133 Commits

Author	SHA1	Message	Date
c9s	4b0bab31fb	Merge branch 'feature/backtest' into main	2020-11-07 20:34:55 +08:00
c9s	641784e1b1	calculate pnl after the backtest	2020-11-07 20:34:34 +08:00
c9s	a4a9067c6a	integrate matching engine with backtest exchange	2020-11-07 19:57:36 +08:00
c9s	0d8fa08171	add book Update method	2020-11-07 15:07:06 +08:00
c9s	b13a2deec5	emit klines and setup account balances	2020-11-07 03:18:05 +08:00
c9s	22a214328d	implement backtest command, stream and add backtest config	2020-11-07 02:57:50 +08:00
c9s	8823a39fc2	support backtesting kline verification	2020-11-07 00:49:17 +08:00
c9s	555fe57341	implement kline sync function from command	2020-11-06 21:40:48 +08:00
c9s	7fab2e24de	improve order persistence and support order data sync	2020-11-05 11:14:14 +08:00
c9s	eb67fc0f8f	make mysql-url optional for run command	2020-11-05 11:14:14 +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	2397acd45f	fix type casting and assertion by passing pointer	2020-10-31 18:35:48 +08:00
c9s	0f8e9f6df7	add doc comment to Notifiability	2020-10-31 18:35:48 +08:00
c9s	eb05620f99	use Notifiability directly from environment	2020-10-31 18:35:48 +08:00
c9s	49ff9c4dd6	drop legacy trade reporter	2020-10-31 18:35:48 +08:00
c9s	c4d7476212	add submit order routing	2020-10-31 18:35:48 +08:00
c9s	ec9b5230aa	refactor trade report and move trade reporter to the environment layer	2020-10-31 18:35:48 +08:00
c9s	8867ceb951	initialize Notifiability for exchange session	2020-10-31 18:35:48 +08:00
c9s	dc547aa818	fix BOLL map allocation	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	e60127090b	add GetBOLL access to standard indicator sets	2020-10-31 18:29:58 +08:00
c9s	d49b2be543	add bollinger indicator	2020-10-29 17:51:20 +08:00
c9s	4afabd92ed	clean up code	2020-10-29 17:05:01 +08:00
c9s	5f45d18ae2	fix struct composition	2020-10-29 13:08:33 +08:00
c9s	19b600bb35	simplify strategy registration api	2020-10-29 07:54:59 +08:00
c9s	c71f013916	let SMA indicator and EWMA indicator use IntervalWindow type	2020-10-29 07:51:23 +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	67446670ac	finalize swing strategy and fix trade reporter issue	2020-10-28 17:48:16 +08:00
c9s	b22e0370b3	drop legacy OrderProcessor and remove slack debug	2020-10-28 17:48:16 +08:00
c9s	468864302e	fix submit order quantity formatting	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	7d7d2c2fc7	assign standard indicator set to the session	2020-10-28 11:15:50 +08:00
c9s	e2df24f31c	support standard indicatorset	2020-10-28 09:43:19 +08:00
c9s	50693ae845	implement ewma and sma	2020-10-28 09:13:57 +08:00
c9s	388346b284	move injectStrategyField to a single file	2020-10-27 20:42:48 +08:00
c9s	e1c2f7cc3d	improve notifier signatures and fix slack Notify method	2020-10-27 20:13:10 +08:00
c9s	7905ba09d4	pull out fillStrategyNotifiability	2020-10-27 19:37:11 +08:00
c9s	ccc381143d	support pointer type filling	2020-10-27 19:33:11 +08:00
c9s	b3eaf832af	Add pricealert strategy for demonstrating notification	2020-10-27 13:54:39 +08:00
c9s	ab43de3efd	clean up comment for base order executor	2020-10-27 10:00:41 +08:00
c9s	ef598c3a0f	assign base order executor descendingly	2020-10-27 09:58:21 +08:00
c9s	8453e95300	configure channel routers	2020-10-27 09:38:29 +08:00
c9s	42f947506c	add route methods on Notifiability	2020-10-27 09:24:59 +08:00
c9s	c315b79bd7	add notification config	2020-10-27 08:48:47 +08:00
c9s	284a0676f7	remove unused confg package	2020-10-27 08:19:16 +08:00
c9s	955479486a	add symbol channel router and object channel router for notification	2020-10-27 08:19:16 +08:00