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3844 Commits

Author SHA1 Message Date
c9s
b521a7cf70
pivotshort: fix resistance price update algo 2022-07-12 17:45:47 +08:00
c9s
da4b35bd31
pivotshort: add 1m subscribe 2022-07-12 17:45:47 +08:00
Yo-An Lin
1ef2c1d668
Merge pull request #811 from andycheng123/fix/supertrend-strategy 
strategy/supertrend: fix double dema initialization problem
 2022-07-12 13:13:19 +08:00
c9s
28d9aa6820
autoborrow: show margin level when check 2022-07-11 16:26:25 +08:00
c9s
3f15df4c0e
autoborrow: fix repay balance check 2022-07-11 16:22:21 +08:00
c9s
98aaa6ce43
autoborrow: fix repay mech 2022-07-11 16:20:45 +08:00
Andy Cheng
1b5dc309f0 strategy/supertrend: fix double dema initialization problem 2022-07-11 13:37:01 +08:00
c9s
2a9a34ae66
bump version to v1.36.0 2022-07-10 19:08:30 +08:00
c9s
c62aafdf2b
compile and update migration package 2022-07-10 19:08:30 +08:00
Zenix
e633cedd3c
Merge pull request #809 from zenixls2/feature/logistic_regression 
feature: logistic regression
 2022-07-09 17:27:20 +09:00
Yo-An Lin
eacbd13e6b
Merge pull request #810 from andycheng123/fix/supertrend-strategy 2022-07-08 21:03:01 +08:00
Yo-An Lin
e6d9a8a84a
Merge pull request #808 from c9s/fix/kline-with-filtering 2022-07-08 21:02:28 +08:00
c9s
cc8821bb66
update max order api path 2022-07-08 20:47:51 +08:00
c9s
e9faf34b5e
max: fix balance field for api 2022-07-08 17:28:07 +08:00
c9s
59fcef0b6d
supertrend: avoid using embedded struct on DoubleDema 2022-07-08 17:13:12 +08:00
Andy Cheng
d73d7b4380
Merge branch 'main' into fix/supertrend-strategy 2022-07-08 16:45:26 +08:00
c9s
5bd292d0b2
bbgo: add notify(profit) 2022-07-08 16:43:32 +08:00
Andy Cheng
574e142cf9 strategy/supertrend: use types.IntervalWindow instead of types.Interval 2022-07-08 16:42:31 +08:00
c9s
79b70d4a31
supertrend: fix interval window for exit methods 2022-07-08 16:31:28 +08:00
zenix
0e64a14d7f feature: add entropy, cross entropy, sigmoid, softmax, and logistic regression 2022-07-08 16:58:59 +09:00
c9s
46d6ecc663
fix types.TradeStats usage 2022-07-08 15:44:32 +08:00
c9s
581e4be218
supertrend: clean up and update 2022-07-08 15:41:28 +08:00
c9s
d7f83a45b3
fix: check if interval is empty string 2022-07-08 14:47:36 +08:00
Andy Cheng
f8777752a0
Merge branch 'main' into improve/supertrend-strategy 2022-07-07 10:33:30 +08:00
Yo-An Lin
e778db1f24
Merge pull request #801 from c9s/feature/optimizer-metrics-tsv-format 
feature: optimizer: support --tsv option and render tsv output
 2022-07-07 06:23:49 +08:00
c9s
ba74e83552
optimizer: show *exec.ExitError 2022-07-07 02:26:39 +08:00
c9s
81560746bd
all: reformat code 2022-07-07 02:26:39 +08:00
c9s
c9859c9238
add more struct field tests 2022-07-07 02:26:39 +08:00
c9s
30deaad079
dynamic: add IterateFields 2022-07-07 02:26:39 +08:00
c9s
3131786c02
bbgo: fix trailing stop binding 2022-07-07 02:26:39 +08:00
c9s
74593720a7
add ExitMethodSet.Bind method 2022-07-07 02:26:39 +08:00
c9s
d2637ce261
trailing stop: apply ClosePosition parameter 2022-07-07 02:26:39 +08:00
c9s
7b7d0690c7
optimizer: support --tsv option and render tsv output 2022-07-07 02:11:52 +08:00
c9s
81e05a3f2c
add more struct field tests 2022-07-06 22:01:35 +08:00
c9s
825022715d
dynamic: add IterateFields 2022-07-06 21:58:26 +08:00
c9s
b3e04a68da
bbgo: fix trailing stop binding 2022-07-06 21:50:38 +08:00
Andy Cheng
c43d4e0b24 strategy/supertrend: func to get order side 2022-07-06 18:11:09 +08:00
Andy Cheng
8aa5b706b6 strategy/supertrend: fix double dema missing interval 2022-07-06 17:05:38 +08:00
Andy Cheng
6c93c42ef6 strategy/supertrend: pull double dema into a single file 2022-07-06 16:45:19 +08:00
Andy Cheng
c62e7bbb58 strategy/supertrend: refactor to smaller functions 2022-07-06 16:26:30 +08:00
c9s
3d9db2786d
add trailing stop to the exit method 2022-07-06 10:56:10 +08:00
c9s
b49f12300c
add long position test for trailing stop 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-06 10:54:53 +08:00
c9s
03481000cc
reset activated flag when stop order is submitted 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-06 03:09:57 +08:00
c9s
2bc12c0522
add trailing stop and it's test cases with gomock 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-06 03:04:01 +08:00
c9s
d140012fd5
fix mockgen command 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-06 01:32:05 +08:00
c9s
f329af2c6b
generate mocks for the exchange interface 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-06 01:31:12 +08:00
Andy Cheng
2de16ac7d1 strategy/supertrend: fix missing Bind() of DEMA 2022-07-05 17:11:58 +08:00
Andy Cheng
91077ce61d strategy/supertrend: add ExitMethod 2022-07-05 16:55:48 +08:00
Andy Cheng
f0dc9d6147 strategy/supertrend: add TradeStats 2022-07-05 16:30:13 +08:00
Andy Cheng
5b3ba03042 strategy/supertrend: preload indicators 2022-07-05 16:25:02 +08:00
c9s
4de5b0bc9b
add TrailingStop2 2022-07-05 16:10:55 +08:00
Andy Cheng
0a0e5ac4d8 strategy/supertrend: config switch for stop by different signals 2022-07-05 15:59:35 +08:00
c9s
b643b8ed0d
fix LowerShadowTakeProfit kline filter condition 2022-07-05 12:15:31 +08:00
c9s
8ac21fa16e
fix LowerShadowTakeProfit kline filter condition 2022-07-05 12:14:53 +08:00
c9s
193703a9a0
all: use tradeStats constructor 2022-07-05 11:14:50 +08:00
Yo-An Lin
0b4044bbb6
Merge pull request #796 from c9s/strategy/pivotshort 
strategy/pivotshort: add supportTakeProfit method
 2022-07-04 12:26:32 +08:00
c9s
c258d522e6
backtest: update backtest.Exchange currentTime 2022-07-04 02:38:42 +08:00
c9s
82f9fc139c
backtest: refactor exchange field, clean up startTime and endTime deps 2022-07-04 02:34:46 +08:00
c9s
8fc17f9c0b
backtest: move QueryOrder method 2022-07-04 02:29:18 +08:00
c9s
a31f61736a
backtest: pull out userDataStream to backtestEx.BindUserData 2022-07-04 02:27:29 +08:00
c9s
ecd4df86f9
backtest: assign user data stream to backtest.Exchange before we call EmitStart 2022-07-04 02:21:14 +08:00
c9s
449b2d8220
backtest: fix order update emit binding 2022-07-04 02:20:50 +08:00
c9s
3a37154737
pivotshort: fix supportTakeProfit binding 2022-07-04 02:20:15 +08:00
Yo-An Lin
6fe980a2a3
Merge pull request #793 from LarryLuTW/larry/fix-pnl-market 
Fix pnl command
 2022-07-04 01:42:32 +08:00
Fredrik
