2456 Commits

Author	SHA1	Message	Date
bailantaotao	7461b60b6b	Merge pull request #1299 from bailantaotao/edwin/add-server-time ... pkg/exchange: add time to SliceOrderBook	2023-09-05 16:36:20 +08:00
kbearXD	79d98e857d	Merge pull request #1295 from c9s/feature/grid2/amount-round-down ... FEATURE: round down executed amount to avoid insufficient balance	2023-09-05 14:35:53 +08:00
なるみ	9c104f5776	Merge pull request #1297 from c9s/narumi/reset-profit-stats ... FIX: reset profit stats when over given duration in circuit break risk control	2023-09-05 14:00:52 +08:00
narumi	57198cc6b0	fix: reset profit stats when over given duration in circuit break risk control	2023-09-01 18:57:40 +08:00
Edwin	412d0e0558	*: fix lint	2023-09-01 17:54:43 +08:00
c9s	e74da87e51	grid2: delay start process by 5s	2023-08-31 17:08:00 +08:00
c9s	f24bd3532c	grid2: add 5s delay and <10seconds jitter	2023-08-31 14:08:33 +08:00
c9s	7de6c3d8e4	grid2: add more update logs	2023-08-31 13:59:44 +08:00
c9s	cb0285544e	add lock to recoverActiveOrders	2023-08-31 13:48:56 +08:00
chiahung	9dc7244d8a	FEATURE: round down executed amount to avoid insufficient balance	2023-08-31 12:40:01 +08:00
c9s	20bdf191c3	Merge pull request #1290 from c9s/c9s/grid-disconnect-recover ... FEATURE: [grid2] update local active orders after re-connected	2023-08-21 18:16:05 +08:00
c9s	9105ebce78	deposit2transfer: fix err msg	2023-08-17 17:42:05 +08:00
c9s	c91861ca9a	bbgo: add order update time check	2023-08-17 17:31:24 +08:00
c9s	dda3f25c61	grid2,bbgo: refactor active order book and update order status when re-connected	2023-08-17 16:26:06 +08:00
c9s	5cc09dfb9a	deposit2transfer: improve log format	2023-08-16 12:26:01 +08:00
c9s	252f4fbccc	deposit2transfer: call QuerySpotAccount for getting the spot balance	2023-08-16 12:02:18 +08:00
c9s	255718a54a	deposit2transfer: apply rate limiter on checkDeposits	2023-08-11 19:11:18 +08:00
c9s	6103a9350f	deposit2transfer: add lastAssetDepositTimes for immediate success deposits	2023-08-09 15:54:28 +08:00
c9s	ece8cacd9e	deposit2transfer: use watchingDeposits instead of just deposits	2023-08-08 12:38:59 +08:00
c9s	4a28843a0a	deposit2transfer: fix mutex lock	2023-08-08 12:38:23 +08:00
c9s	073c4562fd	deposit2transfer: refactor deposit check and add more logs	2023-08-08 12:23:17 +08:00
c9s	29727c12be	add deposit2transfer config	2023-08-08 12:14:14 +08:00
c9s	423cb27288	deposit2transfer: add more log messages	2023-08-08 12:08:14 +08:00
c9s	241ce657c3	binance: remove isMargin check	2023-08-08 12:01:30 +08:00
c9s	c7845477b4	deposit2transfer: remove binance spot struct field	2023-08-08 11:58:36 +08:00
c9s	c55a6a46af	deposit2transfer: check confirmation for deposits	2023-08-08 11:20:17 +08:00
c9s	5f40dfa462	deposit2transfer: scan deposit history	2023-08-08 11:20:17 +08:00
c9s	0c6b68c4f6	add deposit2transfer strategy	2023-08-08 11:20:17 +08:00
c9s	85201d0b57	Merge pull request #1271 from c9s/c9s/strategy-convert ... REFACTOR: apply market.GreaterThanMinimalOrderQuantity on both convert and xalign	2023-08-08 11:14:08 +08:00
c9s	c3cce05bdd	xalign: apply market.GreaterThanMinimalOrderQuantity on xalign	2023-08-05 16:49:25 +08:00
c9s	8b6a8aeb7b	convert: move moq check/adjustment to types.Market	2023-08-05 16:39:03 +08:00
c9s	616e9397d4	Merge pull request #1270 from c9s/c9s/strategy-convert ... FEATURE: [strategy] Add convert strategy	2023-08-05 02:46:56 +08:00
c9s	4d293121d7	convert: fix pending quantity collector with trade query	2023-08-05 02:37:53 +08:00
c9s	bc8fe22e70	convert: fix collectPendingQuantity and use graceful order cancel	2023-08-05 02:15:16 +08:00
c9s	348c8a61e4	add convert strategy	2023-08-05 01:59:20 +08:00
Andy Cheng	1130417401	fix/supertrend: use strconv instead of fmt	2023-08-04 11:07:20 +08:00
c9s	cfd5884350	Merge remote-tracking branch 'origin/v1.50'	2023-08-01 13:23:04 +08:00
c9s	4560b47556	grid2: only for positive non-zero fee	2023-07-31 18:12:28 +08:00
c9s	43b8e7870d	grid2: ignore discounted trades	2023-07-31 18:06:20 +08:00
c9s	8a3c89ba91	autoborrow: fix marginAsset.Low calculation	2023-07-25 00:27:43 +08:00
c9s	4cb9ff569a	autoborrow: improve available balance checking	2023-07-25 00:16:05 +08:00
c9s	b7c9ef7983	types: add NotZero() method to filter non-zero balances	2023-07-25 00:11:08 +08:00
c9s	bfb1165304	autoborrow: fix debt checking condition	2023-07-24 23:01:22 +08:00
c9s	a2a062e95b	autoborrow: use debt instead of using b.Borrowed	2023-07-24 22:57:02 +08:00
c9s	a5a9512ef1	autoborrow: check available	2023-07-24 18:23:09 +08:00
c9s	f014213c85	autoborrow: log balances	2023-07-24 18:13:53 +08:00
c9s	106e98afaa	autoborrow: add more logs	2023-07-24 18:05:32 +08:00
c9s	afc5dbb951	Merge remote-tracking branch 'origin/v1.50'	2023-07-24 17:02:08 +08:00
c9s	3bd821261f	tri: fix lint issue	2023-07-22 18:06:53 +08:00
c9s	fad8642a59	xmaker: fix message	2023-07-22 17:34:09 +08:00
c9s	70439f3fd9	xmaker: add tradeScanOverlapBufferPeriod time	2023-07-22 17:30:24 +08:00
c9s	941067670e	xmaker: pull out trade recover go routine	2023-07-22 17:29:16 +08:00
c9s	df1067d309	grid2: simplify removeDuplicatedPins	2023-07-22 11:45:30 +08:00
c9s	461735e043	grid2: add remove duplicated pins and pull out filter price prec func	2023-07-22 11:36:04 +08:00
c9s	b250bf94bc	rsicross: add more conditions to rsicross	2023-07-22 11:23:09 +08:00
c9s	93d10eba5a	autoborrow: improve logging details	2023-07-19 16:58:51 +08:00
gx578007	bded2edaf2	FIX: [grid2] fix upper pin	2023-07-18 16:07:55 +08:00
gx578007	d99aa1f013	FIX: [grid2] fix upper pin	2023-07-18 15:54:23 +08:00
Andy Cheng	e37edb3056	Merge pull request #1198 from andycheng123/feature/profit-tracker ... FEATURE: add ProfitStatsTracker	2023-07-18 11:40:26 +08:00
c9s	8f62665cfd	autoborrow: add another skip log	2023-07-18 11:08:34 +08:00
c9s	e6958f44f0	autoborrow: fix log message	2023-07-18 11:04:43 +08:00
c9s	a0145934ec	autoborrow: show min debt ratio in the message	2023-07-18 11:04:03 +08:00
c9s	3144b640ee	autoborrow: update account after repaying the debts	2023-07-18 11:01:21 +08:00
Andy Cheng	1773c8d155	fix/linregmaker: use float64() to output parameters	2023-07-18 11:00:02 +08:00
Andy Cheng	b9734bca0c	fix/linregmaker: missing line	2023-07-18 10:56:42 +08:00
c9s	84ec320601	autoborrow: show debt and total for debt ratio	2023-07-18 10:54:39 +08:00
Andy Cheng	192d958adc	improve/linregmaker: use strconv	2023-07-17 12:22:09 +08:00
Andy Cheng	e5254e6446	improve/linregmaker: add profit report	2023-07-17 11:45:37 +08:00
Andy Cheng	bc4eae5e39	improve/supertrend: Switch of outputting patameters in profit report	2023-07-17 11:19:10 +08:00
c9s	f8051b3f2b	autoborrow: fix margin warning format	2023-07-14 13:22:42 +08:00
c9s	a9d0242a9d	strategy/autoborrow: add margin level alert	2023-07-14 13:19:54 +08:00
