1223 Commits

Author	SHA1	Message	Date
c9s	9e48a850bd	bbgo: call queryAccount to update account	2022-04-23 12:51:07 +08:00
c9s	ad373b95a7	add FLUSH_OTP_KEY env for flushing otp key	2022-04-17 00:35:16 +08:00
c9s	63f525970f	auth: store otp key url instead of just secret	2022-04-17 00:18:48 +08:00
zenix	2a942eab0e	fix: rename EVWMP to VWEMP, fix backtesting fee	2022-04-15 19:12:11 +09:00
zenix	af61952e40	fix: series not been updated	2022-04-11 17:04:56 +09:00
なるみ	4e2faacbae	Mkdir if dir not exists	2022-04-07 20:21:07 +08:00
Andy Cheng	3a6f34330b	interact: refactor	2022-03-28 15:16:11 +08:00
Andy Cheng	63e8850cc3	interact: separate strategy filtering and button generation	2022-03-28 12:37:42 +08:00
Andy Cheng	ee6377ab87	interact: fix misuse of cycle()	2022-03-28 11:58:01 +08:00
Yo-An Lin	1a29bc7362	Merge pull request #492 from andycheng123/tg-control ... feature: strategy controller	2022-03-26 15:41:59 +08:00
Andy Cheng	0974b1c7fd	interact: pull out the interaction related code to the caller	2022-03-23 12:05:35 +08:00
Yo-An Lin	ae4a3d81fb	Merge pull request #489 from zenixls2/feature/market_trade ... feature: add market trade subscription in binance	2022-03-22 20:18:39 +08:00
Andy Cheng	5eef2a2085	interact: pull out interface filter as a function	2022-03-21 17:49:18 +08:00
Andy Cheng	f4c87e5d75	interact: refactor strategy controller related interfaces	2022-03-21 16:19:55 +08:00
Andy Cheng	fb8b79f38d	interact: rename GetStrategyStatus() to GetStatus()	2022-03-21 16:12:23 +08:00
Andy Cheng	ffd5c646e9	interact: refactor interface func name	2022-03-21 15:08:15 +08:00
Andy Cheng	962645c2c8	interact: Pull out EmergencyStop to a single instance	2022-03-21 15:05:24 +08:00
Andy Cheng	5f7710103d	type: add StrategyStatus type	2022-03-21 15:01:15 +08:00
Andy Cheng	69a02f1664	interact: add EmergencyStop() to StrategyController interface	2022-03-21 11:42:54 +08:00
Andy Cheng	b6aff9674c	strategy: add StrategyController functions to support strategy	2022-03-21 10:20:12 +08:00
Andy Cheng	5de137ced8	interact: add StrategyController interface to control strategies from telegram bot	2022-03-18 18:43:07 +08:00
zenix	efec21ca4b	feature: add market trade subscription in binance	2022-03-18 18:30:39 +09:00
c9s	f85db9be61	improve asset summary layout and format	2022-03-18 17:13:37 +08:00
zenix	77a88aabe4	feature: add CancelOrders and CancelOrdersTo to executor	2022-03-16 21:38:09 +09:00
c9s	fdf64fd891	bbgo: fix emit trade profit	2022-03-15 14:29:15 +08:00
c9s	19f01bbca6	add doc comment	2022-03-14 21:21:58 +08:00
c9s	5567ef5676	fix emit trade	2022-03-14 21:21:58 +08:00
c9s	5db4e11167	rewrite trade profit handling	2022-03-14 21:21:58 +08:00
c9s	6fec30d79c	call record position on trade	2022-03-14 21:21:58 +08:00
c9s	322f31a56a	bbgo: improve RecordPosition method	2022-03-14 21:21:58 +08:00
c9s	5732555c2c	doc: update sync configuration doc	2022-03-14 21:21:58 +08:00
c9s	08ae53ba16	bbgo: assign strategy instance id fields automatically	2022-03-14 21:21:58 +08:00
c9s	6088f7b542	bbgo: add RecordPosition method	2022-03-14 21:21:58 +08:00
c9s	9faaed6892	bbgo: initialize position service	2022-03-14 21:21:58 +08:00
c9s	b1559bcbe3	fix persistence injection	2022-03-14 21:21:43 +08:00
Yo-An Lin	bfdf4c245f	Merge pull request #460 from zenixls2/feature/backtest_multiple_exchange ... feature: add multiple exchange support in backtest	2022-03-07 14:28:20 +08:00
zenix	39572c5fe0	fix: remove maker/buyer/taker/sellerCommission	2022-03-07 14:32:00 +09:00
zenix	25b5eddc03	feature: add multiple exchange support in backtest ... fix: change doc, since --exchange removed from backtest fix: test for config changes	2022-03-07 13:18:56 +09:00
c9s	917684aa27	bbgo: inject environment object	2022-03-06 18:28:40 +08:00
c9s	099d860c5a	fix: fix Test_parseStructAndInject test	2022-03-06 18:28:40 +08:00
c9s	b1ba5386b3	fix bbgo.Notifiability injection	2022-03-06 16:09:15 +08:00
c9s	f6ec2e78e6	record profits	2022-03-06 15:37:41 +08:00
c9s	3a15738fec	pull out default persistence selector	2022-03-06 14:06:19 +08:00
c9s	35b0d8dc0d	bbgo: add profit service to environment	2022-03-05 13:40:20 +08:00
c9s	1f1c26a9e5	bbgo: inject more service objects	2022-03-05 13:37:27 +08:00
c9s	c1ac738ca0	bbgo: add doc comment for parseStructAndInject	2022-03-05 12:59:47 +08:00
c9s	bdcae5b763	bbgo: add more injection types	2022-03-05 12:49:53 +08:00
c9s	47023729ec	bbgo: rewrite field injection	2022-03-05 12:39:39 +08:00
c9s	a6053e0e59	bbgo: move inject function to injection.go	2022-03-05 03:20:20 +08:00
c9s	cd6b37ac3b	bbgo: skip unexported fields for injection	2022-03-05 03:19:45 +08:00
c9s	fa7bab2c3a	bbgo: improve dynamic injection	2022-03-05 02:51:43 +08:00
c9s	db4d8a31bc	bbgo: implement parseStructAndInject	2022-03-05 02:33:25 +08:00
c9s	9e0df77a36	move profit struct into the types package	2022-03-04 16:39:48 +08:00
zenix	8648528435	fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests	2022-02-15 14:55:19 +09:00
zenix	5315378b9e	fix takerfeerate column and makerfeerate column issue in yaml	2022-02-15 12:01:39 +09:00
zenix	fad85d0992	fix binance test, outptu for support and xgap strategies	2022-02-15 12:01:39 +09:00
zenix	05521a98b6	add skeleton strategy. fix most of the tests. fix final asset value	2022-02-15 12:01:39 +09:00
zenix	105b085786	fix bollgrid, emstop, flashcrash, funding, grid, pricealert, pricedrop, rebalance, schedule, swing, xbalance, xgap, xmaker and speedup fixedpoint	2022-02-15 12:01:39 +09:00
zenix	d9450e823e	fix all the fixedpoint use other than strategy	2022-02-15 12:01:39 +09:00
zenix	b8bf2af14d	fixedpoint for exchange and indicators, some fixes in types	2022-02-15 12:01:38 +09:00
zenix	e221f54397	add dnum as the fixedpoint implementation. change types float64 to fixedpoint.Value ... change pnl report to use fixedpoint fix: migrate kline to use fixedpoint	2022-02-15 12:00:39 +09:00
Andy Cheng	66b042fea7	strategy: trailing stop TP for support strategy	2022-02-06 17:47:11 +08:00
c9s	f96c2e6271	bbgo: add activated flag on trailing stop order	2022-02-01 00:41:28 +08:00
c9s	bed03dbd17	schedule: refactor and improve schedule strategy with QuantityOrAmount struct	2022-01-31 01:42:21 +08:00
c9s	11bbdb16a0	bollmaker: clean up empty files	2022-01-31 01:31:31 +08:00
c9s	0e7f88e3bf	move SmartStops into the bbgo package	2022-01-31 01:27:47 +08:00
c9s	67bc5d523a	bollmaker: refactor trailing stop snippet	2022-01-31 00:44:04 +08:00
c9s	0667c138ab	backtest: fix duplicate trade emit issue	2022-01-30 03:05:19 +08:00
