632 Commits

Author	SHA1	Message	Date
Andy Cheng	72a6877094	strategy: add PositionCloser function for support strategy	2022-03-15 19:19:44 +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
c9s	4b89f4a48b	bollmaker: fix profit stats notification	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	d67b800e7e	use RecordPosition	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
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	a9f9fa8fed	bollmaker: add Environment field and Market field for injection	2022-03-05 12:40:56 +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	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	ced2afaed8	fix: remove backup file in schedule strategy	2022-02-16 18:32:02 +09:00
zenix	a3a262783f	fix: set backtest cancel Delta to be 1e-11	2022-02-15 18:59:10 +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	cdba7924b4	fix backtest panic when cancel fail on the last order	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	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	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
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	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	e1fc0e7b8d	bollmaker: remove redundant log and fix return	2022-01-30 02:00:42 +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	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	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	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	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
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	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
austin362667	904e7c03ad	strategy: cleanup funding strategy ... strategy: cleanup funding strategy	2022-01-15 08:28:02 +08:00
austin362667	d0e26c66e4	strategy: add funding strategy	2022-01-15 08:28:02 +08:00
c9s	93722e6db3	implement position closer interaction	2022-01-15 02:52:46 +08:00
c9s	317d8e9d49	xgap: add minSpread option	2022-01-14 12:49:46 +08:00
Yo-An Lin	e797e597b1	Merge pull request #435 from jessy1092/fix/correct-bollmaker-params ... fix: Correct uptrendSkew and downtrendSkew parameters setting on bollmaker strategy	2022-01-14 12:18:18 +08:00
c9s	eef14fa950	xgap: add jitter	2022-01-14 12:03:29 +08:00
c9s	1f6076ae18	plus a quantity jitter	2022-01-14 11:59:40 +08:00
Lee	965fc6989d	fix: Correct uptrendSkew and downtrendSkew parameters setting on bollmaker strategy	2022-01-13 23:06:23 +08:00
c9s	dc6d60216b	types: fix order book copy	2022-01-13 11:09:50 +08:00
c9s	98247385f9	xmaker: use GracefulCancel to cancel active orders	2022-01-13 11:01:46 +08:00
c9s	5cc3a88911	xmaker: show order book last update time	2022-01-12 22:11:28 +08:00
c9s	c3356fa694	types: add test for PriceHeartBeat	2022-01-12 14:42:11 +08:00
c9s	5755c44845	move PriceHeartBeat to types	2022-01-12 14:33:55 +08:00
c9s	420e221f5b	xmaker: pull out PriceHeartBeat	2022-01-12 12:14:51 +08:00
c9s	7195c6ed27	xmaker: add price quoting protection	2022-01-12 11:55:45 +08:00
c9s	940c675cae	xmaker: add rate limit hit alert	2022-01-11 22:48:28 +08:00
c9s	081a143ec0	xmaker: add DepthQuantity	2022-01-11 22:47:40 +08:00
c9s	70dec09f26	xmaker: fix minQuantity buffer	2022-01-10 23:17:19 +08:00
c9s	b26141ac1f	support: set default s.triggerEMA	2022-01-10 13:51:14 +08:00
c9s	b56e988fc9	support: fix triggerEMA check	2022-01-10 13:49:36 +08:00
c9s	3907f99e70	xmaker: keep rate reservation token	2022-01-10 12:25:13 +08:00
c9s	1b27c4e9c4	remove hedge error limiter	2022-01-09 23:45:46 +08:00
c9s	9ca4e23aaf	add strategy documentation	2022-01-09 22:43:49 +08:00
c9s	bba4e86fdf	bollmaker: adjust default skew parameter	2022-01-09 22:37:27 +08:00
c9s	b98777afe4	bollmaker: pull out skew options	2022-01-09 22:32:23 +08:00
c9s	d94cc2df31	bbgo: add recover callbacks to trace collector	2022-01-09 15:39:59 +08:00