c9s	d6ade1f2fd	autoborrow: use context timeout handling	2023-07-12 15:07:51 +08:00
c9s	7781d5c70f	autoborrow: few improvements: ... - return debt once and update the account - add alert slack mentions	2023-07-12 15:01:15 +08:00
c9s	b1c1caa6af	tri: load test data from static file	2023-07-11 14:07:07 +08:00
Andy Cheng	1a90cd0322	improve/profitStatsTracker: rename InitOld() to InitLegacy()	2023-07-11 10:48:29 +08:00
Andy Cheng	4c1639cf00	fix/profitStatsTracker: market is initiated after strategy Subscribe()	2023-07-11 10:48:28 +08:00
Andy Cheng	ae7ae27d82	improve/profitStatsTracker: rename ProfitTracker to ProfitStatsTracker	2023-07-11 10:48:28 +08:00
Andy Cheng	bcbb27de79	improve/profitTracker: subscribe kline in strategy Subscribe()	2023-07-11 10:48:28 +08:00
Andy Cheng	80170e0397	improve/profitTracker: do not bind in order executor	2023-07-11 10:48:28 +08:00
Andy Cheng	5513330816	feature/profitTracker: fix bugs	2023-07-11 10:48:28 +08:00
Andy Cheng	027acfe3b5	feature/profitTracker: integrate profit report with profit tracker	2023-07-11 10:48:28 +08:00
Andy Cheng	a197352c6e	feature/profitTracker: use profitTracker in Supertrend strategy	2023-07-11 10:48:28 +08:00
c9s	1da94f55e9	Merge pull request #1226 from c9s/c9s/base-strategy ... REFACTOR: pull out base strategy struct	2023-07-10 17:50:12 +08:00
c9s	630b0d476d	scmaker: use dot import to use v2 indicator DSL	2023-07-10 17:17:46 +08:00
c9s	5853434aec	all: move v2 indicator to indicator/v2	2023-07-10 17:17:46 +08:00
c9s	3293866a6c	common: pull out RiskController	2023-07-10 15:27:36 +08:00
c9s	3b6cff8dc7	strategy: move risk control to common.Strategy	2023-07-10 15:24:07 +08:00
c9s	12bb22ae87	rsicross: remove unused funcs	2023-07-09 21:24:56 +08:00
c9s	5c88abe72f	add rsicross strategy	2023-07-09 21:23:42 +08:00
c9s	7c2de46273	pkg: rename base -> common	2023-07-09 19:55:36 +08:00
c9s	c9c058e717	base: simplify naming	2023-07-09 16:04:27 +08:00
c9s	62d394d183	all: moving common strategy functionality to strategy/base	2023-07-09 15:48:07 +08:00
c9s	b47da70909	Merge pull request #1223 from c9s/c9s/google-spreadsheet	2023-07-07 18:35:23 +08:00
c9s	f9eba64816	xfunding: always sync funding fee	2023-07-06 16:02:37 +08:00
c9s	dc16e0c299	xfunding: reset LastFundingFeeTime	2023-07-06 15:58:42 +08:00
c9s	e8922a4c3a	xfunding: support transferIn with zero quantity	2023-07-05 17:18:28 +08:00
c9s	f505dda80f	xfunding: handle reset transfer when starting up	2023-07-05 16:59:10 +08:00
c9s	f6a3be6ff5	xfunding: improve checkAndRestorePositionRisks	2023-07-05 16:48:19 +08:00
c9s	bd347d5aa5	xfunding: log positionRisks	2023-07-05 16:48:19 +08:00
c9s	e4ababd39e	xfunding: fix spot order parameters	2023-07-05 16:48:19 +08:00
c9s	12aad7b292	xfunding: log spot balance	2023-07-05 16:48:19 +08:00
c9s	a766d88d60	xfunding: fix balance check	2023-07-05 16:48:19 +08:00
c9s	017278826b	xfunding: log failed order	2023-07-05 16:48:19 +08:00
c9s	34d42afbec	xfunding: fix syncSpotPosition cancel order issue	2023-07-05 16:48:18 +08:00
c9s	2813ede7ed	xfunding: fix transferOut, and de-leverage the trade amount from the caller	2023-07-05 16:48:18 +08:00
c9s	e82341b2bd	xfunding: add more transfer logs	2023-07-05 16:48:18 +08:00
c9s	5d0bdd19e3	xfunding: always transfer balance out when reducing the futures position	2023-07-05 16:48:18 +08:00
c9s	c818f79932	fix	2023-07-05 16:48:18 +08:00
c9s	84e9b03be7	xfunding: show balance	2023-07-05 16:48:18 +08:00
c9s	7904c73c53	xfunding: use closePosition option when only dust left in the futures position	2023-07-05 16:48:18 +08:00
c9s	d730340b7a	remove diff quantity check	2023-07-05 16:48:18 +08:00
c9s	631203c89e	tri: update symbol file	2023-07-05 16:46:43 +08:00
c9s	f06e37c44f	tri: ignore test in dnum mode	2023-07-05 16:02:11 +08:00
c9s	e19aa8fa10	add tri strategy	2023-07-05 15:51:16 +08:00
c9s	1ad10a9360	all: move trade collector to pkg/core	2023-07-05 15:26:36 +08:00
c9s	f1828beac8	all: move trade store and order store into pkg/core	2023-07-04 21:42:24 +08:00
c9s	adbb6d7f93	riskcontrol: move parameter order	2023-07-04 21:32:34 +08:00
c9s	c8ae36ddfc	riskcontrol: move release position order submission into the pos risk control	2023-07-04 21:31:47 +08:00
c9s	0426c18757	scmaker: initialize order executor before we setup risk control	2023-07-03 17:39:42 +08:00
c9s	ae3f371551	all: refactor risk control and integrate risk control into scmaker	2023-07-03 17:09:13 +08:00
c9s	3052dd5add	scmaker: add liquiditySkew support	2023-07-03 16:22:01 +08:00
c9s	3929eb2090	Merge pull request #1214 from c9s/refactor/bollmaker ... REFACTOR: [bollmaker] upgrade to indicator v2	2023-06-30 12:01:47 +08:00
c9s	085114b244	grid2: add warning message when failed to acquire the lock	2023-06-30 11:07:02 +08:00
c9s	fc7edc5c80	grid2: call TryLock in updateGridNumOfOrdersMetricsWithLock	2023-06-30 01:05:18 +08:00
c9s	e3be2a8af6	bollmaker: replace bollinger indicator with v2 indicator	2023-06-29 18:04:39 +08:00
c9s	b6dba18f77	all: move retry functions to the retry package	2023-06-29 10:59:01 +08:00
gx578007	8e64b5293e	MINOR: [grid2] delete order prices metric	2023-06-23 21:30:32 +08:00
c9s	c802fae211	xalign: add logger	2023-06-21 17:36:09 +08:00
c9s	f6128b9bdc	xalign: support percentage string	2023-06-21 15:59:15 +08:00
c9s	76884a4ddf	xalign: add balance fault tolerance	2023-06-21 15:56:59 +08:00
c9s	d4cf39430e	xgap: fix group id range	2023-06-20 17:18:15 +08:00
c9s	de00e5fa88	scmaker: preload indicators	2023-06-19 17:03:38 +08:00
c9s	55b8413472	scmaker: when user data stream is ready, place liquidity orders	2023-06-19 15:38:55 +08:00
c9s	f579fc7d93	scmaker: call cancel api before starting up	2023-06-19 15:25:10 +08:00
c9s	58a13507bc	scmaker: graceful cancel orders	2023-06-19 15:22:43 +08:00
c9s	2448fa6f83	scmaker: add MaxExposure option	2023-06-19 13:46:45 +08:00
c9s	dc3901cc7f	xfunding: add more notificiation	2023-06-16 13:03:37 +08:00
c9s	8bd5fc246c	Merge pull request #1168 from andycheng123/profit-report-parameter ... FEATURE: Accumulated Profit report	2023-06-15 18:14:44 +08:00
Andy Cheng	6b46b1e01e	Merge branch 'main' into profit-report-parameter	2023-06-15 17:28:02 +08:00
c9s	a7b2051858	scmaker: fix the layer price	2023-06-15 17:26:04 +08:00
c9s	73726b91c7	scmaker: check ticker price and adjust liq order prices	2023-06-15 13:47:21 +08:00
c9s	148869d46b	scmaker: clean up	2023-06-14 17:31:01 +08:00
c9s	8344193e81	scmaker: rename liquidityLayerTick to liquidityLayerTickSize	2023-06-14 17:25:23 +08:00
c9s	372028ebe6	scmaker: truncate price with price precision	2023-06-14 17:25:23 +08:00
c9s	68c3c96b10	scmaker: fix balance lock and active order book update issue	2023-06-14 17:25:23 +08:00
