1014 Commits

Author	SHA1	Message	Date
zenix	938dc3c497	feature: add serialmarketdatastore, add elliottwave strategy to replace ewoDgtrd, add active cancel on general order executor, add pca	2022-09-05 19:32:35 +09:00
Raphanus Lo	65cd17dbbb	bbgo: add G-H & Kalman filters to the standard indicator set	2022-09-05 17:13:50 +08:00
Larry Lu	269529afa4	Fix typo	2022-09-04 13:35:01 +08:00
c9s	5c8d2a019a	backtest: rename BackTest to Backtest	2022-09-02 14:16:16 +08:00
c9s	8cd646668a	bbgo: use enumer to generate enumer parser	2022-09-02 14:16:16 +08:00
c9s	3d32faff46	backtest: add fee mode config	2022-09-02 14:16:15 +08:00
c9s	51972e9e28	bbgo: fix indicator load key duplicate issue	2022-08-31 01:45:06 +08:00
c9s	8fcc3ee368	indicator: update pivot low and pivot high indicator	2022-08-31 01:44:38 +08:00
c9s	179a9b1ddb	fix: ensure that orders.tsv are rendered in local timezone	2022-08-26 19:09:11 +08:00
c9s	17ba1c142d	bbgo: fix support take profit field type	2022-08-26 18:12:42 +08:00
c9s	fb9a4994c0	bbgo: add supportTakeProfit method to the core exit methods	2022-08-26 18:11:45 +08:00
c9s	11854db51a	pivotshort: move SupportTakeProfit to the core api	2022-08-26 18:09:46 +08:00
c9s	a48471d4c8	pivotshort: refactor trend ema and stop ema	2022-08-26 17:52:46 +08:00
c9s	8b7f4c6222	bbgo: add ProtectiveStopLoss doc comment	2022-08-26 17:52:46 +08:00
c9s	09cc91bab8	bbgo: update VWMA and add VWMA to the indicator method	2022-08-24 17:45:43 +08:00
c9s	469c6bfb28	bbgo: move rightWindow to the IntervalWindow struct	2022-08-24 17:43:28 +08:00
c9s	d930065bea	bbgo: move stoch to the simple indicator set	2022-08-24 17:34:19 +08:00
c9s	8a020c34e3	bbgo: add package doc to bbgo	2022-08-24 16:54:31 +08:00
c9s	c86b29e6dc	all: resolve import cycle	2022-08-23 02:12:26 +08:00
zenix	2720ee90b1	fix: equation of exit dump	2022-08-18 17:38:27 +09:00
zenix	5e7ea71613	feature: withdraw print config functionality from drift to be a general function	2022-08-18 17:38:27 +09:00
c9s	df8a4bef93	bbgo: remove unused trade store symbol argument	2022-08-17 16:02:42 +08:00
zenix	da28750313	feature: dump parameter to tg, esp series, fix: order tag, position calculation and bp/sp of drift	2022-08-15 21:05:29 +09:00
zenix	6a4eec71d6	feature: create simpleinteract and remove command in notification	2022-08-15 21:03:48 +09:00
zenix	90e596f463	feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering	2022-08-15 21:03:14 +09:00
Andy Cheng	62d450b92d	Merge pull request #872 from andycheng123/fix/trailing-stop ... fix: trailing stop properly works on both long and short positions	2022-08-11 17:37:07 +08:00
Andy Cheng	8527d4996e	trailingstop: add default case	2022-08-11 17:23:42 +08:00
Andy Cheng	8d3dfd17c7	trailingstop: add side both	2022-08-11 16:39:16 +08:00
Andy Cheng	6f2eb1688b	generalorderexecutor: retry submit/cancel order once	2022-08-11 13:49:16 +08:00
Andy Cheng	df0e527e1e	exits/trailingstop: properly works on both long and short positions	2022-08-11 13:36:31 +08:00
c9s	677b122964	bbgo: use types.KLineWith for roi take profit	2022-08-10 23:45:21 +08:00
Yo-An Lin	62aff676da	Revert "feature: add smart cancel to drift"	2022-08-09 16:25:36 +08:00
Yo-An Lin	55b4edc595	Merge pull request #853 from zenixls2/feature/smartcancel_drift ... feature: add smart cancel to drift	2022-08-09 16:23:33 +08:00
Raphanus Lo	ed975b7ed9	Merge pull request #860 from COLDTURNIP/feature/exchange_order_amount_protection ... exchange: order fee-amount protection	2022-08-09 15:01:53 +08:00
