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2818 Commits

Author SHA1 Message Date
c9s
8f97ee7787 binance: add isolated margin flag 2021-12-29 17:36:08 +08:00
c9s
2ef4d713f8 binance: fix margin order cancel 2021-12-29 17:35:27 +08:00
c9s
1a820936c4 binance: change log level from info to debug 2021-12-29 17:30:04 +08:00
c9s
6030a62cf0 change to debug level message 2021-12-29 17:28:45 +08:00
c9s
b637d46c83 adjust keep alive interval 2021-12-29 17:27:37 +08:00
c9s
eec699cbc9 binance: adjust timeout and interval 2021-12-29 15:25:59 +08:00
c9s
6440c7659b let mask ke shows head and tail 2021-12-29 15:25:59 +08:00
austin362667
d691bfa106 binance: add futures parser 2021-12-28 06:26:27 +08:00
c9s
f78a7d37a2 xgap: subscribe 1m kline 2021-12-28 02:14:49 +08:00
c9s
8f4ae1e15b xgap: check balance and adjust order quantity according to the available balance 2021-12-28 02:11:11 +08:00
c9s
090d60b44e fix session connection status metrics 2021-12-28 01:58:36 +08:00
c9s
958dd97f52 xgap: add SimulateVolume 2021-12-28 01:48:24 +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
acd1f6fdf3 update dev build version 2021-12-27 23:10:37 +08:00
c9s
9b1783a92a fix version file generator 2021-12-27 23:10:29 +08:00
c9s
4ea4bfb3fa fix dev version build flag 2021-12-27 21:18:48 +08:00
c9s
0779b3e20a bump version to v1.21.0 2021-12-27 19:13:44 +08:00
c9s
4a6c9deb8d compile and update migration package 2021-12-27 19:13:44 +08:00
c9s
5fca633495 types: remove trade trailing zero digits 2021-12-27 17:36:58 +08:00
c9s
8d02f0b03e trade notification format 2021-12-27 17:34:31 +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
1fa03cdfd6 xmaker: add back profit function 2021-12-27 02:59:55 +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
c49b9ef276 fix order status convert 2021-12-27 00:21:52 +08:00
c9s
dcdf33e2c9 xmaker: pull out notifyTrade to a single callback 2021-12-27 00:12:35 +08:00
c9s
e08b2e9a85 fix max exchange order status conversion and document the order status 2021-12-26 15:58:12 +08:00
c9s
770c1067fc bbgo: fix order store RemoveCancelled 2021-12-26 15:47:39 +08:00
c9s
65da02af2c xmaker: call TruncateQuantity when the quantity is adjusted 2021-12-26 15:45:39 +08:00
c9s
902e27ede4 xmaker: truncate quantity when hedging 2021-12-26 15:44:41 +08:00
c9s
05a0745d08 fix InitExchange for publicOnly session 2021-12-26 15:29:42 +08:00
c9s
30a7ca1ce1 rename gap to xgap 2021-12-26 15:13:51 +08:00
c9s
1c54e59d55 xmaker: fix trade handling 2021-12-26 12:10:10 +08:00
c9s
e44390b655 kucoin: add more comment 2021-12-26 03:19:03 +08:00
c9s
9b8995acea fix supportedIntervals map 2021-12-26 03:17:26 +08:00
c9s
8bf5c5f778 fix kline sync query 2021-12-26 03:14:19 +08:00
c9s
a5c7ffa134 kucoin: add the missing 5min kline convert 2021-12-26 03:07:49 +08:00
c9s
4c263dd205 fix batch kline sync 2021-12-26 03:04:21 +08:00
c9s
cf6da76ef0 service: add kucoin_klines to backtest insert table mapping 2021-12-26 02:40:13 +08:00
c9s
b79ab5d68d kucoin: fix kline query param 2021-12-26 02:39:44 +08:00
c9s
be10019007 compile and update migration package 2021-12-26 02:31:09 +08:00
c9s
1da0c8e755 kucoin: implement QueryKLines and fix interval conversion 2021-12-26 02:23:06 +08:00
c9s
e3181202db kucoin: implement QueryTrades 2021-12-26 01:44:05 +08:00
c9s
8c03147ff4 kucoin: implement QueryClosedOrders 2021-12-26 01:34:03 +08:00
c9s
0cef2c52ef all: improve cancel command and add uuid field to order struct 2021-12-26 01:27:22 +08:00
c9s
471d86c801 kucoin: implement order submit 2021-12-26 00:27:52 +08:00
c9s
50fac9d491 kucoin: pull out queryDepth method to exchange 2021-12-25 23:53:34 +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
dd22776a7e cmd: refactor the exchange factory function 2021-12-25 23:27:05 +08:00
Yo-An Lin
8aa2ae1b32
Merge pull request #397 from austin362667/refactor/futures-account 
binance: add futures related conversion
 2021-12-25 23:17:27 +08:00
c9s
