85 Commits

Author	SHA1	Message	Date
c9s	9e0df77a36	move profit struct into the types package	2022-03-04 16:39:48 +08:00
c9s	0c09e6b32a	use global timeInForce type	2022-02-18 13:52:13 +08:00
zenix	a3a262783f	fix: set backtest cancel Delta to be 1e-11	2022-02-15 18:59:10 +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	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
c9s	9bdc05b69c	strategy/grid: use background context for canceling orders	2022-01-19 18:26:57 +08:00
c9s	259771b0b0	all: pull out the graceful cancel process to the local active book	2022-01-07 00:10:40 +08:00
austin362667	1703fff8b2	types: refactor Position and related files	2021-12-11 19:16:16 +08:00
c9s	1de4e5ee4c	grid: fix parameter checking for fixed amount	2021-12-07 15:37:37 +08:00
c9s	85bb9f214e	grid: disable trade marking	2021-12-06 01:34:08 +08:00
TonyQ	056afb577c	fix generateGridSellOrders with ProfitSpread for begining	2021-11-30 11:55:00 +08:00
c9s	0c8addc58b	grid: refactor trade callback for s.TradeService.Mark	2021-11-05 01:05:43 +08:00
c9s	6851d8d254	grid: add field guards	2021-11-05 01:04:13 +08:00
c9s	7db7596abe	grid: refactor trade handler with trade collector	2021-11-05 00:30:04 +08:00
c9s	7787edffa0	refactor grid strategy state loading/saving	2021-11-05 00:22:44 +08:00
c9s	bfaec8fdd8	increase min amount if it's not greater than min notional	2021-11-04 23:22:01 +08:00
c9s	6002a958d2	grid: fix format error	2021-11-04 13:08:38 +08:00
c9s	7eb91cc7cc	adjust grid quantity if it does not match min notional and min quantity	2021-11-04 12:50:32 +08:00
c9s	4f16f6b1f8	fix market data stream usage	2021-05-28 03:13:50 +08:00
c9s	45f1a13870	rename Stream field to UserDataStream and add MarketDataStream	2021-05-27 14:45:06 +08:00
c9s	cca3284140	separate net profit and profit	2021-05-22 17:17:37 +08:00
c9s	ddab6083d4	xmaker: support quantity scale	2021-05-10 02:52:41 +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	a80afff0c2	grid: track createdOrders when error occurs	2021-04-15 12:31:18 +08:00
Larry850806	53133851cc	Add validation for grid strategy	2021-04-02 10:32:38 +08:00
c9s	c82df27cf3	grid: fix message format	2021-03-25 15:22:52 +08:00
c9s	2b27815929	move out groupID to the maxapi package	2021-03-22 17:32:22 +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	e3d3eacb78	fix trade service injection	2021-02-16 16:30:01 +08:00
c9s	ffb6a29d0d	fix startPrice value conversion	2021-02-08 13:21:22 +08:00