c9s
|
ac8186d43d
|
grid2: debug submitOrder before sending them to the api
|
2022-12-15 18:30:28 +08:00 |
|
c9s
|
bc8d7e9968
|
grid2: add skipSpreadCheck option
|
2022-12-15 18:09:43 +08:00 |
|
c9s
|
c0598a05f6
|
grid2: add slack attachment footer
|
2022-12-15 17:47:34 +08:00 |
|
c9s
|
19478b1fbc
|
grid2: add profit stats since field
|
2022-12-15 15:39:48 +08:00 |
|
c9s
|
a7c8da7e88
|
grid2: add SlackAttachment on profit stats
|
2022-12-15 15:39:16 +08:00 |
|
c9s
|
7a35a652c3
|
grid2: add SlackAttachment on grid profit
|
2022-12-15 15:33:26 +08:00 |
|
c9s
|
a6a4be9878
|
grid2: sync order tag
|
2022-12-15 14:58:50 +08:00 |
|
c9s
|
16df170ca3
|
grid2: pull out order tag
|
2022-12-15 14:58:50 +08:00 |
|
c9s
|
aa4130ed30
|
grid2: add PlainText method on GridProfit struct
|
2022-12-15 14:58:31 +08:00 |
|
c9s
|
532d474564
|
grid2: pull out processFilledOrder method
|
2022-12-15 14:57:25 +08:00 |
|
c9s
|
096defc331
|
add test flag and disable lfs in test
|
2022-12-09 17:34:24 +08:00 |
|
c9s
|
b515c24505
|
grid2: add earnBase test case
|
2022-12-07 14:48:51 +08:00 |
|
c9s
|
120a22f0cd
|
grid2: add compound mode order test
|
2022-12-07 14:42:06 +08:00 |
|
c9s
|
9d24540826
|
grid2: add order executor mock for testing reverse order
|
2022-12-07 14:19:49 +08:00 |
|
c9s
|
9215e401d0
|
grid2: fix quantity, amount, quoteInvestment validation
|
2022-12-07 12:29:14 +08:00 |
|
c9s
|
df6187dc98
|
grid2: remove default fee rate
|
2022-12-07 12:25:30 +08:00 |
|
c9s
|
489b025702
|
grid2: refactor check spread
|
2022-12-07 12:24:52 +08:00 |
|
c9s
|
02bebe8ed1
|
grid2: use min quantity instead of max quantity
|
2022-12-07 11:44:22 +08:00 |
|
c9s
|
e1e521cec5
|
grid2: add comment to the minimal quote investment test
|
2022-12-06 16:38:12 +08:00 |
|
c9s
|
46d1207adb
|
grid2: fix TestStrategy_checkMinimalQuoteInvestment
|
2022-12-06 16:37:12 +08:00 |
|
c9s
|
b0381fd927
|
grid2: pull out debugGridOrders func
|
2022-12-06 16:35:52 +08:00 |
|
c9s
|
b8e5bf1ddd
|
grid2: add test case for testing checkMinimalQuoteInvestment
|
2022-12-06 16:09:46 +08:00 |
|
c9s
|
47759236e0
|
grid2: improve log
|
2022-12-06 15:57:03 +08:00 |
|
c9s
|
0cf43ffb11
|
grid2: pull out aggregateTradesQuantity func
|
2022-12-06 15:57:03 +08:00 |
|
c9s
|
b4e403d632
|
grid2: remove fee check from verifyOrderTrades
|
2022-12-06 15:57:03 +08:00 |
|
c9s
|
423fe521b6
|
grid2: add build tag for backtest_test
|
2022-12-06 15:57:03 +08:00 |
|
c9s
|
482b6f5e7b
|
grid2: add test case for aggregateOrderBaseFee Retry
|
2022-12-06 15:46:21 +08:00 |
|
c9s
|
3d0cfd16b5
|
grid2: add test case for aggregateOrderBaseFee
|
2022-12-06 15:46:21 +08:00 |
|
c9s
|
c6ce223a13
|
all: refactor backtest functions so that we can run backtest in test
|
2022-12-06 13:16:12 +08:00 |
|
c9s
|
846695e632
|
grid2: add retry to orderQuery
|
2022-12-06 11:56:30 +08:00 |
|
c9s
|
75521352a9
|
grid2: pull out aggregateOrderBaseFee
|
2022-12-06 11:48:32 +08:00 |
|
c9s
|
68e7d0ec24
|
grid2: add doc comment for gridNumber
|
2022-12-06 10:47:19 +08:00 |
|
c9s
|
402b625126
|
grid2: add stringer method on gridProfit
|
2022-12-06 10:06:58 +08:00 |
|
c9s
|
e29f3c50e8
|
grid2: calculate TotalFee
|
2022-12-06 10:05:43 +08:00 |
|
c9s
|
d1f3d201ef
|
grid2: add todo in the test
|
2022-12-06 02:40:22 +08:00 |
|
c9s
|
2a22866d55
|
grid2: inject strategy into user config and run backtest
|
2022-12-06 02:40:22 +08:00 |
|
c9s
|
d9e230a433
|
grid2: add TestBacktestStrategy skeleton for backtesting in unit test
|
2022-12-06 02:40:22 +08:00 |
|
c9s
|
aa5f2a032a
|
grid2: call TruncatePrice on profitSpread
