c9s
f44d85d704
fix QuantityMultiplier
2021-05-09 18:33:11 +08:00
c9s
c0f12cf452
xmaker: add active maker order cancellation check
2021-05-09 18:32:29 +08:00
Frank Chang
da0ea3d390
fix(bollgrid): skip canceling profit order on graceful exit
...
profit orders shouldn't be canceled on graceful exit unless
properly persisted.
a new strategy parameter `shutdownCancelProfitOrders` is added.
Issue: #220
2021-05-08 15:19:04 +08:00
c9s
13d9f2ba49
grid: fix order generator checking
2021-05-08 01:00:57 +08:00
c9s
a94c42d9c2
grid: improve error messages
2021-05-08 00:59:30 +08:00
c9s
858d6bdf05
grid: adjust callback registration ordering
2021-05-07 02:14:35 +08:00
Larry850806
f1309c46fc
bollgrid: check balance before submit reverse order
2021-05-03 16:18:58 +08:00
c9s
822a010932
add moving average configuration to the schedule strategy
2021-05-02 20:58:32 +08:00
c9s
20d673f769
add schedule strategy
2021-05-02 18:03:41 +08:00
Larry850806
453a906a5a
bollgrid: use onStart instead of onConnect
2021-04-15 15:51:23 +08:00
Larry850806
980f1ae3e7
bollgrid: submit buy/sell orders separately
2021-04-15 12:31:18 +08:00
Larry850806
aa950b3dc4
bollgrid: track createdOrders when error occurs
2021-04-15 12:31:18 +08:00
Larry850806
a80afff0c2
grid: track createdOrders when error occurs
2021-04-15 12:31:18 +08:00
c9s
13a8597d59
add MaxExposurePosition settings
2021-04-04 11:14:09 +08:00
Larry850806
6718aace8c
Add validation for support strategy
2021-04-02 10:32:38 +08:00
Larry850806
53133851cc
Add validation for grid strategy
2021-04-02 10:32:38 +08:00
Larry850806
2c41ec28ae
Add validation for bollgrid strategy
2021-04-02 10:32:34 +08:00
c9s
c82df27cf3
grid: fix message format
2021-03-25 15:22:52 +08:00
c9s
129b25d86e
fix persistence key
2021-03-25 13:18:38 +08:00
c9s
89c01adf60
xmaker: fix state passing for persistence
2021-03-25 13:16:48 +08:00
c9s
5de221524f
adjust state and reset per day
2021-03-22 18:48:18 +08:00
c9s
2b27815929
move out groupID to the maxapi package
2021-03-22 17:32:22 +08:00
c9s
706b38efa3
gap: finalize the implementation
2021-03-22 17:32:22 +08:00
c9s
865dda14f5
gap: accumulate fee
2021-03-22 17:32:22 +08:00
c9s
e86f29b7cc
add gap strategy
2021-03-22 17:32:21 +08:00
c9s
814a77ea39
xmaker: improve balance checking
2021-03-21 12:55:33 +08:00
c9s
2a067e5cb4
add more balance check for hedging
2021-03-21 12:55:33 +08:00
c9s
4e3f325bb6
first commit of xmaker strategy from mobydick
2021-03-21 12:55:33 +08:00
c9s
ca27bf100d
grid: use instance id for persistence
2021-03-20 23:07:04 +08:00
c9s
ef8543db8a
show accumulative arbitrage profit in the message
2021-03-20 23:05:11 +08:00
c9s
761d51597d
add todo fee rate here
2021-03-18 17:48:05 +08:00
c9s
4975fb5498
track arbitrage orders
2021-03-18 17:20:21 +08:00
c9s
0e6918a352
grid: add profit field
2021-03-18 15:46:14 +08:00
c9s
8d784576cd
put state vars into the state struct for persistence
2021-03-18 01:14:56 +08:00
c9s
72c1f55b70
fix grid price calculation
2021-03-18 00:46:25 +08:00
c9s
216c12b49e
backup and restore position
2021-03-16 20:07:54 +08:00
c9s
a1667010eb
fix filled grid map assignment
2021-03-16 20:05:03 +08:00
c9s
714d61a829
add grid restore behavior
2021-03-16 20:04:06 +08:00
c9s
8c08cfebb7
rename MarkStrategyID to just Mark
2021-03-16 14:07:47 +08:00
c9s
ebcef65b01
mark trades with the strategy ID
2021-03-16 10:58:51 +08:00
c9s
478bef526d
copy the position object and send notification
2021-03-16 02:22:00 +08:00
c9s
98995bc75c
use debug log for skipping filled grid
2021-03-16 02:21:46 +08:00
c9s
f56df038aa
fix position and add catchup mode for grid strategy
2021-03-16 02:18:17 +08:00
c9s
2bf4a555ec
use OnStart instead of OnConnect
...