c9s	2255f3ed0a	bollmaker: check dust order for stop	2022-01-29 17:44:42 +08:00
c9s	99af5d3971	bollmaker: implement TrailingStopController	2022-01-29 02:22:20 +08:00
c9s	547f4c400a	cmd: call BindSync when running strategy	2022-01-27 18:19:25 +08:00
c9s	3b630c0bca	bbgo: pull out writer closure	2022-01-27 18:13:15 +08:00
c9s	cb507edf44	bbgo: add BindSync method on environment	2022-01-27 18:12:15 +08:00
c9s	30a9a5849f	add user data stream sync config	2022-01-27 09:34:04 +08:00
c9s	70f02a1c19	cmd: handle user config sync options in the run command	2022-01-27 08:21:19 +08:00
c9s	0d0d8b05bf	bbgo/scale: test out of domain	2022-01-27 02:39:33 +08:00
c9s	1ef5a37225	bbgo/scale: check domain range	2022-01-27 02:32:26 +08:00
c9s	09213b14f3	bbgo: add negative range test for PercentageScale	2022-01-27 01:47:01 +08:00
c9s	49f671ef54	add PercentageScale and its tests	2022-01-27 01:40:54 +08:00
c9s	cfc17acd20	config: use looseFormatTime type for since field	2022-01-27 00:24:19 +08:00
c9s	a29198f733	bbgo: fix LooseFormatTime.UnmarshalYAML	2022-01-25 01:18:56 +08:00
c9s	007207e24f	all: use types.LooseFormatTime to parse loose format date time string	2022-01-25 00:24:12 +08:00
c9s	5f7676f0c1	bbgo: add sync config	2022-01-25 00:06:25 +08:00
c9s	407a533659	use the standard generated comment ... https://github.com/golang/go/issues/13560 Generated files are marked by a line of text that matches the regular expression, in Go syntax: ^// Code generated .* DO NOT EDIT\.$ The .* means the tool can put whatever folderol it wants in there, but the comment must be a single line and must start with Code generated and end with DO NOT EDIT., with a period.	2022-01-23 14:57:45 +08:00
c9s	1f18c36870	cmd: improve build command	2022-01-23 14:44:17 +08:00
c9s	7b572120a1	interact: use RemoveKeyboard from interact.KeyboardController	2022-01-23 14:13:47 +08:00
c9s	01afe9c14e	interact: fix telegram session restore	2022-01-23 02:21:26 +08:00
c9s	0af5fc0530	interact: add RequireTextInput method to Reply interface	2022-01-23 02:21:26 +08:00
c9s	f5f8f15670	slack: add reply and session struct	2022-01-23 02:21:26 +08:00
c9s	ad3f038dc6	bbgo: improve otp key layout	2022-01-23 02:21:26 +08:00
c9s	c7f15efb23	interact: add Slack interaction	2022-01-23 02:21:26 +08:00
Kakashi Liu	cd85edd64d	Fix: fallback to memory persistence if redis not found ... resolve #438 Fix bollmaker backtest error	2022-01-22 00:55:03 +08:00
c9s	0b8e5852eb	check persistence error	2022-01-19 18:29:24 +08:00
Yo-An Lin	0e0525be99	Merge pull request #418 from austin362667/refactor/futures-account ... binance: add futures exchange api queries	2022-01-17 20:54:49 +08:00
c9s	5c0e3a1254	bollmaker: add shadow protection config	2022-01-16 04:40:50 +08:00
c9s	71e660571d	bbgo: optimize LocalActiveOrderBook for back-testing speed	2022-01-16 01:34:28 +08:00
c9s	5d54e6fded	interact: skip total == 0 balance	2022-01-16 01:06:47 +08:00
c9s	b80f481e7d	interact: fix interact tests for session	2022-01-16 00:50:43 +08:00
c9s	b49fc182dc	fix telegram session persistence	2022-01-16 00:39:24 +08:00
c9s	2088234b44	interact: separate telegram user sessions	2022-01-16 00:25:11 +08:00
austin362667	91d2312c5c	cache: refactor moving from bbgo to pkg/cache	2022-01-15 08:28:02 +08:00
Lee	266400d925	indicator: Support difference bandwidth on boll indicator and can dynamic create BOLL	2022-01-15 05:30:06 +08:00
c9s	5f942e85ed	bbgo: show position with plaintext mode instead of string format	2022-01-15 03:13:30 +08:00
c9s	1c7d4d09cf	interact: add Cycle state builder	2022-01-15 03:06:36 +08:00
c9s	2a6b821908	bbgo: implement /position command	2022-01-15 02:58:55 +08:00
c9s	93722e6db3	implement position closer interaction	2022-01-15 02:52:46 +08:00
c9s	255ee40c98	bbgo: when calling order cancel we should use background context	2022-01-15 00:49:27 +08:00
c9s	77e92d544a	bbgo: pull out interaction setup	2022-01-15 00:32:21 +08:00
c9s	e385d96709	bbgo: move authToken loader	2022-01-15 00:29:35 +08:00
c9s	3a13025d58	bbgo: change default notification rule -- silent order updates	2022-01-15 00:25:16 +08:00
c9s	d5f3946ada	bbgo: refactor the current auth with interact	2022-01-15 00:18:07 +08:00
c9s	51ecac54e7	bbgo: fix local active book graceful cancel	2022-01-15 00:17:52 +08:00
c9s	41b94c5c7e	interact: refactor telegram interaction	2022-01-14 15:03:19 +08:00
c9s	fdf7ad9648	bbgo: rename auth function for general case	2022-01-14 13:41:43 +08:00
c9s	5bef7d8a1e	interact: use interaction singleton	2022-01-14 13:31:31 +08:00
c9s	dd93ee4fd3	move methods to telegramnotifier	2022-01-14 13:31:31 +08:00
c9s	43317bb647	add state and telegram example	2022-01-13 11:43:33 +08:00
c9s	ccaa8c5c86	bbgo: implement parseCommand	2022-01-13 11:43:33 +08:00
c9s	7053802041	basic interaction parser	2022-01-13 11:43:33 +08:00
c9s	6ee831e678	add trade logger	2022-01-12 11:19:41 +08:00
c9s	e5b4af53e6	all: clean up SubmitOrder fields	2022-01-11 01:36:19 +08:00
c9s	48cbb7fff6	bbgo: check order side and log error	2022-01-10 17:26:14 +08:00
c9s	d57f8fedfe	bbgo: fix active book order removal	2022-01-10 12:29:19 +08:00
c9s	d94cc2df31	bbgo: add recover callbacks to trace collector	2022-01-09 15:39:59 +08:00
c9s	0cec652f38	bollmaker: skip submitOrder calls if submitOrders is empty	2022-01-09 02:35:12 +08:00
c9s	7e2acdc416	all: add lock protected GetBase method for Position	2022-01-09 00:35:45 +08:00
c9s	d1420e66be	fix TestTradeCollector_ShouldNotCountDuplicatedTrade	2022-01-08 02:20:30 +08:00
c9s	e0b906a88b	bbgo: fix processTrade	2022-01-07 16:53:11 +08:00
c9s	a5fb408a16	twap: refactor and call activeMakerOrders.GracefulCancel	2022-01-07 01:34:23 +08:00
c9s	e312ec953c	bbgo: rename test case	2022-01-07 01:23:54 +08:00
c9s	d63cc42867	bbgo: add trade collector test	2022-01-07 01:17:07 +08:00
c9s	a49d001c29	xmaker: add trade scanner	2022-01-07 01:03:12 +08:00
c9s	69ae3259ff	bbgo: mark trade as done in the trade collector for preventing duplicated trade	2022-01-07 00:28:12 +08:00
c9s	259771b0b0	all: pull out the graceful cancel process to the local active book	2022-01-07 00:10:40 +08:00
c9s	47e23fda90	bbgo: add cache expiry	2022-01-06 23:57:42 +08:00
c9s	1116fc1de1	session: print klines only when debug-kline is enabled	2021-12-31 15:13:26 +08:00
c9s	63ccc2d3d0	bbgo: remove order if ExecutedQuantity is zero	2021-12-31 01:55:22 +08:00
c9s	ba73d5a09a	fix kucoin orderTime parsing and order id conversion	2021-12-30 22:02:50 +08:00
c9s	31070c3950	pull out connection status binder	2021-12-30 17:25:47 +08:00
c9s	26ff576727	fix connection status callbacks	2021-12-30 17:23:27 +08:00