c9s	6ce8edba7d	xmaker: add error rate limiter	2022-01-09 11:33:34 +08:00
c9s	471a1b2baa	xmaker: adjust minimal quantity and minimal notional threshold	2022-01-09 10:18:31 +08:00
c9s	cd340bd596	bollmaker: check s.MaxExposurePosition	2022-01-09 03:03:54 +08:00
c9s	0cec652f38	bollmaker: skip submitOrder calls if submitOrders is empty	2022-01-09 02:35:12 +08:00
c9s	656ef942e4	bollmaker: add disable short option	2022-01-09 02:24:10 +08:00
c9s	4df5847647	bollmaker: add quantity scaling for closing position	2022-01-09 01:57:51 +08:00
c9s	4cdb5b607b	rename bollpp to bollmaker	2022-01-09 01:20:47 +08:00
c9s	7e2acdc416	all: add lock protected GetBase method for Position	2022-01-09 00:35:45 +08:00
c9s	9b92c8948d	xmaker: fix quantity truncation and add check for min quantity n min notional	2022-01-09 00:30:18 +08:00
c9s	cb189d885c	fix backtest for limit maker order and bollpp strategy	2022-01-08 02:18:44 +08:00
c9s	f4ebae17bb	xmaker: when recover the trade, notify	2022-01-07 13:13:57 +08:00
c9s	a49d001c29	xmaker: add trade scanner	2022-01-07 01:03:12 +08:00
c9s	41574a2390	xmaker: use millisecond jitter from the util package	2022-01-07 00:14:24 +08:00
c9s	259771b0b0	all: pull out the graceful cancel process to the local active book	2022-01-07 00:10:40 +08:00
c9s	1d5406ef21	xmaker: always update maker market	2022-01-06 23:27:06 +08:00
c9s	c8bf85f4e2	xmaker: improve pips	2022-01-05 11:34:07 +08:00
c9s	e997220321	xmaker: fix ask pips	2022-01-05 11:32:56 +08:00
c9s	6ff24e713e	xmaker: fix notification format	2022-01-01 01:34:48 +08:00
c9s	6055f90680	xmaker: add cover and uncover logs	2021-12-31 15:26:51 +08:00
c9s	1116fc1de1	session: print klines only when debug-kline is enabled	2021-12-31 15:13:26 +08:00
c9s	899e8d2d58	Revert "xmaker: fix s.state.CoveredPosition.AtomicAdd add" ... This reverts commit 5999dc1151.	2021-12-31 14:23:02 +08:00
c9s	5999dc1151	xmaker: fix s.state.CoveredPosition.AtomicAdd add	2021-12-31 02:00:39 +08:00
c9s	aaa52ecea4	xmaker: remove unsued localTimeZone var	2021-12-31 01:53:30 +08:00
c9s	f78a7d37a2	xgap: subscribe 1m kline	2021-12-28 02:14:49 +08:00
c9s	8f4ae1e15b	xgap: check balance and adjust order quantity according to the available balance	2021-12-28 02:11:11 +08:00
c9s	958dd97f52	xgap: add SimulateVolume	2021-12-28 01:48:24 +08:00
c9s	1fa03cdfd6	xmaker: add back profit function	2021-12-27 02:59:55 +08:00
c9s	f7c39290a0	call tradeCollector process to check trades	2021-12-27 00:51:57 +08:00
c9s	dcdf33e2c9	xmaker: pull out notifyTrade to a single callback	2021-12-27 00:12:35 +08:00
c9s	65da02af2c	xmaker: call TruncateQuantity when the quantity is adjusted	2021-12-26 15:45:39 +08:00
c9s	902e27ede4	xmaker: truncate quantity when hedging	2021-12-26 15:44:41 +08:00
c9s	05a0745d08	fix InitExchange for publicOnly session	2021-12-26 15:29:42 +08:00
c9s	30a7ca1ce1	rename gap to xgap	2021-12-26 15:13:51 +08:00
c9s	1c54e59d55	xmaker: fix trade handling	2021-12-26 12:10:10 +08:00
なるみ	4a8be9cc1a	Fix log	2021-12-22 02:04:44 +08:00
なるみ	2999e41ef0	Validate config	2021-12-22 01:59:38 +08:00
なるみ	41d4001872	Add log	2021-12-22 01:59:25 +08:00
Yo-An Lin	1ab20e6397	Merge pull request #381 from narumiruna/maxamount ... strategy: rebalance: adjust quantity by max amount	2021-12-21 20:20:44 +08:00
なるみ	531805a449	Adjust quantity by max amount	2021-12-20 23:46:22 +08:00
Andy Cheng	e4bdb1de06	strategy: allow setting the interval and the window for trigger MA	2021-12-19 18:28:47 +08:00
Andy Cheng	d281182432	strategy: fix support strategy criteria	2021-12-19 17:53:34 +08:00
Yo-An Lin	d531e041dd	Merge pull request #357 from narumiruna/rebalance ... feature: add portfolio rebalancing strategy	2021-12-14 12:01:07 +08:00
なるみ	f320d78f2f	Refactor	2021-12-14 02:18:08 +08:00
なるみ	f494a0f514	Initial commit of rebalance strategy	2021-12-13 05:19:44 +08:00
