6752 Commits

Author	SHA1	Message	Date
c9s	d0a7e6b740	deposit2transfer: check transfer amount before transfering	2024-11-04 17:34:56 +08:00
c9s	c3b058ce38	xmaker: truncate balances before submitting orders	2024-11-04 17:23:36 +08:00
c9s	bac8d489bc	xalign: resetFaultBalanceRecords when pending deposit/withdraw was found	2024-11-04 16:13:05 +08:00
c9s	634ded1759	xalign: add more info to the notification	2024-11-04 16:08:52 +08:00
c9s	8e5bb1b6e4	xalign: improve logs	2024-11-04 16:06:17 +08:00
c9s	939a370c3b	liqmaker: fix orderPlacementStatusMetrics	2024-10-30 16:24:32 +08:00
c9s	31aea5753e	liqmaker: add market metrics updater	2024-10-30 16:24:32 +08:00
c9s	92a934b6f2	liqmaker: add more metrics	2024-10-30 16:24:31 +08:00
anywhy	5b3f8b52e0	update binance positionRisk api to v3	2024-10-29 18:48:15 +08:00
c9s	58133d94ba	Merge pull request #1743 from lanphan/printconfig ... add new tag ignore to prevent printing specific field	2024-10-28 21:13:13 +08:00
c9s	c3fec1cccd	liqmaker: fix stopEMA subscription	2024-10-28 18:08:34 +08:00
c9s	4d4afee6aa	liqmaker: log liquidity amount	2024-10-28 17:32:35 +08:00
c9s	2b00c7ac01	liqmaker: fix log messages	2024-10-28 17:31:21 +08:00
c9s	eae2d63ac1	all: move jitter helpr to a single package	2024-10-28 17:28:56 +08:00
c9s	48bb7a280b	liqmaker: fix nil map issue	2024-10-28 17:03:45 +08:00
c9s	74cc36121b	liqmaker: sum exposure in quote quantity (usd)	2024-10-28 15:08:09 +08:00
c9s	17d57502f1	add dbg package for debugging functions	2024-10-28 15:03:10 +08:00
c9s	dbd53429cd	liqmaker: add more logs to the liq order generator	2024-10-28 14:57:25 +08:00
c9s	2b0e4e0512	liqmaker: fix actual orders printing	2024-10-28 14:52:13 +08:00
c9s	6004114696	add test helper for price side quantity assertion	2024-10-28 14:22:34 +08:00
c9s	f4df9a09e2	liqmaker: add logger to order generator	2024-10-26 20:53:28 +08:00
c9s	86989b8253	liqmaker: add StopEMA	2024-10-25 12:28:43 +08:00
c9s	ced8b5f742	liqmaker: add AdjustmentOrderPriceType	2024-10-25 12:20:59 +08:00
c9s	0036a57904	liqmaker: drop unused interface	2024-10-25 12:15:36 +08:00
c9s	8df886903c	liqmaker: add liqmaker to alias	2024-10-25 12:15:18 +08:00
c9s	2508dc18f0	liqmaker: use tradingutil.UniversalCancelAllOrders	2024-10-25 12:14:37 +08:00
c9s	c3127f45ce	liqmaker: add stop functions	2024-10-25 12:03:13 +08:00
c9s	441476c678	Merge pull request #1789 from c9s/kbear/xalign/fix-log ... FIX: add slackAttachment method on Deposit	2024-10-24 16:35:28 +08:00
c9s	9f7521b754	xmaker: check connectivity before calling updateQuote	2024-10-24 16:18:52 +08:00
kbearXD	8f54fdd341	FIX: add slackAttachment method on Deposit	2024-10-23 16:05:09 +08:00
c9s	738cb24ecb	bbgo: mark order exeuctor as deprecated	2024-10-23 15:37:57 +08:00
c9s	c796606c61	Merge pull request #1788 from c9s/c9s/remove-session-order-store ... FIX: [core] remove session order store	2024-10-22 12:35:09 +08:00
c9s	b23c7a76eb	Merge pull request #1763 from lanphan/obsoleted ... CHORE: solved all deprecated, comment all unused variables and functions	2024-10-22 12:33:10 +08:00
c9s	4e13f0dadc	bbgo: remove order store from session struct since it's not used	2024-10-22 12:19:42 +08:00
c9s	15b179a47d	core: add comment to the remove condition	2024-10-22 11:59:02 +08:00
c9s	86360a7595	bbgo: fix order update compare method	2024-10-22 11:56:38 +08:00
c9s	a118eab15e	bbgo: increase DefaultCancelOrderWaitTime to 50ms	2024-10-22 11:49:44 +08:00
c9s	3ba5cbe262	xmaker: remove book copy	2024-10-22 11:45:49 +08:00
kbearXD	5878fd8aed	Merge pull request #1784 from c9s/chiahung/grid2/not-use-minQuantity ... FEATURE: no use MAX(quantity, minQuantity) to avoid sufficient quantity	2024-10-21 16:42:22 +08:00
