Commit Graph

86 Commits

Author SHA1 Message Date
c9s
5db4e11167 rewrite trade profit handling 2022-03-14 21:21:58 +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
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