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2745 Commits

Author SHA1 Message Date
zenix
339d36d61b feature: add mean, abs, sum, toArray, and dot operations on series. implement Float64Slice as series 2022-04-11 17:04:56 +09:00
zenix
d0c3390f84 fix log message to be lowercases 2022-04-11 17:04:56 +09:00
zenix
7778f9b590 feature: add NextCross function for future cross point prediction. modify line api to use index instead of timestamp as x. 2022-04-11 17:04:56 +09:00
zenix
5b75108992 feature: add series add and minus operation. add kline open/close/high/low series 2022-04-11 17:04:56 +09:00
zenix
e171101d90 fix: ad NaN error. feature: Line indicator init functions. feature: indicator manual 2022-04-11 17:04:56 +09:00
zenix
567e7bd214 add ad,macd,rsi,sma,stoch,vwap,vwma to Series interface 2022-04-11 17:04:56 +09:00
zenix
fac61f27dc feature: add pinescript series interface 2022-04-11 17:04:56 +09:00
c9s
95eab34512 bump version to v1.30.0 2022-04-11 15:57:40 +08:00
c9s
680261527c binance: fix closed order query 2022-04-11 15:39:03 +08:00
Zenix
57d9577c65
Merge pull request #513 from andycheng123/fix/support 
minor fixes of support strategy
 2022-04-10 03:49:56 +09:00
c9s
830503941e cmd: fix backtest sync 2022-04-10 00:57:55 +08:00
c9s
e51fb641af backtest: show symbols 2022-04-10 00:57:55 +08:00
Andy Cheng
854a364b38
strategy: use fixedpoint.Zero instead 2022-04-10 00:03:37 +08:00
Yo-An Lin
4cd646e346
feature: basic grpc server (#514) 2022-04-08 19:21:57 +08:00
Andy Cheng
ceccba43f9
strategy: re-submit trailing stop order if previous one failed 2022-04-08 18:46:41 +08:00
Andy Cheng
d94e8e3826
strategy: check trailing stop order creation success 2022-04-08 18:41:19 +08:00
Andy Cheng
f9052f3397
strategy: fix load CurrentHighestPrice bug 2022-04-08 18:35:02 +08:00
なるみ
4e2faacbae Mkdir if dir not exists 2022-04-07 20:21:07 +08:00
Yo-An Lin
6c20ec3c85
Merge pull request #499 from austin362667/strategy/bollmaker 
strategy: add bollmaker futures support
 2022-04-07 10:11:41 +08:00
なるみ
b31acb7165 glassnode: add comment to response struct 2022-04-07 00:09:54 +08:00
Yo-An Lin
0d4cc7ab9b
Merge pull request #508 from c9s/narumi/glassnode 
feature: add Glassnode API
 2022-04-06 23:29:42 +08:00
なるみ
be985da2af Add Glassnode API 2022-04-06 23:22:40 +08:00
Yo-An Lin
ed0384c85a
Merge pull request #501 from andycheng123/fix-support 
strategy: fix wrong support condition
 2022-04-06 18:57:39 +08:00
Andy Cheng
75f3e33543
strategy: use stop limit due to sop market unsupported by binance 2022-04-02 21:32:40 +08:00
Andy Cheng
8f4ba971f1
strategy: fix typo 2022-04-02 21:27:52 +08:00
Andy Cheng
c2747ca9e4
strategy: remove TimeInForce when sending trailing stop order 2022-04-02 21:19:47 +08:00
c9s
f11d2696d2 bump version to v1.29.0 2022-04-01 13:02:45 +08:00
Yo-An Lin
4aeb2c329c
Merge pull request #502 from narumiruna/refactor-vwap 
indicator: make VWAP better
 2022-04-01 12:12:59 +08:00
Andy Cheng
861fd84fd4
strategy: use stop market to tp instead of stop limit 2022-03-31 11:10:53 +08:00
Andy Cheng
8782104f1a
strategy: remove unnecessary notification 2022-03-30 16:46:42 +08:00
なるみ
8881b9e105
Fix package name 2022-03-29 21:51:50 +08:00
なるみ
18aa60077b Make VWAP better 2022-03-29 17:18:04 +08:00
Andy Cheng
934e4aa69f
strategy: fix wrong support condition 2022-03-29 11:46:01 +08:00
Yo-An Lin
98d4815d1d
Merge pull request #500 from narumiruna/rsi 
feature: add Relative Strength Index (RSI) indicator
 2022-03-29 11:32:12 +08:00
なるみ
e92a872059 Fix test case 2022-03-29 02:45:33 +08:00
なるみ
e68d5f0536 Rename variables 2022-03-29 02:40:08 +08:00
なるみ
42d6bf03b5 Rename functions 2022-03-29 02:36:34 +08:00
なるみ
2a6f1f410d Simplify 2022-03-29 02:21:22 +08:00
なるみ
b074f03507 Add RSI indicator 2022-03-29 02:10:35 +08:00
austin362667
a8484046d3 bollmaker: add TimeInForce for futures limit order support 2022-03-28 21:12:45 +08:00
austin362667
3f3fb1fe35 binance: fix futures limit maker order type 2022-03-28 21:12:45 +08:00
c9s
0511a0fde3 kucoin: convert limit maker to limit order type with postOnly 2022-03-28 17:09:00 +08:00
Andy Cheng
3a6f34330b
interact: refactor 2022-03-28 15:16:11 +08:00
Andy Cheng
63e8850cc3
interact: separate strategy filtering and button generation 2022-03-28 12:37:42 +08:00
Andy Cheng
ee6377ab87
interact: fix misuse of cycle() 2022-03-28 11:58:01 +08:00