kbearXD	704924a905	FEATURE: no use MAX(quantity, minQuantity) to avoid sufficient quantity	2024-10-21 16:29:27 +08:00
kbearXD	ce5234b429	FEATURE: [xalign] detect active depoit. if found, skip align	2024-10-21 15:58:23 +08:00
edwin	b1f86adab5	pkg/exchange: support broker id	2024-10-21 15:09:24 +08:00
c9s	fb96756460	xmaker: reset position started time when hedge order is submitted	2024-10-17 13:13:45 +08:00
c9s	7f0b8f38d5	orderStore: remove only filled orders and canceled orders	2024-10-17 13:09:29 +08:00
c9s	5fbb06639d	xmaker: prune expired orders	2024-10-17 13:02:44 +08:00
c9s	bfe8ce9f2c	grid2,xmaker: prune expired trades	2024-10-17 12:53:51 +08:00
c9s	f9a75036a7	xmaker: fix disableHedge check	2024-10-16 17:36:05 +08:00
c9s	6d857cdd48	indicator: improve boll indicator slice truncation	2024-10-16 16:07:58 +08:00
c9s	8ce587f5f5	indicator: implement Truncate method on the indicators	2024-10-16 16:04:15 +08:00
c9s	4f1b216fbf	xmaker: fix trade window test	2024-10-16 15:55:55 +08:00
c9s	c066a187d9	xmaker: fix TradeVolumeWindowSignal algo	2024-10-16 15:45:11 +08:00
c9s	e55676abab	xmaker: add delayHedgeCounterMetrics counter	2024-10-16 15:41:09 +08:00
bailantaotao	8fcd76cb59	Merge pull request #1779 from c9s/edwin/bybit/uta ... FEATURE: [bybit] upgrade classic account to UTA	2024-10-16 14:49:54 +08:00
c9s	a6f5d5fff1	Merge pull request #1781 from c9s/c9s/xmaker/improvements2 ... FIX: [xmaker] fix covered position field	2024-10-16 14:39:48 +08:00
c9s	165c8d99b8	xmaker: fix covered position field	2024-10-16 14:39:09 +08:00
kbearXD	18c362db15	remove verified code	2024-10-16 14:02:29 +08:00
kbearXD	bd83832d2d	WIP: use depth to build orderbook	2024-10-16 14:02:29 +08:00
c9s	a650534a98	xmaker: rename arbitrage option to enableArbitrage	2024-10-16 11:44:30 +08:00
c9s	0b1773b959	xmaker: pull out delay hedge logics	2024-10-15 23:00:09 +08:00
c9s	334c868117	xmaker: add enableDelayHedge option	2024-10-15 18:51:37 +08:00
c9s	1210a79fc7	xmaker: improve if condition	2024-10-15 18:45:16 +08:00
c9s	59862303aa	xmaker: reset and set position start time	2024-10-15 17:29:12 +08:00
c9s	b137707723	xmaker: use mutex protected fixedpoint for covered position	2024-10-15 16:24:35 +08:00
edwin	74feb928c9	pkg/exchange: use execution.fast topoc	2024-10-15 15:31:19 +08:00
c9s	d940cde945	xmaker: check dust quantity	2024-10-15 13:40:31 +08:00
edwin	b41cd348bc	pkg/exchange: update query open orders to latest	2024-10-15 12:00:39 +08:00
edwin	5a4c38caa2	pkg/exchange: update query wallet balance to latest	2024-10-15 11:26:02 +08:00
edwin	0712a8399a	pkg/exchange: update query closed order to latest	2024-10-15 00:55:27 +08:00
edwin	f22e4a1810	pkg/exchange: move rate limiter to api	2024-10-14 22:42:48 +08:00
edwin	6f7e02daef	pkg/exchange: add marketunit for submit order	2024-10-14 22:39:17 +08:00
edwin	d48fa7c202	pkg/exchange: use fee currency of trade	2024-10-14 16:55:36 +08:00
c9s	76a627a504	xmaker: adjust metrics bucket	2024-10-09 17:24:49 +08:00
c9s	11fcf8c617	xmaker: fix buckets with prometheus.ExponentialBuckets and record cancel maker orders metrics	2024-10-09 17:09:28 +08:00
c9s	6b54c90a53	xmaker: add more info into the signal logs	2024-10-09 12:47:53 +08:00
c9s	49e949dbc9	xmaker: refactor signal methods	2024-10-09 12:35:06 +08:00
c9s	cea59ef9cf	xmaker: show signal margin range	2024-10-09 12:35:06 +08:00
c9s	022dcdf745	scale: improve error message	2024-10-09 12:35:06 +08:00
c9s	956ad10683	xmaker: stores calculated signal in lastAggregatedSignal	2024-10-09 12:35:06 +08:00
c9s	e70899a35d	xmaker: add more xmaker metrics and profiles	2024-10-09 12:35:06 +08:00
