91 Commits

Author	SHA1	Message	Date
c9s	fa2c0be6a3	xdepthmaker: improve and fix order generator	2024-11-17 17:50:37 +08:00
c9s	39b2354f08	xdepthmaker: remove price truncation	2024-11-16 16:46:24 +08:00
c9s	b2b363ba42	depth: fix early snapshot id checking	2024-11-16 14:58:05 +08:00
c9s	e0d3013866	xdepthmaker: separate a stream for order book	2024-11-16 02:47:22 +08:00
c9s	9cced25ffb	xdepthmaker: use pips	2024-11-16 02:32:18 +08:00
c9s	ae7d5e9dd8	xdepthmaker: call DebugSubmitOrders	2024-11-16 01:32:32 +08:00
c9s	69f49d6a86	xdepthmaker: remove unused OrderCancelWaitTime and add source book price warning	2024-11-16 00:55:02 +08:00
c9s	0ed1d385c1	xdepthmaker: subscribe full book	2024-11-16 00:47:45 +08:00
c9s	2dca9762e2	take off disconnectC	2024-11-16 00:37:08 +08:00
c9s	11394ae650	xdepthmaker: update metrics when maxLayer == 0	2024-11-16 00:36:24 +08:00
c9s	e8944082a7	metrics: make the metrics name consistent and update best ask/bid prices	2024-11-16 00:17:06 +08:00
c9s	5c6a00cc87	metrics: add maker metrics for xdepthmaker	2024-11-16 00:05:26 +08:00
c9s	9d2e61dc6e	tradingutil: improve UniversalCancelAllOrders by querying open orders	2024-11-15 23:35:18 +08:00
c9s	e379e4c97d	all: handle AllAuthedC timeout from the caller	2024-11-15 02:03:22 +08:00
c9s	eae2d63ac1	all: move jitter helpr to a single package	2024-10-28 17:28:56 +08:00
c9s	f776914e8c	do not return when failed cleaning up orders	2024-09-27 21:23:11 +08:00
c9s	4661ec629d	xdepthmaker: add priceImpactRatio detection	2024-09-27 20:14:34 +08:00
c9s	e8c063c09b	xdepthmaker: support countery party 5 hedge and force full replenish	2024-09-27 18:43:09 +08:00
c9s	79b636fa02	move bbo monitor to bbgo package	2024-09-27 18:43:09 +08:00
c9s	091eb5d9c5	xdepthmaker: return when we can't clean up the open orders	2024-09-27 14:27:20 +08:00
c9s	c07661af57	all: refactor depthmaker with connectivity	2024-09-27 13:24:03 +08:00
c9s	431d6964d5	xdepthmaker: split quote worker and hedge worker	2024-09-26 17:57:12 +08:00
c9s	1b5da22c90	xdepthmaker: fix coveredPosition reduction	2024-09-25 18:16:04 +08:00
c9s	f4e905833c	xdepthmaker: improve HedgeMaxOrderQuantity check	2024-09-25 18:16:03 +08:00
c9s	42cd3cba1e	xdepthmaker: clean up todo	2024-09-25 18:16:03 +08:00
c9s	67fd15c88f	xdepthmaker: log covered position	2024-09-25 18:16:03 +08:00
c9s	e11db4a2d1	xdepthmaker: avoid using the same depth price for the new maker order	2024-09-25 18:16:02 +08:00
c9s	6a5ab424c9	xdepthmaker: add hedgeMaxOrderQuantity protection	2024-09-25 15:52:23 +08:00
c9s	329b8a40d9	xdepthmaker: adjust covered position when order is canceled	2024-09-25 13:36:31 +08:00
c9s	60d5126b61	xdepthmaker: add HedgeStrategyBboQueue1 hedge method	2024-09-24 17:10:50 +08:00
c9s	59191cf6bf	xdepthmaker: support bbgo counter party 1 hedge method	2024-09-24 16:33:53 +08:00
c9s	566234d3ab	xdepthmaker: rename last price var to just price	2024-09-24 16:14:03 +08:00
c9s	e7c76ddd26	xdepthmaker: refactor hedge methods	2024-09-24 16:12:17 +08:00
c9s	61ea41d999	xdepthmaker: simplify hedge	2024-09-23 22:16:53 +08:00
c9s	b02580f9f6	xdepthmaker: remove shared mutex lock usage	2024-09-23 18:28:46 +08:00
c9s	345c92c295	all: improve UniversalCancelAllOrders and add mutex to covered position	2024-09-23 18:26:23 +08:00
c9s	afac81a3e8	all: integrate metrics into stream book	2024-08-24 21:22:34 +08:00
c9s	9911a4f711	all: fix converter initialization	2024-08-12 15:56:24 +08:00
c9s	1b0d4599e2	all: add trade converter to trade pnl fixer	2024-08-12 15:02:02 +08:00
c9s	473a6bc108	xdepthmaker: set converter manager	2024-08-10 15:50:20 +08:00
c9s	1ad2bc5f34	core: add Initialize() method to the converter interface	2024-08-08 17:37:58 +08:00
c9s	fad7ef219e	xdepthmaker: separate hedge symbol	2024-08-07 16:01:56 +08:00
c9s	d982524824	liquiditymaker: refactor profit fixer	2024-07-08 14:15:15 +08:00
c9s	99edfb61bf	integrate aggregatePrice method	2024-05-23 16:30:43 +08:00
c9s	1c567d7146	pull out AverageDepthPrice from xdepthmaker	2024-05-23 15:22:45 +08:00
c9s	f609b1cdc4	simplify profitFixer and apply it to xfunding	2024-03-06 22:39:43 +08:00
c9s	6a24059624	common: move out profit fixer to strategy/common	2024-03-06 20:31:53 +08:00
c9s	441ebbdbe5	xdepthmaker: add notification	2024-03-06 17:48:53 +08:00
c9s	188231e2fb	add more logs to profitFixer	2024-03-06 17:47:18 +08:00
c9s	be89292cbb	xdepthmaker: another fix	2024-03-06 17:19:50 +08:00