6035 Commits

Author	SHA1	Message	Date
Andy Cheng	d2f946e349	improve/migration: indices for sqlite	2023-12-22 12:00:14 +08:00
Andy Cheng	0ac720c4cb	improve/backtest: backtest with futures klines	2023-12-22 11:55:11 +08:00
Andy Cheng	66718e0d37	improve/backtest-sync: set exchange to use futures	2023-12-21 18:19:28 +08:00
Andy Cheng	c82cbbc172	fix/futures-kline-sync: typo	2023-12-21 16:52:52 +08:00
narumi	7f0a4a9953	apply inventory-skew to xfixedmaker	2023-12-21 16:39:23 +08:00
narumi	f160ea856f	apply inventory-skew to fixedmaker	2023-12-21 16:29:46 +08:00
Andy Cheng	6809efa696	improve/db: save futures kilne to futures table	2023-12-21 16:19:32 +08:00
narumi	8ecba4378c	inventory skew	2023-12-21 16:03:35 +08:00
Andy Cheng	5b0b5428fb	improve/db: query futures kilne if session 'futures' is true when sync	2023-12-21 15:47:24 +08:00
Andy Cheng	d5cbcc3fb2	improve/db: add futures kilne sqlite tables	2023-12-21 12:50:38 +08:00
Andy Cheng	9870ea0d6c	improve/db: add futures kilne tables	2023-12-21 12:33:00 +08:00
なるみ	7f8a331373	Merge pull request #1465 from c9s/narumi/rebalance/fix-position-and-profit ... FIX: [rebalance] fix position map and profit stats map	2023-12-20 23:59:05 +08:00
c9s	f292387886	bump version to v1.55.4	2023-12-20 22:47:29 +08:00
c9s	3ba1621590	xdepthmaker: simplify covered handler registration	2023-12-20 22:28:20 +08:00
c9s	58321e8aa5	xdepthmaker: update instance id format	2023-12-20 22:20:40 +08:00
c9s	eb36ed6926	xdepthmaker: remove the shared trade collector and order store, add mutex for covered position	2023-12-20 21:54:32 +08:00
narumi	7b121b10be	rebalance on order filled	2023-12-20 20:35:43 +08:00
narumi	762a09042a	graceful cancel orders	2023-12-20 20:26:34 +08:00
narumi	da02c926be	fix profit stats and position	2023-12-20 20:21:34 +08:00
chiahung.lin	bfd9c8ac64	FEATURE: run state machine ... FEATURE: support recover FEATURE: add order into orderStore and recover position recover position/budget FEATURE: support recover budget	2023-12-20 16:02:37 +08:00
c9s	a4f996c963	Merge pull request #1393 from c9s/strategy/emacross ... STRATEGY: add emacross strategy	2023-12-20 15:50:52 +08:00
c9s	311ba3b2ac	bollmaker: fix ema cross subscription	2023-12-20 12:09:19 +08:00
c9s	46329c3a24	bollmaker: add ema cross signal to bollmaker strategy	2023-12-19 22:17:33 +08:00
c9s	6a07af80d8	bollmaker: define EMACrossSetting	2023-12-19 22:04:24 +08:00
c9s	4894a59756	fixedmaker, liquiditymaker: update initialize method	2023-12-19 21:59:44 +08:00
c9s	3dd93b65db	emacross, scmaker: fix strategy initialization	2023-12-19 21:58:50 +08:00
c9s	6abb320bce	emacross: clean up and update config	2023-12-19 21:57:51 +08:00
c9s	85e87e10b6	cmd: add emacross to builtin	2023-12-19 21:57:51 +08:00
c9s	25c895bb09	add emacross strategy	2023-12-19 21:57:51 +08:00
c9s	ec4f43b100	bollmaker: support custom quantity	2023-12-19 21:55:38 +08:00
c9s	e855214073	bump version to v1.55.3	2023-12-18 22:42:20 +08:00
c9s	47b12edc4d	xdepthmaker: call bbgo.Sync on shutdown	2023-12-18 22:32:13 +08:00
c9s	84085e09b5	xdepthmaker: fix duplicated binding	2023-12-18 22:32:13 +08:00
c9s	2c9583cccb	xdepthmaker: remove redundant notification	2023-12-18 22:32:13 +08:00