this is for avoiding re-connect issue
2021-03-15 18:04:55 +08:00
Larry850806
689734567a
Remove unused conditions when generating orders
2021-03-03 14:55:11 +08:00
c9s
da79920ca9
rename scale struct name to PriceVolumeScale
2021-02-28 14:51:24 +08:00
c9s
99f236d2e0
integrate quantity scale into support strategy and grid strategy
2021-02-28 11:57:25 +08:00
c9s
21a4669905
adjust max query limiter and sync before running trader
2021-02-22 16:54:08 +08:00
c9s
ff5233ba3e
support: use Notfiy
2021-02-20 10:51:01 +08:00
c9s
e3d3eacb78
fix trade service injection
2021-02-16 16:30:01 +08:00
c9s
0c9ca851e5
improve support strategy
2021-02-15 01:26:46 +08:00
c9s
f8378957ee
add more checks for bollgrid
...
related to #93
2021-02-13 16:03:31 +08:00
Yo-An Lin
de195b3c17
Merge pull request #130 from Larry850806/fix/bollgrid
2021-02-11 15:38:50 +08:00
Larry850806
ca31179b40
Fix balance calculation
2021-02-11 14:48:13 +08:00
c9s
4a0bd45301
remove order test code
2021-02-11 00:30:37 +08:00
c9s
88411a134b
add supportAndTargets strategy
2021-02-11 00:21:06 +08:00
c9s
4b66deec3d
subscribe RepostInterval as well
...
might be related to issue #93
2021-02-10 22:45:23 +08:00
c9s
061312771c
fix float formatting
2021-02-10 22:41:42 +08:00
Larry850806
9f6d9028fa
Use fixedpoint type to calculate the balance
2021-02-10 16:01:11 +08:00
Larry850806
6d399647cf
Remove unused functions
2021-02-10 11:37:37 +08:00
Larry850806
11a176145e
Refactor placeGridOrders into three functions
2021-02-10 11:37:33 +08:00
Larry850806
d22a8e9c63
Improve bollgrid strategy's balance check and quote calculation
2021-02-10 10:11:32 +08:00
c9s
ffb6a29d0d
fix startPrice value conversion
2021-02-08 13:21:22 +08:00
c9s
173074f5e4
improve grid strategy's balance check and quote calculation
2021-02-07 11:37:24 +08:00
c9s
367e9fcae1
fix price range check
2021-02-07 10:58:31 +08:00
c9s
7904c6f4d0
add ID() to Strategy interface
2021-02-03 09:08:05 +08:00
c9s
8aa96c4546
integrate strateg adding api
2021-02-03 02:26:41 +08:00
c9s
84b6982033
add order store to exchange session
2021-01-24 14:14:25 +08:00
c9s
995f9a9ea0
grid: add order amount field
2021-01-06 13:31:17 +08:00
c9s
208c88cbd5
support single exchange trailingstop
2020-12-31 17:12:35 +08:00
c9s
87568ede70
reformat
2020-12-31 14:29:53 +08:00
c9s
395d3f17df
grid: add long mode support
2020-12-31 13:54:32 +08:00
c9s
45e4d8c558
rename movingstop to trailingstop
2020-12-31 13:07:39 +08:00
c9s
f485c1ba7f
fix grid strategy order placing
2020-12-29 18:18:32 +08:00
c9s
3eae58322a
add trade update callbacks and order update callbacks to order executor
2020-12-21 13:40:23 +08:00
c9s
e282a8a917
improve order submit loop
2020-12-17 17:54:48 +08:00
c9s
64dea71249
grid: use the default active order book order handler
2020-12-17 16:29:00 +08:00
c9s
6962582236
grid: add orders to the order store
2020-12-17 16:22:43 +08:00
c9s
9e1476dcb1
grid: improve position management by fixedpoint
2020-12-17 15:52:53 +08:00
c9s
572f7a0e12
buyandhold: remove kline event debug log
2020-12-14 14:59:46 +08:00
c9s
6d15c629a7
fix buyandhold strategy
2020-12-14 14:40:31 +08:00
c9s
cabd8f8dcb
improve buyandhold strategy
2020-12-14 14:21:02 +08:00
c9s
846f463cfc
print loaded position
2020-12-08 16:32:39 +08:00
c9s
03afa060d5
add updateInterval for mirrormaker
2020-12-08 16:01:46 +08:00
c9s
0222c33330
fix kline tail method
2020-12-08 10:26:20 +08:00
c9s
3aa8d70622
add mirrormaker
2020-12-07 23:04:09 +08:00
c9s
b188901ed0
fix ewma calculation
2020-12-05 13:32:41 +08:00
c9s
936650d879
rename kline trend to direction
2020-12-04 10:18:51 +08:00
c9s
976a4c6732
add verbose log message for movingstop
2020-12-03 16:46:02 +08:00
c9s
17fd6a405b
add StopPriceRatio support
2020-12-03 09:50:36 +08:00
c9s
19d76928fd
support movingstop by BalancePercentage
2020-12-03 09:41:41 +08:00
c9s
ef03c0cf20
separate Run and CrossRun
...
