2488 Commits

Author	SHA1	Message	Date
c9s	b4f2748892	xmaker: fix sides	2024-09-09 18:03:03 +08:00
c9s	ceda1e06b9	xmaker: implement tryArbitrage	2024-09-09 17:49:53 +08:00
c9s	f361b19564	Merge pull request #1734 from c9s/c9s/xmaker/ioc-arb ... REFACTOR: [xmaker] refactor for supporting ioc arb [part1]	2024-09-09 16:05:11 +08:00
c9s	90749f4873	xmaker: pull out s.UseDepthPrice dependency	2024-09-09 15:04:56 +08:00
c9s	77dfe213e5	xmaker: pull out getLayerPrice and add test against the method	2024-09-09 14:41:41 +08:00
c9s	f24a96c8c3	xmaker: refactor getInitialLayerQuantity for quantity multiplier	2024-09-07 14:19:07 +08:00
c9s	6ad16b7488	xmaker: add EnableArbitrage option and makerBook	2024-09-07 13:47:34 +08:00
c9s	e14f09a914	xmaker: add sourceDepthLevel option	2024-09-06 21:47:43 +08:00
c9s	3cc96ff6ad	Merge pull request #1724 from dropbigfish/main ... fix: fix slice init length	2024-09-06 18:06:21 +08:00
longhutianjie	c75a685cc0	bug: fix json tag	2024-09-04 17:58:27 +08:00
c9s	9fc3a1b44a	xmaker: rename to aggTradeVolume	2024-09-04 16:09:58 +08:00
c9s	656112de45	xmaker: call signalConfig.TradeVolumeWindowSignal.Bind	2024-09-04 16:07:28 +08:00
c9s	ba73eeaad1	xmaker: add TradeVolumeWindowSignal	2024-09-04 15:59:21 +08:00
c9s	d404b20bd1	deposit2transfer: fix comments	2024-09-04 11:19:43 +08:00
c9s	7135895006	xmaker: fix MaxExposurePosition check condition	2024-09-03 03:25:37 +08:00
c9s	f12ba1adb9	bbgo: add comments to the quota methods	2024-09-02 22:18:13 +08:00
c9s	294e529a98	xmaker: add more logs	2024-09-02 16:08:51 +08:00
c9s	f30aca1b5a	xmaker: update position metrics when restored	2024-09-02 15:51:31 +08:00
c9s	f9b9832fff	add more logs	2024-09-02 15:51:31 +08:00
c9s	4d1c357c3d	xmaker: reuse makerMarket field	2024-09-01 17:55:00 +08:00
c9s	a4833524cf	xmaker: add more logs	2024-09-01 16:41:16 +08:00
c9s	ed073264f1	xmaker: add MaxHedgeAccountLeverage option	2024-09-01 15:42:36 +08:00
c9s	ad6056834e	xmaker: separate maximumValueInUsd in a new var	2024-09-01 01:34:25 +08:00
c9s	8b1306a6a6	xmaker: calculate maximum leveraged account value	2024-09-01 01:31:50 +08:00
c9s	d85da78e17	xmaker: improve hedge account credit calculation	2024-09-01 00:58:50 +08:00
dropbigfish	9d581adc04	fix: fix slice init length ... Signed-off-by: dropbigfish <fillfish@foxmail.com>	2024-09-01 00:36:43 +08:00
c9s	cff7103ece	fix math import	2024-08-30 22:41:13 +08:00
c9s	d501e8ff4d	xmaker: apply math.Abs on signal for margin scale	2024-08-30 22:38:59 +08:00
c9s	ec80cbfd9f	xmaker: check 0.0	2024-08-30 17:52:28 +08:00
c9s	7c4b3e81df	xmaker: add more logs	2024-08-30 17:42:20 +08:00
c9s	cc820d3df0	xmaker: apply margin from signal	2024-08-30 17:39:25 +08:00
c9s	371db8e7d1	xmaker: update signal conditions to metrics	2024-08-30 17:18:29 +08:00
c9s	b8abc065de	xmaker: initialize bollinger band signal	2024-08-30 17:15:12 +08:00
c9s	9ebab4f4f7	xmaker: add signal providers	2024-08-30 15:44:55 +08:00
c9s	d9fb9ff3e0	xmaker: remove unused var	2024-08-29 13:18:50 +08:00
c9s	86e464b1bc	xmaker: when submitting hedge orders, do not add it to the active orderbook	2024-08-29 00:33:04 +08:00
c9s	8de0c67503	xmaker: fix aggregatePrice function	2024-08-28 22:36:44 +08:00