c9s	882c1273b3	bbgo: pull out findPossibleMarketSymbols and add tests	2023-12-18 22:09:04 +08:00
c9s	671ce872c4	bbgo: fix and improve session UpdatePrice method	2023-12-18 22:01:11 +08:00
c9s	3ac862d122	bump version to v1.55.2	2023-12-18 18:00:40 +08:00
c9s	98468feb73	Merge pull request #1458 from c9s/feature/xdepthmaker ... FIX: [xdepthmaker] final fix	2023-12-18 17:59:38 +08:00
c9s	841229518a	bitget: add more debug logs for orderEvent and tradeEvent	2023-12-18 16:31:04 +08:00
c9s	92aa7652d5	bbgo: add recordPosition log	2023-12-18 15:49:20 +08:00
chiahung.lin	eda072327c	FIX: move common.Strategy to Initialize	2023-12-18 14:48:13 +08:00
c9s	038d180711	bitget: check bitget websocket trade id and order status	2023-12-18 14:44:33 +08:00
c9s	f19ed7abe0	xdepthmaker: initialize s.CrossExchangeMarketMakingStrategy in Initialize()	2023-12-18 14:31:51 +08:00
Edwin	c5decf9bf8	pkg/exchange: support v2 get asset api	2023-12-18 12:17:49 +08:00
c9s	3e6d6e10b3	all: move Initialize() call out, call it before the LoadState	2023-12-18 12:09:03 +08:00
c9s	19636ae429	bump version to v1.55.1	2023-12-15 19:20:01 +08:00
c9s	e7c3582334	fix: import tzdata package	2023-12-15 19:19:06 +08:00
c9s	8690977b5c	bump version to v1.55.0	2023-12-14 18:05:02 +08:00
c9s	2c7e42922b	Merge pull request #1429 from c9s/edwin/bybit/get-fee-rate-on-private-stream-only	2023-12-13 18:50:19 +08:00
chiahung.lin	e86b1bb90f	REFACTOR: make all common.Strategy from pointer to value	2023-12-13 17:36:30 +08:00
c9s	6dd3766776	Merge pull request #1451 from c9s/feature/xdepthmaker ... CHORE: [xdepthmaker] improve shutdown process	2023-12-13 16:47:01 +08:00
c9s	c870defd47	xdepthmaker: improve shutdown process	2023-12-13 16:29:07 +08:00
c9s	61fb795e37	Merge pull request #1450 from c9s/feature/xdepthmaker ... IMPROVE: [strategy] xdepthmaker final fine-tune	2023-12-13 15:50:35 +08:00
c9s	c170eac991	bbgo: fix active order book graceful cancel checking logics	2023-12-13 15:25:52 +08:00
chiahung.lin	e3d51777d3	rename	2023-12-13 14:16:02 +08:00
chiahung.lin	092d5cfb07	FEATURE: cancel maker orders and open take profit order	2023-12-13 14:16:02 +08:00
c9s	115c2dc139	bbgo: refactor active orderbook	2023-12-13 14:00:53 +08:00
Edwin	29550f0013	pkg/exchange: we don't need the fee rate in the public stream	2023-12-13 13:53:58 +08:00
c9s	6cbb17fb76	all: refactor log formatter functions	2023-12-13 09:47:18 +08:00
c9s	f3ce4c2cc6	bitget: refactor debug function tool	2023-12-13 09:28:34 +08:00
c9s	b022a6119f	bitget: add bitget log prefix	2023-12-13 09:28:34 +08:00
c9s	cc3302816a	Merge pull request #1448 from c9s/c9s/fix-grid2-memory-leaks ... FIX: [core] solve memory leaks	2023-12-13 09:01:56 +08:00
c9s	4e26b9d2ad	core: pull out cool trade period to a constant	2023-12-13 08:55:26 +08:00
c9s	21c8593c45	core: add exceededMaximumTradeStoreSize check	2023-12-12 18:26:51 +08:00
c9s	685f332495	core: enable trade store's trade pruning in NewTradeCollector	2023-12-12 18:26:51 +08:00
c9s	97c39921bd	core: adjust TradeExpiryTime to 3 hour	2023-12-12 18:26:51 +08:00
c9s	8025d05eac	core: log trades pruning	2023-12-12 18:18:34 +08:00