c9s	f426d151a8	scmaker: final version	2023-06-14 17:25:23 +08:00
c9s	b8597a1803	scmaker: calculate balance quantity	2023-06-14 17:25:23 +08:00
c9s	40f8283616	scmaker: basic prototype	2023-06-14 17:25:23 +08:00
c9s	a28081a5d2	xalign: add more checks	2023-06-14 17:25:22 +08:00
c9s	c00d7b669b	Merge pull request #1174 from c9s/feature/grid2/recover ... FEATURE: [grid2] recover with twin orders	2023-06-14 13:02:12 +08:00
c9s	1fd52f78a9	xalign: allocate and bind order store	2023-06-13 23:23:41 +08:00
c9s	45aaad1629	xalign: improve update message	2023-06-13 23:21:07 +08:00
c9s	007f3c9531	autoborrow: add margin level check back	2023-06-13 23:17:24 +08:00
c9s	1855e52838	xalign: graceful cancel orders when shutting down	2023-06-13 17:29:19 +08:00
c9s	0a7c0632c4	xalign: use %+v format for submit order	2023-06-13 17:08:37 +08:00
c9s	6308ef5107	autoborrow: repay debt first	2023-06-13 14:21:16 +08:00
c9s	476378e742	xalign:add one more dust check	2023-06-13 13:53:51 +08:00
c9s	599b18fc3c	xalign: skip dust quantity	2023-06-13 13:49:22 +08:00
c9s	358e873582	xalign: add notification	2023-06-13 13:47:01 +08:00
c9s	64dcef3429	xalign: fix tick size calculation	2023-06-13 13:44:31 +08:00
c9s	dadf22e48f	xalign: add more log	2023-06-13 13:40:39 +08:00
c9s	5a30bedc77	autoborrow: always repay first when it deposits	2023-06-13 13:23:10 +08:00
c9s	fe5a6f4c36	xalign: fix quote amount check	2023-06-13 12:42:07 +08:00
c9s	740cfe6d5c	xalign: fix session refs	2023-06-13 12:27:38 +08:00
c9s	909c8f5cc7	xalign: add more checks	2023-06-13 12:25:10 +08:00
c9s	518c6938be	xalign: add more checks	2023-06-13 12:25:04 +08:00
chiahung	49971a2e50	use existing interface	2023-06-12 17:15:56 +08:00
chiahung	18a7520fa7	MINOR: add test for recovery	2023-06-12 17:15:56 +08:00
chiahung	2f050332eb	FEATURE: query trades until hard limit or finish filled	2023-06-12 17:15:56 +08:00
chiahung	f38cfb6ea3	REFACTOR: refactor for future test	2023-06-12 17:15:56 +08:00
chiahung	61892eb2df	renaming	2023-06-12 17:15:56 +08:00
chiahung	93d35cc423	FEATURE: use TwinOrder to recover	2023-06-12 17:15:56 +08:00
c9s	f6f3293191	xalign: round up requiredQuoteAmount	2023-06-09 11:04:31 +08:00
c9s	8baafdf329	xalign: add DryRun and fix quote amount calculation	2023-06-08 23:15:26 +08:00
c9s	7a6000a316	xalign: fix instanceID	2023-06-08 18:05:58 +08:00
c9s	db43c87227	xalign: load interval from config	2023-06-08 17:02:06 +08:00
c9s	c9ee4e52cc	xalign: add xalign strategy	2023-06-08 17:02:05 +08:00
c9s	0f141c7f79	schedule: add MinBaseBalance config	2023-06-07 16:36:38 +08:00
c9s	e0e27e75bb	schedule: graceful cancel orders before the next submission	2023-06-07 16:30:54 +08:00
c9s	f6a300a7c4	schedule: add useLimitOrder option	2023-06-07 16:27:36 +08:00
Yo-An Lin	c0bb953019	Merge pull request #1185 from c9s/c9s/fix-autoborrow ... FIX: [autoborrow] add max borrowable check and add more notifications	2023-06-01 21:24:34 +08:00
c9s	b55fbd5c96	autoborrow: check maxBorrowable	2023-06-01 12:27:39 +08:00
c9s	95e1f10934	autoborrow: send notify when auto repay is skip	2023-06-01 12:18:53 +08:00
c9s	1dfb0cd1a1	autoborrow: notify balance delta event	2023-06-01 12:13:51 +08:00
c9s	f349f3620c	autoborrow: add SlackAttachment support to the binance balance update event	2023-06-01 12:13:22 +08:00
c9s	c9c13b2013	all: replace all Index(i) callers	2023-06-01 07:46:50 +08:00
c9s	5515f588e3	all: add parameter index to the Last method	2023-05-31 19:35:44 +08:00
c9s	ba0102e992	pivotshort: fix find pivot func call	2023-05-31 13:08:21 +08:00
Yo-An Lin	67fe27774c	Merge pull request #1179 from c9s/c9s/refactor-indicator ... FEATURE: new indicator API design	2023-05-29 17:06:16 +08:00
c9s	5ef7da8422	grid2: fix precheck	2023-05-26 16:09:07 +08:00
c9s	9fac61351d	all: rename Minus() to Sub()	2023-05-26 15:06:52 +08:00
c9s	648e99f52a	all: refactor and rename indicator.MACD to indicator.MACDLegacy	2023-05-26 15:06:52 +08:00
c9s	273659a870	grid2: update comment	2023-05-26 14:51:06 +08:00
c9s	8c09c9668a	grid2: improve base quote investment check	2023-05-26 14:49:56 +08:00
c9s	f7a5c84768	all: reformat code	2023-05-25 14:01:22 +08:00
c9s	8e426ca4bf	grid2: add last price == sell price case	2023-05-25 13:31:47 +08:00
Yo-An Lin	862848721f	Fix placeSell condition	2023-05-24 17:52:14 +08:00
c9s	26cbd60a66	grid2: add one more test case for base + quote	2023-05-23 17:36:01 +08:00
c9s	1cf788c925	grid2: fix base + quote order placement and add test case	2023-05-23 17:34:03 +08:00
c9s	d5cf53ee94	grid2: fix comparison	2023-05-22 18:20:34 +08:00
c9s	ce2bd7ca7d	grid2: override placeSell if BaseGridNumber is defined	2023-05-22 18:13:51 +08:00
c9s	2046ccc791	grid2: pull out sell boolean var	2023-05-22 18:10:51 +08:00
c9s	0c6ef38ea3	grid2: apply baseGridNumber	2023-05-22 18:08:39 +08:00
c9s	f11d869d02	grid2: sub 1 only when num > 0	2023-05-22 17:26:22 +08:00
c9s	6ae5d2f33a	grid2: round down before the quantity calculation	2023-05-22 17:25:00 +08:00
c9s	a083ec8395	grid2: check numberOfSellOrders == 0	2023-05-22 17:20:16 +08:00
c9s	c93a3d14b3	grid2: round up minBaseQuantity	2023-05-19 16:46:17 +08:00
c9s	4c13171cb0	grid2: add more test for spec	2023-05-19 16:42:26 +08:00
c9s	3a2dbc934b	grid2: add TestStrategy_calculateBaseQuoteInvestmentQuantity test case	2023-05-19 16:37:44 +08:00
c9s	0c4cd7049f	grid2: rewrite the base+quote algo	2023-05-19 15:04:17 +08:00
c9s	86a99b5902	grid2: truncate max base quantity	2023-05-19 13:56:01 +08:00
c9s	17b05b61ba	strategy: fix fastCancel api calls	2023-05-16 16:44:40 +08:00
c9s	027fe9f5e1	drift: adopt the fastOrderExecutor	2023-05-16 16:39:04 +08:00
Andy Cheng	f864cc895c	feature/profitReport: accumulated profit report as a package	2023-05-11 14:54:45 +08:00
Andy Cheng	b148a02491	strategy/supertrend: add net profit	2023-05-08 13:43:25 +08:00
c9s	829edeb401	grid2: improve warning message	2023-04-28 16:16:23 +08:00
c9s	f958120fb5	grid2: remove the len check since we just iterate	2023-04-28 16:12:57 +08:00
c9s	717de67d5a	grid2: improve log and try best to return the order fee	2023-04-28 16:07:03 +08:00
c9s	5a901e929c	grid2: apply defensive programming on the order quantity	2023-04-28 16:02:28 +08:00
c9s	32b2c43198	grid2: emit grid profit after profit stats fix	2023-04-27 00:33:42 +08:00
c9s	46a6d896a2	grid2: improve the if err syntax	2023-04-26 23:48:02 +08:00
c9s	0c72ac2386	grid2: fix typo	2023-04-26 23:37:20 +08:00
c9s	b358cec235	grid2: check if profitStats.Since.IsZero	2023-04-26 23:36:53 +08:00
c9s	f1919a2b43	grid2: check profitStats.Since for the since time range	2023-04-26 23:34:56 +08:00
c9s	2efdee9347	grid2: add timeout context to the fixer	2023-04-26 23:30:09 +08:00
c9s	bd5e98e543	grid2: add more log	2023-04-26 23:07:01 +08:00
c9s	68974bc0b4	grid2: fix profitstats.Since when possible	2023-04-26 22:10:45 +08:00