c9s	e187614179	xmaker: log best bid and best ask	2024-08-28 22:32:56 +08:00
c9s	d36bbe5fb5	xmaker: adjust accountUpdater's ticker to 3 min	2024-08-28 16:41:50 +08:00
c9s	77b7b29739	xmaker: adjust credit buffer algo	2024-08-28 16:37:39 +08:00
c9s	1d6282a10b	xmaker: add account updater and handle margin account to add more flexibility	2024-08-28 16:07:11 +08:00
c9s	108fb6138a	xmaker: check hedge balance only when it's spot account	2024-08-28 14:48:38 +08:00
c9s	1e2f086643	xmaker: set notional var back	2024-08-27 22:45:43 +08:00
c9s	6011fd5157	xmaker: set profitChanged only when Hedge is called	2024-08-27 22:45:11 +08:00
c9s	9939b5ce68	xmaker: improve bid/ask pricing when UseDepthPrice and DepthQuantity are on	2024-08-27 20:05:46 +08:00
c9s	a740ef10c2	xmaker: add price checker and field logger	2024-08-27 20:05:45 +08:00
c9s	f81ce5ce95	xmaker: improve bollinger band trend detection	2024-08-27 20:05:45 +08:00
c9s	4ae8ad77b3	xmaker: add profit changed flag for notification	2024-08-27 20:05:45 +08:00
c9s	3819feacf3	xmaker: improve dust quantity check	2024-08-27 20:05:45 +08:00
c9s	3d4ccd1344	xmaker: integrate bid/ask margin metrics	2024-08-27 15:39:38 +08:00
c9s	b3c8739983	xmaker: add config bid/ask margin metrics	2024-08-27 15:35:39 +08:00
c9s	7e65aca62e	xmaker: add more config metrics	2024-08-27 15:22:06 +08:00
c9s	199b86df86	xmaker: add comments	2024-08-27 14:52:27 +08:00
c9s	6fb6467d59	xmaker: refactor hedge worker and quote worker	2024-08-27 14:48:30 +08:00
c9s	e3079c134c	xmaker: add todo note	2024-08-26 18:37:02 +08:00
c9s	7367ea73b8	xmaker: profit object can be nil	2024-08-26 18:35:10 +08:00
c9s	77e185ffa7	xmaker: add profit fixer	2024-08-26 12:45:18 +08:00
c9s	9a1d9ae27b	xmaker: rewrite maker order submission logics and integrate metrics	2024-08-24 21:22:35 +08:00
c9s	c76a80da6a	xmaker: add xmaker metrics	2024-08-24 21:22:34 +08:00
c9s	afac81a3e8	all: integrate metrics into stream book	2024-08-24 21:22:34 +08:00
c9s	0df56ad6e7	xmaker: use v2 indicator boll	2024-08-24 13:28:32 +08:00
c9s	1c1959b8a8	all: rename priceresolver to pricesolver ... integrate pricesolver into xmaker	2024-08-24 12:28:05 +08:00
c9s	9f01dc28c8	xmaker: remove report ticker and ... isolate rate limiter for each different instance	2024-08-24 12:19:34 +08:00
c9s	e8bd370aa2	xmaker: remove duplicated log entry	2024-08-24 12:13:44 +08:00
c9s	5ca1c4fb62	xmaker: rewrite and clean up order submission	2024-08-24 12:13:15 +08:00
c9s	f7dc07327e	xmaker: assign position strategy id and instance id	2024-08-24 12:01:11 +08:00
c9s	6ef8aa62e5	xmaker: integrate CircuitBreaker	2024-08-24 11:58:09 +08:00
c9s	14fff8dbad	xmaker: integrate circuitbreaker	2024-08-24 11:42:16 +08:00
c9s	9f510da78b	xmaker: use margin order to hedge positions	2024-08-23 16:57:29 +08:00
c9s	b2f1f7d735	Merge pull request #1700 from c9s/narumi/autobuy-boll ... Fix: [autobuy] fix error when bollinger settings is not set	2024-08-23 13:05:18 +08:00
narumi	1b06fcc961	validate parameters	2024-08-22 14:36:06 +08:00
narumi	b820fccce1	add order type to config	2024-08-22 14:36:06 +08:00
c9s	72575e3cd8	elliottwave: use AverageCost instead	2024-08-22 11:26:46 +08:00