Edwin	c2724c4f62	pkg/exchange: fix price is zero when order not executed	2023-12-12 17:30:51 +08:00
c9s	c5282a8f9b	bitget: add more debug logs	2023-12-12 16:37:43 +08:00
c9s	158c48b807	bbgo: change verbose info log to debug log	2023-12-11 20:46:17 +08:00
c9s	8c6724b264	xdepthmaker: fix pricing book copy by avoiding using CopyDepth	2023-12-11 17:59:16 +08:00
c9s	9f14215ce8	bbgo: reduce logs	2023-12-11 17:59:02 +08:00
c9s	8c13092d8b	types: add slice book test for copy depth	2023-12-11 17:58:48 +08:00
c9s	98468b39c7	xdepthmaker: change priceHeartBeat alert to warning	2023-12-11 17:05:07 +08:00
c9s	cedd790066	xdepthmaker: add lastOrderReplenishTime to prevent replacing orders too frequent	2023-12-11 17:02:17 +08:00
c9s	de7eb8453b	xdepthmaker: refactor auth binding to bindAuthSignal	2023-12-11 17:00:25 +08:00
c9s	2c3ccdf030	xdepthmaker: more improvements ... - place orders with balance quota calculation - wait for authed event - clean up open orders on start	2023-12-11 16:56:19 +08:00
c9s	3e382e00bf	Merge pull request #1443 from c9s/feature/xdepthmaker ... IMPROVE: [bitget] improve order type handling	2023-12-08 15:34:54 +08:00
c9s	0a3269e38e	Merge pull request #1441 from c9s/c9s/fix-sync-since-time-override ... FIX: fix since time override	2023-12-08 15:33:48 +08:00
c9s	b9c4002704	bitget: handle order type limit maker	2023-12-08 15:18:34 +08:00
c9s	c74ba4f406	Merge pull request #1440 from dydysy/fix_dot_calc ... FIX: [indicator] Possibly incorrect assignment	2023-12-08 09:51:30 +08:00
c9s	33f0571511	bbgo: fix since time override	2023-12-08 09:38:43 +08:00
c9s	3048a13f0b	xdepthmaker: replace AtomicAdd with Add	2023-12-08 00:21:53 +08:00
c9s	ab3579700f	builtin: register xdepthmaker	2023-12-07 17:48:35 +08:00
c9s	cd06ffd21f	xdepthmaker: fix order call	2023-12-07 17:38:58 +08:00
c9s	214f9fe75e	bitget: improve bitget websocket depth subscription	2023-12-07 17:38:57 +08:00
c9s	e82605f658	xdepthmaker: skip test for dnum	2023-12-07 16:18:24 +08:00
c9s	35dabe8a72	xdepthmaker: fix aggregatePrice quantity issue	2023-12-07 16:18:24 +08:00
c9s	b8fb2ac478	bbgo: fix active orderbook symbol order grouping	2023-12-07 16:18:24 +08:00
c9s	f03ac52ce5	activeOrderBook: use orderMap instead of orderStore	2023-12-07 16:18:24 +08:00
c9s	d14527b5cf	xdepthmaker: apply FullReplenishInterval from config	2023-12-07 16:18:24 +08:00
c9s	25b04cb36c	xdepthmaker: add fullReplenishTicker	2023-12-07 16:18:24 +08:00
c9s	888a550c80	xdepthmaker: support partial maker order replenish	2023-12-07 16:18:24 +08:00
c9s	f21170aa5d	types: add order sorting by price	2023-12-07 16:18:23 +08:00
c9s	96f6f9e0d0	exchange/retry: add QueryOrderUntilCancelled	2023-12-07 16:18:23 +08:00
c9s	c2c1eca4c9	types: fix price heart beat alert tests	2023-12-07 16:18:23 +08:00
c9s	a82bc86455	xdepthmaker: update updateQuote method	2023-12-07 16:18:23 +08:00
c9s	2f1a700b89	remove xpuremaker	2023-12-07 16:18:23 +08:00
c9s	e0e9876902	improve price hart beat usage	2023-12-07 16:18:23 +08:00
c9s	46b3a81b07	xdepthmaker: add tests to the generateMakerOrders	2023-12-07 16:18:23 +08:00
c9s	263c0883d1	bbgo: solve the scale when unmarshalling the json	2023-12-07 16:18:23 +08:00