Yo-An Lin
1a29bc7362
Merge pull request #492 from andycheng123/tg-control 
feature: strategy controller
 2022-03-26 15:41:59 +08:00
Yo-An Lin
42a503c0f9
Merge pull request #494 from zenixls2/feature/ftx_pub_trade 2022-03-25 18:06:16 +08:00
なるみ
83e37f52a8 Rebalance on kline closed 2022-03-24 12:50:40 +08:00
zenix
cb66f18b54 feature: add ftx market trade implementation 2022-03-23 19:12:49 +09:00
Andy Cheng
0974b1c7fd
interact: pull out the interaction related code to the caller 2022-03-23 12:05:35 +08:00
Andy Cheng
e122c12eef
interact: add AddMultipleButtons function 2022-03-23 12:04:47 +08:00
Yo-An Lin
ae4a3d81fb
Merge pull request #489 from zenixls2/feature/market_trade 
feature: add market trade subscription in binance
 2022-03-22 20:18:39 +08:00
zenix
abbe04fae9 fix: parse market trade as taker trade 2022-03-22 11:02:14 +09:00
austin362667
eca112e201 binance: add submit futures order ReduceOnly 2022-03-21 17:56:11 +08:00
Andy Cheng
5eef2a2085
interact: pull out interface filter as a function 2022-03-21 17:49:18 +08:00
Andy Cheng
f4c87e5d75
interact: refactor strategy controller related interfaces 2022-03-21 16:19:55 +08:00
Andy Cheng
fb8b79f38d
interact: rename GetStrategyStatus() to GetStatus() 2022-03-21 16:12:23 +08:00
Andy Cheng
1ca94b9c5b
type: rename strategy statuses 2022-03-21 16:06:12 +08:00
Yo-An Lin
53b1eef4fc
kucoin: adjust rate limiter 2022-03-21 15:36:31 +08:00
Andy Cheng
ffd5c646e9
interact: refactor interface func name 2022-03-21 15:08:15 +08:00
Andy Cheng
962645c2c8
interact: Pull out EmergencyStop to a single instance 2022-03-21 15:05:24 +08:00
Andy Cheng
5f7710103d
type: add StrategyStatus type 2022-03-21 15:01:15 +08:00
Andy Cheng
ce6efd9333
strategy: add EmergencyStop() to support strategy 2022-03-21 11:51:12 +08:00
Andy Cheng
69a02f1664
interact: add EmergencyStop() to StrategyController interface 2022-03-21 11:42:54 +08:00
Andy Cheng
b6aff9674c
strategy: add StrategyController functions to support strategy 2022-03-21 10:20:12 +08:00
Andy Cheng
5de137ced8
interact: add StrategyController interface to control strategies from telegram bot 2022-03-18 18:43:07 +08:00
Yo-An Lin
98b4eea694
Merge pull request #491 from c9s/fix/kucoin-rate-limiter 
fix: kucoin: add trades, orders rate limiter
 2022-03-18 17:49:46 +08:00
c9s
6c201d1868 kucoin: adjust rate limit to req/3sec 2022-03-18 17:43:14 +08:00
c9s
9757ca290b kucoin: add trades, orders rate limiter 2022-03-18 17:33:10 +08:00
zenix
efec21ca4b feature: add market trade subscription in binance 2022-03-18 18:30:39 +09:00
c9s
f85db9be61 improve asset summary layout and format 2022-03-18 17:13:37 +08:00
c9s
3944e0b6c0 fix query test 2022-03-18 15:00:33 +08:00
c9s
43985499be service: reorder trade query 2022-03-18 14:04:01 +08:00
c9s
79bfdbf9b6 compile and update migration package 2022-03-18 14:04:01 +08:00
zenix
84dbae1592 add readme content about testnet, fix code syntax 2022-03-18 14:17:06 +09:00
zenix
9cf835728c fix: don't sync on reward/withdraw/deposit records when using testnet 2022-03-18 14:04:56 +09:00
zenix
36a746d415 add binance paper trade endpoint 2022-03-18 14:04:56 +09:00
Yo-An Lin
bc0429c0fd
Merge pull request #484 from ankion/fix_backtest_orderbook 2022-03-17 00:50:07 +08:00
Yo-An Lin
fae4f181b5
Merge pull request #485 from zenixls2/feature/backtest_sig 
feature: add CancelOrders and CancelOrdersTo to executor
 2022-03-16 21:22:32 +08:00
zenix
77a88aabe4 feature: add CancelOrders and CancelOrdersTo to executor 2022-03-16 21:38:09 +09:00
ankion
ccb7fe39fa backtest: fix order cancel fail when run order cancel on the filled event. 2022-03-16 15:01:19 +08:00
c9s
ed94b8a8d8 remove config flag constraint 2022-03-16 13:52:46 +08:00
c9s
553fe3abf9 remove config flag constrant 2022-03-16 13:51:31 +08:00
c9s
334e3a3940 fix build cmd --config option 2022-03-16 12:26:27 +08:00
Yo-An Lin
a4d5bf85d3
Merge pull request #468 from narumiruna/grpc-python-client 
grpc: python client
 2022-03-15 22:01:14 +08:00
Yo-An Lin
00b8f7d6b7
Merge pull request #479 from andycheng123/position-closer 
strategy: add PositionCloser function for support strategy
 2022-03-15 21:59:21 +08:00
Yo-An Lin
2aa3e4d51c
Merge pull request #480 from zenixls2/fix/flashcrash 
fix: submit order on userDataStream == nil
 2022-03-15 21:55:52 +08:00
c9s