|
2022-12-06 02:13:32 +08:00 |
|
c9s
|
dd591c936f
|
grid2: add min order quantity protection
|
2022-12-06 02:07:05 +08:00 |
|
c9s
|
fc80cfb714
|
grid2: fix quote investment calculation for profit spread
|
2022-12-06 01:57:33 +08:00 |
|
c9s
|
e7ff7a49db
|
grid2: fix calculateQuoteInvestmentQuantity for profitSpread
|
2022-12-06 01:51:50 +08:00 |
|
c9s
|
7e0ac66ea1
|
grid2: fix calculateQuoteBaseInvestmentQuantity grid calculation
|
2022-12-06 01:21:41 +08:00 |
|
c9s
|
541c0e76b5
|
grid2: consider profitSpread in calculateQuoteBaseInvestmentQuantity
|
2022-12-06 01:19:24 +08:00 |
|
c9s
|
a8c957fc8d
|
grid2: fix profit spread behavior and tests
|
2022-12-06 01:17:29 +08:00 |
|
c9s
|
bee528c7c5
|
grid2: set enable prune for trade history
|
2022-12-06 00:55:08 +08:00 |
|
c9s
|
79733b963b
|
grid2: fix take profit handler
|
2022-12-05 23:42:03 +08:00 |
|
c9s
|
9be3c79f8a
|
grid2: handle take profit
|
2022-12-05 19:46:08 +08:00 |
|
c9s
|
a67d01e821
|
grid2: fix log format
|
2022-12-05 19:43:58 +08:00 |
|
c9s
|
c4544cf8b2
|
grid2: improve debug logging
|
2022-12-05 19:42:36 +08:00 |
|
c9s
|
8e3bfe8499
|
grid2: consider base sell quantity reduction
|
2022-12-05 19:37:42 +08:00 |
|
c9s
|
fae61bd91f
|
grid2: narrow down orderQueryService support checking
|
2022-12-05 19:31:44 +08:00 |
|
c9s
|
5d441e3efe
|
grid2: collect fees and check if we need to reduce the quantity for sell
|
2022-12-05 19:30:06 +08:00 |
|
c9s
|
16224583ff
|
grid2: add historicalTrades store
|
2022-12-05 19:23:39 +08:00 |
|
c9s
|
fcf8613319
|
grid2: fix feeRate var
|
2022-12-05 18:15:54 +08:00 |
|
c9s
|
f727f314e6
|
grid2: add FeeRate configuration for checking profit spread
|
2022-12-05 18:15:30 +08:00 |
|
c9s
|
4bba5510dd
|
grid2: position reset should reset the total fee
|
2022-12-05 18:11:44 +08:00 |
|
c9s
|
5be140de0e
|
grid2: improve sell,buy price calculation
|
2022-12-05 15:19:24 +08:00 |
|
c9s
|
27b42db3d7
|
grid2: add test case for enough base investment
|
2022-12-05 11:23:21 +08:00 |
|
c9s
|
6df4a3c319
|
grid2: add TestStrategy_generateGridOrders
|
2022-12-05 11:21:07 +08:00 |
|
c9s
|
0b824a09fc
|
grid2: fix tests
|
2022-12-05 00:47:08 +08:00 |
|
c9s
|
076ec3b3c2
|
grid2: pull out grid order generation
|
2022-12-05 00:20:18 +08:00 |
|
c9s
|
002ce1958e
|
grid2: add omitempty to struct tag
|
2022-12-04 21:44:03 +08:00 |
|
c9s
|
19e0a20c67
|
grid2: fill fixedpoint.Zero for stats
|
2022-12-04 21:43:40 +08:00 |
|
c9s
|
ec6b170f01
|
grid2: add more log messages for stop loss
|
2022-12-04 21:09:39 +08:00 |
|
c9s
|
3b821c8b58
|
grid2: fix order price shifting
|
2022-12-04 21:06:52 +08:00 |
|
c9s
|
8d78399335
|
grid2: fix order shifting
|
2022-12-04 19:48:12 +08:00 |
|
c9s
|
efcfcf7c18
|
grid2: add position reset
|
2022-12-04 18:42:03 +08:00 |
|
c9s
|
a5e6173038
|
grid2: fix openGrid method
|
2022-12-04 18:33:28 +08:00 |
|
c9s
|
943912f6bf
|
grid2: add grid order debug logs
|
2022-12-04 18:32:17 +08:00 |
|
c9s
|
ea34b3a962
|
grid2: another fix
|
2022-12-04 18:28:34 +08:00 |
|
c9s
|
01b013fcc7
|
grid2: fix trigger price check for onStart handler
|
2022-12-04 18:27:21 +08:00 |
|
c9s
|
bce004106c
|
grid2: check price
|
2022-12-04 18:21:43 +08:00 |
|
c9s
|
9d62720111
|
grid2: add log for trigger price
|
2022-12-04 18:17:05 +08:00 |
|
c9s
|
4f3a160bbf
|
grid2: add stopLossPrice handler
|
2022-12-04 18:01:58 +08:00 |
|
c9s
|
bec1103a64
|
grid2: add more parameters to the test strategy
|
2022-12-04 17:36:35 +08:00 |
|
c9s
|
5344b3d768
|
grid2: add TestStrategy_calculateProfit test
|
2022-12-04 17:35:35 +08:00 |
|
c9s
|
427daba6d0