c9s	a900c72032	types/position: drop approximateAverageCost	2024-08-22 11:19:54 +08:00
narumi	731fa9af7e	fix error when bollinger settings is not set	2024-08-21 13:28:22 +08:00
c9s	51c1b995c2	twap: add v2 fixed quantity executor	2024-08-20 14:01:03 +08:00
c9s	9dd85623b9	types,strategy: refactor price type and add more bbo (best bid offer)	2024-08-17 14:05:29 +08:00
c9s	9911a4f711	all: fix converter initialization	2024-08-12 15:56:24 +08:00
c9s	1b0d4599e2	all: add trade converter to trade pnl fixer	2024-08-12 15:02:02 +08:00
c9s	473a6bc108	xdepthmaker: set converter manager	2024-08-10 15:50:20 +08:00
c9s	1ad2bc5f34	core: add Initialize() method to the converter interface	2024-08-08 17:37:58 +08:00
c9s	fad7ef219e	xdepthmaker: separate hedge symbol	2024-08-07 16:01:56 +08:00
c9s	a24a118182	xalign: add more withdraw checking logs	2024-08-06 18:08:39 +08:00
c9s	e03ba63e44	max: remove legacy emptyTime	2024-08-05 16:40:10 +08:00
c9s	97336912e5	max: use v3/withdrawals apis	2024-08-02 15:24:00 +08:00
c9s	089e69a221	xalign: add withdraw detection notification	2024-08-02 15:24:00 +08:00
c9s	4bf558f9eb	xaling: add detectActiveTransfers	2024-07-31 16:51:00 +08:00
c9s	ab20b6db89	all: improve binance withdraw status convertion	2024-07-31 15:04:08 +08:00
narumi	0eb3856906	round down quantity	2024-07-09 12:08:24 +08:00
c9s	22c154f9cd	common: fix profit fixer batch query	2024-07-08 17:43:22 +08:00
c9s	c217aadc1b	common: pull out ProfitFixerBundle	2024-07-08 14:16:40 +08:00
c9s	d982524824	liquiditymaker: refactor profit fixer	2024-07-08 14:15:15 +08:00
kbearXD	3735499753	FEATURE: merge recover logic and run periodically	2024-06-27 20:31:55 +08:00
なるみ	ad5674d9cb	Merge pull request #1656 from c9s/narumi/autobuy-min-base-balance ... REFACTOR: [autobuy] replace threshold with minBaseBalance	2024-06-21 18:18:37 +01:00
なるみ	396ee68170	Merge pull request #1644 from c9s/narumi/fee-budget ... REFACTOR: Extract and move FeeBudget from xgap	2024-06-20 14:26:27 +01:00
narumi	bbb1b8a9fa	fix position quantity	2024-06-20 17:40:22 +08:00
narumi	a1b8e07bb5	take profit by expected base balance	2024-06-20 16:08:12 +08:00
narumi	9cbf8a0ecf	add fee budget support to random strategy	2024-06-18 18:24:16 +08:00
narumi	0f03bc785b	extract FeeBudget struct and move to common	2024-06-18 18:24:14 +08:00
narumi	4dc28ec16a	replace threshold with minBaseBalance	2024-06-18 17:45:31 +08:00
c9s	e953a04638	Merge pull request #1655 from c9s/c9s/xgap-vol-target ... FEATURE: [xgap] add dailyTargetVolume option	2024-06-18 17:10:49 +08:00
c9s	589a8b6eb2	xgap: add dailyTargetVolume option	2024-06-18 16:49:47 +08:00
kbearXD	5098c3ac35	Merge pull request #1645 from c9s/kbearXD/dca2/flexible-recovery ... FEATURE: [dca2] make the take-profit order of round from order to orders	2024-06-13 18:19:44 +08:00
kbearXD	60160cd7b4	new flag DisableOrderGroupIDFilter to only query order group id	2024-06-13 17:21:27 +08:00
c9s	a5831bbf13	xgap: fix price and balance checking	2024-06-13 15:55:40 +08:00
c9s	88ce5a4928	xgap: make sourceBook optional	2024-06-13 15:40:40 +08:00
c9s	9adedc186f	xgap: fix empty source book pricing issue	2024-06-11 16:28:48 +08:00
