Commit Graph

4213 Commits

Author SHA1 Message Date
c9s
d6f751c027
grid2: improve ExtendLowerPrice 2022-12-02 00:09:58 +08:00
c9s
e675a084e2
grid2: refactor spread, height methods 2022-12-02 00:09:58 +08:00
c9s
2761cff2bf
grid2: add pin tests 2022-12-02 00:09:57 +08:00
c9s
21a1d550e3
grid2: add grid struct 2022-12-02 00:09:57 +08:00
c9s
cb612a22b1
add grid2 strategy 2022-12-02 00:09:57 +08:00
c9s
4b0db6b3af
bbgo: fix quantity adjustment 2022-11-27 00:25:29 +08:00
c9s
50d5449b9a
fix types.NewZeroAssetError panic error 2022-11-27 00:24:24 +08:00
c9s
170c3b8c41
all: remove ftx 2022-11-24 17:05:20 +08:00
zenix
a6e0edbb3c fix: naming of prepare function of openPosition and add comments 2022-11-21 12:16:11 +09:00
zenix
109f4d0e3e fix: Position not synchronized in drift. add DisableNotify for GeneralOrderExecutor 2022-11-21 12:16:11 +09:00
zenix
27800e95bd feature: add cancel_replace for binance, add FastSubmitOrders, fix drift leakage on pendingOrderCounter 2022-11-21 12:16:11 +09:00
zenix
7aaea257df feature: optimizer add profitFactor optimization. Optimization value use float64 instead to save memory and boost performance 2022-11-10 18:17:35 +09:00
Austin Liu
7d03c69406 strategy:harmonic: fix 2022-11-03 15:14:56 +08:00
austin362667
c8aa4ae400 strategy: improve harmonic by adding HMM filter to denoise shark signal
strategy: improve harmonic by adding HMM filter to denoise shark signal
2022-11-03 15:14:56 +08:00
Austin Liu
6c8addc4ee strategy:irr: refactor fast cancel from no wait 2022-11-02 16:51:06 +08:00
Austin Liu
5467c8ef01 strategy:irr rollback to original nirr and consume kline 2022-11-02 16:48:50 +08:00
Yo-An Lin
335b90a97c
Merge pull request #989 from austin362667/austin362667/irr
strategy:irr: a mean reversion based on box of klines in same direction
2022-11-02 12:59:23 +08:00
c9s
04855b023a
bbgo: listen to both order signal and the wait time channel 2022-11-02 12:55:13 +08:00
c9s
3704f3f897
bbgo: emit sigchan when new order is added or an order is removed 2022-11-02 12:42:09 +08:00
c9s
9bf070172a
bbgo: remove extra order arguments from GracefulCancelActiveOrderBook to avoid confusion 2022-11-02 12:34:04 +08:00
c9s
8707fcaa97
bbgo: drop FastCancelActiveOrderBook 2022-11-02 12:31:35 +08:00
c9s
1120821977
add activeOrderBook.Symbol check 2022-11-02 12:27:36 +08:00
c9s
7b9edd0456
all: rename cancelNoWait to fastCancel 2022-11-02 12:25:34 +08:00
なるみ
ba7985690f
Merge pull request #1000 from c9s/narumi/rebalance/backtest
fix: rebalance: fix backtest
2022-11-01 21:02:54 +08:00
Yo-An Lin
999d7b3799
Merge pull request #997 from zenixls2/fix/serialMarketDataStore 2022-10-31 18:00:39 +08:00
zenix
3695644f97 fix: capitalization of drift variable 2022-10-31 18:50:27 +09:00
zenix
5b7712503f fix: pendingLock on orderPendingCounter delete 2022-10-31 11:05:55 +09:00
grorge
a5555cf35a feat: cancel order for exit roi take profit and loss 2022-10-28 17:56:07 +08:00
なるみ
532f3c11e7 fix backtest 2022-10-28 15:33:08 +08:00
zenix
b2e867e51c fix: unlimited length of indicators, add draw elapsed to drift 2022-10-27 17:35:50 +09:00
zenix
493b81f16c fix: remove redundant notification 2022-10-27 17:35:50 +09:00
zenix
ce86544c43 optimize: drift strategy to use market trade signals 2022-10-27 17:35:50 +09:00
zenix
a15d125679 fix: instead of aggTrade, use market trade to match kline result 2022-10-27 17:35:50 +09:00
zenix
a8d60b251f fix: binance market/aggregated trade parsing for QuoteQuantity. fix related bugs in timestamp in serialmarketdatastore. 2022-10-27 17:35:50 +09:00
zenix
17825fbde1 fix: rate settings in telegram, make elliottwave draw async 2022-10-27 17:35:50 +09:00
zenix
3d672ea518 fix: comment format, dbg logs in session 2022-10-27 17:35:50 +09:00
zenix
d247e1cb97 fix: show error message when aggTrade is used in backtesting 2022-10-27 17:35:50 +09:00
zenix
e021cdd060 rename: lock to mu 2022-10-27 17:35:50 +09:00
zenix
675f84dccf fix: SerialMarketDataStore together with backtests 2022-10-27 17:35:50 +09:00
austin362667
6e29359c85 strategy:irr: fix logical error 2022-10-19 22:08:44 +08:00
austin362667
778a3d8be1 strategy:irr: clean up
strategy:irr: clean up