c9s	55c84e005b	grid2: add one more check for profitStats.InitialOrderID	2023-04-26 22:06:53 +08:00
c9s	77f6c6bb46	bbgo: lock strategy before we sync data	2023-04-26 18:07:29 +08:00
c9s	036bae692e	grid2: move emitGridReady to earlier	2023-04-26 18:07:29 +08:00
c9s	e8a761e331	grid2: add profitFixer and tests	2023-04-26 17:25:31 +08:00
Andy Cheng	4b2c5198fa	strategy/supertrend: add strategy parameter fields in profit report	2023-04-26 10:32:43 +08:00
Yo-An Lin	cd69232156	Merge pull request #1155 from andycheng123/improve/supertrend	2023-04-20 18:48:39 +08:00
Andy Cheng	9f8576bb38	improve/supertrend: different way to calculate order amount for backtesting	2023-04-20 18:37:48 +08:00
Andy Cheng	1fb6e79090	improve/supertrend: fix typo	2023-04-20 18:11:47 +08:00
Andy Cheng	4b8adf6ed5	improve/supertrend: adding opposite position amount to the order amount instead of closing opposite position	2023-04-20 17:53:20 +08:00
chiahung	ed4e0b03e7	add open orders back to active order book if no need to recover	2023-04-18 15:47:00 +08:00
chiahung	d00a91441c	FEATURE: move metrics to defer funciton	2023-04-18 15:13:20 +08:00
chiahung	a0aae23bf3	FIX: fix emit ready twice and add error log	2023-04-14 18:30:38 +08:00
c9s	4ab54f586b	grid2: emit grid error when open grid failed	2023-04-14 15:15:28 +08:00
chiahung	6029bd268d	update log message	2023-04-07 00:40:32 +08:00
chiahung	cc5ebd5b2c	move emit ready and update metrics	2023-04-06 23:57:54 +08:00
c9s	fba73f11ea	grid2: update metrics and trigger ready callback	2023-04-06 23:24:08 +08:00
chiahung	542467245e	remove OrderGroupID checking	2023-04-06 18:00:21 +08:00
chiahung	c54507e07f	modif log message	2023-04-06 17:53:01 +08:00
chiahung	9fa647ed65	rename method	2023-04-06 16:12:19 +08:00
chiahung	d953a6d7b8	check by trades + open orders	2023-04-06 14:59:03 +08:00
chiahung	00352b2a0d	FIX: recover even though inital order id is 0	2023-04-06 11:36:32 +08:00
c9s	4b9e3f2302	xfunding: send positions to slack when start up	2023-03-30 00:46:41 +08:00
c9s	69af9e03ea	xfunding: fix funding fee notification	2023-03-30 00:13:02 +08:00
c9s	6c550c55fa	xfunding: fix spot transfer	2023-03-29 23:09:37 +08:00
c9s	7c975da575	xfunding: fix position sync bug	2023-03-29 23:05:31 +08:00
c9s	0efb56c43e	xfunding: also reset the quote balance transfer	2023-03-29 22:55:40 +08:00
c9s	7e2688b8c7	xfunding: cancel open orders before closing the futures position	2023-03-29 22:54:54 +08:00
c9s	0c9e0649c6	xfunding: use b.MaxWithdrawAmount instead of b.Available	2023-03-29 22:49:34 +08:00
c9s	866443d89f	xfunding: only do transfer when the available balance is not zero	2023-03-29 21:48:10 +08:00
c9s	d0566e23ec	xfunding: log submit failed orders	2023-03-29 21:46:15 +08:00
c9s	1383eb0401	xfunding: resetTransfer should also reset the transfer stats	2023-03-29 21:44:48 +08:00
c9s	117b5198ec	xfunding: introduce resetTransfer method to reset the futures transfer	2023-03-29 21:43:36 +08:00
c9s	a2fdc99741	xfunding: notify position ready	2023-03-29 21:40:18 +08:00
c9s	bc6ee59add	xfunding: refactor transferOut with trade quantity	2023-03-29 21:40:18 +08:00
c9s	088a36a169	xfunding: refactor transferIn	2023-03-29 21:40:18 +08:00
c9s	ce0b73b6e4	xfunding: calculate max minQuantity from spot market and future market	2023-03-29 21:40:18 +08:00
c9s	16cb68ac3e	xfunding: change dust quantity info log to warn log	2023-03-29 21:40:18 +08:00
c9s	0f88309d9e	xfunding: add notifications	2023-03-29 21:40:18 +08:00
c9s	eeda500a90	xfunding: pull out handleAccountUpdate handler	2023-03-29 21:40:17 +08:00
c9s	1e7afbc0c8	xfunding: fix position ready set call	2023-03-29 21:40:16 +08:00
c9s	6f961556d7	xfunding: add SlackAttachment method support on profit stats	2023-03-29 21:39:36 +08:00
c9s	4d59edc3d1	xfunding: add funding fee slack attachment support	2023-03-29 21:39:36 +08:00
c9s	c437837210	xfunding: improve checkAndRestorePositionRisks	2023-03-29 21:36:29 +08:00
c9s	8257c4ffbe	xfunding: fix ClosePosition call for futures	2023-03-29 18:28:25 +08:00
c9s	38778ff756	bbgo: fix order executor ClosePosition for order executor	2023-03-29 17:46:54 +08:00
c9s	38ba567558	xfunding: fix and call FuturesChangeInitialLeverageRequest	2023-03-29 17:14:29 +08:00
c9s	18d8d63b02	binance: add and fix multi assets mode	2023-03-29 16:59:15 +08:00
Yo-An Lin	dc87c79edd	Merge pull request #1132 from c9s/c9s/strategy/funding ... strategy: xfunding: add profit stats and collect funding fee info	2023-03-26 15:11:10 +08:00
c9s	88514e8bd9	xfunding: call syncFundingFeeRecords to sync funding fee records	2023-03-26 15:04:12 +08:00
c9s	4d1f691300	xfunding: add syncFundingFeeRecords method	2023-03-26 14:54:27 +08:00
c9s	a3f96871e2	xfunding: pull out newState constructor	2023-03-26 14:44:18 +08:00
c9s	36836c7c79	xfunding: add funding fee time	2023-03-26 14:42:13 +08:00
c9s	e5d2db0f72	xfunding: customize netural position profit	2023-03-26 02:32:21 +08:00
c9s	f4a35132e8	xfunding: add trades to s.NeutralPosition	2023-03-26 02:16:23 +08:00
c9s	ac33b5a878	xfunding: check duplicated funding fee txn	2023-03-26 02:13:22 +08:00
c9s	a6b47fda72	xfunding: check funding fee and record txn id	2023-03-26 02:12:00 +08:00
c9s	ff35fd06c4	xfunding: pull out interval option	2023-03-26 02:09:21 +08:00
c9s	425952d76c	xfunding: log collected funding fee	2023-03-26 01:55:33 +08:00
c9s	ba0dd68be0	xfunding: callcate funding fee	2023-03-26 01:54:39 +08:00
c9s	f127a530b7	xfunding: bind profit stats	2023-03-26 01:33:52 +08:00
c9s	78c73e4514	bbgo: check e.disableNotify for profit stats	2023-03-26 01:32:47 +08:00
c9s	e41df7e321	xfunding: add wip list	2023-03-26 01:21:20 +08:00
c9s	22d339cb41	xfunding: check binance type and return error	2023-03-26 01:16:54 +08:00
c9s	23746678b4	xfunding: initialize NeutralPosition	2023-03-26 01:07:50 +08:00
c9s	5c21445b15	xfunding: comment unused code	2023-03-26 01:03:07 +08:00
c9s	c176e2df5f	xfunding: move moving average config out	2023-03-26 01:02:31 +08:00
Yo-An Lin	e0a9cd3c6d	Merge pull request #1131 from c9s/c9s/strategy/funding ... strategy: xfunding: improve sync goroutine, add mutex lock, fix binance websocket message parsing ...	2023-03-25 03:05:46 +08:00
c9s	0c6e9496b3	xfunding: use early return	2023-03-25 02:56:45 +08:00
c9s	300506f9f9	xfunding: fix critical section for usedQuoteInvestment	2023-03-25 02:53:55 +08:00
c9s	0f49f9fbe5	xfunding: add e.AccountUpdate.EventReasonType switch case	2023-03-25 02:48:27 +08:00
Yo-An Lin	cc74156a7d	Merge pull request #1127 from c9s/c9s/strategy/funding ... feature: strategy: xfunding	2023-03-24 15:08:28 +08:00
c9s	feec194843	binance: improve transfer logs	2023-03-24 14:37:18 +08:00
c9s	ea7af708f9	add mutex lock	2023-03-24 14:28:36 +08:00