dcbce18fd8 fix format 2021-12-25 23:12:54 +08:00
c9s
442afe8eb9 backtest: pull out market data feeding to a function and call it in the main thread 2021-12-25 22:57:28 +08:00
c9s
60853bee23 backtest: pull out market data feeder 2021-12-25 22:37:38 +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
5f9753b281 kucoin: convert symbol to global symbol 2021-12-25 19:35:08 +08:00
c9s
f0d4236169 all: fix and improve kucoin orderbook stream 2021-12-25 19:34:27 +08:00
c9s
3d1ca46c77 depth: remove updates assertion 2021-12-25 02:14:49 +08:00
c9s
217499528d binance: refactor binance depthBuffer with depth query 2021-12-25 02:14:49 +08:00
c9s
7e7115b18f replace binance.depthFrame with the extracted depth.Buffer 2021-12-25 02:14:49 +08:00
c9s
b217a0dec8 depth: implement depth.Buffer 2021-12-25 02:14:49 +08:00
austin362667
ba972e4058 binance: add futures related conversion 
binance: remove comments
 2021-12-24 01:38:10 +08:00
Yo-An Lin
d1c5e93e4f
Merge pull request #385 from austin362667/refactor/futures-account 
types: add global structs for futures
 2021-12-24 00:33:27 +08:00
c9s
49e516b80e backtest: allocate public exchange (with empty key secret) for backtesting 2021-12-24 00:24:19 +08:00
c9s
c4838f5631 binance: fix depth event conversion 2021-12-23 23:55:13 +08:00
c9s
fdc5d6a54e binance: use types.PriceVolumeSlice for depth entry 2021-12-23 23:55:02 +08:00
c9s
dae104cf9f binance: optimize depth parsing 2021-12-23 23:54:43 +08:00
c9s
2adce6dd00 binance: return the pre-allocated err object when parsing 2021-12-23 23:54:26 +08:00
c9s
d01b9968a6 okex: format comment 2021-12-23 23:40:49 +08:00
c9s
40c4dcf2a0 okex: remove event logging 2021-12-23 23:40:10 +08:00
c9s
a3e3e1d177 bbgo: do not sync trades when running backtest 2021-12-23 23:20:35 +08:00
austin362667
df62683313 types: remove exchange specific fields 2021-12-23 23:16:20 +08:00
austin362667
6c1642eed6 types: add PositionRisk 2021-12-23 23:14:38 +08:00
austin362667
cc13ae2aab types: add FuturesUserAsset 2021-12-23 23:14:38 +08:00
austin362667
c507722745 types: add FuturesAccountInfo 2021-12-23 23:14:38 +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
168e6306e7 binance: remove verbose log 2021-12-23 22:29:14 +08:00
c9s
ed6f400161 implement UnixMilli in the util package 2021-12-23 22:20:47 +08:00
c9s
d433c7f5b1 kucoin: replace UnixMilli 2021-12-23 21:09:40 +08:00
c9s
e76dd1cbc4 kucoin: fix kline parsing and subscription 2021-12-23 17:49:18 +08:00
c9s
e2415857b0 cmd: graceful close the connection 2021-12-23 17:49:18 +08:00
c9s
562c287a4e all: move publicOnly to StandardStream 2021-12-23 17:49:18 +08:00
c9s
fd8b97b2ad cmd: use log category 2021-12-23 17:49:18 +08:00
c9s
8e834ce8fe kucoin: convert websocket trade and order 2021-12-23 17:49:18 +08:00
c9s
cfd68fdd1d all: change trade id to uint64 2021-12-23 17:49:18 +08:00
c9s
74b09551b5 kucoin: record kucoin json as files 2021-12-23 17:49:18 +08:00
c9s
838bc69f65 kucoin: reformat testdata json 2021-12-23 17:49:18 +08:00
c9s
6330a1845d kucoin: connecting stream callbacks 2021-12-23 17:49:18 +08:00
c9s
449434da4c kucoin: generate callback methods 2021-12-23 17:49:18 +08:00
TonyQ
75633dbf09 exchange/okex : implement bookticker for okex , #388 2021-12-23 12:42:13 +08:00
Yo-An Lin
98de0862a4
Merge pull request #395 from tony1223/bug/okex-maskkey 
exchange/okex: update QueryTickers behaviour
 2021-12-23 02:51:54 +08:00
c9s
911574d8d6 kucoin: parse websocket messages 2021-12-23 02:50:56 +08:00
c9s
cec4b3dd1e add websocket message parser 2021-12-23 02:50:56 +08:00
c9s
3fb2e12c24 kucoin: add websocket types 2021-12-23 02:50:56 +08:00
c9s
1a3f9ed4b2 kucoin: use returned ping interval instead of default 2021-12-23 02:50:56 +08:00
c9s
730ce31e67 kucoin: implement NewStream 2021-12-23 02:50:56 +08:00
c9s
0a9575aaca kucoin: pull out ping worker 2021-12-23 02:50:56 +08:00
c9s
92076878cd kucoin: refactor ping worker 2021-12-23 02:50:56 +08:00
c9s
