961 Commits

Author	SHA1	Message	Date
zenix	84c7c0596d	fix: fix drift naming style, fix kline Copy -> Set	2022-07-27 12:17:33 +09:00
c9s	ac496e8488	pivotshort: refactor pivot low collector	2022-07-27 01:57:28 +08:00
c9s	b746f801f7	pivotshort: get the correct pivot low value	2022-07-27 01:56:18 +08:00
c9s	854af6b4bd	pivotshort: use new config struct stopEMA and trendEMA	2022-07-27 01:53:53 +08:00
c9s	6f64b6d08e	pivotshort: introduce new config struct	2022-07-27 01:51:47 +08:00
c9s	2822e39e7b	pivotshort: remove the legacy preloadPivot	2022-07-26 19:00:09 +08:00
c9s	3959e288fd	all: refactor standard indicator helper and fix tests	2022-07-26 18:35:50 +08:00
zenix	85f8b9510d	fix: gofmt	2022-07-26 18:00:05 +09:00
zenix	4dd4c5823f	fix: unlock lock to get latest price	2022-07-26 18:00:05 +09:00
zenix	2ceb24ad09	fix: panic on image drawing, reduce fee by smoothing the drift curve	2022-07-26 18:00:05 +09:00
zenix	553a55811c	fix: buyPrice/sellPrice calculation on one order multiple trades	2022-07-26 18:00:05 +09:00
zenix	a8fe20ae3a	fix: drift exit condition, trade_stats serialization in redis	2022-07-26 18:00:05 +09:00
zenix	a5039de6aa	feature: add omega ratio, print sharpe/omega/interval profit from trade_stats, use stdev for high/low diff for drift to estimate the variance and improve profit, add yaml marshal for dnum fixedpoint	2022-07-26 18:00:05 +09:00
zenix	b6fb5e958d	feature: deduct fee from entry, move StopLoss orders cleanup to the begin of close position function	2022-07-26 18:00:05 +09:00
zenix	ac5c7f5773	feature: add pnl / cummulative pnl graph, add continuous graph	2022-07-26 18:00:05 +09:00
zenix	62aac8ecc4	fix: indicator limits	2022-07-26 18:00:05 +09:00
zenix	0d65fe1b8a	feature: trailing stop, print mean and modify normalization function of output graph	2022-07-26 18:00:05 +09:00
zenix	c6563aa9bd	feature: add stoploss from stopPrice	2022-07-26 18:00:05 +09:00
zenix	9c73aa4adb	fix: fine tune drift config. fix atr updating issue	2022-07-26 18:00:05 +09:00
zenix	b52208d7b6	fix: bug in wrong channel subscription in drift	2022-07-26 18:00:05 +09:00
zenix	7368069c7a	fix: add persistence to drift	2022-07-26 18:00:05 +09:00
zenix	f2d37650a5	fix: drift bias on long entry position condition, make cancel faster	2022-07-26 18:00:05 +09:00
zenix	e097421b7b	feature: export canvas path for drift strategy. fix exit/entry order and fix missing columns from json parsing	2022-07-26 18:00:05 +09:00
zenix	7310feb0de	fix: highest price normalization in drift strategy	2022-07-26 18:00:05 +09:00
zenix	c51a99400d	feature: add plot for series. add autocorrelation. add clone for indicators/series	2022-07-26 18:00:05 +09:00
zenix	69b45e90e9	add drift exit condition	2022-07-26 18:00:05 +09:00
zenix	6a9e00ebd4	fix: update drift strategy	2022-07-26 18:00:05 +09:00
zenix	0ae6b6736c	feature: use drift indicator to create basic strategy for study	2022-07-26 18:00:05 +09:00
c9s	44c3e5a6f7	indicator: split pivot low indicator	2022-07-26 16:50:45 +08:00
Yo-An Lin	9bf48e9de4	Merge pull request #822 from c9s/fix/api-upgrade ... refactor: ewoDgtrd: upgrade order executor api	2022-07-26 14:33:06 +08:00
c9s	8986eeb3a4	bollmaker: apply kline filter closure	2022-07-26 12:08:47 +08:00