c9s	0283f2ad55	bbgo: fix doneTrades lock	2022-08-09 14:52:05 +08:00
zenix	45e819ebe7	feature: create simpleinteract and remove command in notification	2022-08-09 13:26:56 +09:00
zenix	4117a83cd1	feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering	2022-08-09 13:26:56 +09:00
Andy Cheng	ef18791c6a	Merge pull request #865 from andycheng123/fix/protective-stoploss ... fix: protectivestoploss not working on long position	2022-08-09 12:15:33 +08:00
c9s	9867aa9c68	bbgo: add mutex protection to tradecollector	2022-08-09 11:37:44 +08:00
c9s	f191d3c091	bbgo: make position object optional for trade collector	2022-08-09 11:36:17 +08:00
c9s	cae8bc2882	bbgo: add mutli symbol support to active order book	2022-08-09 11:36:10 +08:00
Andy Cheng	6c2fc3fee0	exits/protectivestoploss: fix shouldStop()	2022-08-08 17:57:05 +08:00
Andy Cheng	b133767e47	exit/protectivestoploss: works in long position	2022-08-08 16:49:19 +08:00
Raphanus Lo	d76245cb43	exchange: adjust tests for order fee-amount protection	2022-08-02 15:12:14 +08:00
Raphanus Lo	ed7df4ddbe	exchange: order fee-amount protection ... Reduce the order amount to prevent submit rejection because of balance exceeding. submit_amount = original_amount / (1 + fee_rate) Currently supported only by FTX Pro.	2022-08-02 13:35:24 +08:00
Andy Cheng	4bc70820c4	positionmodifier: move functions into types.Position	2022-07-29 14:40:54 +08:00
Andy Cheng	9588a6f6bd	positionupdater: update command flow	2022-07-29 13:45:33 +08:00
Andy Cheng	2724949678	positionupdater: update avaerage cost	2022-07-29 12:05:39 +08:00
Andy Cheng	32b91b67dd	positionupdater: update quote position	2022-07-29 12:00:11 +08:00
Andy Cheng	8c53c7e575	positionupdater: update base position	2022-07-29 11:52:20 +08:00
zenix	d46267aff9	feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml	2022-07-28 19:34:12 +09:00
c9s	93593ffa06	bbgo: add close position tag log	2022-07-28 10:27:04 +08:00
Yo-An Lin	3aeb6912c9	Merge pull request #846 from c9s/strategy/pivotshort ... strategy/pivotshort: refactor breaklow + add fake break stop	2022-07-27 12:18:50 +08:00
c9s	7438798390	bbgo: add ClosedKLineStop trigger	2022-07-27 11:47:12 +08:00
Yo-An Lin	4fd571d712	Merge pull request #813 from zenixls2/feature/drift_study ... feature: drift study	2022-07-27 11:29:48 +08:00
c9s	3fbc634d81	bbgo: narrow down indicator interface type	2022-07-27 02:21:25 +08:00
c9s	3959e288fd	all: refactor standard indicator helper and fix tests	2022-07-26 18:35:50 +08:00
c9s	0456cdc7a9	bbgo: add hull to the standard indicator	2022-07-26 18:27:22 +08:00
c9s	808d742efc	bbgo: add CCI helper	2022-07-26 18:07:43 +08:00
c9s	f5e64e8e70	bbgo: add ATR, ATRP, EMV to the standard indicator set	2022-07-26 18:07:43 +08:00
c9s	1d6b1de8ba	bbgo: rename standard indicator receiver name	2022-07-26 18:07:43 +08:00
c9s	46afc54559	bbgo: refactor standard indicator set	2022-07-26 18:07:43 +08:00
c9s	0df321c880	indicator: drop the legacy CalculateAndUpdate for standard indicators	2022-07-26 17:30:41 +08:00
zenix	a5039de6aa	feature: add omega ratio, print sharpe/omega/interval profit from trade_stats, use stdev for high/low diff for drift to estimate the variance and improve profit, add yaml marshal for dnum fixedpoint	2022-07-26 18:00:05 +09:00
zenix	f2d37650a5	fix: drift bias on long entry position condition, make cancel faster	2022-07-26 18:00:05 +09:00