771f578efd optimizer/fix: prevent from crashing if missing SummaryReport 2022-07-03 13:16:41 +02:00
c9s
81f9639c85
pivotshort: bind supportTakeProfit method 2022-07-03 17:22:29 +08:00
c9s
278fbb7b51
pivotshort: fix support take profit method 2022-07-03 17:13:01 +08:00
c9s
74cac6e977
pivotshort: adjust layer price calculation 2022-07-03 15:44:37 +08:00
c9s
a408b20eda
fix resistance price calculation 2022-07-03 15:26:05 +08:00
c9s
1e8ac0d08a
pivotshort: improve price grouping 2022-07-02 18:51:17 +08:00
LarryLuTW
a0e8359d23
add market for calculator 2022-07-02 17:45:24 +08:00
c9s
f940bb8e0a
implement SupportTakeProfit method 2022-07-02 13:21:27 +08:00
c9s
ac1b5e4df4
check market in the NewPositionFromMarket 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-02 12:43:57 +08:00
c9s
004e6b0e0b
pivotshort: fix findNextResistancePriceAndPlaceOrders 2022-07-02 00:28:41 +08:00
c9s
f1867b02c3
pivotshort: fix message 2022-07-01 18:10:39 +08:00
c9s
9a11fd59ed
pivotshort: fix open close price compare 2022-07-01 17:43:51 +08:00
c9s
178913dd1b
reformat code 2022-07-01 17:32:59 +08:00
c9s
b158c44b95
fix profit stats notification 2022-07-01 17:32:40 +08:00
c9s
4bb9fb7e1b
fix profit stats wording 2022-07-01 17:32:01 +08:00
c9s
53204f47ea
bollmaker: remove legacy state loading 2022-07-01 17:28:48 +08:00
c9s
04df515aea
pivotshort: clean up and force kline direction 2022-07-01 17:26:45 +08:00
c9s
9374125712
pivotshort: pull out break low logics 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-01 17:22:09 +08:00
c9s
7f5e92d1b5
cancel order when shutdown 2022-07-01 16:29:03 +08:00
c9s
c792da2164
pivotshort: improve balance check for margin 2022-07-01 15:41:50 +08:00
c9s
09ba2d31c3
pivortshort: run placeResistanceOrders with margin borrow buy 2022-07-01 15:34:21 +08:00
c9s
1af18a5fac
pivotshort: fix breakLow handle event 2022-07-01 15:30:06 +08:00
c9s
8851e67356
dynamic: add doc comment to CallMatch 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-01 13:10:53 +08:00
c9s
910c17a567
dynamic: implement CallWithMatch for dynamic calls 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-07-01 13:09:30 +08:00
c9s
503d851c9d
pivotshort: move resistance short to a single file 2022-07-01 01:24:34 +08:00
c9s
454036b166
use types.KLineWith to wrap callbacks 2022-07-01 01:06:10 +08:00
c9s
a4af4776d2
pivotshort: use active orderbook to maintain the resistance orders 2022-07-01 00:57:19 +08:00
c9s
fa98f3fda2
fix position.IsOpened method 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 18:29:59 +08:00
c9s
3e6b975c2c
pivotshort: refactor ResistanceShort entry method 2022-06-30 18:29:02 +08:00
c9s
6aa6e57d96
add ema condition to the lower shadow take profit 2022-06-30 17:42:23 +08:00
Andy Cheng
1573a9acf3 strategy/supertrend: add linear regression as filter 2022-06-30 16:35:00 +08:00
c9s
903d773025
dynamic: invert if 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 15:49:18 +08:00
c9s
b15e8d0ce4
all: refactor exit method set and fix dynamic call/merge 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 15:49:18 +08:00
c9s
e2ab363e64
dynamic: add CallStructFieldsMethod for map struct field call 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-30 15:49:18 +08:00
c9s
527070d13d
all: rewrite and clean up graceful shutdown api 2022-06-30 15:49:18 +08:00
c9s
7d5474e3dd
pivotshort: call MergeStructValues to update the field value 2022-06-30 15:49:18 +08:00
c9s
cf0ca70d24
move and rename isSymbolBasedStrategy 2022-06-30 15:49:18 +08:00
c9s
3013eeccc7
move dynamic stuff to the pkg/dynamic package 2022-06-30 15:49:18 +08:00
c9s
a74decc47d
add more test case for reflect 2022-06-30 15:49:18 +08:00
c9s
fa917b0b77
bbgo: implmenet reflectMergeStructFields so that we can merge field values 2022-06-30 15:49:17 +08:00
c9s
ab3341d5ae
pivotshort: make preload pivot as a pure function 2022-06-30 15:49:17 +08:00
c9s
9733eec280
pivotshort: move pure funcs to the bottom 2022-06-30 15:49:17 +08:00
c9s
38767cd2df
move private methods to the bottom 2022-06-30 15:49:17 +08:00
c9s
ee45f154a1
pivotshort: rename bounce short to resistance short 2022-06-30 15:49:17 +08:00
zenix
0141f81086 refactor: ewo use SeriesExtend 2022-06-29 22:02:50 +09:00
zenix
70f4676340 feature: extend indicators, extend seriesbase methods 2022-06-29 21:49:02 +09:00
zenix
69533c0397 feature: add sharpe function implementation 2022-06-29 20:10:20 +09:00
zenix
d8d77cec1e feature: add skew, covariance and variance 2022-06-29 20:10:20 +09:00
zenix
1e31c4fb04 feature: add correlation for series 2022-06-29 20:10:20 +09:00
zenix
36127a6332 feature: implement omega, sharp, sortino related functions 2022-06-29 20:10:20 +09:00
zenix
b26d3005a3 feature: add pct_change implementation in indicator 2022-06-29 20:10:20 +09:00
Yo-An Lin
ccfaf0e070
Merge pull request #784 from c9s/strategy/pivotshort 
strategy: pivotshort: fix stopEMA
 2022-06-29 17:04:24 +08:00
c9s
4bb2e4a25f
fix stopEMA range check 2022-06-29 16:59:50 +08:00
Andy Cheng
6222ceef9a
Merge pull request #785 from andycheng123/improve/optimizer-progressbar 
optimizer: add progressbar
 2022-06-29 16:28:03 +08:00
Andy Cheng
a029509b63 optimizer: add progressbar 2022-06-29 16:17:43 +08:00
c9s
83d6f4764c
types: fix profit factor calculation 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-29 15:37:18 +08:00
c9s
84083f56b7
bbgo: add ExchangeSession param to the subscribe method 2022-06-29 15:16:56 +08:00
c9s
cb1c5634a2
pivotshort: remove redundant notification 2022-06-29 15:14:24 +08:00
Zenix
6b6686caa8
Merge pull request #778 from zenixls2/feature/series_extend 
feature: add seriesExtend
 2022-06-29 12:35:48 +09:00
c9s
38920dfc7a
pivotshort: fix kline history loading 2022-06-29 11:23:05 +08:00
zenix
0b8441f4a2 rename: ToArray -> Array, ToReverseArray -> Reverse 2022-06-29 11:13:43 +09:00
c9s
fc3e76204a
bbgo: add todo for the reflect Subscribe call 2022-06-29 02:03:00 +08:00
c9s
95c2711b0d
bbgo: call Subscribe method dynamically 2022-06-29 02:02:23 +08:00
c9s
16f2a06b1f
all: move exit methods to the bbgo core 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-29 01:58:15 +08:00
c9s
cfc4fd1f81
add doc for CumulatedVolumeTakeProfit 2022-06-29 01:39:33 +08:00
c9s
3d4f765678
rename protectionStopLoss to protectiveStopLoss 2022-06-29 01:31:56 +08:00