austin362667	1703fff8b2	types: refactor Position and related files	2021-12-11 19:16:16 +08:00
c9s	ca85aa69e6	pull out global premium index type and funding rate type	2021-12-09 00:10:18 +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	513a799ced	fix ewma calculation	2021-11-22 02:14:44 +08:00
c9s	7a3963b34e	techsignal: if it's already high funding rate, do not show change	2021-11-06 15:23:52 +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	ed1d0ea27e	add xnav strategy	2021-10-29 10:40:14 +08:00
c9s	6cb593cd90	techsignal: use realtime funding rate	2021-10-20 14:01:19 +08:00
c9s	1e6692ec8d	rename funding rate query method name	2021-10-19 15:29:55 +08:00
c9s	af602df302	techsignal: add math.Round for quote volumes	2021-10-18 20:06:23 +08:00
c9s	3a68d9dae4	techsignal: fix arg cast	2021-10-18 19:40:51 +08:00
c9s	721d63bee0	techsignal: add skip log	2021-10-18 11:10:54 +08:00
c9s	ebc61de946	techsignal: fix ma subscription	2021-10-18 09:00:56 +08:00
c9s	d446dbbed7	bollpp: send profit stat notification	2021-10-18 01:16:46 +08:00
c9s	d6b707c832	bollpp: fix order quantity	2021-10-18 00:56:22 +08:00
c9s	0bd32094ee	bollpp: improve bolling ping pong maker	2021-10-18 00:42:01 +08:00
c9s	759b6a812b	techsignal: fix funding rate diff	2021-10-17 22:26:04 +08:00
c9s	a3f68d7b72	xmaker: use bbgo.NewPositionFromMarket	2021-10-17 22:24:57 +08:00
c9s	450b7bb61e	bollpp: improve boll ping pong strategy with profit stats	2021-10-17 22:23:34 +08:00
c9s	77e7f814d9	support: refactor PercentageTargetStop logics	2021-10-15 16:10:57 +08:00
c9s	a2c29f4519	support: remove legacy resistance code	2021-10-15 12:38:16 +08:00
c9s	d704e19f04	move signedPercentage method to fixedpoint	2021-10-15 12:22:53 +08:00
c9s	952bdf8218	move currency formatter to market struct	2021-10-15 11:50:37 +08:00
c9s	790b3357d7	techsignal: adjust funding rate notification	2021-10-15 11:13:00 +08:00
c9s	4523135012	techsignal: add funding rate checker	2021-10-14 23:01:10 +08:00
c9s	e7fe443cbe	show kline in the notification	2021-10-14 14:32:49 +08:00
c9s	fbbefe2878	techsignal: show interval in the message	2021-10-14 14:30:45 +08:00
c9s	a6848a6af4	add strategy/techsignal	2021-10-14 14:24:08 +08:00
c9s	4c2897a86d	use Float64 indicator from the types package	2021-10-14 13:15:08 +08:00
c9s	4c061439d3	rename buyandhold to pricedrop	2021-10-14 13:10:00 +08:00
c9s	768a88247b	rename bpp to bollpp (bollinger pingpong)	2021-10-14 12:52:54 +08:00
c9s	6e7f12ca9f	rename trailingstop to emastop	2021-10-14 12:04:56 +08:00
c9s	e2f58d0466	xmaker: use report ticker to report profit stats	2021-10-14 08:53:44 +08:00
c9s	d3fa0a964b	bbgo: add slack attachment support for profit	2021-10-14 01:27:50 +08:00
c9s	e4281b1a02	xmaker: update notification message with strategy ID	2021-10-14 01:27:37 +08:00
c9s	bbc1775ec5	xmaker: update symbol, base, quote currency to profit stats	2021-10-14 01:26:40 +08:00
c9s	8374c98609	xmaker: fix time type casting	2021-10-14 01:26:31 +08:00
c9s	5039a43413	bbgo: move pnl formating to the bbgo package	2021-10-14 01:26:11 +08:00
c9s	45645d0a3d	use the profit struct to pass profit info	2021-10-08 19:16:40 +08:00
c9s	d058125f78	bbgo: refactor profit stats	2021-10-08 14:57:44 +08:00
c9s	9e93cd66de	strategy: update trade collector api	2021-10-08 13:24:14 +08:00
c9s	8f74c106d6	support: merge stash	2021-10-08 13:14:21 +08:00
c9s	184f93ce79	support: fix interval check	2021-10-08 13:13:49 +08:00
c9s	01de2c5f66	support: fix long term ema kline subscription	2021-10-08 13:13:49 +08:00
c9s	f97eb8914a	support: add resistance check	2021-10-08 13:13:49 +08:00
c9s	1091010f64	support: move property configuration to the top	2021-10-08 13:13:49 +08:00
c9s	3539047a39	support: show ema price	2021-10-08 13:13:49 +08:00
c9s	6917b98a74	schedule: show closed price	2021-10-08 11:59:23 +08:00
c9s	f0503b99a1	schedule: add interval check	2021-10-08 11:58:50 +08:00