strategy:irr: clean up

strategy:irr: clean up
2022-10-19 17:29:05 +08:00
austin362667
614209e9fd strategy:irr fix kline time syncing 2022-10-19 17:10:33 +08:00
austin362667
612261c48c strategy:irr add klines box mean reversion 2022-10-19 16:02:20 +08:00
austin362667
303e2c8413 strategy:irr: redesign to maker strategy 2022-10-19 16:02:20 +08:00
austin362667
42d87adeec strategy:irr: rollback to interval time ticker 2022-10-19 16:02:20 +08:00
austin362667
7974ee8fd3 strategy:irr: seperate alphas 2022-10-19 16:02:20 +08:00
austin362667
58bdb9b194 strategy:irr remove alpha ranking 2022-10-19 16:02:20 +08:00
austin362667
2b397940b8 strategy:irr fix draw goroutine 2022-10-19 16:02:20 +08:00
austin362667
150c37995e strategy:irr redesign trigger 2022-10-19 16:02:20 +08:00
austin362667
a3dd93dd9a strategy:irr: add backtest/realtime ability 2022-10-19 16:02:20 +08:00
Andy Cheng
7dd951e39c
Merge pull request #996 from andycheng123/fix/general-order-executor
fix/general-order-executor: do not check for base balance for futures
2022-10-18 19:14:18 +08:00
Andy Cheng
06c95a4735 fix/general-order-executor: do not check for base balance for futures orders in reduceQuantityAndSubmitOrder() 2022-10-18 18:59:04 +08:00
Zenix
4dad96755a
Merge pull request #995 from zenixls2/feature/async_telegram_notify
feature: telegram notify to become async
2022-10-17 19:08:41 +09:00
Zenix
798079070c
Merge pull request #993 from zenixls2/fix/indicator_for_1s
fix: indicator timeframe 1s
2022-10-17 18:53:05 +09:00
Zenix
6f0c4fdfd2
Merge pull request #994 from zenixls2/feature/binance_aggTrade
feature: add aggTrade for binance
2022-10-17 18:50:15 +09:00
zenix
8a66e5b218 feature: telegram notify to become async 2022-10-17 18:38:03 +09:00
zenix
9213caf9c5 feature: add aggTrade for binance 2022-10-17 17:01:46 +09:00
Yo-An Lin
79c93e9a0f
Merge pull request #991 from andycheng123/fix/risk
fix/risk: remove balance check in CalculateBaseQuantity()
2022-10-17 15:33:10 +08:00
zenix
09c85d346c feature: add cancelNoWait in GeneralOrderExecutor to make cancellation in 1s faster 2022-10-17 15:14:36 +08:00
zenix
ffae290060 fix: indicator timeframe 1s 2022-10-17 14:23:40 +09:00
Andy Cheng
d350806cdc fix/risk: remove balance check in the futures part of CalculateBaseQuantity() 2022-10-17 12:07:58 +08:00
austin362667
763bb45842 interval: avoid syncing 1s klines as default from backtest config syncSecKLines 2022-10-14 23:14:30 +08:00
austin362667
18acd668a7 interval: finalize 1s support
interval: finalize 1s support

interval: finalize 1s support
2022-10-14 23:14:30 +08:00
austin362667
905c1f25ee interval: add 1s support
interval: add 1s support