c9s
37413e4355 pivotshort: fix bounce ratio calculation 2022-06-28 23:47:34 +08:00
c9s
b32cfef2fd backtest: set order price for market order 2022-06-28 23:47:34 +08:00
c9s
609b6a7a50 add ref link to trade stats 2022-06-28 23:47:34 +08:00
c9s
32c76105b0 types: add total net profit field to trade states 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-28 23:47:34 +08:00
c9s
1617005114 pivotshort: fix pivotshort trigger condition 2022-06-28 23:47:34 +08:00
zenix
12757a0458 feature: add seriesExtend 2022-06-28 21:11:07 +09:00
c9s
1156e15cfe
backtest: add order cancel test case 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-28 18:25:51 +08:00
c9s
c0f8bb9a2d
backtest: do not change the backtest order price 
- apply the last price on the executed trade
- add more tests
 2022-06-28 17:43:51 +08:00
c9s
81ed5bff4f
backtest: refactor calculateNativeOrderFee and add test case 2022-06-28 15:29:01 +08:00
c9s
abee61cdc4
backtest: fix stop order backtest, add more test cases and assertions 2022-06-28 14:35:06 +08:00
c9s
09e98eed82
backtest: handle stop market and add test case 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 20:49:55 +08:00
c9s
34900776f6
pivotshort: reformat code 2022-06-27 19:54:58 +08:00
c9s
10d5a8a4f2
backtest: fix stop limit order matching 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 19:48:14 +08:00
c9s
2784408b8b
add submit order tag 2022-06-27 18:17:57 +08:00
c9s
b97ec7bb1e
pivotshort: remove unused struct 2022-06-27 18:14:12 +08:00
c9s
dfdfd6b85e
types: use pointer receiver for submit order 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 15:56:09 +08:00
c9s
94ad8a5096
gross loss and gross profit 2022-06-27 14:40:49 +08:00
Yo-An Lin
fc5a753933
Merge pull request #764 from c9s/strategy/pivotshort 
strategy/pivotshort: refactor exit methods and add protection stop exit method
 2022-06-27 00:20:11 +08:00
c9s
d46954a4b1
fix SimplePriceMatching test 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-27 00:13:57 +08:00
c9s
1557423229
pivotshort: improve useQuantityOrBaseBalance and add bounce short check 2022-06-26 19:45:37 +08:00
c9s
4d862a4286
pivotshort: remove market trade debug 2022-06-26 19:29:01 +08:00
c9s
e1a9df0a2d
pivotshort: add safety check 2022-06-26 19:20:46 +08:00
c9s
3604bae933
pivotshort: pull out stop price check to a single method 2022-06-26 19:06:16 +08:00
c9s
ef31e90728
pivotshort: clean up 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:32:48 +08:00
c9s
e9b87f6f1e
pivotshort: refactor exit methods 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:31:48 +08:00
c9s
47677e303f
pivotshort: refactor take profit and stop loss methods 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:13:58 +08:00
c9s
4c02d8f729
implement QueryOrder on the backtest exchange 2022-06-26 16:10:10 +08:00
c9s
88059016b4
add position roi tests 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 16:03:42 +08:00
c9s
0715437cc5
fix lastRecordTime 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 13:23:04 +08:00
c9s
25fb684fd1
types: add ROI method on position 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-26 13:11:19 +08:00
なるみ
cbb3effc42 glassnode: add QueryOptions 2022-06-25 20:25:42 +08:00
なるみ
99d6c0550d glassnode: add Request struct 2022-06-25 19:59:00 +08:00
なるみ
5ce5571b5e glassnode: delete all requests 2022-06-25 19:59:00 +08:00
c9s
4e670c67a8
pivotshort: change ratio calculation 2022-06-25 18:13:50 +08:00
c9s
66f923ad0d
backtest: add kline fixture generator 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-25 17:55:31 +08:00
c9s
118928d388
implement kline fixture generator 2022-06-25 17:52:37 +08:00
c9s
2e49a95d32
bbgo: remove unused context object 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-25 17:02:53 +08:00
c9s
b25be3d702
add doc comments 2022-06-25 16:55:54 +08:00
c9s
9f0e12dc25
service: fix import 2022-06-25 16:46:40 +08:00
c9s
7dd314703c
service: fix trade test 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-24 19:30:17 +08:00
c9s
751085f8ff
clean up todo comment 2022-06-24 19:24:49 +08:00
c9s
f4bb7bd231
service: drop unused methods 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-24 19:11:21 +08:00
c9s
bd991a7080
service: remove unused QueryLast method 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-24 19:08:51 +08:00
c9s
a9bff7701c
sync: avoid adding the millisecond one to the start time 2022-06-24 18:14:52 +08:00
c9s
cace7c8f97
sync: add more debug logs 2022-06-24 17:14:30 +08:00
c9s
4f42f90b49
service: update id map when inserting record 2022-06-24 16:49:41 +08:00
c9s
54d0a83eee
use local time instead of UTC 2022-06-24 15:42:30 +08:00
c9s
1587630b7b
service: pull out record to a var 2022-06-24 15:27:51 +08:00
c9s
3ad1f0e351
show trade ID in the console 2022-06-24 15:19:12 +08:00
c9s
7b60e34821
revert time range check change, it's the same lol 2022-06-23 17:59:46 +08:00
c9s
a78119b9ca
fix time range checking 2022-06-23 17:51:45 +08:00
c9s
4556e501da
batch: fix time range checking 2022-06-23 17:49:28 +08:00
c9s
8c1198de83
service: use created_at field to sort the orders 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-23 01:35:16 +08:00
c9s
2c96d079b8
skeleton: fix log WithField comment 2022-06-22 23:32:31 +08:00
c9s
2c5b553d21
skeleton: add notation 2022-06-22 23:29:29 +08:00
c9s
2550528f60
skeleton: add notification sample 2022-06-22 23:28:49 +08:00
c9s
dcbeace40e
skeleton: update more comments 2022-06-22 23:24:11 +08:00
c9s
b9cbb9d478
skeleton: add detailed comment to the skeleton 2022-06-22 23:18:11 +08:00
Yo-An Lin
7398afbde7
Merge pull request #758 from c9s/improve/pnl-cmd 
improve: add pnl cmd options and fix trade query
 2022-06-22 18:38:02 +08:00
Yo-An Lin
d1abfcf80b
Merge pull request #757 from iamken1204/improve/totp-user 
totp-user: add default user 'bbgo'
 2022-06-22 18:35:12 +08:00
c9s
8c850c71a2
cmd/pnl: add --sync option 2022-06-22 18:24:34 +08:00
c9s
fa7177426f
cmd/pnl: fix trade table query 2022-06-22 18:19:11 +08:00
c9s
9574a04cce
types: add time alias string to ParseLooseFormatTime 2022-06-22 17:20:10 +08:00
kettan
a0a96abeec totp-user: add default user 'bbgo' 
There's no  env in alpine image, causes the program throw error 'No USER or USERNAME' in containers.

