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2,450 Commits 60 Branches 138 Tags 189 MiB
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Commit Graph

1562 Commits

Author SHA1 Message Date
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
a4a9ef015e slacknotifier: fallback to PlainText if it's not supported 2021-10-14 01:27:46 +08:00
c9s
c55cc4323e notifier: making slackAttachmentCreator as private interface 2021-10-14 01:27:42 +08:00
c9s
e4281b1a02 xmaker: update notification message with strategy ID 2021-10-14 01:27:37 +08:00
c9s
bbc1775ec5 xmaker: update symbol, base, quote currency to profit stats 2021-10-14 01:26:40 +08:00
c9s
b6b2e33cc0 extend profit stats fields for quote,base currency and symbol 2021-10-14 01:26:36 +08:00
c9s
8374c98609 xmaker: fix time type casting 2021-10-14 01:26:31 +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
db7a681290 types: merge field decls 2021-10-14 01:25:18 +08:00
c9s
44a0b10240 bbgo: load last price from 1m interval kline only 2021-10-14 00:37:40 +08:00
c9s
764a8be46a adjust grid backtest parameters 2021-10-13 10:43:56 +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
9e93cd66de strategy: update trade collector api 2021-10-08 13:24:14 +08:00
c9s
ded740107f bbgo: refactor TradeCollector bind stream for background and foreground 2021-10-08 13:24:07 +08:00
c9s
8f74c106d6 support: merge stash 2021-10-08 13:14:21 +08:00
c9s
184f93ce79 support: fix interval check 2021-10-08 13:13:49 +08:00
c9s
01de2c5f66 support: fix long term ema kline subscription 2021-10-08 13:13:49 +08:00
c9s
f97eb8914a support: add resistance check 2021-10-08 13:13:49 +08:00
c9s
1091010f64 support: move property configuration to the top 2021-10-08 13:13:49 +08:00
c9s
3539047a39 support: show ema price 2021-10-08 13:13:49 +08:00
c9s
8ada9eef02 bbgo: optimize AdjustQuantityByMaxAmount, early return 2021-10-08 12:09:05 +08:00
c9s
31358a69d1 types: calculate boolean logics outside of critical section 2021-10-08 12:08:57 +08:00
c9s
dab45cf3ba types: add balance map copy method 2021-10-08 12:08:33 +08:00
c9s
6917b98a74 schedule: show closed price 2021-10-08 11:59:23 +08:00
c9s
f0503b99a1 schedule: add interval check 2021-10-08 11:58:50 +08:00
c9s
7016d24fad import types.FuturesSettings into binance exchange 2021-10-07 21:29:52 +08:00
c9s
454564506f add futures exchange interface and futures settings struct 2021-10-07 21:29:14 +08:00
c9s
193961c4e0 add bpp strategy 2021-10-07 16:39:20 +08:00
c9s
60e4442f85 add document for the backtest engine 2021-10-05 22:06:36 +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
Jui-Nan Lin
feca628319 fix(ftx): array length should > 0 2021-09-03 15:38:02 +08:00
c9s
1bc36b17ff xbalance: add verbose flag 2021-09-03 14:25:26 +08:00
c9s
b6fff482a4 binance: fix withdrawal time parsing 2021-09-03 14:21:59 +08:00
c9s
35ec9ae7b6 binance: fix binance withdrawal api 2021-09-02 00:27:57 +08:00
c9s
f177860450 binance: fix withdrawal service 2021-09-02 00:21:56 +08:00
c9s
99f97df43b etf: use break instead of return 2021-08-26 11:58:25 +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
e8f0cbcff8 cmd: register etf strategy 2021-08-26 11:31:52 +08:00
c9s
2c378d6047 add etf strategy 2021-08-26 11:31:36 +08:00
c9s
0dd7438fd7 schedule: show scheduled order price 2021-08-26 10:29:27 +08:00
c9s
684bfcea19 xbalance: capitalize message 2021-08-19 16:35:16 +08:00
c9s
66b7e1fc3f schedule: fix schedule subscription 2021-08-19 16:35:05 +08:00
c9s
cf29cfadd0 xbalance: show balance error message 2021-08-17 12:18:29 +08:00
c9s