c9s	cfc66dc13e	bbgo: add session connection notification	2021-12-30 17:18:04 +08:00
c9s	a2931da92c	move math rand	2021-12-30 16:18:32 +08:00
c9s	22e4da3775	fix pendingRemoval lock	2021-12-29 23:53:46 +08:00
c9s	090d60b44e	fix session connection status metrics	2021-12-28 01:58:36 +08:00
c9s	a0e41650be	add metricsLastUpdateTimeBalance metrics	2021-12-28 01:39:17 +08:00
c9s	bb9ef72028	update metricsConnectionStatus metrics	2021-12-28 00:49:56 +08:00
c9s	bb7b33e532	bbgo: bind and update balance metrics updater	2021-12-27 17:27:16 +08:00
c9s	7b629c9d30	bbgo: update balances metrics and trade metrics	2021-12-27 17:16:30 +08:00
c9s	0f24eec715	bbgo: fix: filter trades by symbol	2021-12-27 16:32:30 +08:00
c9s	42f22e0ef3	add prometheus metrics server	2021-12-27 16:27:14 +08:00
c9s	a31e2743ee	fix kline log space	2021-12-27 00:54:10 +08:00
c9s	f7c39290a0	call tradeCollector process to check trades	2021-12-27 00:51:57 +08:00
c9s	770c1067fc	bbgo: fix order store RemoveCancelled	2021-12-26 15:47:39 +08:00
c9s	05a0745d08	fix InitExchange for publicOnly session	2021-12-26 15:29:42 +08:00
c9s	ba8ebfe3a7	refactor and add doc comment for InitExchangeSession	2021-12-25 23:42:29 +08:00
c9s	307d0b8e1f	bbgo: add passphrase field to session struct	2021-12-25 23:28:00 +08:00
c9s	57bc65a729	avoid calling EmitConnect and EmitStart outside of the kline feeding goroutine ... this causes 2 goroutine running in the same time hence cause the concurrent map read / write should fix #399, #401	2021-12-25 21:05:50 +08:00
c9s	49e516b80e	backtest: allocate public exchange (with empty key secret) for backtesting	2021-12-24 00:24:19 +08:00
c9s	a3e3e1d177	bbgo: do not sync trades when running backtest	2021-12-23 23:20:35 +08:00
c9s	f5bbe29ac6	cmd: fix debug flag loading and add debug log to cache function	2021-12-23 23:02:07 +08:00
c9s	cfd68fdd1d	all: change trade id to uint64	2021-12-23 17:49:18 +08:00
TonyQ	d7ac645253	exchange: update maskkey handling	2021-12-23 01:18:36 +08:00
austin362667	f9cf71cef3	indicator: add kline close volatility ... indicator: add kline close volatility	2021-12-19 14:20:09 +08:00
TonyQ	c0b9cc0f0b	exchange: make ftx kline event more reliable	2021-12-15 11:23:07 +08:00
Yo-An Lin	6c6eb252cc	Merge pull request #363 from tony1223/feature/355-ftx-backtest	2021-12-14 16:09:16 +08:00
TonyQ	8eb3eede82	fix backtest (with review)	2021-12-14 16:02:54 +08:00
TonyQ	51e23b6a0c	Merge branch 'main' of github.com:c9s/bbgo into feature/302-record-assets-review	2021-12-14 10:39:51 +08:00
TonyQ	4eb5a099ae	account: add nav_history_details and account_service for #302	2021-12-14 08:09:18 +08:00
austin362667	36c6d39612	bbgo: add session Futures & types: add FuturesExchange	2021-12-13 23:16:58 +08:00
austin362667	1703fff8b2	types: refactor Position and related files	2021-12-11 19:16:16 +08:00
c9s	d52edce40b	fix markets info cache	2021-12-08 17:26:43 +08:00
c9s	08a264d4eb	add futures exchange check in the markets cache	2021-12-07 21:29:40 +08:00
c9s	ca3f438288	show symbol name in the error message	2021-12-07 14:35:00 +08:00
c9s	aeeecba8dc	support different time format for backtesting	2021-12-06 01:50:50 +08:00
c9s	0472b7f21e	avoid recording trades in backtest by default ... introducing a RecordTrades option	2021-12-06 01:42:53 +08:00
c9s	f692ef2c31	realign account fields	2021-12-05 12:23:27 +08:00
c9s	df683bdf56	use position to calculate the pnl	2021-12-05 02:17:15 +08:00
TonyQ	30c14a6828	fix #261 provide default config for notification setting	2021-12-04 02:37:21 +00:00
c9s	9a589bf71c	show broadcast enabled	2021-11-25 18:49:29 +08:00
c9s	513a799ced	fix ewma calculation	2021-11-22 02:14:44 +08:00
c9s	20f0e8dbd5	preallocate kline window with capacity	2021-11-22 01:17:08 +08:00
c9s	540722e430	adjust ewma truncate size	2021-11-22 01:17:08 +08:00
c9s	7787edffa0	refactor grid strategy state loading/saving	2021-11-05 00:22:44 +08:00
c9s	d763a3c415	bbgo: add debug ewma and sma	2021-10-18 17:26:03 +08:00
c9s	30b82390b7	bbgo: add EMA and SMA debug var	2021-10-18 15:23:22 +08:00
c9s	c36bbd6c35	bbgo: show pnl in the slack fields	2021-10-18 08:45:27 +08:00
c9s	15cfd735a0	bbgo: add doc comment for ExchangeSessionSubscriber	2021-10-17 22:23:21 +08:00
c9s	39b7a956e0	Add market field to position	2021-10-17 22:23:09 +08:00
c9s	30c7c34826	bbgo: fix kline backward query for backtest	2021-10-16 13:49:00 +08:00
c9s	4bcea5a388	bbgo: add AllFilled method on OrderStore	2021-10-16 13:39:18 +08:00
c9s	f5f96b585a	apply broadcast option from config file	2021-10-15 16:10:39 +08:00
c9s	2b0793ee49	bbgo: add telegram config	2021-10-15 16:10:09 +08:00
c9s	47e4847034	fix kline query endtime	2021-10-14 14:21:38 +08:00
c9s	b3661f5d32	bbgo: improve profit stat PlainText format	2021-10-14 10:16:11 +08:00
c9s	7d416c3467	bbgo: fix profit json tag	2021-10-14 10:14:11 +08:00
c9s	7874471828	bbgo: improve pnlEmojiMargin function	2021-10-14 10:13:21 +08:00
c9s	c8554f09a0	bbgo: refactor the pnl functions	2021-10-14 10:07:27 +08:00
c9s	2116efc42e	bbgo: fix profit title	2021-10-14 08:59:45 +08:00
c9s	49a78c0c88	bbgo: fix profit stat title	2021-10-14 08:58:19 +08:00
c9s	c12ff57e57	bbgo: improve profit stats plaintext format	2021-10-14 08:55:55 +08:00
c9s	77f11f4515	bbgo: add ticker for collecting trades	2021-10-14 07:56:40 +08:00
c9s	b154e3baea	bbgo: add pnl emoji with margin	2021-10-14 07:48:32 +08:00
c9s	7e8897f1d0	bbgo: fix profit field check condition	2021-10-14 07:33:34 +08:00
c9s	5c3f305060	bbgo: implement SlackAttachment interface for profitstats	2021-10-14 01:27:58 +08:00
c9s	d3fa0a964b	bbgo: add slack attachment support for profit	2021-10-14 01:27:50 +08:00
c9s	b6b2e33cc0	extend profit stats fields for quote,base currency and symbol	2021-10-14 01:26:36 +08:00
c9s	5039a43413	bbgo: move pnl formating to the bbgo package	2021-10-14 01:26:11 +08:00
c9s	e1e6d1de12	bbgo: add net profit margin field to profit stats	2021-10-14 01:26:04 +08:00
c9s	44a0b10240	bbgo: load last price from 1m interval kline only	2021-10-14 00:37:40 +08:00
c9s	37ac907c0f	profitstats: add accumulated volume	2021-10-12 11:24:28 +08:00
c9s	d9dc7e31df	extend more fields	2021-10-12 11:24:24 +08:00
c9s	45645d0a3d	use the profit struct to pass profit info	2021-10-08 19:16:40 +08:00
c9s	fac14a8c7f	profitstats: add netProfit field	2021-10-08 15:09:55 +08:00
c9s	aadb1ed389	remove MakerExchange from the core profit stats field	2021-10-08 15:00:53 +08:00
c9s	d058125f78	bbgo: refactor profit stats	2021-10-08 14:57:44 +08:00
c9s	9e1d28f3b3	do not remove order if it's partially filled	2021-10-08 14:17:47 +08:00