gx578007	cd1314e9e0	Merge pull request #1125 from c9s/bhwu/grid2/using-dnum ... FEATURE: [grid2] using dnum	2023-03-24 13:53:35 +08:00
c9s	4669692b8d	xfunding: remove debug log and test code	2023-03-24 03:20:04 +08:00
c9s	1517076f6d	xfunding: implement syncSpotPosition	2023-03-24 03:20:04 +08:00
c9s	0f21c1fd8f	xfunding: fix Warnf format	2023-03-24 03:20:03 +08:00
c9s	84313dbdf9	xfunding: refactor state functions and fix transfer out	2023-03-24 02:52:13 +08:00
c9s	f3049de2ba	all: improve logging	2023-03-24 02:09:49 +08:00
c9s	209fb102fa	xfunding: add stringer support on PremiumIndex	2023-03-24 01:57:43 +08:00
c9s	62e6b232ed	xfunding: refactor and refine PositionState checking	2023-03-24 00:52:36 +08:00
c9s	c1fbbbe400	xfunding: move position state to state struct	2023-03-24 00:36:28 +08:00
c9s	108bb5deeb	xfunding: add guard condition for starting and stopping	2023-03-23 22:58:42 +08:00
c9s	e016892a70	xfunding: pull out startClosingPosition, startOpeningPosition method	2023-03-23 22:57:13 +08:00
c9s	3624dd0338	xfunding: implement close position transfer	2023-03-23 22:54:42 +08:00
c9s	aba80398d9	xfunding: add MinHoldingPeriod support	2023-03-23 22:36:35 +08:00
c9s	a933f90cc8	xfunding: log low funding fee	2023-03-23 18:19:30 +08:00
c9s	b5f69e7f45	xfunding: reset stats when direction changed	2023-03-23 18:18:30 +08:00
c9s	7ba7eb8be7	xfunding: implement reduceFuturesPosition	2023-03-23 18:09:16 +08:00
c9s	1b5126c9a1	xfunding: add mutex	2023-03-23 17:36:30 +08:00
narumi	32c617a283	replenish on start	2023-03-23 16:47:48 +08:00
c9s	44850e48e8	xfunding: add mutex protection	2023-03-23 14:48:24 +08:00
c9s	8b87a8706b	xfunding: add state for recording TotalBaseTransfer	2023-03-23 14:46:02 +08:00
c9s	b7edc38dc7	xfunding: record pending transfer	2023-03-23 13:14:59 +08:00
c9s	16608619ca	xfunding: fix sync guard	2023-03-23 13:07:59 +08:00
c9s	80c30d15a0	xfunding: correct method names	2023-03-23 13:02:22 +08:00
c9s	20cd73e6ad	xfunding: fix transfer and refactoring more methods	2023-03-23 12:58:10 +08:00
c9s	6ca85b175a	xfunding: adjust quote investment according to the fee rate	2023-03-23 00:56:28 +08:00
c9s	6668d683e1	xfunding: adjust quoteInvestment according to the quote balance	2023-03-23 00:40:20 +08:00
c9s	684f6c6e1d	xfunding: document spot trade handler	2023-03-23 00:23:51 +08:00
c9s	928f668fec	xfunding: pull out premium check to detectPremiumIndex	2023-03-22 22:17:37 +08:00
c9s	dc5e0cbcc2	xfunding: solve lint error	2023-03-22 22:15:24 +08:00
c9s	6265ad248e	xfunding: add premium checker	2023-03-22 22:15:01 +08:00
c9s	98b0ffa510	all: add more futures channel types	2023-03-22 22:01:59 +08:00
c9s	e607fc19ac	xfunding: check spotSession, futuresSession names	2023-03-22 21:42:44 +08:00
c9s	d6c430a4b4	xfunding: implement CrossSubscribe	2023-03-22 21:42:06 +08:00
c9s	b881aea228	add position action	2023-03-22 21:38:56 +08:00
c9s	e93d13e425	xfunding: implement CrossRun	2023-03-22 21:36:42 +08:00
c9s	12b9775eb3	rename funding to xfunding	2023-03-22 21:17:33 +08:00
c9s	ab52dd6349	funding: filter kline event with types.KLineWith	2023-03-22 21:11:58 +08:00
gx578007	0e2e8306b4	FEATURE: [grid2] using dnum	2023-03-20 18:00:41 +08:00
chiahung	bc23055536	FEATURE: emit grid error when failed to recover or open grid	2023-03-20 16:27:08 +08:00
narumi	7114016bc9	clamp skew	2023-03-18 23:31:03 +08:00
kbearXD	294c09b9e8	Merge pull request #1119 from c9s/feature/grids/recover-from-trades ... FEATURE: make PinOrderMap's key from string to Pin	2023-03-17 10:45:09 +08:00
chiahung	8182840685	use fixedpoint.Value as key	2023-03-16 21:58:41 +08:00
c9s	0b922a929e	grid2: pull out backoff cancel all to cancelAllOrdersUntilSuccessful	2023-03-16 18:01:56 +08:00
chiahung	feabadeb59	FEATURE: make PinOrderMap's key from string to Pin	2023-03-16 17:34:02 +08:00
なるみ	57e3f46c5c	Merge pull request #1117 from c9s/narumi/fixedmaker/atr ... strategy: fixedmaker: add option to use ATR to adjust spread ratio	2023-03-16 17:11:13 +08:00
narumi	939427c81f	use ATR to adjust spread ratio	2023-03-16 17:03:45 +08:00
chiahung	a5675f72ad	MINOR: use Debug config for debug log	2023-03-16 16:44:16 +08:00
なるみ	52b2ffebd1	Merge pull request #1113 from c9s/narumi/fixedmaker/skew ... strategy: fixedmaker: add skew to adjust bid/ask price	2023-03-16 02:39:02 +08:00
narumi	cf9a2e55bf	add skew to adjust bid/ask price	2023-03-16 02:04:26 +08:00
Yo-An Lin	4ac5a2a9e9	Merge pull request #1115 from c9s/bhwu/fix-correct-price-metrics ... FIX: [grid2] fix correct price metrics	2023-03-15 22:10:17 +08:00
gx578007	74c465d943	FIX: [grid2] fix correct price metrics	2023-03-15 21:40:44 +08:00
chiahung	ffdc242f66	use debugOrders	2023-03-15 21:34:04 +08:00
chiahung	f987c85f17	move info log to debug log	2023-03-15 21:12:59 +08:00
chiahung	e686a26dda	FEATURE: verify the grids before emit filled orders	2023-03-15 20:15:53 +08:00
narumi	0f9319a2f5	make CreatePositions and CreateProfitStats public	2023-03-15 16:01:13 +08:00
c9s	0882bc4960	bollmaker: log submit order error	2023-03-15 13:26:27 +08:00
なるみ	7d91fd01d8	Merge pull request #1109 from c9s/narumi/rebalance/fix-order-executor-not-found ... fix: rebalance: fix positions and profit stats map	2023-03-15 12:25:19 +08:00
Andy Cheng	0a6c41cfe7	fix/bollmaker: fix s.MinProfitActivationRate condition	2023-03-15 11:06:26 +08:00
Andy Cheng	ca4890425c	fix/bollmaker: MinProfitActivationRate is disabled if it's not set	2023-03-15 10:57:18 +08:00
narumi	0458858de0	fix position and profitstats	2023-03-14 19:27:41 +08:00
kbearXD	ee4388406e	Merge pull request #1097 from c9s/feature/grids/recover-from-trades ... FEATURE: get filled orders when bbgo down	2023-03-14 15:15:32 +08:00
chiahung	dce1e4c7d4	rename buildSyncOrderMap to SyncOrderMap	2023-03-14 14:35:15 +08:00
なるみ	cddf3570f2	Merge pull request #1104 from c9s/narumi/rebalance/balance ... fix: rebalance: adjust max amount by balance	2023-03-14 14:06:31 +08:00
chiahung	9da8c39d2c	avoid re-query same order	2023-03-14 13:46:46 +08:00
chiahung	4af8523144	new struct PinOrderMap	2023-03-14 10:47:25 +08:00
chiahung	7af4e3bf8a	FEATURE: get filled orders when bbgo down	2023-03-14 10:47:23 +08:00
c9s	60d7d20ced	grid2: fix newline for the message format	2023-03-14 00:29:13 +08:00
なるみ	add9372eba	use mid price to calculate weight	2023-03-13 15:30:33 +00:00
narumi	0690518dc7	add option to rebalance on start	2023-03-13 22:43:42 +08:00
narumi	640001ffa1	check minimal order quantity	2023-03-13 22:39:22 +08:00
narumi	c9f6995701	fix OrderExecutorMap's SumbitOrders	2023-03-13 22:39:04 +08:00
narumi	0b7f42c382	adjust max amount by balance	2023-03-13 22:39:01 +08:00
Yo-An Lin	4b3f00fe79	Merge pull request #1105 from c9s/strategy/grid2/client-order-id-max ... grid2: use newClientOrderID only for max	2023-03-13 21:47:02 +08:00