kbearXD	1d0b4e5cb8	FEATURE: [dca2] make the take-profit order of round from order to orders	2024-05-30 15:53:44 +08:00
なるみ	7bde48adce	Merge pull request #1637 from c9s/narumi/atrpin-log-with-fields ... CHORE: [atrpin] add symbol and window log fields	2024-05-25 21:37:51 +08:00
c9s	bc71c95608	binance: implement query trade for binance margin trading	2024-05-24 17:35:27 +08:00
kbearXD	c42c52d549	Merge pull request #1640 from c9s/kbearXD/dca2/flexible-recovery ... FEATURE: [dca2] change state recovery logic	2024-05-24 15:54:23 +08:00
kbearXD	7134f51d38	FEATURE: [dca2] change state recovery logic	2024-05-24 15:12:27 +08:00
c9s	8a852afedb	Merge pull request #1642 from c9s/refactor/average-depth-price-method ... Refactor: add average depth price method	2024-05-23 18:22:06 +08:00
c9s	99edfb61bf	integrate aggregatePrice method	2024-05-23 16:30:43 +08:00
c9s	1c567d7146	pull out AverageDepthPrice from xdepthmaker	2024-05-23 15:22:45 +08:00
kbearXD	be674278b2	FEATURE: [dca2] new flag UniversalCancelAllOrdersWhenClose to decide if cancel all orders when closing	2024-05-22 18:20:18 +08:00
kbearXD	5f1ece2a4b	Merge pull request #1638 from c9s/kbearXD/dca2/store-open-position-pqs ... FEATURE: [dca2] store price quantity pairs of the open-position order…	2024-05-22 11:34:39 +08:00
kbearXD	275286b9b9	remove test case	2024-05-21 17:00:02 +08:00
kbearXD	0faef68fbf	use types.PriceVolume	2024-05-21 16:06:02 +08:00
c9s	5397a3366c	Merge pull request #1639 from c9s/narumi/move-common-maker-tools ... REFACTOR: move maker tools	2024-05-21 14:50:43 +08:00
c9s	7114b37967	Merge pull request #1625 from luchenhan/main ... chore: fix function names in comment	2024-05-21 14:50:33 +08:00
c9s	2e52d3175d	deposit2transfer: apply backoff to api calls	2024-05-20 18:05:21 +08:00
c9s	543b283820	liquiditymaker: remove orderbook subscription	2024-05-20 17:55:32 +08:00
narumi	8ad85fc365	move OrderPriceRiskControl to riskcontrol	2024-05-20 15:19:42 +08:00
narumi	5f096bbe0d	move InventorySkew to strategy.common	2024-05-20 15:19:22 +08:00
kbearXD	6676e1e452	FEATURE: [dca2] store price quantity pairs of the open-position orders into persistence	2024-05-20 14:37:23 +08:00
narumi	0f045dccbb	add symbol and window log fields	2024-05-20 14:34:08 +08:00
なるみ	ad6efaf449	Merge pull request #1633 from c9s/narumi/fix-common-strategy-init ... FIX: fix strategy initialization	2024-05-16 16:32:22 +08:00
kbearXD	73c467a06b	FIX: [dca2] fix triggerNextState loop side effect	2024-05-16 14:44:56 +08:00
narumi	705261d2d4	fix strategy initialization	2024-05-15 23:38:34 +08:00
narumi	095ca85669	disable bbgo.sync in common strategy	2024-05-14 19:50:52 +08:00
c9s	34200efd54	liquiditymaker: skip dust quantity	2024-05-14 17:34:26 +08:00
kbearXD	e856727e97	trigger position opening immediately after recovery	2024-05-13 15:24:31 +08:00
kbearXD	f49924caa4	not emit WaitToOpenPosition when kline event	2024-05-13 14:35:29 +08:00
kbearXD	6cdd2f0d71	REFACTOR: [dca2] refactor dca2 strategy to make it can back testing	2024-05-13 14:35:29 +08:00
c9s	b9c77c1584	add UseProtectedPriceRange support	2024-05-11 23:00:37 +08:00
c9s	b752e5ec60	Fix cancel all orders	2024-05-11 22:47:29 +08:00
narumi	24de8a23c9	sync position to redis	2024-05-08 15:28:40 +08:00