c9s	ded740107f	bbgo: refactor TradeCollector bind stream for background and foreground	2021-10-08 13:24:07 +08:00
c9s	8ada9eef02	bbgo: optimize AdjustQuantityByMaxAmount, early return	2021-10-08 12:09:05 +08:00
c9s	7fb4d2f78d	return positionChanged for Process method	2021-10-05 21:44:39 +08:00
c9s	5dd2f568fe	add doc comment for trade collector	2021-10-05 21:39:10 +08:00
c9s	45c875fe7c	bbgo: improve trade collect process	2021-10-05 21:30:06 +08:00
c9s	8d01c97240	fix cyclic import issue	2021-08-26 11:46:02 +08:00
c9s	1f94ae1c19	bbgo: move moving average settings struct into bbgo	2021-08-26 11:32:39 +08:00
c9s	3ab4a570fb	bbgo: limit max kline slice	2021-06-28 14:33:32 +08:00
c9s	06a1f018c2	bbgo: push to the buffer first	2021-06-26 20:26:47 +08:00
c9s	7d853a9c74	bbgo: add emit position update	2021-06-26 20:26:47 +08:00
c9s	ecd2d9ea68	bbgo: improve trade collector callbacks	2021-06-26 20:26:47 +08:00
c9s	db4fbbc30c	bbgo: add trade collector	2021-06-26 20:26:47 +08:00
c9s	65629a77f4	bbgo: add two new position constructor	2021-06-26 20:26:47 +08:00
c9s	3d12a7df59	support: add sensitivity settings	2021-06-16 13:14:10 +08:00
c9s	e276ddd38a	bbgo: add shared local time zone	2021-06-16 13:04:23 +08:00
c9s	e23c459697	bbgo: move orderbook to the session level so that we can access it eaiser	2021-06-16 13:04:23 +08:00
c9s	2614b25de3	types: move fiat currency list to types	2021-06-16 13:04:23 +08:00
c9s	e5db780be8	notify trades and update position	2021-06-01 01:39:22 +08:00
c9s	c84d59734c	clear all trades before running backtests	2021-05-30 15:25:00 +08:00
c9s	3aa36b5989	refactor and fix backtest for user data stream and market data stream	2021-05-30 15:08:11 +08:00
c9s	38fd5422ab	xmaker: use uncovered position	2021-05-30 14:46:48 +08:00
c9s	8d31435ded	add trade store	2021-05-29 00:25:23 +08:00
c9s	5f18b89dfa	if publicOnly is set, we should not connect user data stream	2021-05-28 19:01:55 +08:00
c9s	f190b1e66a	fix market data stream initialization	2021-05-28 03:17:46 +08:00
c9s	7d62a7634b	set market data stream to public	2021-05-27 15:11:44 +08:00
c9s	b7c87c7744	core: move market data subscription to market data stream	2021-05-27 15:09:18 +08:00
c9s	45f1a13870	rename Stream field to UserDataStream and add MarketDataStream	2021-05-27 14:45:06 +08:00
c9s	2381df5009	add okex to the exchange factory	2021-05-27 00:35:51 +08:00
zenix	3d2a27fc10	Fix: nil pointer exception in indicator creation, add stoch util func	2021-05-26 00:20:31 +00:00
c9s	9c70e36e1b	save average cost with feeInQuote in the ApproximateAverageCost	2021-05-23 01:05:11 +08:00
c9s	d2e299a68a	improve position comment	2021-05-23 00:42:57 +08:00
c9s	9efb45b133	reduce side book copy	2021-05-23 00:42:44 +08:00
c9s	9b9643e1f9	improve order cancellation mechanisim	2021-05-22 17:44:20 +08:00
c9s	289227e5f3	add exists method for active book	2021-05-22 17:44:07 +08:00
c9s	0a908e5dda	fix position test for net profit	2021-05-22 17:43:53 +08:00
c9s	cca3284140	separate net profit and profit	2021-05-22 17:17:37 +08:00
c9s	8acada76a9	replace sliceorderbook with orderbook interface	2021-05-22 16:32:29 +08:00
c9s	fd710d533f	implement tree copy method	2021-05-22 12:18:08 +08:00
c9s	56b2c8845b	fix preorder, postorder and inorder	2021-05-22 11:36:58 +08:00
c9s	4fde442722	Add position Reset function	2021-05-21 00:08:04 +08:00
c9s	d737ab678f	support removing filled orders from the order store	2021-05-21 00:07:43 +08:00
c9s	422e85e3a3	twap: fix stop price check	2021-05-18 13:53:51 +08:00
c9s	896518f5c2	check if restQuantity is less than 0	2021-05-18 13:44:57 +08:00
c9s	21f7fa7846	twap: fix tick spread calculation	2021-05-18 13:38:23 +08:00
c9s	f6f1226bd0	integrate bollband indicator into xmaker	2021-05-17 20:04:13 +08:00
c9s	e7c718ee15	assign fee rate to position	2021-05-16 17:58:51 +08:00
c9s	187a9c795b	use exchange fee rate as a reference for profit	2021-05-16 17:50:08 +08:00
c9s	d0e4a5e65c	move addTrade lock section	2021-05-16 17:05:12 +08:00
c9s	e636a5008d	replace Exchange field type with ExchangeName	2021-05-16 17:02:23 +08:00
c9s	0a016cba75	split maker fee and taker fee	2021-05-16 16:50:26 +08:00
c9s	a4381a54a3	add fee rate field	2021-05-16 15:03:36 +08:00
c9s	c9cdf31df1	add pnl emoji	2021-05-16 01:16:03 +08:00
c9s	942eaac659	improve message formatting	2021-05-16 00:45:08 +08:00
c9s	1f449eca7f	implement SlackAttachment interface on Position	2021-05-15 23:50:03 +08:00
c9s	c85456b8e8	lock position for fetching base quantity	2021-05-15 10:06:48 +08:00
c9s	531799bdfb	use mutex composition since we may lock from out side	2021-05-15 10:05:39 +08:00
c9s	8071559f99	position: use pointer receiver	2021-05-15 10:02:04 +08:00
c9s	a636cdaec9	add mutex to Position since position could be changed from 2 goroutine	2021-05-15 10:01:41 +08:00
c9s	aa340f0db3	always check restQuantity	2021-05-15 10:00:32 +08:00
c9s	236df245a2	adjust quantity bases on the balances	2021-05-15 09:46:07 +08:00
c9s	f9cb414832	twap: add update-interval option	2021-05-15 09:29:44 +08:00
c9s	ae256ce9d3	add more quantity adjustment fix	2021-05-15 09:23:41 +08:00
c9s	356a8b77ac	adjust updateLimiter to 3 seconds one time	2021-05-15 09:20:46 +08:00
c9s	445feb016a	support price ticks option	2021-05-14 15:35:11 +08:00
c9s	bb34b1002a	improve order execution graceful shutdown	2021-05-14 14:53:26 +08:00
c9s	dc040bb82b	improving logs	2021-05-14 14:53:26 +08:00
c9s	f69cbe9c31	add basic TwapExecution	2021-05-14 14:53:26 +08:00
c9s	c8b97629e0	add NumOfOrders method on active book	2021-05-14 14:53:26 +08:00
c9s	a49cf531b5	fix cross exchange order executor for the basic risk control	2021-05-12 19:02:09 +08:00
c9s	98e0390c1d	improve slack notification	2021-05-12 12:43:03 +08:00
c9s	807c049d63	refactor notifiers and add liquidity field to the trade	2021-05-12 12:37:48 +08:00
c9s	85e1b6b1c7	move field assignment	2021-05-12 12:05:54 +08:00
c9s	df11112d64	refactor exchange session initialization	2021-05-12 12:05:54 +08:00
c9s	8d63647104	assign session.Withdrawal	2021-05-12 12:05:54 +08:00
c9s	29b7326f19	add withdrawal property to the exchange session	2021-05-12 12:05:54 +08:00
zenix	ba091dccf6	Fix: binance's cancel update is sent through New status with 0 quantity	2021-05-11 06:57:09 +00:00
c9s	95d58e9385	adjust hedge quantity according to the hedge account balances	2021-05-10 20:13:23 +08:00
c9s	ddab6083d4	xmaker: support quantity scale	2021-05-10 02:52:41 +08:00
c9s	ce63641d70	print otp auth guide when session is loaded	2021-05-10 01:38:19 +08:00
c9s	3f8f5616d7	add more order info the local order book printing	2021-05-09 20:03:16 +08:00