c9s	c252a7dcf9	bollmaker: fix log format issue	2022-07-26 12:08:47 +08:00
c9s	d26dd2f1da	bollmaker: remove status change setter	2022-07-26 12:08:47 +08:00
c9s	83c8bc819a	all: drop the legacy smart stops	2022-07-26 12:08:47 +08:00
c9s	c3b6cb80c3	bollmaker: upgrade bollmaker exits methods	2022-07-26 12:08:47 +08:00
c9s	6ae0620730	bollmaker: integrate exits method to bollmaker	2022-07-26 12:08:47 +08:00
c9s	549e28079b	autoborrow: call Debt() for repay	2022-07-26 11:49:04 +08:00
Yo-An Lin	2e7ed9f583	Merge pull request #840 from andycheng123/fix/supertrend-strategy ... strategy/supertrend: fix exit methods problem	2022-07-25 15:14:22 +08:00
c9s	0d5d92b26d	pivotshort: fix tail function	2022-07-25 15:02:59 +08:00
Andy Cheng	07959c8862	strategy/supertrend: fix exit methods problem	2022-07-25 14:11:55 +08:00
c9s	36cfaa924d	risk: move leverage quantity calculation to the risk package	2022-07-22 11:55:24 +08:00
c9s	54affd2f99	pivotshort: quantity calculation -- sub debt	2022-07-22 11:47:48 +08:00
c9s	76def2fe9d	pull out AccountValueCalculator	2022-07-21 19:46:58 +08:00
c9s	15879adf3b	pivotshort: fix trade loss ratio	2022-07-21 13:17:46 +08:00
c9s	88c0f31e87	pivotshort: add trade loss to the quantity calculating	2022-07-21 13:05:46 +08:00
c9s	756fcb4807	pivotshort: fix min leverage protection	2022-07-21 13:04:19 +08:00
c9s	b6d0482517	pivotshort: add more logs and check	2022-07-21 12:05:05 +08:00
c9s	ea4efccd89	schedule: use general order executor and fix notification message format	2022-07-19 17:38:32 +08:00
c9s	f72cf9bfff	pivotshort: fix quantity check	2022-07-19 11:25:27 +08:00
c9s	29fc58cb18	autoborrow: fix repay amount	2022-07-18 19:14:31 +08:00
c9s	6e4c28ed1b	disable marketTrade stop	2022-07-17 00:59:35 +08:00
c9s	a370a5e489	pivotshort: fix on start handler	2022-07-14 18:36:28 +08:00
c9s	89ffd94d98	update pivotlow on start	2022-07-14 18:35:58 +08:00
Yo-An Lin	191e00adeb	Merge pull request #827 from c9s/strategy/pivotshort ... strategy/pivotshort: improve quantity calculation for margin and futures	2022-07-14 18:16:48 +08:00
c9s	c4332fcac2	pivotshort: add leverage settings	2022-07-14 17:44:33 +08:00
c9s	adb96cac39	pivotshort: check maximum margin leverage	2022-07-14 17:38:11 +08:00
c9s	6c91af2392	pivotshort: improve useQuantityOrBaseBalance	2022-07-14 17:36:03 +08:00
c9s	0ba529cb45	pivotshort: replace orders if the active orders is empty	2022-07-14 16:34:03 +08:00
c9s	8fb216ce52	pivotshort: when resistance order is filled, reset the current resistance price	2022-07-14 16:28:30 +08:00
c9s	2ef8ecf3d9	indicator: clean up bollinger band indicator api usage	2022-07-14 14:26:08 +08:00
c9s	a5715c6aee	indicator: rewrite boll indicator with stddev indicator	2022-07-14 14:26:08 +08:00
c9s	cb481c660f	fix all indicators for KLineCalculateUpdater interface	2022-07-14 10:28:53 +08:00
c9s	2a3118a086	indicator: clean up and update calculator method names	2022-07-14 09:18:42 +08:00
c9s	c27f416dbc	indicator: canonicalize the CalculateAndUpdate method call ... also fix the xmaker boll indicator preloading	2022-07-14 09:18:42 +08:00
c9s	1152fae346	ewoDgtrd: upgrade order executor api	2022-07-14 01:36:02 +08:00