zenix	6a9e00ebd4	fix: update drift strategy	2022-07-26 18:00:05 +09:00
c9s	83c8bc819a	all: drop the legacy smart stops	2022-07-26 12:08:47 +08:00
c9s	76def2fe9d	pull out AccountValueCalculator	2022-07-21 19:46:58 +08:00
c9s	763ae1f62f	bbgo: fix missing var	2022-07-21 12:36:26 +08:00
c9s	1079757833	bbgo: bind market data store to market data stream when allocating new instance	2022-07-21 12:35:38 +08:00
c9s	de62d9dd67	bbgo: fix injection	2022-07-21 12:33:29 +08:00
c9s	c78ba6a539	bbgo: fix strategy struct field injection phase	2022-07-21 12:18:09 +08:00
c9s	946fb96b03	bbgo: reformat	2022-07-21 01:32:09 +08:00
c9s	02c978b812	bbgo: remove volatility from the standard indicator set	2022-07-21 01:31:42 +08:00
c9s	9f937f529e	bbgo: refactor standard indicator	2022-07-21 01:05:08 +08:00
c9s	ab83805b34	bbgo: add StrategyShutdown interface	2022-07-19 17:13:35 +08:00
c9s	8af2f2f83f	add defaulter interface	2022-07-19 16:59:56 +08:00
c9s	808ba2fc02	bbgo: make slack-app-token optional	2022-07-19 11:41:49 +08:00
c9s	9302474d51	add 1m subscribe to RoiTakeProfit	2022-07-19 11:00:45 +08:00
c9s	6e4c28ed1b	disable marketTrade stop	2022-07-17 00:59:35 +08:00
c9s	2d0fbe4b99	fix ProtectiveStopLoss subscribe	2022-07-16 14:45:02 +08:00
c9s	2a3118a086	indicator: clean up and update calculator method names	2022-07-14 09:18:42 +08:00
Yo-An Lin	8119afbb44	Merge branch 'main' into strategy/pivotshort	2022-07-12 23:38:23 +08:00
c9s	5bd292d0b2	bbgo: add notify(profit)	2022-07-08 16:43:32 +08:00
c9s	81560746bd	all: reformat code	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	b3e04a68da	bbgo: fix trailing stop binding	2022-07-06 21:50:38 +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	4de5b0bc9b	add TrailingStop2	2022-07-05 16:10:55 +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
c9s	ecd4df86f9	backtest: assign user data stream to backtest.Exchange before we call EmitStart	2022-07-04 02:21:14 +08:00
c9s	b158c44b95	fix profit stats notification	2022-07-01 17:32:40 +08:00
c9s	1af18a5fac	pivotshort: fix breakLow handle event	2022-07-01 15:30:06 +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	a4af4776d2	pivotshort: use active orderbook to maintain the resistance orders	2022-07-01 00:57:19 +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
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	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	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
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	2784408b8b	add submit order tag	2022-06-27 18:17:57 +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	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	751085f8ff	clean up todo comment	2022-06-24 19:24:49 +08:00
c9s	027f1f01cf	improve callID fallback for persistence	2022-06-22 15:19:30 +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
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
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	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	6cae9e7449	move GeneralOrderExecutor into bbgo package	2022-06-18 16:31:53 +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
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	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	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
zenix	aa8d188d15	fix: rename useHeikinAshi to heikinAshi in config	2022-06-17 11:38:36 +09:00