fc860cd9a9 bbgo: add json tags to interval window 2021-08-17 11:37:27 +08:00
c9s
47258b31c6 xbalance: fix message 2021-08-17 11:36:51 +08:00
c9s
5a0ae6773c xbalance: configure middle value automatically from total value 2021-08-16 12:52:12 +08:00
c9s
732281b55d bump version 2021-08-16 12:20:04 +08:00
c9s
490eb15748 schedule: fix order notification 2021-08-16 12:11:15 +08:00
zebra
2e1400d594 add transfer function 2021-08-07 15:30:51 +08:00
sincoew
4f2b1d975a fix type change on max api 2021-07-15 17:51:14 +08:00
c9s
5cf134a756 cmd: add account cmd --total option 2021-07-06 12:19:59 +08:00
c9s
5e2b8af4dc xmaker: fix reset today 2021-07-06 12:19:59 +08:00
c9s
1d316ed89c xmaker: call reset today if the date exceeded 2021-07-06 12:19:59 +08:00
c9s
3ab4a570fb bbgo: limit max kline slice 2021-06-28 14:33:32 +08:00
c9s
01bdef502b indicator: rename consts for max ma values 2021-06-28 14:33:27 +08:00
c9s
4ccbb82237 indicator: truncate values if length exceeded 2021-06-28 14:33:23 +08:00
c9s
a8048703b3 max: fix order delete refurl 2021-06-27 11:33:00 +08:00
c9s
3fdcf466bf max: set reqcount for nonce by default 1 2021-06-27 11:32:54 +08:00
c9s
3165d10986 support: use trade collector 2021-06-26 20:26:47 +08:00
c9s
aab0c377d7 xmaker: reformat code 2021-06-26 20:26:47 +08:00
c9s
b58b48d668 xmaker: refactor profit stats 2021-06-26 20:26:47 +08:00
c9s
cef28fa651 xbalance: use time util function from the util package 2021-06-26 20:26:47 +08:00
c9s
c6d66ebb46 util: add BeginningOfTheDay function 2021-06-26 20:26:47 +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
5621effd6b add resistance 2021-06-21 19:03:50 +08:00
c9s
4bc0612265 support: add minBaseAssetBalance 2021-06-17 19:28:11 +08:00
c9s
f9fa6e96c3 support: refactor kline handler 2021-06-16 20:33:52 +08:00
c9s
811319fa25 support: fix sensitivity calculation 2021-06-16 14:16:39 +08:00
c9s
5fecccedd6 add resistance check 2021-06-16 13:23:33 +08:00
c9s
3d12a7df59 support: add sensitivity settings 2021-06-16 13:14:10 +08:00
c9s
15ed802a54 util: add TimeProfile 2021-06-16 13:04:23 +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
fd2928fc82 types: add maker/taker fee rate fields to the account struct 2021-06-16 13:04:23 +08:00
c9s
657e1dc9bf maxapi: pre-parse relative url and cache them 2021-06-16 13:04:05 +08:00
c9s
cbd0180939 maxapi: remove extra user agent header 2021-06-16 13:04:05 +08:00
c9s
16e5e08d58 maxapi: fix dump request error check 2021-06-16 13:04:05 +08:00
c9s
48c84824cf maxapi: volume, side, market is always required for creating orders 2021-06-16 13:04:05 +08:00
c9s
2da633c221 maxapi: add HTTP_TRANSPORT_IDLE_CONN_TIMEOUT env var for override 2021-06-16 13:04:05 +08:00
c9s
7c5b676366 maxapi: create an isolated http transport rather than the default one 2021-06-16 13:04:05 +08:00
c9s
684232041c maxapi: load http transport settings from env vars 2021-06-16 13:04:05 +08:00
c9s
b31b830b2b max: add request dump for debugging request 2021-06-16 13:03:45 +08:00
c9s
8c3992d514 max: no need to check order volume separately 2021-06-16 13:02:21 +08:00
c9s
fdf1ee9258 max: use precision -1 to trim zeros 2021-06-16 13:02:21 +08:00
c9s
a8eda62a8d max: set debug vars from env vars 2021-06-16 13:02:21 +08:00
c9s
990da5ad3b xbalance: add foreign fee for withdrawal 2021-06-09 01:37:33 +08:00
c9s
18f72a9118 fixedpoint: add more multiplication benchmarks 2021-06-09 01:37:29 +08:00
c9s
3d1d659c81 fixedpoint: add math/big version multiplication support 2021-06-09 01:37:24 +08:00
c9s
0df26e0570 binance: adjust listen key keep alive to 20 minutes 2021-06-09 01:37:19 +08:00
