
d112dbb1a4 binance: check connCancel only when new context is allocated 2021-05-30 15:53:01 +08:00
c9s
f9d4068145 binance: pull out listen key from stream and reduce critical section 2021-05-30 15:51:25 +08:00
c9s
d863766e00 fix quote quantity alignment 2021-05-30 15:51:00 +08:00
c9s
c84d59734c clear all trades before running backtests 2021-05-30 15:25:00 +08:00
c9s
3aa36b5989 refactor and fix backtest for user data stream and market data stream 2021-05-30 15:08:11 +08:00
c9s
38fd5422ab xmaker: use uncovered position 2021-05-30 14:46:48 +08:00
c9s
1a05f6fbd4 okex: pull read timeout and adjust to 30 seconds 2021-05-30 00:32:06 +08:00
c9s
9a68cfd288 xmaker: fix trade checking 2021-05-30 00:11:35 +08:00
c9s
d962dbe542 adjust read timeout 2021-05-29 20:40:47 +08:00
c9s
70284a8c0f xmaker: move notify trade 2021-05-29 01:41:29 +08:00
c9s
3789315214 show accumulated net profit 2021-05-29 01:38:44 +08:00
c9s
df10e175f9 xmaker: fix wording 2021-05-29 01:32:33 +08:00
c9s
e2561bde96 xmaker: add NotifyTrade option 2021-05-29 01:31:13 +08:00
c9s
65a38e56b8 slacknotifier: spawn notify worker as a go routine 2021-05-29 01:30:57 +08:00
c9s
6e0bc7c1e2 xmaker: use trade channel to buffer trades 2021-05-29 01:03:43 +08:00
c9s
33db0b5c6f xmaker: add trade stores for trade buffering 2021-05-29 00:28:13 +08:00
c9s
426a6157af okex: fix ping connection lock 2021-05-29 00:27:28 +08:00
c9s
64b9c78a5b okex: fix order detail segmentation 2021-05-29 00:27:05 +08:00
c9s
2a5ef30135 add ping worker to max 2021-05-29 00:26:53 +08:00
c9s
e11553139e binance: make convert functions private 2021-05-29 00:26:39 +08:00
c9s
8d31435ded add trade store 2021-05-29 00:25:23 +08:00
c9s
f49490f986 fix websocket ping/pong issue 2021-05-28 23:34:21 +08:00
c9s
002b28f75a okex: implement candlestick api and improve kline console format 2021-05-28 20:51:10 +08:00
c9s
5f18b89dfa if publicOnly is set, we should not connect user data stream 2021-05-28 19:01:55 +08:00
c9s
f190b1e66a fix market data stream initialization 2021-05-28 03:17:46 +08:00
c9s
d932a686a0 fix strategy market data stream usage 2021-05-28 03:15:29 +08:00
c9s
4f16f6b1f8 fix market data stream usage 2021-05-28 03:13:50 +08:00
c9s
b430128ba1 okex: fix okex order cancellation 2021-05-28 03:05:59 +08:00
c9s
29304d14ba okex: implement submit orders and cancel order api 2021-05-28 02:45:09 +08:00
c9s
6407eab9c1 okex: convert order details into trades and orders 2021-05-28 02:21:35 +08:00
c9s
19b700dfba okex: parse and convert account information 2021-05-28 01:14:11 +08:00