so that we mount one strategy as cross strategy or single exchange strategy
2020-12-03 09:31:40 +08:00
c9s
2b264905f9
add warnings and fix subscription
2020-12-03 09:26:10 +08:00
c9s
9d7aa2fe22
add movingstop strategy
2020-12-03 08:52:32 +08:00
c9s
d226ec2e01
change field names to lower case so that we can use shorter name for the accessors
2020-12-02 22:21:13 +08:00
c9s
e8b5379202
bollgrid: add warn messages
2020-11-12 17:41:28 +08:00
c9s
2b6547df47
bollgrid: add profit orderbook for bolling grid
2020-11-12 17:38:13 +08:00
c9s
1a6f5b99ae
bollgrid: submit orders on connect
2020-11-12 16:31:09 +08:00
c9s
8cc1c589a1
fix waitgroup counting
2020-11-12 14:59:47 +08:00
c9s
fc9409673f
add graceful shutdown
2020-11-12 14:50:21 +08:00
c9s
af8826a9e4
improve messages
2020-11-12 08:30:57 +08:00
c9s
6740541bcd
improve bollgrid
2020-11-12 08:28:59 +08:00
c9s
0264baa922
refactor and improve bollgrid
2020-11-11 23:18:53 +08:00
c9s
3912de235b
rename baseQuantity to just quantity
2020-11-11 17:55:44 +08:00
c9s
b2cd595069
grid: rename baseQuantity to just quantity
2020-11-11 17:55:16 +08:00
c9s
04f6da3cb8
add traditional grid strategy
2020-11-10 19:06:20 +08:00
c9s
4ab402a188
clean up legacy code
2020-11-10 16:56:30 +08:00
c9s
941c93794c
fix grid strategy for backtesting
2020-11-10 14:18:54 +08:00
c9s
6c2aef31a3
improve backtest logging
2020-11-09 16:47:29 +08:00
c9s
e7cc79f3cf
replace errors.Errorf with fmt.Errorf
2020-11-09 16:34:35 +08:00
c9s
0d8fa08171
add book Update method
2020-11-07 15:07:06 +08:00
c9s
1e925cac6e
move onConnect to the standard stream
2020-11-07 12:38:57 +08:00
c9s
94bb7f5dac
max: fix order symbol convertion
2020-11-07 12:19:57 +08:00
c9s
573a082391
add flashcrash strategy
2020-11-07 12:02:15 +08:00
c9s
5bdf5e0034
remove goroutine from the strategy
2020-11-06 11:01:19 +08:00
c9s
b86b74effb
fix max kline parsing
2020-11-05 15:04:56 +08:00
c9s
c54c0788ab
rewrite grid strategy trigger
2020-11-05 14:27:22 +08:00
c9s
8388f443a9
move active order book to the bbgo package
2020-11-05 11:14:14 +08:00
c9s
8e0b5d11a7
add max grid config and fix max price formatting
2020-10-31 20:38:20 +08:00
c9s
14abe3fb7e
pull out active order book to the types package
2020-10-31 20:38:20 +08:00
c9s
1eb263de23
use AnyFilled to simplify the order management in the strategy
2020-10-31 20:38:20 +08:00
c9s
e264257d23
implement OrderMap and SyncOrderMap
2020-10-31 20:38:20 +08:00
c9s
a60207db2a
only re-submit the order when the order is filled on the opposite side
2020-10-31 18:33:04 +08:00
c9s
458fa8aa9d
add types.OrderStatusFilled
2020-10-31 18:29:58 +08:00
c9s
17a2f74add
finalize grid strategy
2020-10-31 18:29:58 +08:00
c9s
c3961024cf
implement grid strategy update orders method
2020-10-31 18:29:58 +08:00
c9s
f0681177f9
inject market into the skeleton strategy
2020-10-29 17:06:34 +08:00
c9s
b0cc128b79
pull out trend types
2020-10-29 17:03:36 +08:00