c9s
457ca79517 binance: for network error, we should retry the request 2021-06-09 01:37:14 +08:00
c9s
3c4eb5aec7 telegram: add more emojis 2021-06-09 01:37:09 +08:00
c9s
89c3df730b telegram: add emoji for greetings 2021-06-09 01:37:04 +08:00
c9s
ac71a392c6 fixedpoint: fix fixedpoint value int64 cast 2021-06-09 01:36:32 +08:00
c9s
ecf888dfd6 util: add env var util functions 2021-06-09 01:36:16 +08:00
c9s
ec6c10a96a binance: adjust read timeout and increase read buffer size 2021-06-09 01:36:06 +08:00
c9s
3fd170a4ff xmaker: check book before copying 2021-06-09 01:35:56 +08:00
c9s
f5a241a1a8 xmaker: improve warn message 2021-06-09 01:35:50 +08:00
c9s
a0d8a3718a xmaker: fix bid/ask price check 2021-06-07 02:50:11 +08:00
c9s
d5617d44aa xmaker: pass source market and maker market for formatting 2021-06-07 02:49:54 +08:00
c9s
0a74cc7171 xmaker: add useDepthPrice option 2021-06-07 02:49:44 +08:00
c9s
2486d04332 rbt: fix copyNode 2021-06-07 02:44:30 +08:00
c9s
5a5cb71a5e rbt: add more rbtorderbook test 2021-06-07 02:44:25 +08:00
c9s
062443a29c rbt: check if returned node is neel 2021-06-07 02:44:21 +08:00
c9s
3b0ed4e3dc rbt: add more test cases 2021-06-07 02:44:14 +08:00
c9s
9622956c71 rbt: fix rbtree search for neel 2021-06-07 02:44:09 +08:00
c9s
5d8f7b3ea6 rbt: fix preorder 2021-06-07 02:44:04 +08:00
c9s
7805dcd72e rbt: fix pointer check of iteration 2021-06-07 02:44:00 +08:00
c9s
9bc55def44 rbt: fix deleting, copy value to the deleting node's memory 2021-06-07 02:43:54 +08:00
c9s
f34631c7ae rbt: add pointer check 2021-06-07 02:43:50 +08:00
c9s
6d2771aca9 rbt: fix rightmost and leftmost 2021-06-07 02:43:43 +08:00
c9s
06bf0d0f2b rbt: fix rbtree deletion 2021-06-07 02:43:39 +08:00
c9s
103b1ea560 rbt: add rbt insert test 2021-06-07 02:43:34 +08:00
c9s
7512f56b84 rbt: avoid sharing rbtree neel pointer 2021-06-07 02:43:22 +08:00
c9s
f487b53d9e binance: fix client order id checking 2021-06-07 01:07:00 +08:00
c9s
5fd0ab4cd3 skip client order id when no client order is given 2021-06-07 01:03:21 +08:00
c9s
291fdbaf25 optimize max submit order api priority 2021-06-07 01:03:09 +08:00
c9s
f20e809940 types: add bestBidAndAsk method 2021-06-07 01:02:43 +08:00
c9s
e8205556ff show bbgo version name 2021-06-07 00:57:47 +08:00
c9s
b60fd9e356 support: fix quantity formatting 2021-06-07 00:57:47 +08:00
c9s
b9584117d6 add QueryLastFundingRate api to binance exchange 2021-06-01 03:15:19 +08:00
c9s
b5c4fc3e4e fix kline record insert fields 2021-06-01 01:39:23 +08:00
c9s
4bec8984c0 add klines columns 2021-06-01 01:39:23 +08:00
c9s
507ae934c0 compile and update migration package 2021-06-01 01:39:23 +08:00
c9s
f66095eff9 support: add target orders to the orders 2021-06-01 01:39:22 +08:00
c9s
e5db780be8 notify trades and update position 2021-06-01 01:39:22 +08:00
c9s
40c3a5870f support strategy improvements: 
- add taker buy base volume ratio option
- add max base asset balance config
- add min quote asset balance config
- record orders and trades
 2021-06-01 01:39:22 +08:00
c9s
6a999b2906 kline: show taker buy base volume and taker buy quote volume 2021-06-01 01:39:22 +08:00
c9s
4da7d3b50b fix side effect order type 2021-06-01 01:39:22 +08:00
c9s
bf73def701 binance: embed fixedpoint.Value into binance Balance struct 2021-06-01 01:39:22 +08:00
c9s
e3473572e9 types: add TakerBuyBaseAssetVolume and TakerBuyQuoteAssetVolume fields to kline 2021-06-01 01:39:22 +08:00
c9s
2925a77815 binance: use fixedpoint.Value for parsing floating number string 2021-06-01 01:39:22 +08:00
Jui-Nan Lin