Yo-An Lin	07ebd83a62	Merge pull request #1052 from andycheng123/improve/linregmaker-minprofit ... Improve/linregmaker minprofit	2023-03-13 21:31:28 +08:00
c9s	35ceda8408	grid2: use newClientOrderID only for max	2023-03-13 21:27:13 +08:00
gx578007	4b540fce88	Merge pull request #1100 from c9s/bhwu/grid2/specify-client-order-id ... FIX: [grid2] specify client order id explicitly	2023-03-13 18:51:27 +08:00
gx578007	83ba32bf2f	mock SubmitOrders by DoAndReturn	2023-03-13 18:43:52 +08:00
Andy Cheng	360173ac2b	fix/linregmaker: fix syntax error	2023-03-13 16:35:19 +08:00
Andy Cheng	cb412dc13f	improve/bollmaker: add MinProfitActivationRate	2023-03-13 16:35:19 +08:00
Andy Cheng	5fc459d404	improve/linregmaker: rename MinProfitDisableOn to MinProfitActivationRate	2023-03-13 16:35:19 +08:00
Andy Cheng	6e854f8027	improve/linregmaker: add MinProfitSpread	2023-03-13 16:35:19 +08:00
Andy Cheng	3c14382c3c	improve/linregmaker: fix StandardIndicatorSet initialization problem	2023-03-13 16:35:19 +08:00
Andy Cheng	a607f230d6	improve/linregmaker: more log for can buy sell	2023-03-13 16:35:19 +08:00
Andy Cheng	0ea345a18c	improve/linregmaker: fix balance calculation in backtesting	2023-03-13 16:35:18 +08:00
narumi	4559a35f31	graceful cancel in rebalance strategy	2023-03-13 00:49:49 +08:00
c9s	b050ae4098	grid2: fix log format	2023-03-11 16:03:13 +08:00
narumi	74656e0e49	fix fixedmaker errors	2023-03-10 18:39:30 +08:00
gx578007	16b30960cc	FIX: [grid2] specify client order id explicitly	2023-03-10 18:29:53 +08:00
Yo-An Lin	31e299baf2	Merge pull request #1101 from c9s/narumi/fixedmaker ... strategy: add fixedmaker	2023-03-10 17:24:01 +08:00
c9s	3eae532e13	grid2: init filledOrderIDMap for tests	2023-03-10 17:11:51 +08:00
c9s	c6609927f2	grid2: fix Warn by using Warnf	2023-03-10 17:00:09 +08:00
narumi	a7cfd488ed	add fixedmaker	2023-03-10 16:41:01 +08:00
gx578007	fd2032b825	FIX: [grid2] avoid handling one orderID twice	2023-03-10 16:16:11 +08:00
c9s	df6e58d654	grid2: replace all openOrders query to queryOpenOrdersUntilSuccessful	2023-03-10 13:11:42 +08:00
c9s	89abbeb2d1	grid2: add context to backoffs	2023-03-10 13:10:14 +08:00
c9s	f093c73457	grid2: add queryOpenOrdersUntilSuccessful func	2023-03-10 13:10:14 +08:00
c9s	64e0a169e9	grid2: add debug option	2023-03-10 13:10:14 +08:00
c9s	ccf567fdab	grid2: add ClearDuplicatedPriceOpenOrders option	2023-03-10 13:10:11 +08:00
chiahung	67001fcbb7	new config 'recoverGridByScanningTrades'	2023-03-09 17:53:13 +08:00
chiahung	4288c82e25	FEATURE: recover grids with open orders by querying trades process and its buildPinOrderMap method	2023-03-09 17:10:44 +08:00
なるみ	1ebdd37f3f	Merge pull request #1093 from c9s/narumi/rebalance/positions ... strategy: rebalance: add positions and profit stats	2023-03-09 12:07:19 +08:00
gx578007	045c8de2a6	refactor metric function to be separated in terms of lock	2023-03-09 11:26:02 +08:00
gx578007	5988567d09	FEATURE: [grid2] add more metrics and fix metric-related issues	2023-03-08 23:54:21 +08:00
なるみ	40e2296492	add positions and profit stats	2023-03-08 14:12:42 +00:00
c9s	c860e45c34	grid2: simplify isCompleteGridOrderBook	2023-03-08 16:02:31 +08:00
c9s	a75bc2e590	grid2: add isCompleteGridOrderBook doc comment	2023-03-07 21:42:53 +08:00
c9s	72b6f73cb6	grid2: fix complete grid order book condition	2023-03-07 21:41:16 +08:00
c9s	db119a2218	grid2: update metrics before we re-play orders	2023-03-07 20:01:51 +08:00
c9s	756a3bb43f	grid2: add base round down for buy order	2023-03-07 18:37:45 +08:00
c9s	62eed9605d	grid2: round down quoteQuantity/baseQuantity after the fee reduction	2023-03-07 13:53:14 +08:00
gx578007	b04492a5a7	Merge pull request #1085 from c9s/bhwu/grid2/fix-group-id ... FIX: [grid2] group id should be bound by MaxInt32	2023-03-07 12:01:17 +08:00
gx578007	f8054459c4	FIX: [grid2] group id should be bound by MaxInt32	2023-03-07 11:54:45 +08:00
なるみ	f064f5fbe1	Merge pull request #1080 from c9s/narumi/marketcap/order-type ... strategy: marketcap: add orderType parameter	2023-03-06 21:46:25 +08:00
なるみ	00e022dbdc	fixup! set order type default value in Defaults method	2023-03-06 13:37:03 +00:00
なるみ	cd500e6e73	set order type default value in Defaults method	2023-03-06 12:33:14 +00:00
gx578007	d4912ed3cd	FIX: [grid2] avoid initializing metrics twice	2023-03-06 16:56:40 +08:00
c9s	1dd6f9ef3e	grid2: remove order group cancel	2023-03-06 10:38:45 +08:00
c9s	9f29fbd645	grid2: add order group id to the submitOrder forms	2023-03-05 23:21:28 +08:00
c9s	773b055711	grid2: fix length check	2023-03-05 23:20:17 +08:00
c9s	dfba758e88	grid2: add one more log	2023-03-05 17:55:04 +08:00
c9s	584fae1a53	grid2: fix recover order filtering	2023-03-05 17:41:05 +08:00
c9s	4927dd7f98	grid2: add more logs	2023-03-05 17:34:50 +08:00
c9s	5805f0c7f0	grid2: call cancelWrite before everything	2023-03-05 17:10:11 +08:00
c9s	0f307bba7d	grid2: pull out start process to a function	2023-03-05 17:07:01 +08:00
gx578007	ec0d438f9d	FIX: [grid2] fix active orderbook at recovering	2023-03-05 14:29:31 +08:00
narumi	94b946a993	add orderType parameter	2023-03-03 23:14:30 +08:00
c9s	9d1da7c847	grid2: remove outdated comment	2023-03-03 19:21:23 +08:00
c9s	e2435f1fc0	grid2: pass submit orders in one call since we have solved the order store issue	2023-03-03 19:09:53 +08:00
c9s	1a109c118d	grid2: use write context for submitting orders	2023-03-03 19:09:53 +08:00
c9s	3f560b2230	grid2: backoff retry open orders api	2023-03-03 19:09:05 +08:00
c9s	fa395b0d0a	grid2: improve the onStart handler	2023-03-03 19:09:05 +08:00
c9s	0d41f0261a	grid2: rewrite cancel all check loop	2023-03-03 19:09:05 +08:00
c9s	bf4553d767	grid2: add OrderFillDelay option	2023-03-03 14:30:58 +08:00
c9s	ca741f91eb	grid2: add fee currency check for buy order	2023-03-03 14:30:58 +08:00
c9s	9a89237c24	grid2: fix base/quote fee reduction	2023-03-03 14:30:58 +08:00
c9s	bd86a89667	grid2: return fee currency	2023-03-03 13:13:27 +08:00
c9s	5cbc6f191f	grid2: aggregate order fee instead of only base fee	2023-03-03 13:13:27 +08:00
gx578007	8039068d51	Merge pull request #1075 from c9s/bhwu/add-persistence-to-env ... FEATURE: add persistence service to environment	2023-03-02 23:00:20 +08:00
gx578007	bc7a071dbd	FIX: add persistence service to environment	2023-03-02 22:42:02 +08:00
Yo-An Lin	d03c7d624f	Merge pull request #1074 from c9s/narumi/rebalance/order-type ... strategy: rebalance: add order type parameter	2023-03-02 22:37:36 +08:00
c9s	e915825ac6	grid2: defer call grid closed	2023-03-02 18:16:09 +08:00
narumi	904491e750	add orderType parameter	2023-03-02 18:11:43 +08:00
c9s	c5e2acf0f5	grid2: call Initialize in clean up	2023-03-02 18:08:26 +08:00