c9s	d123e89a1b	xdepthmaker: document covered position	2023-12-07 16:18:23 +08:00
c9s	1e27f53891	xdepthmaker: use hedge order executor	2023-12-07 16:18:23 +08:00
c9s	2c3792b290	xdepthmaker: update Validate() method	2023-12-07 16:18:23 +08:00
c9s	18968c67a1	xdepthmaker: remove disable hedge option	2023-12-07 16:18:23 +08:00
c9s	10a71d83f1	xdepthmaker: move global position profit handling	2023-12-07 16:18:23 +08:00
c9s	99723fc1f4	xdepthmaker: remove legacy s.activeMakerOrders	2023-12-07 16:18:23 +08:00
c9s	e0686d11c8	xdepthmaker: clean up duplicated code	2023-12-07 16:18:23 +08:00
c9s	6b28910139	xdepthmaker: refactor CrossSubscribe	2023-12-07 16:18:23 +08:00
c9s	ed63b23e2a	xdepthmaker: refactor CrossRun with CrossExchangeMarketMakingStrategy	2023-12-07 16:18:22 +08:00
c9s	e67fa19323	types: extend PeriodProfitStats fields	2023-12-07 16:18:22 +08:00
c9s	df2daf33a7	types: add PeriodProfitStats	2023-12-07 16:18:22 +08:00
c9s	53bf443b1d	xdepthmaker: first commit	2023-12-07 16:18:22 +08:00
chiahung.lin	6857734282	rename	2023-12-07 11:29:42 +08:00
chiahung.lin	2982be1cbc	rename dca maker orders to open position orders	2023-12-07 11:27:28 +08:00
dydysy	05d446cb54	FIX: [indicator] Possibly incorrect assignment	2023-12-06 18:42:10 +08:00
chiahung.lin	c67737a6d6	use retry package	2023-12-06 16:16:17 +08:00
chiahung.lin	4aa6ea3a46	FEATURE: use notional based to crease dca maker orders	2023-12-06 11:28:45 +08:00
chiahung.lin	60003fc472	rename somme part	2023-12-06 11:28:45 +08:00
chiahung.lin	445f0f1c4c	FEATURE: prepare open maker orders function	2023-12-06 11:28:45 +08:00
chiahung.lin	c906d6a74d	rename variable	2023-12-06 11:27:06 +08:00
chiahung.lin	d54b7365dd	FEATURE: use types.OrderMap to avoid missing and duplicated orders	2023-12-05 20:10:37 +08:00
chiahung	a1d98e25c6	FEATURE: use max v3 new open orders api	2023-12-05 19:57:00 +08:00
chiahung.lin	165e788c3d	fix	2023-12-05 16:59:26 +08:00
chiahung.lin	9fab37a284	use getLaunchDate	2023-12-05 15:34:31 +08:00
chiahung.lin	21c037a877	FIX: fix list closed orders api limit	2023-12-04 20:01:54 +08:00
kbearXD	45c2ee0ed8	Merge pull request #1432 from c9s/chiahung/recover-with-origin-stats ... FIX: use original status for recover	2023-11-30 15:10:52 +08:00
c9s	92b6ee0264	Merge pull request #1431 from c9s/narumi/fix-order-status-length ... FIX: fix order status length	2023-11-30 14:02:29 +08:00
root	cdeb0bc908	FIX: format minimal profit to percent	2023-11-29 18:37:28 +08:00
root	a4ccad9463	FIX: deactivate exit when position in closing	2023-11-29 18:26:01 +08:00
c9s	4bf93b3bfa	Merge pull request #1430 from c9s/c9s/fix-is-newer-check ... FIX: add executed quantity check when order status is partially filled	2023-11-29 17:52:39 +08:00
c9s	55cbe806d9	bbgo: fix isNewerOrderUpdate check and tests	2023-11-25 13:22:03 +08:00
c9s	326a0c6128	bbgo: replace update time check with isNewerOrderUpdate func call	2023-11-24 19:00:51 +08:00
c9s	6b27722b03	bbgo: rename func isNewerOrderUpdate	2023-11-24 19:00:51 +08:00
c9s	9e663916ed	bbgo: add test case for isNewerUpdateTime	2023-11-24 19:00:51 +08:00