7abd7225e1 fix(ftx): klines should not be empty 2021-05-31 22:56:26 +08:00
c9s
7ff4051c61 binance: fix websocket handshake 2021-05-30 18:20:14 +08:00
c9s
0b935eff4f fix connection lock call 2021-05-30 18:14:22 +08:00
c9s
69e76485c5 xbalance: fix ticker usage 2021-05-30 18:06:31 +08:00
Yo-An Lin
406f592963 Merge pull request #258 from c9s/feature/okex 
feature: add okex exchange user data stream and public stream
 2021-05-30 16:21:12 +08:00
c9s
8d12c9262f okex: move connection context cancel calls 2021-05-30 15:54:31 +08:00
c9s
d6bd33a682 okex: remove unused code 2021-05-30 15:53:43 +08:00
c9s
d112dbb1a4 binance: check connCancel only when new context is allocated 2021-05-30 15:53:01 +08:00
c9s
f9d4068145 binance: pull out listen key from stream and reduce critical section 2021-05-30 15:51:25 +08:00
c9s
d863766e00 fix quote quantity alignment 2021-05-30 15:51:00 +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
1a05f6fbd4 okex: pull read timeout and adjust to 30 seconds 2021-05-30 00:32:06 +08:00
c9s
9a68cfd288 xmaker: fix trade checking 2021-05-30 00:11:35 +08:00
c9s
d962dbe542 adjust read timeout 2021-05-29 20:40:47 +08:00
c9s
70284a8c0f xmaker: move notify trade 2021-05-29 01:41:29 +08:00
c9s
3789315214 show accumulated net profit 2021-05-29 01:38:44 +08:00
c9s
df10e175f9 xmaker: fix wording 2021-05-29 01:32:33 +08:00
c9s
e2561bde96 xmaker: add NotifyTrade option 2021-05-29 01:31:13 +08:00
c9s
65a38e56b8 slacknotifier: spawn notify worker as a go routine 2021-05-29 01:30:57 +08:00
c9s
6e0bc7c1e2 xmaker: use trade channel to buffer trades 2021-05-29 01:03:43 +08:00
c9s
33db0b5c6f xmaker: add trade stores for trade buffering 2021-05-29 00:28:13 +08:00
c9s
426a6157af okex: fix ping connection lock 2021-05-29 00:27:28 +08:00
c9s
64b9c78a5b okex: fix order detail segmentation 2021-05-29 00:27:05 +08:00
c9s
2a5ef30135 add ping worker to max 2021-05-29 00:26:53 +08:00
c9s
e11553139e binance: make convert functions private 2021-05-29 00:26:39 +08:00
c9s
8d31435ded add trade store 2021-05-29 00:25:23 +08:00
c9s
f49490f986 fix websocket ping/pong issue 2021-05-28 23:34:21 +08:00
c9s
002b28f75a okex: implement candlestick api and improve kline console format 2021-05-28 20:51:10 +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
d932a686a0 fix strategy market data stream usage 2021-05-28 03:15:29 +08:00
c9s
4f16f6b1f8 fix market data stream usage 2021-05-28 03:13:50 +08:00
c9s
b430128ba1 okex: fix okex order cancellation 2021-05-28 03:05:59 +08:00
c9s
29304d14ba okex: implement submit orders and cancel order api 2021-05-28 02:45:09 +08:00
c9s
6407eab9c1 okex: convert order details into trades and orders 2021-05-28 02:21:35 +08:00
c9s
19b700dfba okex: parse and convert account information 2021-05-28 01:14:11 +08:00
c9s
777701c0cb add userdatastream cmd for testing private stream 2021-05-28 00:47:34 +08:00
c9s
545d0f18e3 okex: handle kline close event 2021-05-27 18:43:42 +08:00
c9s
2844b7c3a7 okex: add kline command for testing kline data 2021-05-27 18:35:34 +08:00
c9s
76048633cc okex: support websocket candle data 2021-05-27 17:55:23 +08:00
c9s
4fdd9d5097 okex: convert interval to candle types 2021-05-27 17:40:24 +08:00
c9s
1d400e281c okex: convert book data to book snapshot and book update 2021-05-27 16:01:15 +08:00
c9s
884e764fe7 okex: order book parsing 2021-05-27 15:48:51 +08:00
c9s
03431da00c okex: remove private dial method 2021-05-27 15:16:01 +08:00
c9s
f4f4304df6 move Dial method to StandardStream 2021-05-27 15:14:58 +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