zenix	f5007752b2	feature: add heikinashi support	2022-06-17 10:58:32 +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
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	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
c9s	9ffefbab03	adjust CancelOrderWaitTime back to 20ms	2022-06-10 02:51:20 +08:00
c9s	e575236db8	pivotshort: adjust shadow ratio calculation	2022-06-10 01:21:59 +08:00
c9s	aa2ba265f1	pivotshort: refactor and add more fix	2022-06-09 17:36:22 +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	fc0457cefe	fix notify args filtering	2022-06-09 12:34:23 +08:00
c9s	f3a7428b48	add stringer method for deposit struct	2022-06-08 17:32:42 +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
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
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
c9s	dc0cb30b23	fix order submit message format	2022-06-07 20:26:33 +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
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
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	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	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	1d340256ea	fix and simplify LocalActiveOrderBook	2022-06-05 18:12:26 +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	9083881442	refactor exchange factory and solve the incorrect pkg import dependency from ftx	2022-06-04 11:47:55 +08:00
c9s	3428aeba03	apply default exchange fee rate ... fixes #566	2022-06-03 03:24:34 +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	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	d27fee57ad	fix: do not load all trades into memory	2022-06-02 20:02:32 +08:00
zenix	5faab1d55c	fix: change from local timezone to UTC when do syncing	2022-06-02 17:12:17 +09:00
Yo-An Lin	38a6d8c813	Merge pull request #652 from c9s/refactor/sync ... refactor/fix: withdraw sync	2022-06-02 14:03:54 +08:00
c9s	5d98674ab5	fix withdraw sync and improve withdraw string format	2022-06-02 13:56:24 +08:00
Yo-An Lin	47098b08dd	Merge pull request #650 from austin362667/fix/persistence ... Fix: Persistence Reflect IsZero	2022-06-02 02:32:36 +08:00
c9s	78f9c7d569	improve autoborrow checks	2022-06-02 01:27:04 +08:00
austin362667	f9bb2ae149	bbgo: fix persistence reflect IsZero check	2022-06-01 21:57:35 +08:00
c9s	cf19ed6f26	refactor environment sync method	2022-06-01 19:40:29 +08:00
c9s	f4e7f4f6f6	add margin history entry in config	2022-06-01 19:40:29 +08:00
c9s	13bf5d69a3	use types.Interval instead of string	2022-05-19 10:04:03 +08:00
c9s	b5f9f86944	define DefaultBacktestAccount	2022-05-17 18:45:06 +08:00
c9s	6c0165afe4	add report index file	2022-05-17 18:10:37 +08:00
zenix	71fe6c2d26	feature: SLTP from bookticker. fix: bookTicker typename, depth buffer error message	2022-05-12 19:43:04 +09:00
c9s	11d0823782	cmd: refactor back-test command	2022-05-11 13:59:44 +08:00
c9s	5f68064ac6	pull out writeJsonFile function	2022-05-10 18:27:23 +08:00
c9s	7b17b1a757	integrate state recorder	2022-05-10 13:31:23 +08:00
c9s	0780dafdc3	add IsBackTesting method for checking environment mode	2022-05-09 18:58:09 +08:00
c9s	82c7c024ce	bbgo: add persistence Sync api	2022-05-05 18:18:38 +08:00
c9s	f3691489dd	add state key as the prefix	2022-05-05 18:18:38 +08:00
c9s	7378c63cb7	cmd: call SaveState and LoadState for normal run	2022-05-05 14:28:42 +08:00
c9s	57c43936d6	ignore service.ErrPersistenceNotExists error	2022-05-05 14:04:44 +08:00