bd0cbdfd28 bump version to v1.28.0 2022-03-15 21:54:34 +08:00
c9s
1f1ee7b986 fix makefile 2022-03-15 21:54:18 +08:00
c9s
e4c8db8287 update go module and sum files 2022-03-15 21:50:55 +08:00
zenix
d6995e40ff fix: submit order on userDataStream == nil 2022-03-15 20:51:15 +09:00
Andy Cheng
72a6877094
strategy: add PositionCloser function for support strategy 2022-03-15 19:19:44 +08:00
なるみ
034a86ceb4 Add grpc client 2022-03-15 18:43:57 +08:00
c9s
a5f0116f77 bump version to v2.1.0 2022-03-15 16:53:28 +08:00
Yo-An Lin
ab447a152f
Merge pull request #475 from andycheng123/fix-support 
fix support strategy
 2022-03-15 16:50:03 +08:00
Andy Cheng
231085d507
strategy: add PositionReader function for support strategy 2022-03-15 16:46:27 +08:00
Andy Cheng
b94096cb2e
strategy: cache orders.IDs() in orderIds 2022-03-15 16:44:43 +08:00
Yo-An Lin
a7c421bfcb
Merge pull request #474 from c9s/feature/position-recorder-2 
feature: position recorder
 2022-03-15 16:44:10 +08:00
c9s
d1f4c0a225 max: fix kline parse 2022-03-15 16:07:19 +08:00
なるみ
dedfdc564f Remove symbol from balance 2022-03-15 15:36:35 +08:00
c9s
fdf64fd891 bbgo: fix emit trade profit 2022-03-15 14:29:15 +08:00
c9s
0d0e0039e5 add DEBUG_SLACK env var 2022-03-14 21:21:58 +08:00
c9s
19f01bbca6 add doc comment 2022-03-14 21:21:58 +08:00
c9s
4b89f4a48b bollmaker: fix profit stats notification 2022-03-14 21:21:58 +08:00
c9s
5567ef5676 fix emit trade 2022-03-14 21:21:58 +08:00
c9s
5db4e11167 rewrite trade profit handling 2022-03-14 21:21:58 +08:00
c9s
6fec30d79c call record position on trade 2022-03-14 21:21:58 +08:00
c9s
a112eac9d2 update changed_at field 2022-03-14 21:21:58 +08:00
c9s
d67b800e7e use RecordPosition 2022-03-14 21:21:58 +08:00
c9s
322f31a56a bbgo: improve RecordPosition method 2022-03-14 21:21:58 +08:00
c9s
5732555c2c doc: update sync configuration doc 2022-03-14 21:21:58 +08:00
c9s
08ae53ba16 bbgo: assign strategy instance id fields automatically 2022-03-14 21:21:58 +08:00
c9s
6088f7b542 bbgo: add RecordPosition method 2022-03-14 21:21:58 +08:00
c9s
9faaed6892 bbgo: initialize position service 2022-03-14 21:21:58 +08:00
c9s
e9a25fcc6f compile and update migration package 2022-03-14 21:21:58 +08:00
c9s
c78fa09f4d fix divisor typo 2022-03-14 21:21:58 +08:00
c9s
5be1f1571b fix position test 2022-03-14 21:21:58 +08:00
c9s
3c376b3cd3 add accumulated profit column to position 2022-03-14 21:21:58 +08:00
c9s
cc4ef327d6 add strategy id and instance id to position 2022-03-14 21:21:58 +08:00
c9s
ac675d0099 add position table and service 2022-03-14 21:21:58 +08:00
c9s
f0d500bbaa add positions table migration 2022-03-14 21:21:58 +08:00
c9s
b1559bcbe3 fix persistence injection 2022-03-14 21:21:43 +08:00
Andy Cheng
822fea44fc
strategy: fix index out of range error 2022-03-14 12:01:17 +08:00
Andy Cheng
ad7605e7b2
strategy: do not submit order if current position < market.MinQuantity 2022-03-14 11:45:24 +08:00
zenix
7e92f0f4e5 fix: remove requirements on config flag 2022-03-11 19:56:59 +09:00
c9s
36e039108a bump version to v2.0.0 2022-03-10 19:01:58 +08:00
なるみ
b6493ad282 Change id type 2022-03-09 13:14:14 +08:00
なるみ
8522c0dadb Add exchange field to QueryOrderRequest 2022-03-08 19:33:23 +08:00
Yo-An Lin
bfdf4c245f
Merge pull request #460 from zenixls2/feature/backtest_multiple_exchange 
feature: add multiple exchange support in backtest
 2022-03-07 14:28:20 +08:00
c9s
fcbdf8162a max: add env var MAX_QUERY_CLOSED_ORDERS_LIMIT 2022-03-07 13:56:20 +08:00
zenix
39572c5fe0 fix: remove maker/buyer/taker/sellerCommission 2022-03-07 14:32:00 +09:00
Yo-An Lin
35ef21ab1c
Merge pull request #466 from c9s/feature/strategy-profit 
feature: add strategy profit records
 2022-03-07 12:20:47 +08:00
zenix
25b5eddc03 feature: add multiple exchange support in backtest 
fix: change doc, since --exchange removed from backtest

fix: test for config changes
 2022-03-07 13:18:56 +09:00
c9s
b8ef2eb550 fix Test_tradeService 2022-03-07 12:12:06 +08:00
zenix
1f27ef653b fix: exception on parsing empty string in dnum 2022-03-07 12:46:03 +09:00
c9s
9b6b071d2b compile and update migration package 2022-03-06 18:47:01 +08:00
c9s
e23232c3e7 max: fix timeInForce conversion 2022-03-06 18:37:34 +08:00
c9s
586013d9f2 max: fix order update message 2022-03-06 18:33:21 +08:00
c9s
af2070b908 binance: add updated time field 2022-03-06 18:32:33 +08:00
c9s