c9s	cecb278aa1	autoborrow: use info logger for the margin level info	2022-07-13 13:34:59 +08:00
c9s	ee163eb441	pivotshort: add trendEMA protection	2022-07-13 11:09:57 +08:00
c9s	f5f6fabe07	pivotshort: add trendEMA and add stopEMA subscribe	2022-07-13 10:49:52 +08:00
Yo-An Lin	8119afbb44	Merge branch 'main' into strategy/pivotshort	2022-07-12 23:38:23 +08:00
c9s	6ce9f6a2b7	fix FilterSimpleArgs	2022-07-12 17:55:15 +08:00
c9s	b521a7cf70	pivotshort: fix resistance price update algo	2022-07-12 17:45:47 +08:00
c9s	da4b35bd31	pivotshort: add 1m subscribe	2022-07-12 17:45:47 +08:00
Yo-An Lin	1ef2c1d668	Merge pull request #811 from andycheng123/fix/supertrend-strategy ... strategy/supertrend: fix double dema initialization problem	2022-07-12 13:13:19 +08:00
c9s	28d9aa6820	autoborrow: show margin level when check	2022-07-11 16:26:25 +08:00
c9s	3f15df4c0e	autoborrow: fix repay balance check	2022-07-11 16:22:21 +08:00
c9s	98aaa6ce43	autoborrow: fix repay mech	2022-07-11 16:20:45 +08:00
Andy Cheng	1b5dc309f0	strategy/supertrend: fix double dema initialization problem	2022-07-11 13:37:01 +08:00
Yo-An Lin	eacbd13e6b	Merge pull request #810 from andycheng123/fix/supertrend-strategy	2022-07-08 21:03:01 +08:00
c9s	59fcef0b6d	supertrend: avoid using embedded struct on DoubleDema	2022-07-08 17:13:12 +08:00
Andy Cheng	574e142cf9	strategy/supertrend: use types.IntervalWindow instead of types.Interval	2022-07-08 16:42:31 +08:00
c9s	79b70d4a31	supertrend: fix interval window for exit methods	2022-07-08 16:31:28 +08:00
c9s	46d6ecc663	fix types.TradeStats usage	2022-07-08 15:44:32 +08:00
c9s	581e4be218	supertrend: clean up and update	2022-07-08 15:41:28 +08:00
Andy Cheng	f8777752a0	Merge branch 'main' into improve/supertrend-strategy	2022-07-07 10:33:30 +08:00
c9s	81560746bd	all: reformat code	2022-07-07 02:26:39 +08:00
c9s	74593720a7	add ExitMethodSet.Bind method	2022-07-07 02:26:39 +08:00
Andy Cheng	c43d4e0b24	strategy/supertrend: func to get order side	2022-07-06 18:11:09 +08:00
Andy Cheng	8aa5b706b6	strategy/supertrend: fix double dema missing interval	2022-07-06 17:05:38 +08:00
Andy Cheng	6c93c42ef6	strategy/supertrend: pull double dema into a single file	2022-07-06 16:45:19 +08:00
Andy Cheng	c62e7bbb58	strategy/supertrend: refactor to smaller functions	2022-07-06 16:26:30 +08:00
c9s	2bc12c0522	add trailing stop and it's test cases with gomock ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-07-06 03:04:01 +08:00
Andy Cheng	2de16ac7d1	strategy/supertrend: fix missing Bind() of DEMA	2022-07-05 17:11:58 +08:00
Andy Cheng	91077ce61d	strategy/supertrend: add ExitMethod	2022-07-05 16:55:48 +08:00
Andy Cheng	f0dc9d6147	strategy/supertrend: add TradeStats	2022-07-05 16:30:13 +08:00
Andy Cheng	5b3ba03042	strategy/supertrend: preload indicators	2022-07-05 16:25:02 +08:00
Andy Cheng	0a0e5ac4d8	strategy/supertrend: config switch for stop by different signals	2022-07-05 15:59:35 +08:00
c9s	193703a9a0	all: use tradeStats constructor	2022-07-05 11:14:50 +08:00
c9s	3a37154737	pivotshort: fix supportTakeProfit binding	2022-07-04 02:20:15 +08:00
c9s	81f9639c85	pivotshort: bind supportTakeProfit method	2022-07-03 17:22:29 +08:00
c9s	278fbb7b51	pivotshort: fix support take profit method	2022-07-03 17:13:01 +08:00