|
grid2: change fee rate validation
|
2022-12-04 15:56:35 +08:00 |
|
c9s
|
bbab8728e3
|
grid2: add orderQueryService for querying order trades
|
2022-12-04 15:43:27 +08:00 |
|
c9s
|
813f9c45a7
|
grid2: add order object into the profit structure
|
2022-12-04 15:24:59 +08:00 |
|
c9s
|
a8fe55c284
|
grid2: push profit into stats
|
2022-12-04 15:24:13 +08:00 |
|
c9s
|
bc4c22f633
|
grid2: pull out quoteQuantity
|
2022-12-04 15:15:16 +08:00 |
|
c9s
|
bf62fb7d2d
|
grid2: calculate grid profit
|
2022-12-04 15:01:52 +08:00 |
|
c9s
|
9506516ea3
|
grid2: add grid profit stats to the strategy
|
2022-12-04 14:45:04 +08:00 |
|
c9s
|
8d601a6cb4
|
grid2: add exchange session field
|
2022-12-04 14:24:04 +08:00 |
|
c9s
|
dc2ce372c4
|
grid2: reset grid field when it's closed
|
2022-12-04 14:23:00 +08:00 |
|
c9s
|
0ea6dfb158
|
grid2: add triggerPrice protection
|
2022-12-04 14:22:11 +08:00 |
|
c9s
|
7abc799da4
|
grid2: make openGrid and closeGrid as private method
|
2022-12-04 13:04:14 +08:00 |
|
c9s
|
c77bb83b95
|
grid2: move OpenGrid method and add KeepOrdersWhenShutdown
|
2022-12-04 12:58:01 +08:00 |
|
c9s
|
7dc3c448bb
|
grid2: remove unused fields
|
2022-12-04 11:47:30 +08:00 |
|
c9s
|
c00d59806f
|
grid2: add closeGrid option
|
2022-12-04 11:47:01 +08:00 |
|
c9s
|
2977c80dd1
|
grid2: check profitSpread for profit
|
2022-12-03 16:59:47 +08:00 |
|
c9s
|
64d8a30ecc
|
grid2: add earnBase option
|
2022-12-03 16:40:40 +08:00 |
|
c9s
|
5f7ad125c6
|
grid2: add earnBase option
|
2022-12-03 16:03:01 +08:00 |
|
c9s
|
6ed09c847d
|
grid2: add compound mode option
|
2022-12-03 15:21:03 +08:00 |
|
c9s
|
9bb628328c
|
grid2: use profit to buy more inventory
|
2022-12-03 15:18:47 +08:00 |
|
c9s
|
d5cf1a7311
|
grid2: log submitOrder
|
2022-12-03 15:17:31 +08:00 |
|
c9s
|
c0573210b3
|
grid2: log grid info
|
2022-12-03 14:58:53 +08:00 |
|
c9s
|
54ffc8cbcc
|
grid2: add order filled handler
|
2022-12-03 14:46:05 +08:00 |
|
c9s
|
a825ae5d04
|
grid2: use custom logger entry
|
2022-12-03 11:36:14 +08:00 |
|
c9s
|
a715933106
|
grid2: allocate logger instance for fields
|
2022-12-03 11:31:44 +08:00 |
|
c9s
|
d91921f6c2
|
grid2: fix grid sell order quantity calculation
|
2022-12-03 11:25:18 +08:00 |
|
c9s
|
1e13fe6191
|
grid2: fix grid2 strategy validation
|
2022-12-03 11:02:55 +08:00 |
|
c9s
|
2b14803829
|
grid2: add comment
|
2022-12-02 00:10:01 +08:00 |
|
c9s
|
29f3ff7ba2
|
grid2: remove todo
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
22569fcb30
|
grid2: fix quantity calculation
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
e80c8f2959
|
grid2: pull out maxNumberOfSellOrders
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
46bebb1022
|
grid2: calculate minBaseQuantity
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
45328a9f3d
|
grid2: add comment for the quantity loop
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
4eb652b560
|
grid2: add calculateQuoteBaseInvestmentQuantity
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
2260fd6908
|
grid2: add TestStrategy_calculateQuoteInvestmentQuantity test case
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
9f2e4d3f71
|
grid2: add calculateQuoteInvestmentQuantity so that we can calculate quantity from the quote investment
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
e385b589b6
|
config: add grid2 config
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
e981ad641a
|
grid2: ignore test build for dnum
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
1629a25beb
|
grid2: fix tests
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