* Create and assign  env in bbgo image
* Fallback to use the default user 'bbgo' when env  or  was unassigned
 2022-06-22 16:45:23 +08:00
c9s
3150480db8
bollmaker: remove stopC 2022-06-22 16:30:29 +08:00
c9s
c26d0d7824
bollmaker: clean up commment 2022-06-22 16:20:59 +08:00
c9s
fa26d5260f
bollmaker: use bbgo.IsBackTesting 2022-06-22 16:18:50 +08:00
c9s
60d2ac1616
ewoDgtrd: clean up embedded struct 2022-06-22 15:37:02 +08:00
c9s
027f1f01cf
improve callID fallback for persistence 2022-06-22 15:19:30 +08:00
c9s
5d72ffaa0f
rsmaker: remove embedded bbgo.Persistence 2022-06-22 13:52:40 +08:00
c9s
51a2f14af7
rsmaker: remove unused vars 2022-06-22 13:52:18 +08:00
c9s
bae685d63d
rsmaker: refactor ClosePosition method 2022-06-22 13:51:36 +08:00
c9s
09d0a9bbc7
pivotshort: clean up ClosePosition method 2022-06-22 13:46:04 +08:00
c9s
dbc6d4fb44
bollmaker: refactor ClosePosition method 2022-06-22 13:46:04 +08:00
c9s
b3160815ff
dca: use order executor to close position 2022-06-22 13:46:04 +08:00
c9s
929ffc3e5e
dca: clean up 2022-06-22 13:46:04 +08:00
c9s
a5cb8355d4
dca: rewrite dca with the new order executor 2022-06-22 13:46:04 +08:00
c9s
5fe0f5a299
pull out bollinger settings 2022-06-22 13:46:04 +08:00
c9s
b75da154a8
rsmaker: remove legacy state struct 2022-06-22 13:46:04 +08:00
c9s
16eeeb852c
rsmaker: drop the legacy persistence state 2022-06-22 13:46:04 +08:00
c9s
3e5d252c10
rsmaker: clean up and remove unused code 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-22 13:46:04 +08:00
c9s
2cd44b194a
pivotshort: remove persistence from pivotshort 2022-06-22 13:46:04 +08:00
c9s
46691d5ae1
strategy/xbalance: update xbalance persistence usage 2022-06-22 13:46:04 +08:00
c9s
3112b40634
support: remove unused const 2022-06-22 13:46:03 +08:00
c9s
6ef54bf2fb
call bbgo.Sync to sync persistence 2022-06-22 13:46:03 +08:00
c9s
7c9ad535fd
bbgo: call global persistence facade to sync data 2022-06-21 14:32:43 +08:00
Yo-An Lin
612df45c5e
Merge pull request #750 from c9s/refactor/persistence-singleton 
refactor: persistence singleton and improve backtest cancel performance
 2022-06-21 14:01:14 +08:00
c9s
9b82de596b
refine optimizer executor config structure 2022-06-21 12:31:42 +08:00
Andy Cheng
edfdb5b888 optimizer: add max num of thread in config 2022-06-21 11:51:20 +08:00
c9s
9f2b810fd3
reformat go code 2022-06-21 01:25:47 +08:00
Yo-An Lin
d53176acdf
Merge pull request #746 from andycheng123/improve/pivotshort-control 
pivotshort: add strategy controller
 2022-06-21 01:24:47 +08:00
Yo-An Lin
223b3dd95f
Merge pull request #747 from andycheng123/improve/supertrend-strategy 
strategy/supertrend: use new order executor api
 2022-06-21 01:23:53 +08:00
c9s
19d8013f49
bbgo: optimize order cancel for back-testing 2022-06-21 01:12:16 +08:00
c9s
58c819bd75
bbgo: pull out PersistenceServiceFacade to singleton 2022-06-21 01:05:13 +08:00
Yo-An Lin
0e877b789e
Merge pull request #748 from andycheng123/improve/bollmaker 
bollmaker: remove redundant code for adapting new order executor api
 2022-06-21 00:26:41 +08:00
Yo-An Lin
74e8540550
Merge pull request #749 from c9s/improve/optimizer-local-proc 
improve: add parallel local process executor for optimizer
 2022-06-20 21:47:06 +08:00
austin362667
2f18ea230a rsmaker: refactor active OB 2022-06-20 17:23:13 +08:00
austin362667
c227272542 rsmaker: add bulit-in strategy 
rsmaker: clean up
 2022-06-20 17:23:13 +08:00
c9s
6afe2de9f7
optimizer: add parallel local process worker support for optimizer 2022-06-20 17:18:05 +08:00
c9s
626934a059
move out label copy and params copy to the outside of the loop 2022-06-20 15:27:01 +08:00
c9s
9be38e2421
optimizer: support multi metric value functions 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-20 14:52:40 +08:00
Andy Cheng
cc7b8c83ed bollmaker: remove redundant code for adapting new order executor api 2022-06-20 13:47:17 +08:00
Andy Cheng
aa9296e8d5 strategy/supertrend: use new order executor api 2022-06-20 13:39:07 +08:00
c9s
6669db4264
optimizer: refactor Execute method 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-20 11:54:55 +08:00
Andy Cheng
24844052d2 pivotshort: add strategy controller 2022-06-20 11:39:18 +08:00
c9s
dd087b287d
optimizer: refactor LocalProcessExecutor and pull out config test 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-20 11:20:26 +08:00
c9s
3a072181bc
optimizer: close config file handle 2022-06-20 11:07:48 +08:00
c9s
d1b8710102
add export symbol comment 2022-06-20 10:21:42 +08:00
c9s
ee89a1c382
depth: do not test depth buffer when race is on 2022-06-20 02:49:07 +08:00
c9s
2a1beddba4
support: fix support strategy stop order update 2022-06-19 17:49:38 +08:00
c9s
6e562e2ede
increase batch insert size to 1000 for klines 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-19 17:41:52 +08:00
c9s
bf0186cf55
fix batch buffer size check 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-19 17:36:28 +08:00
c9s
f035667f37
support: refactor trailing stop order management 2022-06-19 17:23:10 +08:00
c9s
b6d1b4309b
refactor and update the support strategy 2022-06-19 15:57:59 +08:00
c9s
cb9ce753e2
strategy/bollmaker: refactor and clean up 2022-06-19 13:40:10 +08:00
c9s
156219456b
all: clean up bbgo.Notifiability 2022-06-19 13:05:02 +08:00
c9s
88a63df186
all: clean up notifiability usage 2022-06-19 13:01:22 +08:00
c9s
eacd1f1ae6
all: rewrite notification api 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-19 12:29:36 +08:00
c9s
88e83c944c
pivotshort: clean up log 2022-06-19 11:21:07 +08:00
c9s
c80fe1af33
pivotshort: call BindTradeStats 2022-06-18 16:32:53 +08:00