narumi	b35cfbeffd	do nothing if failed to cancel open orders	2024-05-03 14:52:41 +08:00
kbearXD	a7af2b7002	FEATURE: [grid2] use feeProcessing field to make sure the trading fee is ready	2024-04-30 11:03:23 +08:00
luchenhan	5791e392f5	chore: fix function names in comment ... Signed-off-by: luchenhan <hanluchen@aliyun.com>	2024-04-29 16:38:55 +08:00
kbearXD	0396fc19fd	FEATURE: [dca2] make QueryOrderTradesUntilsuccessful take feeProcessing into consideration	2024-04-29 15:59:52 +08:00
c9s	0a2b976165	Merge pull request #1618 from c9s/narumi/atrpin/submitting-log ... CHORE: [atrpin] add submitting log	2024-04-23 15:43:47 +08:00
c9s	9092b613b0	Merge pull request #1620 from c9s/narumi/move-logerr-to-util ... REFACTOR: move logErr to util	2024-04-23 15:43:10 +08:00
kbearXD	8fc7c38e97	Merge pull request #1622 from c9s/kbearXD/dca2/emit-position-after-recovery ... FEATURE: [dca2] emit position after recovery and refactor	2024-04-22 18:31:00 +08:00
c9s	a9db21adfa	limit adjustment order quantity	2024-04-22 14:42:52 +08:00
kbearXD	27ff44b663	FEATURE: [dca2] emit position after recovery and refactor	2024-04-22 13:46:28 +08:00
kbearXD	b6e7c48fd5	rename callback	2024-04-22 11:07:17 +08:00
kbearXD	547e9ece8f	FEATURE: [dca2] add position callback	2024-04-19 16:24:40 +08:00
narumi	94c126dd83	move logerr to util	2024-04-17 15:27:46 +08:00
narumi	1348ee540f	add submitting log	2024-04-17 15:16:58 +08:00
kbearXD	2a6c6e935b	add some logs	2024-04-16 16:52:50 +08:00
kbearXD	2f3e0044c1	MINOR: [dca2] refactor and make open-position interval longer	2024-04-16 13:38:14 +08:00
kbearXD	4d92cf1b74	change local position name	2024-04-15 17:27:56 +08:00
kbearXD	70a10582fa	FEATURE: recollect position before placing the take-profit order	2024-04-15 16:25:56 +08:00
kbearXD	63d13d5f7b	use existing TradeCollector's EmitPositionUpdate	2024-04-11 16:03:59 +08:00
kbearXD	0616c73a88	FEATURE: emit position when position updated and reset	2024-04-11 15:12:38 +08:00
kbearXD	2d45b5cb76	FIX: fix dca2 panic problem	2024-04-11 11:40:35 +08:00
kbearXD	444c228fc4	update error message	2024-04-08 19:54:44 +08:00
kbearXD	f8d7447e8e	FIX: fix issue when recovering with finalizing orders	2024-04-08 19:54:44 +08:00
c9s	27ddd63c10	dca2: fix generateOpenPositionOrders call in tests	2024-04-08 19:38:59 +08:00
kbearXD	8568e15e82	FEATURE: [dca2] new flag EnableQuoteInvestmentReallocate to decide if reallocate quote investment	2024-04-01 15:52:30 +08:00
なるみ	3881039bfb	Merge pull request #1608 from c9s/narumi/xalign/fix-max-amount ... FIX: [xalign] fix buy side max amount	2024-03-28 14:09:08 +08:00
narumi	c2c650af0e	fix xalign max amount	2024-03-27 16:50:21 +08:00
narumi	0095eae77f	log when amount is not greater than the minimal order quantity	2024-03-27 16:50:21 +08:00
kbearXD	f42ef77296	fix typo	2024-03-27 14:22:22 +08:00
kbearXD	553976449d	FEATURE: [dca2] when all open-position orders are filled, place the take-profit order	2024-03-26 15:52:04 +08:00
c9s	d58461d1cf	Merge pull request #1593 from c9s/c9s/xalign-add-test-cases ... FIX: [xalign] add more complex test case for xalign strategy	2024-03-19 16:07:57 +08:00
kbearXD	25baf49e13	dca2: fix order group id not set issue	2024-03-19 15:51:36 +08:00