Lan Phan	8b17d78a48	solved all deprecated, comment all unused variables and functions	2024-10-08 00:08:15 +07:00
narumi	3fe4568dc2	check quote balance before submitting order	2024-10-07 21:37:49 +08:00
c9s	a5d4130625	Merge pull request #1768 from c9s/c9s/xmaker/improvements2 ... IMPROVE: [xmaker] add more improvements	2024-10-07 17:38:49 +08:00
c9s	80b1a3262d	Merge pull request #1767 from c9s/c9s/pricesolver/float64 ... IMPROVE: use float64 in pricesolver internally to make it more precise	2024-10-07 17:15:10 +08:00
c9s	544c172a9c	xmaker: improve fee price updating	2024-10-07 17:12:49 +08:00
c9s	2599a4bcd3	xmaker: add SubscribeFeeTokenMarkets option	2024-10-07 17:09:01 +08:00
c9s	969e813c7f	xmaker: fix profit fixer fee settings	2024-10-07 17:09:01 +08:00
c9s	2cdd9072c2	Merge pull request #1766 from c9s/c9s/refactor/account-value-calc ... REFACTOR: refactor account value calculator with price solver	2024-10-07 17:08:49 +08:00
c9s	a0cdfc2b8e	xmaker: fix aggregatePriceVolumeSliceWithPriceFilter	2024-10-06 12:18:03 +08:00
c9s	efc3bbeb5b	allow redis persistence config could be created with an existing redis client	2024-10-06 12:12:33 +08:00
c9s	113695eabf	Merge pull request #1749 from r03921081/task/change_circuitbreaker ... Use new circuitbreaker in common strategy	2024-10-06 12:10:22 +08:00
c9s	a94d1b424f	pricesolver: use float64 internally to make it faster and more precise	2024-10-05 14:26:15 +08:00
c9s	7506fb63a8	refactor account value calculator	2024-10-05 14:22:13 +08:00
c9s	6079e7b06a	all: refactor NewAccountValueCalculator	2024-10-05 13:09:31 +08:00
c9s	a718e30bb4	refactor tests	2024-10-04 23:46:43 +08:00
c9s	8f0d58aee9	add new test helper to create balance map objects ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 23:32:11 +08:00
c9s	14fa561f6e	Fix account value tests with price solver ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 19:45:07 +08:00
c9s	c3bf0ed7e7	only query ticker on the symbol that is defined in the market map ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 19:16:39 +08:00
c9s	8199428b61	Add ticker test helper ... Signed-off-by: c9s <yoanlin93@gmail.com>	2024-10-04 19:10:05 +08:00
c9s	83ab00a601	allow redis persistence config could be created with an existing redis client	2024-10-04 18:11:15 +08:00
kbearXD	a548596c16	Merge pull request #1760 from c9s/chiahung/max/query-depth ... FEATURE: [max] add QueryDepth v3 API to query orderbook	2024-10-04 13:11:05 +08:00
Lan Phan	dad7b53d9c	add new tag ignore to prevent printing specific field	2024-10-02 23:00:48 +07:00
edwin	fc4a9769c9	pkg/exchange: use individual rate limit	2024-10-02 17:23:20 +08:00
edwin	771a136acd	pkg/exchange: fix redundant code	2024-10-01 21:22:42 +08:00
kbearXD	2bbaf48057	move to convert.go	2024-10-01 17:16:28 +08:00
c9s	5e7627cc7a	xmaker: fix signal depth metrics	2024-10-01 16:52:58 +08:00
kbearXD	d1c5671a83	FEATURE: [max] add QueryDepth v3 API to query orderbook	2024-10-01 14:53:32 +08:00
bailantaotao	7e908c3ff7	Merge pull request #1759 from c9s/edwin/bybit/add-v5-execution-request ... FEATURE: [bybit] integrate the v5 trade history	2024-10-01 14:06:46 +08:00
edwin	a68764b763	pkg/exchange: merge FeeRatePoller into StreamDataProvider	2024-10-01 11:45:33 +08:00
edwin	7f1e1a3a51	pkg/exchange: export SymbolFeeDetail struct	2024-10-01 11:45:33 +08:00
edwin	eb2a7421da	pkg/exchange: integrate the v5 query trade api	2024-10-01 11:45:31 +08:00
edwin	d2c1ae0642	pkg/exchange: move fee rate calculate method outside	2024-10-01 00:06:47 +08:00
edwin	f6e58ded02	pkg/exchange: add PollAndGet method and declare an interface	2024-10-01 00:06:43 +08:00