c9s
6cae9e7449
move GeneralOrderExecutor into bbgo package 2022-06-18 16:31:53 +08:00
c9s
d367186f3e
pivotshort: clean up and pull out order executor 2022-06-18 15:27:11 +08:00
c9s
47e76a9eb5
pivotshort: refactor and redesign order executor 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-18 12:30:42 +08:00
c9s
0326c34013
pivotshort: pull out GeneralOrderExecutor 2022-06-18 11:45:24 +08:00
c9s
807a3e125c
pivotshort: split trade collector callbacks 2022-06-18 10:54:06 +08:00
c9s
687be4aa7c
fix Withdraw stringer format 2022-06-18 03:33:53 +08:00
Yo-An Lin
ed19d0395f
Merge pull request #738 from c9s/feature/binance-rebate-history 
feature: binance: add binance spot rebate history support
 2022-06-18 03:07:31 +08:00
Yo-An Lin
24fc5c2baf
Merge pull request #736 from zenixls2/feature/lint_fmt_check 
fix: gosimple alert
 2022-06-18 02:48:47 +08:00
c9s
2fb36f4a9f
binance: add binance spot rebate history support 2022-06-18 02:47:15 +08:00
c9s
8038b7a1c7
service: drop unused queryLast method 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-18 02:28:40 +08:00
c9s
d2d6b84079
service: add reward stringer support 
Signed-off-by: c9s <yoanlin93@gmail.com>
 2022-06-18 02:27:38 +08:00
c9s
d6f2f4046a
max: add limit to the closed order query 2022-06-18 01:57:34 +08:00
c9s
ee1ba417cd
rewrite reward sync 2022-06-18 01:42:33 +08:00
c9s
ac404b20a5
make default sync simple 2022-06-18 01:42:24 +08:00
zenix
a5ffca7fe8 fix: gosimple alert 2022-06-17 20:19:51 +09:00
zenix
0c7a98cc4b fix: race condition in buffer 2022-06-17 19:26:14 +09:00
zenix
ba1342cbc3 feature: add pre-commit 2022-06-17 16:07:00 +09:00
zenix
55fa4cc8f1 fix: apply gofmt on all files, add revive action 2022-06-17 16:06:59 +09:00
c9s
fc9d5f72be
bump version to v1.35.0 2022-06-17 14:01:14 +08:00
c9s
daaa3352d7
compile and update migration package 2022-06-17 14:00:36 +08:00
c9s
aedd3e79d5
maxapi: drop unused mustParseURL 2022-06-17 12:52:22 +08:00
c9s
ce63723ff0
maxapi: drop unused functions 2022-06-17 12:52:06 +08:00
Zenix
d33b12ae81
Merge pull request #721 from zenixls2/feature/heikinashi_session 
feature: add heikinashi support
 2022-06-17 12:24:02 +09:00
zenix
aa8d188d15 fix: rename useHeikinAshi to heikinAshi in config 2022-06-17 11:38:36 +09:00
Andy Cheng
5c8cc397f9
Merge pull request #720 from andycheng123/fix/supertrend 
fix: fix strategy supertrend
 2022-06-17 10:26:09 +08:00
Andy Cheng
55f36b2f3e supertrend: add comment to make the condition clearer 2022-06-17 10:15:54 +08:00
zenix
f5007752b2 feature: add heikinashi support 2022-06-17 10:58:32 +09:00
Yo-An Lin
7225a597f2
Merge pull request #728 from zenixls2/feature/dmi 
feature: add dmi indicator
 2022-06-17 01:13:53 +08:00
zenix
126974cd79 feature: dmi add test, fix: rma with Adjust setting (follow the implementation of pandas.DataFrame.ewm) 2022-06-16 19:55:14 +09:00
zenix
0a4379eec9 feature: add dmi indicator 2022-06-16 19:26:16 +09:00
Andy Cheng
f6770df50f supertrend: log with symbol 2022-06-16 17:14:50 +08:00
なるみ
50fbf0727e types: move valuemap and floatmap to types 2022-06-16 16:44:27 +08:00
なるみ
5799497a09 marketp: add marketcap strategy 2022-06-16 16:44:02 +08:00
c9s
500dc64ed4
maxapi: drop unused v2 order api 2022-06-16 16:05:21 +08:00
c9s
0aa606ebcb
maxapi: drop unused v2 api 2022-06-16 16:03:12 +08:00
Yo-An Lin
f9a18e04c2
Merge pull request #729 from c9s/improve/maxapi 
refactor: re-arrange maxapi files
 2022-06-16 15:41:59 +08:00
c9s
4af722e0e0
bump version to v1.34.0 2022-06-16 15:33:36 +08:00
c9s
4b14e7f7e5
refactor maxapi files 2022-06-16 15:22:36 +08:00
Zenix
b691572c0b
Merge pull request #723 from zenixls2/feature/ssf 
feature: add Ehler's Super smoother filter
 2022-06-16 13:09:18 +09:00
zenix
0377ecd42d fix: ssf less indent 2022-06-16 13:02:00 +09:00
なるみ
8d9faff859 rebalance: validate symbols 2022-06-16 10:44:13 +08:00
なるみ
3d0ad010eb rebalance: replace Float64Slice by ValueMap 2022-06-16 10:44:13 +08:00
なるみ
0a602bc259 rebalance: add ValueMap 2022-06-16 10:44:13 +08:00
Yo-An Lin
fc340c2286
Merge pull request #725 from narumiruna/rebalance/activeorderbook 
rebalance: simplify code
 2022-06-16 07:34:18 +08:00
Yo-An Lin
4ef10d1dc4
Merge pull request #713 from andycheng123/improve/share-kline 
improve: share klines tsv
 2022-06-16 07:33:43 +08:00
なるみ
ad98cf883c rebalance: remove unused subscriptions 2022-06-16 01:33:28 +08:00
なるみ
21a793e16b rebalance: rename variable 2022-06-16 01:33:28 +08:00
なるみ
87adf694b1 rebalance: manage active order book without specifying symbol 2022-06-16 01:33:28 +08:00
なるみ
a4814951d4 rebalance: remove ignoreLock and simplify code 2022-06-16 01:33:28 +08:00
なるみ
f19e1fdf87 rebalance: rename methods 2022-06-16 00:22:19 +08:00
zenix
f4c4d631f8 feature: add Ehler's Super smoother filter 2022-06-15 20:09:33 +09:00
ankion
b82476428d fix futures mode not use futures kline data. 2022-06-15 16:00:30 +08:00
Yo-An Lin
694c226bc0
Merge pull request #719 from andycheng123/improve/optimizer 
optimizer: bool type parameter
 2022-06-15 15:45:39 +08:00
c9s
22d5b6e142
move max api files 2022-06-15 14:55:43 +08:00
YC
84a00a8249
Merge pull request #718 from c9s/yc/fix/syncing 
fix: sync api guard condition
 2022-06-15 14:33:24 +08:00
Andy Cheng
ae935971f4 indicator: fix wrong supertrend signal due to atr window not satisfied yet 2022-06-15 12:23:41 +08:00
Andy Cheng
91e4003520 strategy: prevent supertrend from open extra position 2022-06-15 12:22:26 +08:00
Andy Cheng
d967525a10 optimizer: bool type parameter 2022-06-15 12:16:18 +08:00
ycdesu
bee85f7973 fix: sync api guard condition 2022-06-15 11:44:39 +08:00