c9s	e06310da26	print unhandled order status	2021-05-09 19:44:43 +08:00
c9s	d01abffde3	add todo for the backtest trades	2021-05-08 01:09:06 +08:00
c9s	6bbd66a4f9	split environment start and init	2021-05-08 00:45:24 +08:00
c9s	494a270c54	insert trades to db only when backtest service is nil	2021-05-07 01:50:38 +08:00
c9s	584a4c2ef8	move fiat currency definition out	2021-05-07 01:30:09 +08:00
c9s	1ad8b0b641	remove unused SourceDir func	2021-05-04 01:06:20 +08:00
c9s	50db944053	fix initSymbol stages	2021-05-02 23:58:34 +08:00
c9s	2230c56e56	fix comment warning	2021-05-02 23:48:53 +08:00
c9s	2ef13293e9	fix IDE warnings	2021-05-02 23:47:57 +08:00
c9s	5ec0566888	add more injection checks	2021-05-02 23:46:16 +08:00
c9s	822a010932	add moving average configuration to the schedule strategy	2021-05-02 20:58:32 +08:00
c9s	e29d9af9c8	fix persistence config unmarshalling	2021-05-02 18:16:34 +08:00
c9s	9f77236999	fix and improve position accessor	2021-04-28 19:32:49 +08:00
c9s	70a53ed286	make config compatible with key 'strategies'	2021-04-28 17:58:50 +08:00
c9s	2ec4617694	add SyncService check	2021-04-09 12:44:30 +08:00
c9s	34fe915a9f	fix sync issue for pnl command	2021-04-09 12:43:13 +08:00
Larry850806	dbf5d27f30	Add a validator interface to validate strategy before run	2021-04-02 10:12:55 +08:00
c9s	6c8babfb27	allow public session	2021-03-22 17:40:17 +08:00
c9s	088b22f338	support bbgo-no-cache option	2021-03-22 17:32:21 +08:00
c9s	814a77ea39	xmaker: improve balance checking	2021-03-21 12:55:33 +08:00
ycdesu	c8447663db	refactor: use fixedpoint to store fee	2021-03-19 08:49:24 +08:00
ycdesu	83ae943a4f	ftx: calculate commission	2021-03-18 23:58:28 +08:00
c9s	a95c3b94a0	core: set default store ID	2021-03-18 17:20:07 +08:00
Yo-An Lin	40b376802e	Merge pull request #168 from c9s/feature/mark-trade-strategy	2021-03-18 10:31:59 +08:00
c9s	85b6cb81a2	make local active orderbook json marshallable	2021-03-18 01:15:06 +08:00
Yo-An Lin	7ecb17dbe2	Merge pull request #163 from c9s/feature/mark-trade-strategy	2021-03-16 22:34:09 +08:00
c9s	714d61a829	add grid restore behavior	2021-03-16 20:04:06 +08:00
Yo-An Lin	f5b65e795e	Merge pull request #160 from c9s/feature/grid-options	2021-03-16 12:59:14 +08:00
c9s	40fded70b2	reformat scale.go	2021-03-16 02:14:10 +08:00
c9s	2f7c7d344b	move emitStart method call into the stream Connect method	2021-03-16 01:32:27 +08:00
c9s	7951c38edc	skip connection if there is no subscription	2021-03-16 01:31:56 +08:00
ycdesu	c08899f7fb	ftx: add ftx to supported exchange	2021-03-15 20:40:04 +08:00
c9s	c3996aee2b	add Backup method to the local active order book	2021-03-15 18:25:36 +08:00
c9s	e311a182fa	add onStart callbacks	2021-03-15 18:04:03 +08:00
c9s	9f7af3ce82	assign SubAccount name to the new exchange session	2021-03-15 17:51:17 +08:00
c9s	e8ccc5eabf	pass SubAccount field to the factory	2021-03-15 10:23:00 +08:00
c9s	2eda012f43	add SubAccount field to the exchange session config	2021-03-15 10:13:41 +08:00
c9s	4b49fda463	refactor sync service	2021-03-14 11:18:22 +08:00
ben	40eadfeaca	add yaml tag for mapping basic risk control order executor.	2021-03-01 13:44:58 +08:00
Yo-An Lin	592a8d87ae	Merge pull request #137 from c9s/feature/scale ... feature: add exp scale and log scale formula	2021-02-28 16:13:38 +08:00
c9s	b71ea867c5	ignore sync if sync service is nil	2021-02-28 15:05:49 +08:00
c9s	da79920ca9	rename scale struct name to PriceVolumeScale	2021-02-28 14:51:24 +08:00
c9s	83111c9eb9	test exponential scale with reverse range	2021-02-28 12:12:03 +08:00
c9s	99f236d2e0	integrate quantity scale into support strategy and grid strategy	2021-02-28 11:57:25 +08:00
c9s	bf87fbbf55	add LinearScale	2021-02-28 02:20:47 +08:00
c9s	8572df2cb3	add link to TestQuadraticScale	2021-02-28 02:07:48 +08:00
c9s	83af52c53b	add QuadraticScale	2021-02-28 02:06:33 +08:00
c9s	52395fd460	add log scale graph link	2021-02-28 01:55:35 +08:00
c9s	fbb8837c5c	add exp scale and log scale formula	2021-02-28 01:53:45 +08:00
c9s	5a7cf05701	integrate reward service into the sync service	2021-02-23 16:39:48 +08:00
c9s	73cb80ee96	improve logging	2021-02-22 17:06:43 +08:00
c9s	eaad414706	adjust max api call rate limiting	2021-02-22 15:01:05 +08:00
c9s	724dad70bb	remove trade sync from environ init	2021-02-22 14:14:39 +08:00
c9s	84775652fe	remove defer wrapper func	2021-02-22 13:49:26 +08:00
c9s	63ebbc0e73	fix frontend sync status checking	2021-02-21 19:36:03 +08:00
c9s	3629a1f5a2	pre-save syncing var for return	2021-02-21 18:54:48 +08:00
c9s	a8516edb98	add Get method to the persistence service facade	2021-02-21 16:55:45 +08:00
c9s	21b092037e	refactor notification configuration	2021-02-21 16:52:47 +08:00
c9s	fa4e813729	resolve cyclic imports	2021-02-21 01:01:39 +08:00
c9s	6845db6dd3	refactor database configure method	2021-02-21 00:58:34 +08:00
c9s	12ed5a1efe	move persistence service into the service package	2021-02-21 00:45:56 +08:00
c9s	be00aae81e	move trade configuration to the trader struct method	2021-02-20 12:23:31 +08:00
c9s	7684099f01	add /api/environment/syncing api	2021-02-20 11:54:48 +08:00
c9s	4ce6e85624	add sync status to the environment	2021-02-20 11:29:33 +08:00
c9s	dd13b9a8bf	remove start time query condition for trade sync since starting from trade id = 1 works	2021-02-19 14:18:50 +08:00
c9s	44fa74a4c9	refactor session sync	2021-02-19 10:42:24 +08:00
c9s	390c9b1a4b	move Sync method into the sync service	2021-02-19 10:26:13 +08:00
c9s	eaa8c647b5	refactor session sync	2021-02-18 22:40:46 +08:00
c9s	b2bcd3528c	use sqlx for testing connection	2021-02-17 17:35:54 +08:00
c9s	a1cb3859c3	fix db driver setup	2021-02-17 14:57:29 +08:00
c9s	3867fdde91	add stringer interface to Position	2021-02-16 16:40:11 +08:00
c9s	e3d3eacb78	fix trade service injection	2021-02-16 16:30:01 +08:00
c9s	8ae4cab550	inject TradeService field if we found it	2021-02-16 16:14:49 +08:00
c9s	c75eb6b5ba	pull out Persistence injection to the common injection	2021-02-16 16:13:52 +08:00
c9s	5c1630f000	refactor strategy executor	2021-02-16 16:12:00 +08:00
c9s	fc4419b49b	refactor injection	2021-02-16 15:58:21 +08:00
c9s	1c2646b0af	add Test_injectField	2021-02-16 15:49:57 +08:00
c9s	c219dc7be0	add test code for testing migration scripts	2021-02-15 21:04:44 +08:00
c9s	f8378957ee	add more checks for bollgrid ... related to #93	2021-02-13 16:03:31 +08:00
c9s	ffa001fc29	fix quantity format	2021-02-11 00:21:56 +08:00
c9s	57435419b4	add marketData label	2021-02-10 22:40:36 +08:00
ycchen	6655e16889	minor tweaks	2021-02-08 22:41:44 +01:00