bailantaotao	a639a5831b	Merge pull request #1757 from c9s/edwin/bybit/add-v5-execution-request ... FEATURE: [bybit] add v5 execution request	2024-09-30 17:51:26 +08:00
c9s	3c48663032	add more tests	2024-09-30 17:32:46 +08:00
edwin	bdfcbdcf56	pkg/exchange: move common execution field to bybitapi.trade	2024-09-30 16:28:07 +08:00
edwin	aac833d135	pkg/exchange: add execution list request to bybit	2024-09-30 16:27:33 +08:00
c9s	39fad2e0b5	xmaker: add depth ratio signal	2024-09-30 16:21:22 +08:00
c9s	f776914e8c	do not return when failed cleaning up orders	2024-09-27 21:23:11 +08:00
c9s	4661ec629d	xdepthmaker: add priceImpactRatio detection	2024-09-27 20:14:34 +08:00
c9s	be353c533b	xmaker: bind price solver with market data stream	2024-09-27 18:43:09 +08:00
c9s	e8c063c09b	xdepthmaker: support countery party 5 hedge and force full replenish	2024-09-27 18:43:09 +08:00
c9s	5dcd375279	add more update methods for price solver	2024-09-27 18:43:09 +08:00
c9s	9194a9152c	extend ticker method	2024-09-27 18:43:09 +08:00
c9s	d5a6930545	add disconnectedC method	2024-09-27 18:43:09 +08:00
c9s	98011e1e97	extend price volume slice methods	2024-09-27 18:43:09 +08:00
c9s	79b636fa02	move bbo monitor to bbgo package	2024-09-27 18:43:09 +08:00
c9s	091eb5d9c5	xdepthmaker: return when we can't clean up the open orders	2024-09-27 14:27:20 +08:00
c9s	fb35a2b79f	types: add AnyDisconnected() method on ConnectivityGroup	2024-09-27 13:31:37 +08:00
c9s	c07661af57	all: refactor depthmaker with connectivity	2024-09-27 13:24:03 +08:00
c9s	ccb617f30f	types: add connectivity test	2024-09-27 12:56:44 +08:00
c9s	431d6964d5	xdepthmaker: split quote worker and hedge worker	2024-09-26 17:57:12 +08:00
c9s	0c842e0eb5	Merge pull request #1753 from c9s/c9s/xdepthmaker/improvements ... IMPROVE: [xdepthmaker] use order query to update the canceled order, fix depth price, fix symbol column lengths, fix covered position	2024-09-26 15:06:12 +08:00
c9s	6e19777277	Merge pull request #1751 from lanphan/fixemitnew ... fix OnNew event must be called before OnFilled	2024-09-26 12:26:34 +08:00
c9s	1b5da22c90	xdepthmaker: fix coveredPosition reduction	2024-09-25 18:16:04 +08:00
c9s	f4e905833c	xdepthmaker: improve HedgeMaxOrderQuantity check	2024-09-25 18:16:03 +08:00
c9s	42cd3cba1e	xdepthmaker: clean up todo	2024-09-25 18:16:03 +08:00
c9s	67fd15c88f	xdepthmaker: log covered position	2024-09-25 18:16:03 +08:00
c9s	d83297b605	migrations: add table column symbol length fix	2024-09-25 18:16:03 +08:00
c9s	e11db4a2d1	xdepthmaker: avoid using the same depth price for the new maker order	2024-09-25 18:16:02 +08:00
c9s	6a5ab424c9	xdepthmaker: add hedgeMaxOrderQuantity protection	2024-09-25 15:52:23 +08:00
c9s	b3d58a9e05	bbgo: add types.ExchangeOrderQueryService support for checking canceled orders	2024-09-25 14:13:23 +08:00
c9s	768428a7eb	bbgo: pass the actual context object instead of background context	2024-09-25 13:36:49 +08:00
c9s	329b8a40d9	xdepthmaker: adjust covered position when order is canceled	2024-09-25 13:36:31 +08:00
c9s	60d5126b61	xdepthmaker: add HedgeStrategyBboQueue1 hedge method	2024-09-24 17:10:50 +08:00
c9s	59191cf6bf	xdepthmaker: support bbgo counter party 1 hedge method	2024-09-24 16:33:53 +08:00
c9s	566234d3ab	xdepthmaker: rename last price var to just price	2024-09-24 16:14:03 +08:00
c9s	e7c76ddd26	xdepthmaker: refactor hedge methods	2024-09-24 16:12:17 +08:00
c9s	61ea41d999	xdepthmaker: simplify hedge	2024-09-23 22:16:53 +08:00
c9s	b02580f9f6	xdepthmaker: remove shared mutex lock usage	2024-09-23 18:28:46 +08:00
c9s	345c92c295	all: improve UniversalCancelAllOrders and add mutex to covered position	2024-09-23 18:26:23 +08:00