Zenix
92b21e8fe6
Merge pull request #707 from zenixls2/feature/alma 
feature: add basic implementation of alma indicator
 2022-06-15 09:00:42 +09:00
c9s
5aa2f8a681
xmaker: skip quoting if bb value is zero 2022-06-15 01:18:46 +08:00
c9s
5210b97a23
xmaker: update klines to boll indicator 2022-06-15 01:17:41 +08:00
c9s
b47d103cf8
xmaker: pull out band value to fixedpoint 2022-06-15 01:13:54 +08:00
zenix
f2c5ef296a feature: alma indicator add test 2022-06-14 17:51:06 +09:00
zenix
686d1dcaac feature: add basic implementation of alma indicator 2022-06-14 16:56:37 +09:00
Yo-An Lin
e261d2c270
Merge pull request #714 from c9s/improve/sync-symbol-opt 
improve: support specifying session in the sync symbol
 2022-06-14 14:34:23 +08:00
zenix
bf6726a529 fix: output color output to stderr 2022-06-14 14:41:41 +09:00
zenix
28d01486ee clean: clean code, add comments, add more report on exit 2022-06-14 14:41:41 +09:00
zenix
0ff3d94919 refactor: ewo choose ma 2022-06-14 14:41:41 +09:00
zenix
b5b1719045 feature: filter signal by ewo histogram and 3*atr entry 2022-06-14 14:41:41 +09:00
c9s
e7fc12aca7
update symbols doc 2022-06-14 13:32:13 +08:00
c9s
b1873aa19b
support specifying session in sync symbol 2022-06-14 13:02:36 +08:00
Andy Cheng
7ffe010c57 optimizer: kline directory by backtest period 2022-06-14 12:54:05 +08:00
c9s
8d9e63671e
binance: add GetApiReferralIfNewUserRequest api 2022-06-14 12:24:48 +08:00
Andy Cheng
8f18b414b6 optimizer: move klines to shared/ 2022-06-13 13:14:39 +08:00
Andy Cheng
70d6d8f5db optimizer: share klines in report 2022-06-13 12:26:47 +08:00
c9s
a506a00001
xmaker: fix position notify 2022-06-13 12:04:35 +08:00
c9s
4a6fb63c8b
check nil 2022-06-13 12:03:31 +08:00
c9s
8d2967c1a0
bump version to v1.33.4 2022-06-13 11:44:05 +08:00
c9s
e3a894eb7e
fix telegram filterPlaintextMessages 2022-06-13 11:29:33 +08:00
c9s
eba6706b92
move FilterSimpleArgs to the util package 2022-06-13 11:20:29 +08:00
c9s
0164cd1c72
fix reflect.Elem call 2022-06-13 11:05:00 +08:00
c9s
35d04bd31f
remove kline debug log 2022-06-13 10:38:15 +08:00
c9s
e8d25538f6
fix filterSimpleArgs for notification format 2022-06-13 10:37:39 +08:00
c9s
28666d4e98
fix profit pointer check 2022-06-13 10:33:28 +08:00
zenix
a65374d686 fix: fixedpoint percentage bound check 2022-06-13 11:05:55 +09:00
Yo-An Lin
77e8af2ae6
Merge pull request #710 from c9s/strategy/pivot 
strategy: pivot: add bounce short
 2022-06-12 12:12:04 +08:00
c9s
69fc6ca252
backtest: add fee token support 2022-06-12 03:55:02 +08:00
c9s
2e8f9c3ad8
backtest: fix fee calculation 2022-06-12 03:45:47 +08:00
c9s
ce70bbbc4a
account: check if balance exists 2022-06-12 03:45:28 +08:00
c9s
5949c7587e
make bounce short optional 2022-06-11 16:41:56 +08:00
c9s
3d0c0717ba
pivotshort: fix bounce short 2022-06-11 16:33:21 +08:00
c9s
ec68dc2f40
reimplement placeBounceSellOrders 2022-06-11 00:26:44 +08:00
Yo-An Lin
2bab2103e8
Merge pull request #703 from c9s/fix/sync-goroutine-leak 
fix: syncing goroutine leak
 2022-06-10 16:47:02 +08:00
c9s
46450c0122
pivotshort: rename pivotLength to window and update indicator manually 2022-06-10 15:34:57 +08:00
c9s
91b9605884
pivotshort: manually update pivot indicator 2022-06-10 15:18:12 +08:00
c9s
fba0a20cda
fix pivot indicator: filter out zero lows and highs 2022-06-10 15:17:06 +08:00
zenix
1e67acd77a fix: set buffer period to allow buffer to get fully appended before the estimation in buffer_test 2022-06-10 15:24:13 +09:00
zenix
f1e24bf43b feature: add codecoverage and add race detection in go test, fix: fix race conditions 2022-06-10 14:01:14 +09:00
ycdesu
9a71c9a5eb web: pass root ctx into setup func 2022-06-10 12:19:38 +08:00
ycdesu
1dbd5dbd94 sync: only sync when previous operation is done 2022-06-10 12:16:58 +08:00
c9s
a9d2a9e57a
pivotshort: add breakLow.bounceRatio option 2022-06-10 11:36:04 +08:00
c9s
0921f038a6
bump version to v1.33.3 2022-06-10 02:52:54 +08:00
c9s
9ffefbab03
adjust CancelOrderWaitTime back to 20ms 2022-06-10 02:51:20 +08:00
c9s
470e003867
max: fix max v3 order cancel 2022-06-10 02:50:39 +08:00
Yo-An Lin
aeae2d58c9
Merge pull request #699 from c9s/strategy/pivot 
pivotshort: add roiMinTakeProfitPercentage option and cumulatedVolume…
 2022-06-10 02:47:13 +08:00
c9s
35a58268cf
pivotshort: add roiMinTakeProfitPercentage option and cumulatedVolume option 2022-06-10 02:39:14 +08:00
Yo-An Lin
449186f460
Merge pull request #697 from andycheng123/fix/supertrend 
strategy: remove redundant code
 2022-06-10 01:29:45 +08:00
c9s
e575236db8
pivotshort: adjust shadow ratio calculation 2022-06-10 01:21:59 +08:00
c9s
260857b5b1
pivotshort: add TradeStats 2022-06-10 00:49:32 +08:00
c9s
b79e4f2fb8
fixedpoint: add marshalYAML interface support 2022-06-10 00:42:48 +08:00
c9s
a8134561f5
pivotshort: add stopEMA 2022-06-09 18:16:32 +08:00
c9s
aa2ba265f1
pivotshort: refactor and add more fix 2022-06-09 17:36:22 +08:00
Andy Cheng
2e3badc0da strategy: remove redundant code 2022-06-09 16:37:19 +08:00
c9s
4f9ac6f3fb
pivotshort: move notification message to make log clean 2022-06-09 15:50:43 +08:00
c9s
e117cc4157
optimize single symbol query for kline query 2022-06-09 15:50:23 +08:00
c9s
77eb5da7b7
clean up type conversion 2022-06-09 15:50:06 +08:00
c9s
f8dbd26736
move cpu profile option to global cmd 2022-06-09 15:49:52 +08:00
c9s
8d3f487d0d
reduce order cancel wait time to 10ms 2022-06-09 15:49:34 +08:00
c9s
b731405658
add fixedpoint.Value to simple types 2022-06-09 15:49:13 +08:00
c9s
5a809f60e0
pivotshort: fix order cancel step 2022-06-09 13:26:30 +08:00
c9s
4b08e93758