interval: add 1s support

interval: fix 1s for backtesting
2022-10-14 23:14:30 +08:00
なるみ
9330b9fde5 change variable names 2022-10-13 18:18:02 +08:00
c9s
b03687e07a
bump version to v1.42.0 2022-10-12 16:35:43 +08:00
c9s
7204e2550b
pull out shutdown timeout context 2022-10-11 14:23:02 +08:00
Andy Cheng
aa492a05a1 fix/supertrend-strategy: LinReg baseline slope wrongly calculated as reciprocal 2022-10-07 13:48:16 +08:00
Andy Cheng
5ad247c8fe fix/order-executor: check for short position 2022-10-07 13:28:24 +08:00
Andy Cheng
7a80b90dac fix/order-executor: ClosePosition() works on futures position 2022-10-07 13:06:32 +08:00
c9s
a515fff053
backtest: add order quantity check 2022-10-06 15:08:44 +08:00
Yo-An Lin
39247bb9d8
Merge pull request #982 from c9s/refactor/isolation
refactor isolation context for persistence facade configuration
2022-10-05 22:31:49 +08:00
c9s
e92219194f
bbgo: configure persistence facade into the isolation context 2022-10-05 18:48:12 +08:00
c9s
673304bcf1
bbgo: refactor ConfigurePersistence 2022-10-05 18:46:26 +08:00
c9s
4caa457fbe
bbgo: pull out ConfigurePersistence method to simple function 2022-10-05 18:42:55 +08:00
Fredrik
8e83fc4ad7 fix optimizer limit 2022-10-05 08:51:30 +02:00
Yo-An Lin
4d42a61607
Merge pull request #976 from austin362667/austin362667/harmonic
strategy: add harmonic shark pattern recognition
2022-10-05 00:37:23 +08:00
Yo-An Lin
06675d0ac8
Merge pull request #977 from austin362667/austin362667/irr
strategy: fix irr
2022-10-05 00:36:30 +08:00
austin362667
600b17460d strategy:irr fix drawing defer close IO issue 2022-10-04 18:47:14 +08:00
austin362667
22ef28bc39 strategy:harmonic fix drawing defer close IO issue 2022-10-04 18:44:42 +08:00
Yo-An Lin
ed8b78f839
Merge pull request #978 from c9s/refactor/isolation
refactor: refactor isolation and add more tests
2022-10-04 17:44:23 +08:00
c9s
070a92e3ae
max: fix max kline api 2022-10-04 17:25:29 +08:00
c9s
a8d9911e36
bbgo: refactor isolation and add more tests 2022-10-04 17:23:43 +08:00
austin362667
3c52e9e145 strategy: refactor draw lib 2022-10-04 15:23:48 +08:00
austin362667
26d640ff3b strategy: fix irr 2022-10-04 15:23:48 +08:00
austin362667
ec60c708c3 strategy: upgrade harmonic persistence sync 2022-10-04 15:22:52 +08:00
austin362667
60e51e1470 strategy: refactor harmonic draw lib 2022-10-04 15:20:17 +08:00
austin362667
f1ae7b5f30 strategy: add harmonic shark pattern recognition
strategy: add harmonic shark pattern recognition
2022-10-04 15:20:17 +08:00
c9s
731e5569d0
telegramnotifier: fix err check 2022-10-03 21:14:46 +08:00
c9s
2b953ad2d1
bbgo: make PersistenceServiceFacade private 2022-10-03 18:46:02 +08:00
c9s
8a50474ad1
all: add context parameter to Sync() 2022-10-03 18:45:24 +08:00
c9s
ce318fff3b
add persistenceServiceFacade to isolation 2022-10-03 18:40:49 +08:00
c9s
60956e0157
bbgo: add NewContextWithDefaultIsolation 2022-10-03 18:39:45 +08:00
c9s
198683d141
bbgo: add NewContextWithIsolation function 2022-10-03 18:39:07 +08:00
c9s
f7e76c0518
all: remove bbgo.Persistence 2022-10-03 18:37:53 +08:00
c9s
4a37273065
bbgo: remove Persistence injection 2022-10-03 16:31:04 +08:00
c9s
315f7da8f4
bbgo: remove context suffix from the isolation struct 2022-10-03 16:22:41 +08:00
c9s
59287b5116
all: support context isolation 2022-10-03 16:01:08 +08:00
c9s
a940e88016
add IsolationContext 2022-10-03 15:33:46 +08:00
c9s
77ca1a9c75
bbgo: register onShutdown from the trader 2022-10-03 15:33:46 +08:00