f3577a4182 fix: if it's an empty time, do not return a driver value 2022-03-06 18:28:40 +08:00
c9s
917684aa27 bbgo: inject environment object 2022-03-06 18:28:40 +08:00
c9s
099d860c5a fix: fix Test_parseStructAndInject test 2022-03-06 18:28:40 +08:00
c9s
b1ba5386b3 fix bbgo.Notifiability injection 2022-03-06 16:09:15 +08:00
c9s
25f3aeef58 bollmaker: call RecordProfit 2022-03-06 15:39:20 +08:00
c9s
8fa0e6702c bollmaker: assign strategy id and instance id 2022-03-06 15:38:58 +08:00
c9s
f6ec2e78e6 record profits 2022-03-06 15:37:41 +08:00
c9s
3a15738fec pull out default persistence selector 2022-03-06 14:06:19 +08:00
c9s
35b0d8dc0d bbgo: add profit service to environment 2022-03-05 13:40:20 +08:00
c9s
1f1c26a9e5 bbgo: inject more service objects 2022-03-05 13:37:27 +08:00
c9s
c1ac738ca0 bbgo: add doc comment for parseStructAndInject 2022-03-05 12:59:47 +08:00
c9s
bdcae5b763 bbgo: add more injection types 2022-03-05 12:49:53 +08:00
c9s
a9f9fa8fed bollmaker: add Environment field and Market field for injection 2022-03-05 12:40:56 +08:00
c9s
47023729ec bbgo: rewrite field injection 2022-03-05 12:39:39 +08:00
c9s
a6053e0e59 bbgo: move inject function to injection.go 2022-03-05 03:20:20 +08:00
c9s
cd6b37ac3b bbgo: skip unexported fields for injection 2022-03-05 03:19:45 +08:00
c9s
fa7bab2c3a bbgo: improve dynamic injection 2022-03-05 02:51:43 +08:00
c9s
db4d8a31bc bbgo: implement parseStructAndInject 2022-03-05 02:33:25 +08:00
c9s
5fe0b69927 bollmaker: use the new profit generator method 2022-03-05 01:41:23 +08:00
c9s
197d750cb4 all: update profit struct fields 2022-03-05 01:39:53 +08:00
c9s
82e5520ee4 service: update profit service tests 2022-03-05 00:28:13 +08:00
c9s
a642aa1a5a service: add more columns 2022-03-05 00:27:44 +08:00
c9s
09dea3938d implement profit insert 2022-03-04 19:24:40 +08:00
c9s
9e0df77a36 move profit struct into the types package 2022-03-04 16:39:48 +08:00
Yo-An Lin
f8b257d490
Merge branch 'main' into fix/cmd-required 2022-03-03 19:53:27 +08:00
c9s
f190cc4f6c cmd: fix account command usage 2022-03-03 19:40:18 +08:00
c9s
f14694c65f cmd: remove config file check from the account command 2022-03-03 19:39:55 +08:00
zenix
a33b748563 fix: mark flags as required during PreRunE 2022-03-03 18:03:15 +09:00
c9s
3843bda7c2 cmd: remove incorrect MarkPersistentFlagRequired usage 2022-03-03 15:37:17 +08:00
c9s
7d08263cdb fix: fix required flag marking issue 2022-03-03 15:34:16 +08:00
c9s
b8f54ed4b9 ftx: print result directly 2022-03-03 15:04:53 +08:00
c9s
86af4d2b40 ftx: rewrite order cancel handling 2022-03-03 14:52:24 +08:00
c9s
dd76cfafa4 ftx: remove legacy orderRequest from the legacy rest 2022-03-03 12:33:44 +08:00
c9s
c9f2027a38 ftx: remove the legacy orderRequest 2022-03-03 11:55:00 +08:00
c9s
5ea01c8d80 regenerate symbol map 2022-03-03 11:44:01 +08:00
c9s
eaa81f1313 ftx: remove legacy balances method 2022-03-03 11:43:15 +08:00
c9s
270ae51c9b ftx: remove legacy PlaceOrderPayload 2022-03-03 11:42:57 +08:00
c9s
2510f14d53 ftx: remove legacy place order request method 2022-03-03 11:42:40 +08:00
c9s
5bbb796e94 ftx: clean up imports 2022-03-03 11:42:25 +08:00
c9s
37db477ece ftx: remove legacy method CancelOrderByClientID 2022-03-03 11:42:13 +08:00
c9s
60ad6bc901 ftx: remove legacy CancelOrderByOrderID method 2022-03-03 11:41:51 +08:00
c9s
064da7f938 ftx: remove legacy open orders method 2022-03-03 11:40:23 +08:00
c9s
a47924d1c9 ftx: remove legacy order history method 2022-03-03 11:40:03 +08:00
c9s
da54fbb676 cmd: remove extra config option check 2022-03-03 11:39:28 +08:00
c9s
6ae588575a ftx: remove legacy market api method 2022-03-03 11:39:11 +08:00
c9s
21ae48c975 cmd: use MarkFlagRequired 2022-03-03 11:36:06 +08:00
c9s
2845e03100 ftx: fix ftx test cases 2022-03-03 01:47:19 +08:00
c9s
3f8f17b1de ftx: reimplement submit order api 2022-03-03 00:30:52 +08:00
c9s
3b601d73ce ftx: remove legacy fills requests 2022-03-03 00:30:52 +08:00
c9s
4321cab557 ftx: drop the legacy unused account request 2022-03-03 00:30:52 +08:00
c9s
688445d7e7 cmd: add get-order cmd 2022-03-03 00:30:52 +08:00
c9s
127de0d81c cmd: update executeOrderCmd description 2022-03-03 00:30:52 +08:00
c9s
95daa004aa ftx: implement get order status api 2022-03-03 00:30:52 +08:00
c9s
14bcc780a4 ftxapi: add cancel order by client order id 2022-03-03 00:30:52 +08:00
c9s