rename st = store 2022-06-09 12:34:23 +08:00
c9s
fc0457cefe
fix notify args filtering 2022-06-09 12:34:23 +08:00
c9s
e17535e651
pivotshort: fix position close bugs 2022-06-09 12:34:23 +08:00
c9s
1bfc125a52
gracefully cancel order before closing position 2022-06-09 12:34:23 +08:00
c9s
1d8cd2d604
improve kline matching error 2022-06-09 12:34:22 +08:00
c9s
77b704b6ec
move some methods back for refactoring 2022-06-09 12:34:22 +08:00
austin362667
3c40f9e90e
pivotshort: improve market sell when breaks previous pivot low only 
pivotshort: improve market sell when breaks previous pivot low only
 2022-06-09 12:34:22 +08:00
c9s
9065b5bae7
bump version to v1.33.2 2022-06-08 23:17:11 +08:00
Yo-An Lin
60af0b08e3
Merge pull request #693 from c9s/fix/binance-deposit-history-sync 
fix: fix and rewrite binance deposit history sync
 2022-06-08 19:16:10 +08:00
c9s
c16fe8188a
fix: calcualte fee in quote only when fee is not zero 2022-06-08 18:09:17 +08:00
c9s
83d7aab4d4
fix trade format alignment 2022-06-08 18:06:49 +08:00
c9s
f1cce3e123
clean up 2022-06-08 17:33:52 +08:00
c9s
f3a7428b48
add stringer method for deposit struct 2022-06-08 17:32:42 +08:00
c9s
6d78b05b41
rewrite deposit sync service 2022-06-08 15:49:44 +08:00
c9s
5f075af24f
batch: add DepositBatchQuery 2022-06-08 15:49:44 +08:00
c9s
c4c8bca72f
binance: re-implement deposit history query 2022-06-08 15:49:44 +08:00
c9s
854661bc71
backtest: move info log suppress after sync 2022-06-08 15:15:57 +08:00
c9s
99bf914415
add warning logs to pnl cmd 2022-06-08 15:10:43 +08:00
c9s
8c6331073d
cmd: fix pnl cmd 2022-06-08 15:10:43 +08:00
c9s
e023d0be5b
service: rewrite kline sync check 2022-06-08 15:10:43 +08:00
c9s
1f927d5162
use the same time object for 'now' 2022-06-08 14:37:03 +08:00
c9s
09912b3fc3
environment: avoid setting UTC on time object 2022-06-08 14:36:26 +08:00
c9s
14ffa0fe2f
bump version to v1.33.1 2022-06-08 13:15:52 +08:00
Yo-An Lin
4fdee25a96
Merge pull request #691 from c9s/fix/sync-time 
fix: fix sync since time field check
 2022-06-08 13:04:39 +08:00
c9s
fb5fc02bdf
fix since time field check 2022-06-08 12:54:48 +08:00
Yo-An Lin
047fad8d5b
Merge pull request #689 from c9s/fix/sqlite-gid-insert 
fix: fix reflect insert (remove gid field)
 2022-06-08 12:18:23 +08:00
c9s
e7dfd4a654
fix reflect insert (remove gid field) 2022-06-08 12:08:04 +08:00
zenix
7a045a48d4 fix: drift window in factorzoo, order_execution print order, refactor: use defer to mu.Unlock in depth/buffer.go 2022-06-08 12:14:53 +09:00
zenix
8361689974 fix: check for div zero in drift indicator 2022-06-08 11:07:26 +09:00
zenix
9dd8dbbede feature: add drift indicator, split heikinashi's Queue 2022-06-08 01:21:18 +08:00
c9s
792e67e982
bump version to v1.33.0 2022-06-07 22:34:16 +08:00
c9s
e92e0f04f3
bump version to v1.33.0 2022-06-07 22:31:08 +08:00
c9s
ea2ba5d11e
bump version to v1.33.0 2022-06-07 22:24:47 +08:00
c9s
7f07852086
fix filled market order update event duplicated trigger 2022-06-07 20:27:11 +08:00
c9s
fc8d3ea59f
register dca strategy to builtin 2022-06-07 20:26:56 +08:00
c9s
9a29843477
add dca strategy 2022-06-07 20:26:44 +08:00
c9s
dc0cb30b23
fix order submit message format 2022-06-07 20:26:33 +08:00
c9s
7e92e6592a
backtest: add test case for testing order update callbacks 2022-06-07 19:36:55 +08:00
Andy Cheng
9836fbbf82 strategy: rebase 2022-06-07 16:49:43 +08:00
Andy Cheng
39615c8981 indicator: get supertrend signal 2022-06-07 16:44:15 +08:00
Andy Cheng
14e70007d9 indicator: supertrend 2022-06-07 16:44:15 +08:00
Andy Cheng
34465fac89
Merge pull request #653 from andycheng123/strategy/supertrend 
strategy: add supertrend strategy
 2022-06-07 16:25:49 +08:00
Andy Cheng
ee26d6ce34 strategy: Persistence.Sync() after position change 2022-06-07 16:04:40 +08:00
Yo-An Lin
037f2949bd
Merge pull request #678 from andycheng123/fix/interact 
interact: fix missing make()
 2022-06-07 12:31:53 +08:00
c9s
32837d85a0
fix fmaker 2022-06-07 12:31:06 +08:00
c9s
46a008bea5
move batch insert back 2022-06-07 12:28:11 +08:00
Yo-An Lin
16e9535b8c
Merge pull request #638 from austin362667/strategy/f1 
strategy: add fmaker
 2022-06-07 12:24:26 +08:00
Andy Cheng
57aab937b3 interact: update test 2022-06-07 10:45:55 +08:00
Andy Cheng
9a086d2855 interact: use instance ID as signature 2022-06-07 10:40:15 +08:00
c9s
a4807d6594
fix tests 2022-06-07 01:21:27 +08:00
c9s
d7f9742360
binance: revert the start time filtering 2022-06-07 00:50:07 +08:00
c9s
53e74b6262
fix timezone issue for sqlite and mysql 2022-06-07 00:48:13 +08:00
c9s
b32b852303
service: fix FindMissingTimeRanges until check 2022-06-06 18:15:36 +08:00
zenix
c7eb065995 fix: close / rollback queries/transactions on error 2022-06-06 18:57:24 +09:00
Andy Cheng
58ec38d811 interact: update interact test 2022-06-06 17:43:25 +08:00
Andy Cheng
8410b1cc33 interact: update interact test 2022-06-06 17:34:39 +08:00
c9s
022775d0a2
service: use batch insert for kline 2022-06-06 17:21:31 +08:00
Andy Cheng
1f79e236ad interact: revert to id = strategy.ID() 2022-06-06 16:20:06 +08:00
Andy Cheng
3d9994706b interact: fix missing make() 2022-06-06 15:36:09 +08:00
c9s
dae4afec10
fix verify() time range 2022-06-06 14:58:26 +08:00
c9s
da6a209fd7
service: set PRAGMA for sqlite3 2022-06-06 14:53:37 +08:00
c9s
a6d18a87f5
fix: batch query exit issue 
- remove errC case (this channel is closed earlier)
- add empty data range test case for finding missing time range
 2022-06-06 13:25:11 +08:00
c9s
e1225d4127
add log insert option for sync 2022-06-06 12:24:18 +08:00
c9s
74f7e4181a
service: improve missing time range log 2022-06-06 12:15:06 +08:00