ycchen	61c98432f2	feat: tickers for asset calculation	2021-02-08 22:41:44 +01:00
c9s	99b56003eb	clean up legacy db connection handling with the new database service	2021-02-06 11:22:04 +08:00
c9s	276b6c1e48	drop the legacy upgradeDB	2021-02-06 11:22:04 +08:00
c9s	de51eb29e4	refactor db stuff with database service	2021-02-06 11:22:04 +08:00
c9s	d8d1249293	fix env var prefix by using os.Getenv directly	2021-02-04 15:14:54 +08:00
c9s	c35cef5b09	implement config saving api	2021-02-03 17:27:18 +08:00
c9s	f7a4f7d415	add strategies endpoint and strategy review page	2021-02-03 15:00:01 +08:00
c9s	705edc38c0	implement config yaml dummper	2021-02-03 09:58:31 +08:00
c9s	098a966813	add test case for config.Map method	2021-02-03 09:34:53 +08:00
c9s	1a2c3556a8	add ID method to the TestStrategy	2021-02-03 09:09:19 +08:00
c9s	7904c6f4d0	add ID() to Strategy interface	2021-02-03 09:08:05 +08:00
c9s	8aa96c4546	integrate strateg adding api	2021-02-03 02:26:41 +08:00
c9s	578451bb51	add setup flag to run server	2021-02-02 18:17:58 +08:00
c9s	17d5e301dc	refine setup steps	2021-02-02 17:26:35 +08:00
c9s	73762d9888	support exchange session test from the setup wizard	2021-02-02 11:44:07 +08:00
c9s	a60aeb4771	pull out .Subscribe from trader.Run	2021-02-01 20:44:15 +08:00
c9s	ddcc8ae4ee	move ExchangeOrderExecutor into exchange session	2021-02-01 20:44:15 +08:00
c9s	de8e717a41	refactor session initialization function	2021-02-01 20:44:15 +08:00
c9s	fbbe304dfb	add trades query api	2021-01-29 18:48:00 +08:00
c9s	cc8133a90e	print order query sql	2021-01-29 18:34:03 +08:00
c9s	32645f228b	add order query api	2021-01-29 13:15:44 +08:00
c9s	be750b94df	fix layout and margin	2021-01-29 12:55:11 +08:00
c9s	8031c6066e	mount static files to routes	2021-01-29 11:19:37 +08:00
c9s	78890834b5	support symbol segment	2021-01-28 18:51:35 +08:00
c9s	9ee49ea3f1	Add TradingVolumeBar	2021-01-26 18:10:08 +08:00
c9s	95129e94d7	add lastPrcieUpdatedAt timestamp for checking last price cache	2021-01-26 17:23:40 +08:00
c9s	df17c4b1b6	add trading volume query api	2021-01-26 17:21:18 +08:00
c9s	9717fddfbd	add total asset pie chart	2021-01-25 16:56:02 +08:00
c9s	e47357d1ed	add assets api and price loading	2021-01-25 15:32:17 +08:00
c9s	09b3046feb	lower case fields are not exported to json	2021-01-25 14:32:46 +08:00
c9s	7310700540	add account and account balances	2021-01-24 20:18:04 +08:00
c9s	eab915abc7	rename loaded-symbols to just symbols	2021-01-24 20:14:43 +08:00
c9s	3a52a4bff8	add and set AddOrderUpdate flag for session order store	2021-01-24 20:13:05 +08:00
c9s	42b66d6898	add OrderStore accessor on ExchangeSession	2021-01-24 19:08:12 +08:00
c9s	447057086c	add Orders method on OrderStore	2021-01-24 19:07:32 +08:00
c9s	eccc2c6e0f	implement session config api and server	2021-01-24 18:42:36 +08:00
c9s	51e5deee47	add frontend files	2021-01-24 14:14:25 +08:00
c9s	1892d03326	make session trades map thread safe	2021-01-24 14:14:25 +08:00
c9s	1c80d30ce2	add TradeSlice with sync	2021-01-24 14:14:25 +08:00
c9s	84b6982033	add order store to exchange session	2021-01-24 14:14:25 +08:00
c9s	d0fc161ae7	fix define build config checking	2021-01-23 01:06:56 +08:00
c9s	2da5fa2e92	pre-define build config	2021-01-23 01:03:56 +08:00
c9s	5eaa8f0778	add IsWrapperBinary flag and fix persistence error	2021-01-21 12:27:21 +08:00
c9s	45876968d9	let build config and legacy imports co-exists	2021-01-21 12:08:06 +08:00
c9s	5329ef8f25	refactor build config	2021-01-21 12:06:03 +08:00
c9s	ad4f339b27	fix test case name	2021-01-21 00:54:59 +08:00
c9s	38bac10050	consider fee calculation	2021-01-21 00:49:01 +08:00
c9s	bfc8e511d0	simplify average cost calculation	2021-01-20 23:46:22 +08:00
c9s	16aa070120	assign base/quote currency to the position struct	2021-01-20 23:08:57 +08:00
c9s	8a08c406c3	check symbol for the position update	2021-01-20 17:37:23 +08:00
c9s	48dd697ce3	handling short-to-long and long-to-short position	2021-01-20 17:35:58 +08:00
c9s	c2a27b031e	init position with loaded symbols	2021-01-20 16:30:44 +08:00
c9s	0051dbc78a	add Position accessor	2021-01-20 16:29:15 +08:00
c9s	079fcf08e3	initialize position map	2021-01-20 16:28:27 +08:00
c9s	09d712416f	add json struct tags	2021-01-20 16:15:34 +08:00
c9s	617f5119fd	test trade profit calculation	2021-01-20 16:14:02 +08:00
c9s	169af63846	add more position tests	2021-01-20 16:10:20 +08:00
c9s	34148948ab	add position and its tests	2021-01-20 16:08:14 +08:00
c9s	d3f6841a27	improve sync command for margin trades and orders	2021-01-20 01:46:17 +08:00
c9s	f8a9610222	pass isolated margin symbol	2021-01-19 23:31:04 +08:00
c9s	d4774f5f0e	add IsolatedMargin option	2021-01-19 23:31:04 +08:00
c9s	310943d010	add isolated margin symbol option	2021-01-19 23:31:04 +08:00
c9s	e8fec434b5	cast exchange instance to margin exchange interface	2021-01-19 23:31:04 +08:00
c9s	3199c63d62	add margin mode	2021-01-19 23:31:04 +08:00
c9s	4002ec80d6	add public only field to the session config struct	2021-01-19 23:31:04 +08:00
c9s	d04e1e7816	refactory sync command and upgrade db automatically	2021-01-14 15:10:11 +08:00
c9s	2699c32b38	add rockhopper	2021-01-13 23:53:36 +08:00
c9s	653eba73c5	improve session error message	2021-01-09 19:47:21 +08:00
c9s	4a1af6f362	add check for PersistenceServiceFacade	2021-01-09 19:44:45 +08:00
c9s	93d71b5300	bbgo: session log error	2021-01-09 19:40:31 +08:00
c9s	92ab7e125a	improve RegisterStrategy method to register strategy between cross and single	2020-12-31 17:14:47 +08:00
c9s	25eab8e95f	adjust log	2020-12-29 18:32:51 +08:00
c9s	f485c1ba7f	fix grid strategy order placing	2020-12-29 18:18:32 +08:00
c9s	275aa9494a	support canceling orders on max	2020-12-29 16:00:03 +08:00
c9s	9223b2ba47	move FormatOrder to ExchangeSession since it depends on Market	2020-12-21 13:47:40 +08:00
c9s	3eae58322a	add trade update callbacks and order update callbacks to order executor	2020-12-21 13:40:23 +08:00
c9s	728bf5fc81	bbgo: move some logs to debug level	2020-12-15 14:14:44 +08:00
c9s	0222c33330	fix kline tail method	2020-12-08 10:26:20 +08:00
c9s	9eaf69388c	add fixedpoint json marshaling	2020-12-07 23:03:06 +08:00
c9s	4addf65f64	support memory persistence	2020-12-07 12:03:56 +08:00
c9s	2d98336fb6	implement Persistent API for strategy	2020-12-07 11:44:41 +08:00
c9s	341f735bc3	configure ConfigurePersistence if it's defined	2020-12-07 11:44:41 +08:00
c9s	a01f83ab15	add persistence config and tests	2020-12-07 11:44:41 +08:00
c9s	b843388483	only query subscribed kline intervals	2020-12-07 11:44:23 +08:00
