lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-26 16:55:15 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity
2,561 Commits 61 Branches 138 Tags 189 MiB
531805a449
Commit Graph

1632 Commits

Author SHA1 Message Date
c9s
f1e3cc6049 add strict start time, sync time checking for preventing back-test failure 
related to #311
 2021-12-07 15:21:37 +08:00
c9s
132fe893e1 use stderr for verbose log 2021-12-07 14:45:20 +08:00
c9s
ca3f438288 show symbol name in the error message 2021-12-07 14:35:00 +08:00
c9s
ac08e9d3c2 bump version to v1.19.2 2021-12-06 18:34:27 +08:00
c9s
af837ea237 do not omit empty for field feeInUSD 2021-12-06 13:36:38 +08:00
c9s
5d6bd5a964 not to omit empty all fields 2021-12-06 13:34:39 +08:00
c9s
634ce6180b avoid using panic when order cancel failed 2021-12-06 13:32:08 +08:00
c9s
744af85a94 bump version to v1.19.1 2021-12-06 13:32:08 +08:00
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