c9s	8afd3c9ee1	bbgo: add test Test_isNewerUpdate	2023-11-24 19:00:51 +08:00
c9s	8f5f5dfeed	bbgo: add executed quantity check when order status is OrderStatusPartiallyFilled	2023-11-24 19:00:51 +08:00
chiahung	19be49fca8	FIX: use original status for recover	2023-11-24 14:17:19 +08:00
chiahung.lin	800148b271	remain only template part	2023-11-23 16:45:28 +08:00
chiahung.lin	aea3abae07	FEATURE: new strategy dca2 perparation	2023-11-23 16:32:34 +08:00
narumi	c30dd24550	fix order status length	2023-11-23 14:53:22 +08:00
kbearXD	75b8be5e17	Merge pull request #1405 from c9s/chiahung/grid2/use-rest-quote ... FIX: [grid2] use rest quote to place the last order when opening grid	2023-11-23 12:46:53 +08:00
kbearXD	9722c3eb49	Merge pull request #1421 from c9s/feature/maxapi/get-closed-orders ... FEATURE: use new max v3 api to query closed orders by timestamp	2023-11-23 12:46:30 +08:00
Edwin	dbac45aa76	pkg/util: rm retry	2023-11-21 18:01:21 +08:00
Edwin	87d763598f	pkg/exchange: use backoff retry	2023-11-21 18:01:21 +08:00
Edwin	51718b6eb2	pkg/exchnage: add log rate limiter to stream event	2023-11-21 18:01:18 +08:00
chiahung	7cb8da08cd	use asc as order by to query closed orders	2023-11-21 17:14:33 +08:00
chiahung	102eb61188	remove unused log	2023-11-21 17:06:20 +08:00
c9s	ae3f3e1f70	bump version to v1.54.0	2023-11-20 17:32:20 +08:00
c9s	c360c6045c	bbgo: call retry.QueryAccountUntilSuccessful in the startup time	2023-11-20 16:20:39 +08:00
c9s	7c59e3ddc4	bbgo: add setAccount for account mutex protection	2023-11-20 16:15:33 +08:00
c9s	3ea333fd52	bbgo: add DisableStartupBalanceQuery option	2023-11-20 16:14:09 +08:00
chiahung.lin	ce76ad3c03	use OrderByType	2023-11-20 15:32:04 +08:00
なるみ	08a09c2fee	Merge pull request #1408 from c9s/narumi/wise	2023-11-17 19:48:08 +08:00
c9s	eac0195815	bbgo: truncate trade buffer if it gets too large	2023-11-17 17:15:08 +08:00
c9s	c248b2a323	bbgo: remove local trade snapshot from db	2023-11-17 17:15:08 +08:00
c9s	e5033c093a	grid2: check order's original status for updating	2023-11-17 17:14:52 +08:00
c9s	5795a71111	binance,max: store original order status into the order struct	2023-11-17 17:14:52 +08:00
c9s	b307275e60	types: add order.originalStatus	2023-11-17 17:14:52 +08:00
c9s	fe9dc9a79d	bbgo: change pending update log level to info	2023-11-17 16:57:48 +08:00
c9s	3cfc810f8d	max: group the request building statement	2023-11-17 16:57:47 +08:00
c9s	d5fe13272e	service: log sync start time	2023-11-17 16:57:47 +08:00
c9s	f223703247	max: force type check on max.Exchange	2023-11-17 16:57:47 +08:00
chiahung.lin	592cdede66	FEATURE: use new max v3 api to query closed orders by timestamp	2023-11-17 16:21:20 +08:00
Edwin	f46ca57bb2	pkg/types: refactor exchange name	2023-11-17 16:15:56 +08:00
Edwin	4f224c1c2a	*: fix comments	2023-11-17 12:24:04 +08:00
Edwin	a074f8c57a	pkg/types: support bitget, bybit on exhcange unmrashal	2023-11-16 14:00:59 +08:00
Edwin	5eb1ddb49a	pkg/exchange: fix out-of-index	2023-11-16 13:33:42 +08:00
Edwin	93f8b79b69	pkg/exchange: use GTC if time-in-force empty	2023-11-16 13:33:17 +08:00
Edwin	6d39c9a5d1	pkg/exchange: use the now - 90 days instead of return err if since is 90 days earlier	2023-11-15 22:22:55 +08:00