622fe75ed3
|
grid2: check buy placed order price
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
020e7c8604
|
grid2: handle grid orders submission
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
e3c735b700
|
grid2: add more code to setupGridOrders
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
4407aa7f97
|
grid2: refactor checkRequiredInvestmentByAmount and checkRequiredInvestmentByQuantity
|
2022-12-02 00:10:00 +08:00 |
|
c9s
|
4eb21d5209
|
grid2: move out baseInvestment, quoteInvestment check
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
2aaa2e7775
|
grid2: add checkRequiredInvestmentByAmount test
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
f5219ae56b
|
grid2: fix error checking and add more tests
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
dcbce8aa5c
|
grid2: fix TestStrategy_checkRequiredInvestmentByQuantity
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
d0bdc859fb
|
grid2: add basic investment check test checkRequiredInvestmentByQuantity
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
3da86ab2e1
|
grid2: pull out check code to checkRequiredInvestmentByQuantity
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
cde463e294
|
grid2: remove notionalModifier
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
fa692d835f
|
grid2: add totalFee field and volume field
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
7fec736e7a
|
grid2: add GridProfitStats
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
4c8db08ccc
|
grid2: fix require quote and require base calculation
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
2c373959a8
|
grid2: add investment check
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
68b1fce634
|
grid2: get the last trade price and apply generalOrderExecutor
|
2022-12-02 00:09:59 +08:00 |
|
c9s
|
a42c1799e2
|
grid2: define PinCalculator type
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
a8cbe0e488
|
grid2: pull out calculate pins call
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
32b6299b93
|
grid2: pull out CalculatePins
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
1fa5186002
|
grid2: allocate grid object
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
84c3d386ca
|
grid2: implement find next higher/lower pin
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
629cea0f44
|
grid2: fix ExtendUpperPrice and its tests
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
4fb2230e5d
|
grid2: improve number func
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
f46fc7ee80
|
grid2: fix tests
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
4ddbeff7e4
|
grid2: fix Test_calculateArithmeticPins
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
f98c00b7aa
|
grid2: fix extendLowerPrice method and tests
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
75c088eb9c
|
refactor calculateArithmeticPins
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
725c624281
|
grid2: rewrite ExtendUpperPrice
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
533587ffd2
|
grid2: update lowerPrice
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
d6f751c027
|
grid2: improve ExtendLowerPrice
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
e675a084e2
|
grid2: refactor spread, height methods
|
2022-12-02 00:09:58 +08:00 |
|
c9s
|
2761cff2bf
|
grid2: add pin tests
|
2022-12-02 00:09:57 +08:00 |
|
c9s
|
21a1d550e3
|
grid2: add grid struct
|
2022-12-02 00:09:57 +08:00 |
|
c9s
|
cb612a22b1
|
add grid2 strategy
|
2022-12-02 00:09:57 +08:00 |
|