07dd2e8d9c ftx: improve order cancel by client order id 2022-03-03 00:30:52 +08:00
c9s
5cfc266d7a ftx: simplify and replace the order history query 2022-03-03 00:30:52 +08:00
c9s
5c8997e293 ftx: fix ftx order status isWorking 2022-03-03 00:30:52 +08:00
c9s
66700016e4 ftx: add toGlobalOrderNew to convert new order structure 2022-03-03 00:30:52 +08:00
c9s
e9e1127d3e ftx: replace query markets api 2022-03-03 00:30:52 +08:00
c9s
883f0ed83a ftxapi: replace fill implementation 2022-03-03 00:30:52 +08:00
c9s
833354e553 ftx: replace QueryTrades implementation 2022-03-03 00:30:52 +08:00
c9s
9c371425f6 ftx: replace QueryAccount implementation 2022-03-03 00:30:52 +08:00
c9s
84bc170a2e ftxapi: use order types 2022-03-03 00:30:52 +08:00
c9s
03f0305b3d ftxapi: add fills request 2022-03-03 00:30:52 +08:00
c9s
14a49989fe ftxapi: define types 2022-03-03 00:30:52 +08:00
c9s
cd0ac71b99 ftxapi: separate request files 2022-03-03 00:30:52 +08:00
c9s
abc425d820 ftx: fix ftx api client 2022-03-03 00:30:52 +08:00
c9s
93992801f9 ftxapi: add order history request 2022-03-03 00:30:52 +08:00
c9s
9e350afed5 ftxapi: add get coins api 2022-03-03 00:30:52 +08:00
c9s
3601edab84 ftxapi: add get single market api 2022-03-03 00:30:52 +08:00
c9s
2a6310c5f5 ftxapi: add get markets api 2022-03-03 00:30:52 +08:00
c9s
94ee46787e ftxapi: add generated files 2022-03-03 00:30:52 +08:00
c9s
7ed2e352d9 ftx: rewrite ftxapi 2022-03-03 00:30:52 +08:00
Yo-An Lin
7ae5869461
Merge pull request #451 from narumiruna/protobuf 
grpc: add protobuf
 2022-03-02 12:57:23 +08:00
zenix
f101e93311 fix: dnum panic, precision loss in parsing string in legacy 2022-02-28 15:50:31 +09:00
c9s
9c45e6693f fix formatString 2022-02-25 18:25:44 +08:00
c9s
99b025dd5c add FormatString test case and fix FormatString 2022-02-25 18:03:28 +08:00
c9s
10612cdfa9 add Test_formatQuantity 2022-02-25 17:47:54 +08:00
c9s
555e8c5253 add Test_formatPrice 2022-02-25 16:52:43 +08:00
なるみ
37fbe724cf Add Error message 2022-02-23 12:44:31 +08:00
なるみ
3aeae99587 Add SubcribeUserData 2022-02-23 12:29:01 +08:00
なるみ
36fd5d648a Add exchange and symbol to Ticker 2022-02-23 12:27:22 +08:00
なるみ
6b10d1160f Merge SuccessResponse and SubscribeResponse 2022-02-23 12:21:49 +08:00
なるみ
9fd4074d37 Add Depth message for bids and asks 2022-02-23 12:19:23 +08:00
Yo-An Lin
2108003f9b
Merge pull request #454 from zenixls2/fix/pnl 
fix: #287 init environ before querying balance
 2022-02-23 11:46:11 +08:00
zenix
06e9450859 feature: add cmd document 
add documentation index
 2022-02-22 19:36:45 +09:00
zenix
52cc047673 fix: #287 init environ before querying balance 2022-02-22 14:32:35 +09:00
なるみ
32acec5669 Put exchange field in the order and trade message 2022-02-21 12:53:39 +08:00
なるみ
c1b705956f Add SubmitOrder, rename variables and fix typo 2022-02-21 12:13:51 +08:00
なるみ
f2bca1d5b7 add QueryKLines 2022-02-20 04:41:39 +08:00
なるみ
136d36b2b1 generate code 2022-02-20 04:10:39 +08:00
なるみ
7a7627eafd update proto 2022-02-20 04:08:52 +08:00
c9s
208a9bcb7d fix: fix context error handling 2022-02-18 18:21:51 +08:00
c9s
849f2a248e ftx: check context error 2022-02-18 15:35:58 +08:00
c9s
3a488a4c0f ftx: add ioc order test 2022-02-18 14:50:54 +08:00
なるみ
4fb8881be7 Fix package path 2022-02-18 14:27:12 +08:00
なるみ
72bcdaaf25 Move pkg/proto to pkg/pb 2022-02-18 14:24:38 +08:00
c9s
17034b2467 ftx: fix ioc convert 2022-02-18 14:10:21 +08:00
c9s
f6ebeeafc5 ftx: cast time in force from the order result 2022-02-18 14:07:29 +08:00
c9s
d0f1e2db04 ftx: fix ftx ioc conversion 2022-02-18 14:01:47 +08:00
c9s
fb9f8b484c max: remove ioc limit type 2022-02-18 13:57:47 +08:00
c9s
0c09e6b32a use global timeInForce type 2022-02-18 13:52:13 +08:00
zenix
20cccf57e5 fix: NumFractionalDigits in legacy fixedpoint and dnum fixedpoint 2022-02-17 12:45:06 +09:00
zenix
ced2afaed8 fix: remove backup file in schedule strategy 2022-02-16 18:32:02 +09:00
なるみ
328c507bee Update go generated code 2022-02-16 11:54:46 +08:00
なるみ
3fe6fbf514 Add Trade message and support streaming 2022-02-16 11:52:18 +08:00
zenix
a3a262783f fix: set backtest cancel Delta to be 1e-11 2022-02-15 18:59:10 +09:00
zenix
7455279517 fix: #400 for int64 formating when exp <= 0 2022-02-15 18:24:21 +09:00
zenix
8648528435 fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests 2022-02-15 14:55:19 +09:00
zenix