c9s	62a541fb27	rename preload to loadBuildConfig	2020-12-07 11:44:23 +08:00
c9s	c5d002a0b0	fix market data kline registration	2020-12-05 13:32:41 +08:00
c9s	900f822559	improve and fix ewma calculation	2020-12-05 13:32:41 +08:00
c9s	ef03c0cf20	separate Run and CrossRun ... so that we mount one strategy as cross strategy or single exchange strategy	2020-12-03 09:31:40 +08:00
c9s	4f399ebb9f	fix stop price formating	2020-12-03 09:25:47 +08:00
c9s	d38b16fb3e	fix cross exchange strategy subscription	2020-12-02 22:44:41 +08:00
c9s	d226ec2e01	change field names to lower case so that we can use shorter name for the accessors	2020-12-02 22:21:13 +08:00
c9s	e57b9f235b	add quota	2020-11-23 16:47:36 +08:00
c9s	914d5cdc94	try to keep all orders from order store	2020-11-17 15:53:46 +08:00
c9s	ed6d6342e7	fix account currency translation	2020-11-17 14:24:26 +08:00
c9s	cc3da5b678	pass order id for order store exists	2020-11-17 08:53:22 +08:00
c9s	f4512f031c	improve cross exchange strategy mounting behavior and add fixedpoint atomic ops	2020-11-17 08:19:22 +08:00
c9s	ded970f5a4	imporve CrossExchange subscription handling	2020-11-15 13:27:33 +08:00
c9s	94aaaf21b0	improve wrapper binary invocation	2020-11-15 13:23:26 +08:00
c9s	cd283f2c28	remove unused logger field	2020-11-12 17:30:21 +08:00
c9s	8cc1c589a1	fix waitgroup counting	2020-11-12 14:59:47 +08:00
c9s	fc9409673f	add graceful shutdown	2020-11-12 14:50:21 +08:00
c9s	35a5b61f60	add local active orderbook callback files	2020-11-11 23:19:16 +08:00
c9s	0264baa922	refactor and improve bollgrid	2020-11-11 23:18:53 +08:00
c9s	04f6da3cb8	add traditional grid strategy	2020-11-10 19:06:20 +08:00
c9s	4ab402a188	clean up legacy code	2020-11-10 16:56:30 +08:00
c9s	23c19c5968	use fixedpoint for balances	2020-11-10 14:19:33 +08:00
c9s	6c2aef31a3	improve backtest logging	2020-11-09 16:47:29 +08:00
c9s	e7cc79f3cf	replace errors.Errorf with fmt.Errorf	2020-11-09 16:34:35 +08:00
c9s	1e129e4c86	collect error object instead of logging	2020-11-09 15:29:40 +08:00
c9s	8414f406bf	drop the legacy order executor	2020-11-09 15:02:12 +08:00
c9s	4a2a542222	refactor basic risk controller	2020-11-09 14:56:54 +08:00
c9s	f69c87b3a8	fix fee calculation and add account balance checking	2020-11-08 21:52:44 +08:00
c9s	4b0bab31fb	Merge branch 'feature/backtest' into main	2020-11-07 20:34:55 +08:00
c9s	641784e1b1	calculate pnl after the backtest	2020-11-07 20:34:34 +08:00
c9s	a4a9067c6a	integrate matching engine with backtest exchange	2020-11-07 19:57:36 +08:00
c9s	0d8fa08171	add book Update method	2020-11-07 15:07:06 +08:00
c9s	b13a2deec5	emit klines and setup account balances	2020-11-07 03:18:05 +08:00
c9s	22a214328d	implement backtest command, stream and add backtest config	2020-11-07 02:57:50 +08:00
c9s	8823a39fc2	support backtesting kline verification	2020-11-07 00:49:17 +08:00
c9s	555fe57341	implement kline sync function from command	2020-11-06 21:40:48 +08:00
c9s	7fab2e24de	improve order persistence and support order data sync	2020-11-05 11:14:14 +08:00
c9s	eb67fc0f8f	make mysql-url optional for run command	2020-11-05 11:14:14 +08:00
c9s	8388f443a9	move active order book to the bbgo package	2020-11-05 11:14:14 +08:00
c9s	8e0b5d11a7	add max grid config and fix max price formatting	2020-10-31 20:38:20 +08:00
c9s	14abe3fb7e	pull out active order book to the types package	2020-10-31 20:38:20 +08:00
c9s	2397acd45f	fix type casting and assertion by passing pointer	2020-10-31 18:35:48 +08:00
c9s	0f8e9f6df7	add doc comment to Notifiability	2020-10-31 18:35:48 +08:00
c9s	eb05620f99	use Notifiability directly from environment	2020-10-31 18:35:48 +08:00
c9s	49ff9c4dd6	drop legacy trade reporter	2020-10-31 18:35:48 +08:00
c9s	c4d7476212	add submit order routing	2020-10-31 18:35:48 +08:00
c9s	ec9b5230aa	refactor trade report and move trade reporter to the environment layer	2020-10-31 18:35:48 +08:00
c9s	8867ceb951	initialize Notifiability for exchange session	2020-10-31 18:35:48 +08:00
c9s	dc547aa818	fix BOLL map allocation	2020-10-31 18:29:58 +08:00
c9s	c3961024cf	implement grid strategy update orders method	2020-10-31 18:29:58 +08:00
c9s	e60127090b	add GetBOLL access to standard indicator sets	2020-10-31 18:29:58 +08:00
c9s	d49b2be543	add bollinger indicator	2020-10-29 17:51:20 +08:00
c9s	4afabd92ed	clean up code	2020-10-29 17:05:01 +08:00
c9s	5f45d18ae2	fix struct composition	2020-10-29 13:08:33 +08:00
c9s	19b600bb35	simplify strategy registration api	2020-10-29 07:54:59 +08:00
c9s	c71f013916	let SMA indicator and EWMA indicator use IntervalWindow type	2020-10-29 07:51:23 +08:00
c9s	2f8bffeaca	add strict injection check fo pointer only objects	2020-10-29 07:49:06 +08:00
c9s	33257c591e	refactor swing strategy with types IntervalWindow	2020-10-29 07:44:22 +08:00
c9s	6d8ec7894e	refactor standard indicator set with store	2020-10-29 07:40:02 +08:00
c9s	67446670ac	finalize swing strategy and fix trade reporter issue	2020-10-28 17:48:16 +08:00
c9s	b22e0370b3	drop legacy OrderProcessor and remove slack debug	2020-10-28 17:48:16 +08:00
c9s	468864302e	fix submit order quantity formatting	2020-10-28 17:48:16 +08:00
c9s	2680ad5072	refactor environment, market data store, injection and add swing strategy	2020-10-28 17:48:16 +08:00
c9s	7d7d2c2fc7	assign standard indicator set to the session	2020-10-28 11:15:50 +08:00
c9s	e2df24f31c	support standard indicatorset	2020-10-28 09:43:19 +08:00
c9s	50693ae845	implement ewma and sma	2020-10-28 09:13:57 +08:00
c9s	388346b284	move injectStrategyField to a single file	2020-10-27 20:42:48 +08:00
c9s	e1c2f7cc3d	improve notifier signatures and fix slack Notify method	2020-10-27 20:13:10 +08:00
c9s	7905ba09d4	pull out fillStrategyNotifiability	2020-10-27 19:37:11 +08:00
c9s	ccc381143d	support pointer type filling	2020-10-27 19:33:11 +08:00
c9s	b3eaf832af	Add pricealert strategy for demonstrating notification	2020-10-27 13:54:39 +08:00
c9s	ab43de3efd	clean up comment for base order executor	2020-10-27 10:00:41 +08:00
c9s	ef598c3a0f	assign base order executor descendingly	2020-10-27 09:58:21 +08:00
c9s	8453e95300	configure channel routers	2020-10-27 09:38:29 +08:00
c9s	42f947506c	add route methods on Notifiability	2020-10-27 09:24:59 +08:00
c9s	c315b79bd7	add notification config	2020-10-27 08:48:47 +08:00
c9s	284a0676f7	remove unused confg package	2020-10-27 08:19:16 +08:00
c9s	955479486a	add symbol channel router and object channel router for notification	2020-10-27 08:19:16 +08:00
c9s	1d8e0bff5a	drop legacy NewDefaultEnvironment method	2020-10-27 08:19:16 +08:00