Edwin	687ffe985c	pkg/exchange: use time.Time instead of int64 to represent time	2023-11-15 22:20:26 +08:00
Edwin	cf527a6f05	pkg/exchange: make the CTime and UTime to qualified name	2023-11-15 17:16:07 +08:00
Edwin	4f94f7acc0	pkg/exchange: implement order trade user stream	2023-11-15 17:16:05 +08:00
narumi	fdc4c12ac1	add wise rate api	2023-11-15 15:50:39 +08:00
Edwin	720fe2e12e	pkg/bbgo, pkg/types: add new interface PrivateChannelSymbolSetter	2023-11-15 10:47:16 +08:00
bailantaotao	580c6d2030	Merge pull request #1417 from c9s/edwin/skip-ping-pong-event ... REFACTOR: [stream] skip pong event on emitting raw message	2023-11-14 20:49:13 +08:00
bailantaotao	43c50b46a6	Merge pull request #1415 from c9s/edwin/bitget/use-v2-tickers ... FEATURE: [bitget] use v2 tickers	2023-11-14 20:48:52 +08:00
Edwin	562f85af75	pkg/exchange: rename v2Client -> v2client	2023-11-14 20:42:11 +08:00
Edwin	5808e0184b	pkg/types: skip pong event on emitting raw message	2023-11-14 20:41:07 +08:00
bailantaotao	8ca8e4c946	Merge pull request #1416 from c9s/edwin/bitget/add-restful-api-validator ... FEATURE: [bitget] add response validator	2023-11-14 20:38:15 +08:00
Edwin	53bce6d5c1	pkg/exchange: use v2 query ticker	2023-11-14 15:40:45 +08:00
Edwin	737f2fc86d	pkg/exchange: add response validator	2023-11-14 15:26:07 +08:00
Edwin	5e5b8e1388	pkg/exchange: use v2 symbols	2023-11-14 14:35:16 +08:00
Edwin	eb04eaeea4	pkg/exchange: types.kline end time should -1 time.Millisecond	2023-11-14 14:21:31 +08:00
Edwin	755ea5e427	pkg/exchange: implement query kline api	2023-11-14 14:21:29 +08:00
bailantaotao	784030821e	Merge pull request #1406 from c9s/edwin/bitget/add-balance-event ... FEATURE: [bitget]add balance event	2023-11-14 11:12:41 +08:00
bailantaotao	594ad89c67	Merge pull request #1409 from c9s/edwin/bybit/pint-log ... CHORE: [bybit] print fee rate log	2023-11-13 12:28:55 +08:00
Edwin	ef280077cd	pkg/exchange: print fee rate log	2023-11-13 11:53:41 +08:00
c9s	6fed3ef5f4	Merge pull request #1407 from c9s/feature/environment-config ... FEATURE: add environment config for disabling some klines defaults	2023-11-11 13:18:38 +08:00
c9s	38507f4dd1	bitget: add channel api code	2023-11-11 07:59:44 +08:00
c9s	b28b5e4097	bbgo: add environment config for disabling some klines defaults	2023-11-11 07:42:29 +08:00
Edwin	f49b14ac45	pkg/exchange: add balance event	2023-11-10 22:35:39 +08:00
Edwin	6c96d12d99	pkg/exchange: add login method	2023-11-10 21:56:18 +08:00
Edwin	639947c8b7	pkg/exchange: support cancel order	2023-11-10 16:41:42 +08:00
Edwin	a26b158230	pkg/exchange: support query trades	2023-11-10 16:31:15 +08:00
bailantaotao	58a810ecc9	Merge pull request #1399 from c9s/edwin/bitget/submit-orders ... FEATURE: [bitget] support submit order	2023-11-10 16:02:59 +08:00
Edwin	cb5e305fed	pkg/exchange: support submit order	2023-11-10 15:47:44 +08:00
chiahung	c8c9659dd1	use PricePrecision for quote round up	2023-11-09 17:17:59 +08:00
chiahung	80ea46ca92	FEATURE: use rest quote to place the last order when opening grid	2023-11-09 16:20:11 +08:00
c9s	31fb96c171	bump version to v1.53.0	2023-11-09 12:56:18 +08:00