eb70410f80 add back legacy implementation 2022-02-15 12:01:39 +09:00
zenix
cdba7924b4 fix backtest panic when cancel fail on the last order 2022-02-15 12:01:39 +09:00
zenix
5315378b9e fix takerfeerate column and makerfeerate column issue in yaml 2022-02-15 12:01:39 +09:00
zenix
fad85d0992 fix binance test, outptu for support and xgap strategies 2022-02-15 12:01:39 +09:00
zenix
05521a98b6 add skeleton strategy. fix most of the tests. fix final asset value 2022-02-15 12:01:39 +09:00
zenix
9978a3cf90 fix unmarshal behavior to gain more precision 2022-02-15 12:01:39 +09:00
zenix
abc1d535d8 fix bollmaker, fix pnl issues 2022-02-15 12:01:39 +09:00
zenix
105b085786 fix bollgrid, emstop, flashcrash, funding, grid, pricealert, pricedrop, rebalance, schedule, swing, xbalance, xgap, xmaker and speedup fixedpoint 2022-02-15 12:01:39 +09:00
zenix
2ccc449657 fix xpuremaker,xnav,techsignal,support,etf and add methods in fixedpoint 2022-02-15 12:01:39 +09:00
zenix
d9450e823e fix all the fixedpoint use other than strategy 2022-02-15 12:01:39 +09:00
zenix
b8bf2af14d fixedpoint for exchange and indicators, some fixes in types 2022-02-15 12:01:38 +09:00
zenix
e221f54397 add dnum as the fixedpoint implementation. change types float64 to fixedpoint.Value 
change pnl report to use fixedpoint

fix: migrate kline to use fixedpoint
 2022-02-15 12:00:39 +09:00
なるみ
307042025f Initial commit of protobuf 2022-02-14 16:46:11 +08:00
ankion
98b4495d1f Fix: precision of futures trade data is incorrect. 2022-02-14 10:32:13 +08:00
c9s
a2a7ef4f7a exchange: implement ExchangeOrderQueryService on max and binance 2022-02-10 17:48:53 +08:00
Andy Cheng
f7fc7f64b4
strategy: fix fixedpoint value compared to 0 problem 2022-02-06 17:47:14 +08:00
Andy Cheng
41c3b860b0
strategy: rename callBackRatio to callbackRatio 2022-02-06 17:47:14 +08:00
Andy Cheng
a9b48ff138
strategy: fix fixedpoint.Value compare to 0 problem 2022-02-06 17:47:14 +08:00
Andy Cheng
8b009a984a
strategy: fix a bug when 'trailingStopControl' is not used 2022-02-06 17:47:14 +08:00
Andy Cheng
571c3834c5
strategy: fix the JSON tag of 'CurrentHighestPrice' 2022-02-06 17:47:14 +08:00
Andy Cheng
769da1e77c
strategy: rename 'trailingStopCallBackRatio' JSON tag to 'callBackRatio' 2022-02-06 17:47:14 +08:00
Andy Cheng
b48c7f40d7
strategy: make TrailingStopCallBackRatio and MinimumProfitPercentage fixedpoint.Value 2022-02-06 17:47:13 +08:00
Andy Cheng
883f43a9ad
strategy: construct trailingStopControl in the caller 2022-02-06 17:47:13 +08:00
Andy Cheng
60a4ab2f27
strategy: save state on high price update and cancel trailing stop order on shutdown 2022-02-06 17:47:13 +08:00
Andy Cheng
1bd787f44c
strategy: return the createdOrders objects instead in submitOrders() 2022-02-06 17:47:13 +08:00
Andy Cheng
f673fc30ad
strategy: rename GenerateTrailingStopOrder() to GenerateStopOrder() in support strategy 2022-02-06 17:47:13 +08:00
Andy Cheng
2a8938fce0
re-indent with tabs 2022-02-06 17:47:13 +08:00
Andy Cheng
66b042fea7
strategy: trailing stop TP for support strategy 2022-02-06 17:47:11 +08:00
c9s
bf8558e9ad bollmaker: add BuyBelowNeutralSMA option 2022-02-01 01:40:51 +08:00
c9s
17187c70e7 cmd: print realized profit in colored text 2022-02-01 01:05:11 +08:00
c9s
c0beca78f5 include terminal color for back-test report 2022-02-01 01:00:26 +08:00
c9s
82adff338e cmd/backtest: calculate performance in quote asset 2022-02-01 00:54:55 +08:00
c9s
f96c2e6271 bbgo: add activated flag on trailing stop order 2022-02-01 00:41:28 +08:00
c9s
bed03dbd17 schedule: refactor and improve schedule strategy with QuantityOrAmount struct 2022-01-31 01:42:21 +08:00
c9s
11bbdb16a0 bollmaker: clean up empty files 2022-01-31 01:31:31 +08:00
c9s
0e7f88e3bf move SmartStops into the bbgo package 2022-01-31 01:27:47 +08:00
c9s
eb5064ccfe bollmaker: separate bidSpread and askSpread 2022-01-31 01:11:30 +08:00
c9s
2e7621ca55 add BidSpread and AskSpread 2022-01-31 01:08:33 +08:00
c9s
701e80d0d8 bollmaker: pull out trailing stop order logics into SmartStops struct 2022-01-31 01:07:00 +08:00
c9s
67bc5d523a bollmaker: refactor trailing stop snippet 2022-01-31 00:44:04 +08:00
c9s
0667c138ab backtest: fix duplicate trade emit issue 2022-01-30 03:05:19 +08:00
c9s
e595b9acb2 backtest: should panic if last price is zero 2022-01-30 02:41:00 +08:00
c9s