c9s	0fd9e8b95a	reset price field when market order is used	2020-10-26 22:08:16 +08:00
c9s	38c87bfecc	drop config dir	2020-10-26 21:46:38 +08:00
c9s	a1eeb55778	refactor and clean up bbgo config	2020-10-26 21:45:02 +08:00
c9s	c324a791f6	refactor and configure risk control order executor	2020-10-26 21:36:47 +08:00
c9s	59aa5c5ee2	implement RiskControlOrderExecutor	2020-10-26 18:28:34 +08:00
c9s	4e7c1a327b	pull out order formatter	2020-10-26 18:17:18 +08:00
c9s	a4b6a5f923	load order executor config	2020-10-26 17:57:28 +08:00
c9s	8274f6e97c	reformat OrderProcessor code	2020-10-26 16:45:09 +08:00
c9s	c9fa565c24	remove the legacy submit order method	2020-10-26 16:44:05 +08:00
c9s	359b3c56b4	move files	2020-10-26 16:15:30 +08:00
c9s	19f259111d	improve config loading by adding unmarshal yaml method	2020-10-26 15:33:25 +08:00
c9s	cd666fdf9e	pull out db parameter from the constructor	2020-10-26 15:06:39 +08:00
c9s	332ca7ffe8	make trade sync optional	2020-10-26 13:48:59 +08:00
c9s	931c646fde	configure notifier and make slack notification optional	2020-10-26 13:40:43 +08:00
c9s	145264aae4	cancel orders and re-submit maker orders	2020-10-26 00:26:17 +08:00
c9s	de11ef10f5	return created order objects from SubmitOrders method	2020-10-25 19:22:22 +08:00
c9s	308427416a	Add more exchange order features ... - use uuid for client order id - add stop limit and stop market order types - add order convert functions - improve submit orders	2020-10-25 19:22:22 +08:00
c9s	cd28fb8771	unmarshal imports into config	2020-10-23 14:49:54 +08:00
c9s	6b0f2b80d7	add multiple spec support	2020-10-23 00:21:03 +08:00
c9s	aea6a7c03d	integrate AverageCostPnLReporter	2020-10-22 15:57:50 +08:00
c9s	897d882c35	update Notifiability interface	2020-10-22 14:45:15 +08:00
c9s	ea3e9e7d05	add per-session-based trade reporter	2020-10-22 10:54:03 +08:00
c9s	678e4ef4ab	add trade reporter	2020-10-22 10:47:54 +08:00
c9s	a714af739a	implement TradeReporter	2020-10-21 19:52:55 +08:00
c9s	b1a9a66dba	assign account and stream when allocating session object	2020-10-21 17:42:37 +08:00
c9s	1f71fa623c	add channel argument to the notify method	2020-10-21 17:10:47 +08:00
c9s	58265d14f9	move cmdutil package	2020-10-21 15:58:58 +08:00
c9s	4ee10de40f	add LoadedCrossExchangeStrategies loader api	2020-10-20 14:21:46 +08:00
c9s	2fbf19455e	implement strategy yaml loader	2020-10-20 13:52:25 +08:00
c9s	a08aebaa17	bbgo: add SetTradeScanTime method	2020-10-20 13:11:04 +08:00
c9s	3b3df77ec3	clean up the legacy context struct	2020-10-20 12:24:30 +08:00
c9s	752fdf5c80	document WithCache function	2020-10-20 12:22:18 +08:00
c9s	2bbee6671a	make the first arg of WithCache as a key var	2020-10-20 12:18:29 +08:00
c9s	40c697275d	query market config with cache	2020-10-20 12:11:44 +08:00
c9s	180bfff558	loadedSymbols is not used in the init method	2020-10-20 11:49:18 +08:00
c9s	f6c1ed67e6	add CacheDir function	2020-10-20 11:48:44 +08:00
c9s	f62f3b8a02	define HomeDir and SourceDir helper functions	2020-10-20 11:46:44 +08:00
c9s	fc687f3174	max: implement kline event parser for websocket	2020-10-19 22:46:34 +08:00
c9s	d68564de28	improve logging	2020-10-19 22:26:43 +08:00
c9s	822e4c2703	receive trade in value instead of pointer	2020-10-19 22:06:43 +08:00
c9s	292dd2492a	add comment for loadedSymbols	2020-10-19 22:02:05 +08:00
c9s	a4b872fc8b	clean up init and connect phase	2020-10-19 22:00:44 +08:00
c9s	6d6e79eab3	fix session initialization issue	2020-10-19 21:58:50 +08:00
c9s	c1590786e8	integrate orderbook updates to market data store	2020-10-18 20:44:12 +08:00
c9s	75115774f6	rename kline store to market data store back	2020-10-18 20:44:12 +08:00
c9s	f9940a9c2f	rename market data store to kline store	2020-10-18 12:32:43 +08:00
c9s	f826bb014a	make markets field private	2020-10-18 12:30:13 +08:00
c9s	dab264a4ad	add more accessors to exchange session, so that we can make it as an interface	2020-10-18 12:29:38 +08:00
c9s	168cb355fc	add accessor to MarketDataStore	2020-10-18 12:27:11 +08:00
c9s	7d7828a556	move commented code	2020-10-18 12:25:08 +08:00
c9s	d2ba9cc4c3	move backtest related component to backtest package	2020-10-18 12:24:21 +08:00
c9s	028aef9402	move marketdata store to store package	2020-10-18 12:23:00 +08:00
c9s	90515855eb	move MovingAverageIndicator	2020-10-18 11:37:01 +08:00
c9s	a1c027471e	remove more empty files	2020-10-18 11:35:40 +08:00
c9s	d011bf275e	move stock_test file and testdata	2020-10-18 11:34:36 +08:00
c9s	cbeb809b22	delete empty pnl file	2020-10-18 11:33:58 +08:00
c9s	c878de10bf	delete empty market.go file	2020-10-18 11:33:43 +08:00
c9s	0d9c0bd51b	move cost distribution to the accounting package	2020-10-18 11:33:13 +08:00
c9s	985e02c57a	delete empty file	2020-10-18 11:31:44 +08:00
c9s	73e17730d7	move account type into types package	2020-10-18 11:30:37 +08:00
c9s	c224eb7af7	add kline to the market data store	2020-10-18 00:06:08 +08:00
c9s	9ebccc72ba	add exchange session constructor	2020-10-17 23:51:44 +08:00
c9s	25b4b22077	let strategy attach could be chained	2020-10-16 13:52:18 +08:00
c9s	4335cca0de	make it possible to attach multiple strategies in one call	2020-10-16 10:26:45 +08:00
c9s	27b582e948	move report struct	2020-10-16 10:21:37 +08:00
c9s	a6b99f6828	rename ProfitAndLossCalculator to AverageCostCalculator	2020-10-16 10:16:42 +08:00
c9s	ee86a71ebb	split files	2020-10-16 10:14:36 +08:00
c9s	98192ae91f	move Cmd to the strategy package	2020-10-16 10:09:42 +08:00
c9s	7482fa52d6	add error check and logger	2020-10-15 23:38:00 +08:00
c9s	300609e3db	fix subscription initialization	2020-10-15 22:36:22 +08:00
c9s	113cc8ee48	query markets and assign into the exchange session	2020-10-15 21:04:02 +08:00
c9s	f454136449	add exechange order executor and pull out Notifiability	2020-10-14 10:06:15 +08:00
c9s	a91f851ac7	pass types.SubmitOrder by value	2020-10-13 18:08:02 +08:00
c9s	ec23266cc2	implement buyandhold strategy to test the api design	2020-10-13 16:17:07 +08:00
c9s	d1b618850d	add context parameter to the strategy method	2020-10-13 14:50:59 +08:00
c9s	fe3ae14fc8	clean up	2020-10-13 11:23:22 +08:00
c9s	26f97b43e8	drop legacy backtest trader	2020-10-12 22:51:13 +08:00
c9s	4c20c9f4ff	replace LoadAccount with literal constructor	2020-10-12 22:49:27 +08:00
c9s	6398f049d0	bind market data store and query avg price before we start	2020-10-12 22:46:06 +08:00
c9s	bace7ac3a3	add environment connect integration tests	2020-10-12 17:33:02 +08:00
c9s	64c9960882	use types.Exchange	2020-10-12 07:38:38 +08:00
c9s	3d5507a053	move files into pkg	2020-10-11 16:46:15 +08:00