c9s
a7325e86f0
document swing strategy
2020-10-29 13:42:53 +08:00
c9s
19b600bb35
simplify strategy registration api
2020-10-29 07:54:59 +08:00
c9s
2f8bffeaca
add strict injection check fo pointer only objects
2020-10-29 07:49:06 +08:00
c9s
33257c591e
refactor swing strategy with types IntervalWindow
2020-10-29 07:44:22 +08:00
c9s
6d8ec7894e
refactor standard indicator set with store
2020-10-29 07:40:02 +08:00
c9s
d6553a1155
move strategy subscribe out
2020-10-28 17:49:49 +08:00
c9s
67446670ac
finalize swing strategy and fix trade reporter issue
2020-10-28 17:48:16 +08:00
c9s
2680ad5072
refactor environment, market data store, injection and add swing strategy
2020-10-28 17:48:16 +08:00
c9s
e2df24f31c
support standard indicatorset
2020-10-28 09:43:19 +08:00
c9s
e1c2f7cc3d
improve notifier signatures and fix slack Notify method
2020-10-27 20:13:10 +08:00
c9s
ccc381143d
support pointer type filling
2020-10-27 19:33:11 +08:00
Yo-An Lin
1e5327a5e4
Update strategy.go
2020-10-27 15:51:36 +08:00
c9s
b3eaf832af
Add pricealert strategy for demonstrating notification
2020-10-27 13:54:39 +08:00
c9s
085d02bee4
clean up strategy code since we can loaded from the config
2020-10-26 22:04:48 +08:00
c9s
cd666fdf9e
pull out db parameter from the constructor
2020-10-26 15:06:39 +08:00
c9s
aa6ccbf905
refactor xpuremaker strategy
2020-10-26 10:08:58 +08:00
c9s
fbba9b12ce
xpuremaker: final clean up
2020-10-26 10:01:18 +08:00
c9s
145264aae4
cancel orders and re-submit maker orders
2020-10-26 00:26:17 +08:00
c9s
308427416a
Add more exchange order features
...
- use uuid for client order id
- add stop limit and stop market order types
- add order convert functions
- improve submit orders
2020-10-25 19:22:22 +08:00
c9s
1e12de28da
Add xpuremaker skeleton
2020-10-25 18:32:46 +08:00
c9s
944b673626
Add skeleton strategy
2020-10-25 18:32:43 +08:00
c9s
58265d14f9
move cmdutil package
2020-10-21 15:58:58 +08:00
c9s
4ee10de40f
add LoadedCrossExchangeStrategies loader api
2020-10-20 14:21:46 +08:00
c9s
2fbf19455e
implement strategy yaml loader
2020-10-20 13:52:25 +08:00
c9s
fc687f3174
max: implement kline event parser for websocket
2020-10-19 22:46:34 +08:00
c9s
dab264a4ad
add more accessors to exchange session, so that we can make it as an interface
2020-10-18 12:29:38 +08:00
c9s
c224eb7af7
add kline to the market data store
2020-10-18 00:06:08 +08:00
c9s
98192ae91f
move Cmd to the strategy package
2020-10-16 10:09:42 +08:00
c9s
7482fa52d6
add error check and logger
2020-10-15 23:38:00 +08:00
c9s
a91f851ac7
pass types.SubmitOrder by value
2020-10-13 18:08:02 +08:00
c9s
ec23266cc2
implement buyandhold strategy to test the api design
2020-10-13 16:17:07 +08:00
c9s
d1b618850d
add context parameter to the strategy method
2020-10-13 14:50:59 +08:00
c9s
6398f049d0
bind market data store and query avg price before we start
2020-10-12 22:46:06 +08:00