c9s	86584b01b9	grid2: fix exchange session field	2023-03-02 18:05:48 +08:00
c9s	5212365d2f	grid2: remove s.ExchangeSession check	2023-03-02 17:40:44 +08:00
c9s	6947c8b104	grid2: improve clean up	2023-03-02 17:33:58 +08:00
c9s	3cb190c2c7	bbgo: apply logger into the order executor	2023-03-02 16:16:14 +08:00
c9s	385a97448d	grid2: add StopIfLessThanMinimalQuoteInvestment doc comment	2023-03-02 15:53:42 +08:00
c9s	11329dffe7	grid2: add StopIfLessThanMinimalQuoteInvestment option	2023-03-02 15:50:10 +08:00
c9s	729d32af70	grid2: add minimal quote investment check error log	2023-03-02 15:14:21 +08:00
c9s	4aa25db3ed	grid2: add one more calculateMinimalQuoteInvestment test case	2023-03-02 14:03:22 +08:00
c9s	1d8df08a74	fixedpoint: fix fixedpoint rounding	2023-03-01 22:21:24 +08:00
c9s	f553ee05a0	grid2: log base fee rounding precision	2023-03-01 21:49:15 +08:00
c9s	b2bbf2d6ca	grid2: add comment to the sync call	2023-03-01 21:09:48 +08:00
c9s	b13efdf30e	grid2: calculate grid profit only when the reverse order is placed	2023-03-01 20:05:35 +08:00
c9s	06eff47058	grid2: improve UseCancelAllOrdersApiWhenClose process	2023-03-01 16:35:09 +08:00
c9s	f82af6e6dd	grid2: use UseCancelAllOrdersApiWhenClose	2023-03-01 16:16:26 +08:00
c9s	98739cc8a1	grid2: avoid using loop iterator var	2023-03-01 15:29:46 +08:00
c9s	04da988639	grid2: check if we have o.AveragePrice, use it for newQuantity	2023-03-01 15:29:46 +08:00
c9s	7eb953093c	grid2: merge baseSellQuantityReduction section	2023-03-01 15:29:46 +08:00
c9s	6fc45e66dd	grid2: for non-compound or earn base mode we should always use the original buy quantity	2023-03-01 15:29:46 +08:00
gx578007	3acb0a0a64	Merge pull request #1066 from c9s/fix/grid2/fee-reduction	2023-02-24 12:56:09 +08:00
c9s	5b903cd4ed	grid2: always round up	2023-02-24 12:46:38 +08:00
c9s	37535e9f3e	grid2: fix fee reduction by rounding	2023-02-24 12:25:23 +08:00
c9s	59ff86e4bb	grid2: fix metrics for tests	2023-02-24 00:44:50 +08:00
c9s	d89d0cf0ff	bbgo: refactor SubmitOrders method for retry	2023-02-23 23:34:26 +08:00
c9s	2a47d390f0	grid2: update grid2 metrics	2023-02-23 22:49:03 +08:00
c9s	5e2add8765	grid2: add the missing metrics update	2023-02-23 22:39:47 +08:00
c9s	b666c8bf40	bbgo: triggering pending order update event ot the handler	2023-02-23 18:08:21 +08:00
c9s	31c9ebf34b	grid2: update metrics after recovering the grid orders	2023-02-23 11:19:10 +08:00
c9s	ef771546e3	grid2: simplify WriteString call	2023-02-22 15:45:33 +08:00
c9s	6dc92bea16	grid2: pass logger entry to debugGrid	2023-02-22 15:16:47 +08:00
c9s	9d218d93ac	grid2: use string builder for debugGrid	2023-02-22 15:11:47 +08:00
c9s	67d84b9716	grid2: sleep 100ms between the recover orders	2023-02-22 01:11:34 +08:00
c9s	9e5717ab83	grid2: sleep 2 seconds to wait for the reverse order to be placed	2023-02-22 01:10:49 +08:00
c9s	bee7b593d2	grid2: fix log index number	2023-02-22 01:08:19 +08:00
c9s	bc98fe3bcc	grid2: fix recover sorting	2023-02-22 00:50:00 +08:00
c9s	03dfb4386e	grid2: simplify and fix calculateMinimalQuoteInvestment	2023-02-21 17:58:11 +08:00
c9s	9c1110fb44	grid2: fix calculateMinimalQuoteInvestment	2023-02-21 17:48:40 +08:00
c9s	0402fddea3	grid2: pull out order filtering	2023-02-21 15:50:25 +08:00
c9s	d53b41f4fd	grid2: use go routine to recover grid to avoid order update delay issue	2023-02-21 01:05:56 +08:00
c9s	08cc99c300	grid2: add recover debug log	2023-02-20 22:25:00 +08:00
c9s	a6047c4840	grid2: implement CleanUp interface	2023-02-20 16:52:39 +08:00
gx578007	85d002eabc	FIX: [grid2] fix quote accumulation	2023-02-17 22:52:58 +08:00
c9s	21cdb7afe8	grid2: split SubmitOrders calls	2023-02-17 18:54:47 +08:00
c9s	9d2c742496	grid2: avoid using totalBase when one of quote investment or base investment is defined	2023-02-17 18:35:42 +08:00
c9s	a5e134e98d	grid2: fix calculateMinimalQuoteInvestment tests	2023-02-17 17:33:12 +08:00
c9s	29692b0e1a	grid2: fix MinimalQuoteInvestment check	2023-02-17 17:16:25 +08:00
c9s	56628aca73	grid2: emit grid ready only when there is no error	2023-02-16 22:49:22 +08:00
c9s	55476e4176	grid2: include the order dust for the quote investment calculation	2023-02-16 22:20:34 +08:00
c9s	156da92670	grid2: check used quote balance before we generate the grid order	2023-02-16 21:38:48 +08:00
c9s	2aee3cea59	grid2: emit grid ready once the grid is recovered	2023-02-16 21:33:42 +08:00
c9s	eb4e25c008	grid2: emit grid ready earlier	2023-02-16 18:13:51 +08:00
c9s	f039c97e63	grid2: defer EmitCloseGrid callback earlier	2023-02-16 18:12:08 +08:00
c9s	7ba0e86605	grid2: use setGrid with mutex	2023-02-16 18:11:38 +08:00
c9s	9e3383606e	grid2: add quote quantity test case	2023-02-16 18:11:04 +08:00
c9s	9b69fa5465	grid2: log calculateQuoteInvestmentQuantity result	2023-02-16 14:56:28 +08:00
c9s	fa3106eefa	grid2: set the grid field if there is no missing orders	2023-02-15 22:44:07 +08:00
c9s	a9f1aab4b1	grid2: add user data stream on start log	2023-02-15 22:42:46 +08:00
c9s	62b8863ca6	grid2: fix pin price precision	2023-02-15 22:32:55 +08:00
c9s	9ab4c45727	grid2: remove buildGridPriceMap since we have HasPrice method	2023-02-15 22:17:36 +08:00
c9s	ec8e50822a	grid2: do not place sell order at price[0]	2023-02-15 21:51:22 +08:00
c9s	6dfd18bd49	grid2: run recoverGrid only when user data stream is started	2023-02-15 21:49:25 +08:00
c9s	88116440ba	grid2: define strategy field in the logger entry	2023-02-15 17:38:48 +08:00
c9s	e73081d6ba	grid2: add logFields config	2023-02-15 17:33:07 +08:00
c9s	35bfdfab8d	grid2: fix si index check	2023-02-15 16:51:12 +08:00
c9s	44210bf26a	grid2: adjust test case tick size	2023-02-15 16:05:45 +08:00
c9s	a7e100563a	grid2: add test case	2023-02-15 16:03:24 +08:00
c9s	8ef86858e2	grid2: fix calculateBaseQuoteInvestmentQuantity logging	2023-02-15 15:54:49 +08:00
c9s	276149b378	grid2: improve base+quote logging	2023-02-15 15:49:40 +08:00
c9s	79f9f9c5bb	grid2: pull out quote investment variable	2023-02-15 15:41:35 +08:00
c9s	d1cbc6a9ca	grid2: add one more quote investment test case	2023-02-15 15:41:35 +08:00
c9s	2fecf0dc79	grid2: fix HasPrice	2023-02-15 14:57:21 +08:00
c9s	3bf24d97f0	grid2: add HasPrice test	2023-02-15 14:42:01 +08:00
c9s	26c7e03dc1	grid2: fix balance check	2023-02-14 16:44:59 +08:00
c9s	353c74ef5e	grid2: gridNum can not be zero or one	2023-02-13 16:11:42 +08:00
c9s	3df846d878	grid2: fix quote investment algorithm	2023-02-13 14:06:11 +08:00
c9s	4eca007d3d	grid2: fix upper price buy order issue	2023-02-10 17:51:50 +08:00
c9s	34ab53303a	grid2: fix upper price error	2023-02-10 17:22:19 +08:00
c9s	829704eda3	grid2: remove todo	2023-02-08 16:46:19 +08:00
c9s	abdded8126	grid2: add ClearOpenOrdersIfMismatch	2023-02-08 16:43:25 +08:00
c9s	760fc74187	grid2: expose order group ID field	2023-02-08 16:26:37 +08:00