6566db1624 accounting: filter duplicated trades when backtesting 2022-01-30 02:40:38 +08:00
c9s
e1fc0e7b8d bollmaker: remove redundant log and fix return 2022-01-30 02:00:42 +08:00
c9s
ec8129ab87 backtest: fix market order fee calculation 2022-01-30 02:00:30 +08:00
c9s
20938895a8 bollmaker: merge skip condition 2022-01-30 01:40:33 +08:00
c9s
a185f3fdbe bollmaker: improve trailing stop order log 2022-01-30 01:37:36 +08:00
c9s
78855d552a backtest: fix backtest trade for market order 2022-01-30 01:37:24 +08:00
c9s
9adc3a9243 bollmaker: always collect trades and check balance 2022-01-30 01:21:36 +08:00
c9s
2255f3ed0a bollmaker: check dust order for stop 2022-01-29 17:44:42 +08:00
c9s
99af5d3971 bollmaker: implement TrailingStopController 2022-01-29 02:22:20 +08:00
c9s
584dd3e279 bollmaker: add TradeInBand option 2022-01-28 01:29:12 +08:00
c9s
f49b7165d8 bollmaker: fix MinNotional adjustment 2022-01-27 19:56:10 +08:00
c9s
a6cbb2fb2d bollmaker: rewrite trend detection 2022-01-27 18:51:51 +08:00
c9s
547f4c400a cmd: call BindSync when running strategy 2022-01-27 18:19:25 +08:00
c9s
3b630c0bca bbgo: pull out writer closure 2022-01-27 18:13:15 +08:00
c9s
cb507edf44 bbgo: add BindSync method on environment 2022-01-27 18:12:15 +08:00
c9s
30a9a5849f add user data stream sync config 2022-01-27 09:34:04 +08:00
c9s
44efbce8eb cmd: change trades cmd time range to just 1 day 2022-01-27 09:26:24 +08:00
c9s
c3c2822c82 cmd/trades: avoid passing since and until at the same time 2022-01-27 08:57:31 +08:00
c9s
880d806736 cmd: add --no-sync option to the run command 2022-01-27 08:30:31 +08:00
c9s
70f02a1c19 cmd: handle user config sync options in the run command 2022-01-27 08:21:19 +08:00
c9s
0d0d8b05bf bbgo/scale: test out of domain 2022-01-27 02:39:33 +08:00
c9s
1ef5a37225 bbgo/scale: check domain range 2022-01-27 02:32:26 +08:00
c9s
4f6e04323f bollmaker: add more logs 2022-01-27 02:25:23 +08:00
c9s
aea8f97ab9 bollmaker: add Test_calculateBandPercentage test 2022-01-27 02:22:26 +08:00
c9s
f9d650cd23 bollmaker: add DynamicExposurePositionScale 2022-01-27 02:04:57 +08:00
c9s
09213b14f3 bbgo: add negative range test for PercentageScale 2022-01-27 01:47:01 +08:00
c9s
49f671ef54 add PercentageScale and its tests 2022-01-27 01:40:54 +08:00
c9s
e82379a668 bollmaker: add QuantityOrAmount struct 2022-01-27 01:10:39 +08:00
c9s
28075173ec bump version to v1.27.0 2022-01-27 00:32:18 +08:00
c9s
cfc17acd20 config: use looseFormatTime type for since field 2022-01-27 00:24:19 +08:00
c9s
ab07768a6d cmd: apply config to sync 2022-01-27 00:17:11 +08:00
c9s
59cc4d7243 max: improve max closed order query 2022-01-27 00:02:35 +08:00
Yo-An Lin
d79cce30e3
Merge pull request #443 from austin362667/refactor/futures-account 
binance: add futures broker
 2022-01-26 14:11:48 +08:00
c9s
b2c4cd91a7 avoid using UnixMilli 2022-01-26 14:09:35 +08:00
c9s
a29198f733 bbgo: fix LooseFormatTime.UnmarshalYAML 2022-01-25 01:18:56 +08:00
c9s
8f0e80499b types: fix MillisecondTimestamp parsing 2022-01-25 01:14:06 +08:00
c9s
007207e24f all: use types.LooseFormatTime to parse loose format date time string 2022-01-25 00:24:12 +08:00
c9s
5f7676f0c1 bbgo: add sync config 2022-01-25 00:06:25 +08:00
c9s
6286c50f7a max: always sort trades 2022-01-24 23:59:10 +08:00
c9s
0bf6e533e0 kucoin: fix closed orders query 2022-01-24 23:56:48 +08:00
c9s
f284c35b81 max: ensure orders are sorted ascendingly 2022-01-24 23:54:58 +08:00
c9s
04a15340bc max: add warning for the uneffected conditions 2022-01-24 23:51:53 +08:00
c9s
50871c1b61 max: fix order query limiter call and order state for query 2022-01-24 23:45:56 +08:00
c9s
0c0a12781a max: fix max exchange closed order sync 2022-01-24 23:18:52 +08:00
c9s
e8fd1486b1 binance: fix binance closed order sync 2022-01-23 16:19:13 +08:00
austin362667
5a4adf4d72 binance: add futures broker 2022-01-23 15:26:15 +08:00
c9s
106239e808 service: fix sync process 2022-01-23 15:14:29 +08:00
c9s
407a533659 use the standard generated comment 
https://github.com/golang/go/issues/13560

Generated files are marked by a line of text that matches the regular
expression, in Go syntax:

    ^// Code generated .* DO NOT EDIT\.$ The .*

means the tool can put whatever folderol it wants in there, but the
comment must be a single line and must start with Code generated and end
with DO NOT EDIT., with a period.