c9s
0a6deed305
service: fix QueryExistingDataRange 2022-06-06 11:46:18 +08:00
c9s
625bd0c5e4
fix order executor formatting 2022-06-06 07:23:16 +08:00
c9s
b209d94a9c
rename active order book constructor function 2022-06-06 06:57:25 +08:00
c9s
4dafa32e97
strategy: should always handle trade even if the strategy status is not running 2022-06-06 06:56:44 +08:00
c9s
2474aa777d
optimizer: fix parameter copy 2022-06-06 06:49:08 +08:00
c9s
43c2819d01
optimizer: copy param slice 2022-06-06 06:39:27 +08:00
c9s
0f6989af8b
service: avoid storing nil pointer to redis 2022-06-06 06:32:34 +08:00
c9s
a2cfea8acb
service: add stringer to TimeRange 2022-06-06 06:27:45 +08:00
c9s
be644bb91f
fix s.SyncKLineByInterval call 2022-06-06 06:24:25 +08:00
c9s
cb4c879942
backtest: copy the order object for updating status 2022-06-06 06:24:25 +08:00
c9s
f65b343ea6
service: clean up Verify method signature 2022-06-06 06:24:25 +08:00
c9s
41191c4db5
service: rewrite backtest verify 2022-06-06 06:24:24 +08:00
c9s
80d9c8a3be
update activeorderbook callback file 2022-06-06 06:03:49 +08:00
c9s
3786fc64f1
rename LocalActiveOrderBook to just ActiveOrderBook 2022-06-06 05:43:38 +08:00
c9s
1e27caa5e2
flashcrash: update local active book usage 2022-06-05 21:45:43 +08:00
c9s
1d340256ea
fix and simplify LocalActiveOrderBook 2022-06-05 18:12:26 +08:00
ankion
53f3df5ccf futures position no need to deduct fees 2022-06-05 16:33:08 +08:00
ankion
d90cf43d5a fix futures QuoteQuantity incorrect. 2022-06-05 16:33:08 +08:00
c9s
016ddfd8cd
pivotshort: also check isClosed 2022-06-05 13:14:17 +08:00
c9s
f883d42c58
pivotshort: avoid market sell again if position is already opened 2022-06-05 13:13:23 +08:00
c9s
629ae39095
fix var comparison 2022-06-05 13:09:32 +08:00
c9s
defff9b01d
pivotshort: add new found return value 2022-06-05 13:04:48 +08:00
c9s
f39ba4854d
pivotshort: add notify 2022-06-05 12:58:12 +08:00
c9s
74ee92832b
pivotshort: rename pivotBuffer to pivotLowPrices 2022-06-05 12:56:40 +08:00
c9s
32f324761e
pivotshort: market sell to open short 2022-06-05 12:55:36 +08:00
c9s
4bd322feb4
pivotshort: use notify and always collect trades 2022-06-05 12:51:45 +08:00
c9s
e7078edacd
pivotshort: add kline event handler and a todo 2022-06-05 12:48:54 +08:00
c9s
b20e1335c2
pivotshort: pull out market sell to a single method 2022-06-05 12:47:15 +08:00
c9s
f0578c5fa2
pivotshort: rename place order method 2022-06-05 12:40:41 +08:00
c9s
46b766857a
pivotshort: always collect trades after submitting orders 2022-06-05 12:40:08 +08:00
c9s
b9c32c7f7e
pivotshort: numLayers should be int 2022-06-05 12:37:35 +08:00
c9s
4b582830f0
remove timepoint map 2022-06-05 01:57:40 +08:00
c9s
c20e3fee4b
fix persistence unmarshalling issue 2022-06-05 01:48:56 +08:00
c9s
221a2d9dc7
fix persistence: calling type method on z zero value 2022-06-05 01:09:31 +08:00
c9s
39fcf1a51b
refactor sync command and add integration tests 2022-06-05 01:01:59 +08:00
c9s
425f8674d2
service: add kline partial sync 2022-06-04 19:15:11 +08:00
c9s
bf4d8d345e
service/backtest: implement backfill and time range scanner 2022-06-04 11:47:55 +08:00
c9s
9083881442
refactor exchange factory and solve the incorrect pkg import dependency from ftx 2022-06-04 11:47:55 +08:00
austin362667
9b8239abba pivotshort: add symbol name 2022-06-04 02:31:04 +08:00
austin362667
fcdc26e188 pivotshort: add init place order 2022-06-04 02:31:04 +08:00
c9s
6ceb54679a
add websocket log prefix 2022-06-04 00:39:24 +08:00
austin362667
5ca651a9b4 pivotshort: clean up field name 2022-06-03 23:28:48 +08:00
austin362667
af2d88d9a3 pivotshort: add immediate market sell 2022-06-03 23:23:26 +08:00
austin362667
9dab39849b pivotshort: clean up 2022-06-03 16:38:06 +08:00
austin362667
30be15dd34 pivotshort: add repay margin side effect 2022-06-03 15:48:49 +08:00
austin362667
2aac5bb273 pivotshort: improve post order & add margin 2022-06-03 15:48:49 +08:00
c9s
6936503cde
bollmaker: fix profit stats notification 2022-06-03 14:46:45 +08:00
c9s
3428aeba03
apply default exchange fee rate 
fixes #566
 2022-06-03 03:24:34 +08:00
c9s
4fc0687cf9
bollmaker: remove debug code 2022-06-03 03:14:19 +08:00
c9s
68d6e9e850
service: fix state loading (use correct ID method) 2022-06-03 03:10:50 +08:00
c9s
f7cdaff925
persistence: add store and load test case 2022-06-03 02:49:16 +08:00
c9s
7fce6a0fca
bollmaker: call persistence.Sync when position is changed 2022-06-03 02:44:00 +08:00
c9s
50d7d235a4
bollmaker: pull out functions 2022-06-03 02:44:00 +08:00
c9s
1a85299204
bollmaker: make detectPriceTrend simple function 2022-06-03 02:44:00 +08:00
Yo-An Lin
89c2e7de1e
Merge pull request #663 from c9s/fix/persistence-snapshot 
test: add more test on Test_loadPersistenceFields
 2022-06-03 02:09:52 +08:00
c9s
75bd5ffe32
ftx: fix kline time range check 2022-06-03 02:05:06 +08:00
c9s
55e9c7ee25
add more test on Test_loadPersistenceFields 2022-06-03 01:57:39 +08:00
c9s
0b6f7270ff
fix: drop IsZero 2022-06-03 01:15:08 +08:00
c9s
b1419a6f8b
ftx: add balance poller 2022-06-02 22:01:03 +08:00
c9s
3eb3a1f367
fix: ftx: add limit to ftx kline query 2022-06-02 21:51:22 +08:00
c9s
a7bd9239f2
fix: pull out time.now variable 2022-06-02 21:27:28 +08:00
c9s
32095e2741
fix: call abs on base for IsDust method 2022-06-02 21:06:52 +08:00
c9s
d27fee57ad
fix: do not load all trades into memory 2022-06-02 20:02:32 +08:00
c9s
d7c8b0b127
autoborrow: render balance map as SlackAttachment 2022-06-02 19:50:39 +08:00
Yo-An Lin
69c58ee38f
Merge pull request #656 from c9s/refactor/sync 
refactor: drop unused function
 2022-06-02 19:28:44 +08:00