c9s	e8c69dfaef	grid2: add mutex lock for the grid object field	2023-02-07 01:38:25 +08:00
c9s	06c3f5f79c	grid2: add PlainText method support to GridProfitStats	2023-02-06 16:59:50 +08:00
c9s	3a7be0e2b2	grid2: add closing grid log	2023-02-06 16:31:57 +08:00
c9s	854ac4f8ea	grid2: fix pin price algorithm	2023-02-01 18:56:01 +08:00
c9s	4bf0cb6a0c	grid2: use Round instead of Trunc	2023-02-01 15:48:19 +08:00
c9s	d43acaa17c	grid2: add metrics registration guard	2023-01-31 21:30:58 +08:00
c9s	74daa76e75	grid2: fix grid num calculation	2023-01-16 18:34:08 +08:00
c9s	46eb590a9f	grid2: OpenGrid, CloseGrid	2023-01-12 14:33:09 +08:00
c9s	668bf2d847	grid2: remove strategyInstance since we have custom labels	2023-01-11 00:47:36 +08:00
c9s	0d47afd5fd	grid2: add order side to the metrics label	2023-01-10 21:41:10 +08:00
c9s	75919a0bf1	grid2: reset metricsGridOrderPrices	2023-01-10 21:21:35 +08:00
c9s	857b5d0f30	grid2: integrate prometheus metrics	2023-01-10 20:15:51 +08:00
c9s	c9a70d9897	grid2: add grid callbacks	2022-12-26 18:15:39 +08:00
c9s	d9312abba2	grid2: adjust maxTries to 5	2022-12-26 18:08:36 +08:00
c9s	a4f5d15334	grid2: adjust rollback duration to twice	2022-12-26 18:05:35 +08:00
c9s	a66cee9130	util: remove unused func	2022-12-26 16:05:21 +08:00
c9s	2d2d194bda	grid2: fix InstanceID for autoRange	2022-12-26 01:40:59 +08:00
c9s	8af7d6f457	grid2: use initial grid order id to query closed order history	2022-12-26 01:35:37 +08:00
c9s	6444fd5e03	grid2: remove default profit stats	2022-12-26 01:24:56 +08:00
c9s	0a6261b6b9	grid2: split more files	2022-12-26 01:04:17 +08:00
c9s	961725f03c	grid2: support autoRange	2022-12-26 00:56:03 +08:00
c9s	54b4f593ec	grid2: validate upper price and lower price only when autoRange is not given	2022-12-26 00:29:31 +08:00
c9s	579df0cec9	types: add simple duration tests	2022-12-25 16:08:34 +08:00
c9s	f60b4630c5	grid2: add AutoRange parameter	2022-12-24 20:39:11 +08:00
c9s	e0daf9904e	grid2: add recover time range rollback	2022-12-24 17:08:50 +08:00
c9s	cb2d9d7eb2	grid2: fix replayOrderHistory logic	2022-12-24 16:14:39 +08:00
c9s	6b75150983	refactor order related functions into core api	2022-12-24 15:58:02 +08:00
c9s	a46b3fe908	grid2: improve debugGrid func	2022-12-24 14:52:08 +08:00
c9s	8e20a55060	grid2: refactor recover functions to replayOrderHistory and reuse scanMissingPinPrices	2022-12-24 14:48:47 +08:00
c9s	216bdb891f	grid2: skip canceled orders	2022-12-24 01:08:28 +08:00
c9s	3d9b919e24	grid2: fix grid recovering	2022-12-24 00:54:40 +08:00
c9s	8715d0aca9	grid2: prevent infinite loop	2022-12-23 23:50:30 +08:00
c9s	ae20cef8f4	grid2: add scanOrderCreationTimeRange func	2022-12-23 23:41:36 +08:00
c9s	606b4650b3	grid2: add RecoverOrdersWhenStart and fix grid recover logic	2022-12-23 19:15:46 +08:00
c9s	882c56a820	grid2: add RecoverWhenStart option	2022-12-23 17:54:30 +08:00
c9s	8a45fe522e	grid2: pull out session dependency from the recoverGrid method	2022-12-23 16:48:40 +08:00
c9s	c721274adc	grid2: implement scanMissingGridOrders	2022-12-23 15:35:26 +08:00
Yo-An Lin	8bcfb78bc0	Merge pull request #1030 from c9s/feature/grid2 ... WIP: Feature/grid2	2022-12-23 12:59:43 +08:00
c9s	c59c8638be	grid2: find lastOrderTime and firstOrderTime range	2022-12-22 13:21:39 +08:00
c9s	441e5d867b	grid2: add todo mark	2022-12-20 17:34:20 +08:00
c9s	f92ba9cbf1	grid2: implement recover func loading	2022-12-20 17:33:53 +08:00
c9s	330be79ec6	grid2: add recoverGrid	2022-12-20 15:56:38 +08:00
Yo-An Lin	2b20ff4da9	Merge pull request #1027 from andycheng123/strategy/linregmaker ... Strategy: LinReg Maker	2022-12-20 14:55:48 +08:00
c9s	6f2664b03e	grid2: fix test for orderTag	2022-12-19 18:51:39 +08:00
c9s	811be78933	grid2: update log message	2022-12-17 11:57:32 +08:00
Andy Cheng	d5e37f03e2	feature/dynamic_*: move dynamic_* to risk/dynamicrisk package	2022-12-16 11:51:52 +08:00
c9s	fa73b0e7f7	grid2: add warning message	2022-12-15 19:20:15 +08:00
c9s	bbc47bb63a	grid2: remove todo item	2022-12-15 19:06:34 +08:00
c9s	78f10212b9	grid2: fix base fee format	2022-12-15 18:57:21 +08:00
c9s	fcd7a20b78	bbgo,grid2: add place order error log	2022-12-15 18:54:02 +08:00
c9s	051aa19989	grid2: add newOrderUpdateHandler and send profit to notification	2022-12-15 18:47:45 +08:00
c9s	c2133a1712	grid2: call bbgo sync api to sync profit stats	2022-12-15 18:42:25 +08:00
c9s	1964763f58	grid2: add more logs	2022-12-15 18:41:04 +08:00
c9s	ac8186d43d	grid2: debug submitOrder before sending them to the api	2022-12-15 18:30:28 +08:00
c9s	bc8d7e9968	grid2: add skipSpreadCheck option	2022-12-15 18:09:43 +08:00
c9s	c0598a05f6	grid2: add slack attachment footer	2022-12-15 17:47:34 +08:00
Andy Cheng	095eb9c134	feature/dynamic_exposure: undo move dynamic_exposure and dynamic_spread	2022-12-15 17:25:56 +08:00
Andy Cheng	754f8da5d4	strategy/linregmaker: move private fields to the end of the struct	2022-12-15 17:23:43 +08:00
Andy Cheng	5c7c125c99	feature/dynamic_spread: move to risk package	2022-12-15 17:09:47 +08:00
Andy Cheng	1002c13062	feature/dynamic_exposure: move to risk package	2022-12-15 17:08:35 +08:00
c9s	19478b1fbc	grid2: add profit stats since field	2022-12-15 15:39:48 +08:00
c9s	a7c8da7e88	grid2: add SlackAttachment on profit stats	2022-12-15 15:39:16 +08:00
c9s	7a35a652c3	grid2: add SlackAttachment on grid profit	2022-12-15 15:33:26 +08:00
c9s	a6a4be9878	grid2: sync order tag	2022-12-15 14:58:50 +08:00
c9s	16df170ca3	grid2: pull out order tag	2022-12-15 14:58:50 +08:00
c9s	aa4130ed30	grid2: add PlainText method on GridProfit struct	2022-12-15 14:58:31 +08:00
c9s	532d474564	grid2: pull out processFilledOrder method	2022-12-15 14:57:25 +08:00
Andy Cheng	8b1d19124f	strategy/linregmaker: allow using amount for order qty calculation	2022-12-14 14:42:56 +08:00
Andy Cheng	d510c37e91	improve/dynamic_quantity: fix dynamic qty logic	2022-12-14 12:28:39 +08:00
Andy Cheng	2b8a5fe755	strategy/linregmaker: fix faster decrease logic	2022-12-14 11:52:15 +08:00
Andy Cheng	2ecdae6530	strategy/linregmaker: remove wrong test file	2022-12-13 17:49:31 +08:00
Andy Cheng	c6f9b0feed	strategy/linregmaker: update config	2022-12-13 17:37:47 +08:00
Andy Cheng	ff334ca13d	strategy/linregmaker: calculated allowed margin when leveraged	2022-12-13 17:16:30 +08:00
Andy Cheng	30f3ef2180	strategy/linregmaker: add more tg notification	2022-12-13 12:12:46 +08:00
Andy Cheng	79dcda5f52	strategy/linregmaker: add more trend reverse logs	2022-12-13 11:06:18 +08:00
Andy Cheng	a6956e50b7	strategy/linregmaker: add more logs	2022-12-12 18:23:49 +08:00
c9s	096defc331	add test flag and disable lfs in test	2022-12-09 17:34:24 +08:00
c9s	b515c24505	grid2: add earnBase test case	2022-12-07 14:48:51 +08:00