 2022-01-23 14:57:45 +08:00
c9s
1f18c36870 cmd: improve build command 2022-01-23 14:44:17 +08:00
c9s
5790c10a38 interact: fix logger call 2022-01-23 14:21:20 +08:00
c9s
7b572120a1 interact: use RemoveKeyboard from interact.KeyboardController 2022-01-23 14:13:47 +08:00
c9s
ef84742eb7 add KeyboardController interface 2022-01-23 02:21:26 +08:00
c9s
01afe9c14e interact: fix telegram session restore 2022-01-23 02:21:26 +08:00
c9s
fb37bce4bf interact: fix slack response and slash command handling 2022-01-23 02:21:26 +08:00
c9s
aad64eb461 interact: improve slack session loading and block sets rendering 2022-01-23 02:21:26 +08:00
c9s
49e4b71776 interact: handle InteractionTypeViewSubmission and print debug state 2022-01-23 02:21:26 +08:00
c9s
2f65d5951e interact: add doc comment to generateTextInputModalRequest 2022-01-23 02:21:26 +08:00
c9s
5ee0496c7d interact: support slack modal view request 2022-01-23 02:21:26 +08:00
c9s
0af5fc0530 interact: add RequireTextInput method to Reply interface 2022-01-23 02:21:26 +08:00
c9s
ce54a64208 add slack callback file 2022-01-23 02:21:26 +08:00
c9s
f5f8f15670 slack: add reply and session struct 2022-01-23 02:21:26 +08:00
c9s
2cf29bd1ec telegram: add callback handler 2022-01-23 02:21:26 +08:00
c9s
ad3f038dc6 bbgo: improve otp key layout 2022-01-23 02:21:26 +08:00
c9s
0e5cf5325b util: improve mask key function and add tests 2022-01-23 02:21:26 +08:00
c9s
c7f15efb23 interact: add Slack interaction 2022-01-23 02:21:26 +08:00
Yo-An Lin
e4b4f69716
Merge pull request #442 from kkc/fix_bollmaker_backtest 
Fix: fallback to memory persistence if redis not found
 2022-01-22 00:58:49 +08:00
Kakashi Liu
cd85edd64d Fix: fallback to memory persistence if redis not found 
resolve #438
Fix bollmaker backtest error
 2022-01-22 00:55:03 +08:00
zenix
213ceeda82 fix: #431 for not updating lastPrice if no tade happened 2022-01-21 20:57:55 +09:00
c9s
dc01a23b99 bump version to v1.26.3 2022-01-19 18:34:47 +08:00
c9s
4d921b0b36 kucoin: fix klines ordering 2022-01-19 18:33:54 +08:00
c9s
0b8e5852eb check persistence error 2022-01-19 18:29:24 +08:00
c9s
9bdc05b69c strategy/grid: use background context for canceling orders 2022-01-19 18:26:57 +08:00
c9s
9953a30717 xgap: fix subscribe interval 2022-01-19 13:08:50 +08:00
Yo-An Lin
0e0525be99
Merge pull request #418 from austin362667/refactor/futures-account 
binance: add futures exchange api queries
 2022-01-17 20:54:49 +08:00
Yo-An Lin
a8c5a80357
Merge pull request #436 from jessy1092/ftx/correct-poll-klines 
ftx: Separate the lastClosed record for different interval
 2022-01-17 20:52:39 +08:00
c9s
6db038d85f bump version to v1.26.1 2022-01-17 20:49:56 +08:00
c9s
5c0e3a1254 bollmaker: add shadow protection config 2022-01-16 04:40:50 +08:00
c9s
a68ad20ddc bollmaker: add shadow protection 2022-01-16 04:06:19 +08:00
c9s
71e660571d bbgo: optimize LocalActiveOrderBook for back-testing speed 2022-01-16 01:34:28 +08:00
c9s
1e370ff244 bollmaker: collect trades before we shutdown 2022-01-16 01:27:28 +08:00
c9s
898204f5fa bollmaker: adjust quantity to met the min notional condition before we submit 2022-01-16 01:15:34 +08:00
c9s
fd4a3bb000 bollmaker: remove unused cancelOrders function 2022-01-16 01:08:50 +08:00
c9s
5d54e6fded interact: skip total == 0 balance 2022-01-16 01:06:47 +08:00
c9s
d1cfaec7d3 notifier/telegramnotifier: check chats map 2022-01-16 01:00:15 +08:00
c9s
5f4239d108 interact: if messenger is not set, skip starting 2022-01-16 00:58:36 +08:00
c9s
b80f481e7d interact: fix interact tests for session 2022-01-16 00:50:43 +08:00
c9s
b49fc182dc fix telegram session persistence 2022-01-16 00:39:24 +08:00
c9s
2088234b44 interact: separate telegram user sessions 2022-01-16 00:25:11 +08:00
austin362667
904e7c03ad strategy: cleanup funding strategy 
strategy: cleanup funding strategy
 2022-01-15 08:28:02 +08:00
austin362667
0ab94e0884 binance: fix err handler 2022-01-15 08:28:02 +08:00
austin362667
91d2312c5c cache: refactor moving from bbgo to pkg/cache 2022-01-15 08:28:02 +08:00
austin362667
734221028b binance: fix parse type 2022-01-15 08:28:02 +08:00
austin362667
d0e26c66e4 strategy: add funding strategy 2022-01-15 08:28:02 +08:00
austin362667
f661db56bd service: handle error 2022-01-15 08:28:02 +08:00
austin362667
9a1d2cba31 binance: add account info in query account 2022-01-15 08:28:02 +08:00
austin362667
32c2f128f5 binance: add TradeFutures 2022-01-15 08:28:02 +08:00
austin362667
8130ef78c1 binance: refactor margin related conversions 2022-01-15 08:28:02 +08:00
austin362667
cd5d8c7a3f types: modify IsolatedMarginAsset from array to map 2022-01-15 08:28:02 +08:00
austin362667
48d968059c types: add margin asset map & account info 2022-01-15 08:28:02 +08:00
austin362667
5404bfe7f8 binance: fix futures symbol not found from syncSession 
binance: fix query trades, closed orders futures symbol not found

binance: fix futures symbol not found
 2022-01-15 08:28:02 +08:00
austin362667
0f0539fe70 binance: add futures exchange queries 2022-01-15 08:28:02 +08:00
austin362667
6071c07073 binance: add futures conversion 2022-01-15 08:28:02 +08:00
austin362667
6ac8b36eca types: add futures assets 2022-01-15 08:28:02 +08:00
Lee
266400d925 indicator: Support difference bandwidth on boll indicator and can dynamic create BOLL 2022-01-15 05:30:06 +08:00
Lee
f6c70bdfcb ftx: Separate the lastClosed record for different interval 2022-01-15 05:12:45 +08:00
c9s
0e3cc08c94 bump version to v1.26.0 2022-01-15 03:37:06 +08:00
c9s
5f942e85ed bbgo: show position with plaintext mode instead of string format 2022-01-15 03:13:30 +08:00
c9s
06e7ab8824 interact: fix interact tests 2022-01-15 03:09:42 +08:00
c9s
1c7d4d09cf interact: add Cycle state builder 2022-01-15 03:06:36 +08:00
c9s
2a6b821908 bbgo: implement /position command 2022-01-15 02:58:55 +08:00