c9s	aced149ee8	xalign: add more complex test case for xalign strategy	2024-03-19 15:29:18 +08:00
kbearXD	b0bbf3c529	Merge pull request #1589 from c9s/kbearXD/dca2/pause-next-round-and-set-ttl ... dca2: add ttl for persistence and nextRoundPaused flag	2024-03-19 14:31:57 +08:00
c9s	c11f886718	xalign: correct the base/quote currency balance name when it's reversed	2024-03-19 00:31:00 +08:00
kbearXD	bcc29bd056	dca2: add ttl for persistence and nextRoundPaused flag	2024-03-18 17:35:47 +08:00
kbearXD	3f44092ff4	Merge pull request #1586 from c9s/kbearXD/dca2/round-collector ... dca2: new struct RoundCollector for testing and use flag to decide re…	2024-03-18 17:34:41 +08:00
c9s	4eabb82f77	Merge pull request #1587 from avoidaway/main ... chore: remove repetitive words	2024-03-18 16:50:40 +08:00
c9s	7f1e876be0	xalign: check if the quote balance will be used up and below the expected balance line	2024-03-18 12:47:48 +08:00
avoidaway	917451d2ec	chore: remove repetitive words ... Signed-off-by: avoidaway <cmoman@126.com>	2024-03-16 16:08:52 +08:00
kbearXD	a23c476ce8	dca2: new struct RoundCollector for testing and use flag to decide recovery	2024-03-15 18:41:46 +08:00
c9s	1d314daa22	xalign: skip same currency	2024-03-15 15:59:43 +08:00
c9s	6831c40371	xalign: fix reversed market	2024-03-15 15:57:17 +08:00
kbearXD	62d6e79193	dca2: use GeneralBackoff not GeneralLiteBackoff	2024-03-15 11:24:20 +08:00
kbearXD	2b52211c1c	new function IsFilledOrderState for maxapi	2024-03-14 16:18:12 +08:00
kbearXD	fb2a46e1c4	use backoff retry	2024-03-14 14:32:41 +08:00
kbearXD	91123edbd6	dca2: must calculate and emit profit at the end of the round	2024-03-14 14:32:41 +08:00
narumi	a5e7091af6	subscribe to level 5 book	2024-03-13 23:22:14 +08:00
Zenix	2a7ca4233d	Merge pull request #1575 from zenixls2/feature/loose_interface_public_data ... feature: add ExchangePublic	2024-03-13 17:42:28 +09:00
kbearXD	661b7be12e	dca2: add more log and retry	2024-03-12 14:53:45 +08:00
zenix.huang	f1a4879253	upgrade golang mockgen to uber mockgen. generate exchange public	2024-03-12 14:18:14 +09:00
kbearXD	17b193b003	dca2: remove debug log	2024-03-11 15:34:12 +08:00
narumi	8e6423514f	rebalance: fix cannot lock fund	2024-03-08 17:17:37 +08:00
kbearXD	53b72194f9	MINOR: add log when there is error at calculating and emit profit	2024-03-08 14:11:04 +08:00
c9s	b77618f9d8	xfunding: add PositionReady case	2024-03-06 22:39:44 +08:00
c9s	256e09a863	xfunding: adjust quote investment variable only when position is not opening	2024-03-06 22:39:44 +08:00
c9s	dc0f07d42f	xfunding: add notification for the fixed positions	2024-03-06 22:39:43 +08:00
c9s	f609b1cdc4	simplify profitFixer and apply it to xfunding	2024-03-06 22:39:43 +08:00
c9s	b20b306818	xfunding: add dustQuantity check	2024-03-06 22:39:43 +08:00
c9s	4a4f91e7f9	xfunding: improve transfer logics	2024-03-06 22:39:43 +08:00
c9s	4242f052d8	xfunding: pull out queryAvailableTransfer and improve pending transfer things	2024-03-06 22:39:43 +08:00
c9s	b2c6dce350	xfunding: rewrite transferIn method	2024-03-06 22:39:43 +08:00
c9s	8c517179dd	xfunding: fix state notification	2024-03-06 22:39:43 +08:00