b0d4688528 kucoin: implement getEndpoint method 2021-12-23 02:50:56 +08:00
c9s
a4c9aea6c6 kucoin: refactor bullet url code 2021-12-23 02:50:56 +08:00
c9s
6cbccc9a3f kucoin: add websocket command 2021-12-23 02:50:56 +08:00
c9s
4303342841 kucoin: export ApiClient interface methods 2021-12-23 02:50:56 +08:00
c9s
c390bbc31d add generated files 2021-12-23 02:50:56 +08:00
c9s
2230b484a8 kucoin: add bullet service 2021-12-23 02:50:56 +08:00
c9s
7f92588883 kucoinapi: refactor api client 2021-12-23 02:50:56 +08:00
c9s
c8dd02335b kucoin: refactor and clean up 2021-12-23 02:50:56 +08:00
TonyQ
5645161403 exchange/okex: update QueryTickers behaviour 2021-12-23 01:29:43 +08:00
TonyQ
d7ac645253 exchange: update maskkey handling 2021-12-23 01:18:36 +08:00
Yo-An Lin
bcbf7c3f3b
Merge pull request #389 from tony1223/feature/388-bookticker 
exchange/stream : implement booktickerupdate event for ftx and binance
 2021-12-22 22:35:52 +08:00
TonyQ
16862e7208 exchange/stream : implement booktickerupdate event for ftx and 
binance
 2021-12-22 21:01:11 +08:00
Yo-An Lin
b2ffcb7993
Merge pull request #387 from narumiruna/narumi/rebalance/validate 
strategy: rebalance: validate parameters
 2021-12-22 10:52:37 +08:00
なるみ
4a8be9cc1a Fix log 2021-12-22 02:04:44 +08:00
なるみ
2999e41ef0 Validate config 2021-12-22 01:59:38 +08:00
なるみ
41d4001872 Add log 2021-12-22 01:59:25 +08:00
c9s
388cfe0854 kucoin: fix go 1.17 compatibility issue 2021-12-22 01:45:07 +08:00
c9s
3b5015e1ca kucoin: integrate list tickers 2021-12-22 01:34:24 +08:00
c9s
0b6e66348e kucoin: implement query tickers 2021-12-22 01:28:16 +08:00
c9s
c32f3ab2f3 add generate_symbol_map.go generator 2021-12-22 01:28:16 +08:00
c9s
bd5e956892 add kucoin to the exchange factory 2021-12-22 01:28:16 +08:00
c9s
58212290ad types: update market structure for doc comment 2021-12-22 01:28:16 +08:00
c9s
fce71cb37e implement QueryAccounts and QueryMarkets 2021-12-22 01:28:16 +08:00
c9s
62fa6dd274 implement get fills request 2021-12-22 01:28:16 +08:00
c9s
bace225470 binance: fix, call set time service only when key and secret is given 2021-12-22 01:27:25 +08:00
c9s
8b93aeeeb2 fix ewma truncation 2021-12-22 00:54:13 +08:00
Yo-An Lin
53f6ea6490
Merge pull request #384 from tony1223/feature/record-account 
types: update account struct
 2021-12-22 00:04:30 +08:00
TonyQ
06fc821b3d types: update account struct 2021-12-21 23:59:02 +08:00
Yo-An Lin
e0844459b9
Merge pull request #380 from tony1223/bug/kline-scan 
backtest : finetune for kline scan logic to prevent hanging for
 2021-12-21 22:47:50 +08:00
TonyQ
740989ca64 exchange/ftx: add more guard condition 2021-12-21 20:46:40 +08:00
TonyQ
f62235b94e backtest : finetune for kline scan logic to prevent hanging for 
query
 2021-12-21 20:44:20 +08:00
Yo-An Lin
1ab20e6397
Merge pull request #381 from narumiruna/maxamount 
strategy: rebalance: adjust quantity by max amount
 2021-12-21 20:20:44 +08:00
なるみ
531805a449 Adjust quantity by max amount 2021-12-20 23:46:22 +08:00
Andy Cheng
e4bdb1de06
strategy: allow setting the interval and the window for trigger MA 2021-12-19 18:28:47 +08:00
Andy Cheng
d281182432
strategy: fix support strategy criteria 2021-12-19 17:53:34 +08:00
Yo-An Lin
97f9285449
Merge pull request #376 from tony1223/bug/backtest-fix-auto-sync 
backtest : fix auto sync missing the part from last db kiline to
 2021-12-19 14:59:35 +08:00
austin362667
f9cf71cef3 indicator: add kline close volatility 
indicator: add kline close volatility
 2021-12-19 14:20:09 +08:00
TonyQ
711575c6d0 backtest : fix auto sync missing the part from last db kiline to 
end time
 2021-12-19 12:14:18 +08:00
なるみ
b144d8e107 feature: add volume weighted moving average indicator 2021-12-17 14:36:39 +08:00
TonyQ
3e45035ab1 database: sqlite3 issue fix 
database: upgrade gosqllite3 version for increasing variable amount limit
	types: update kline starttime/endtime field to prevent sqlite3
	time parsing issue.

	fix #215
 2021-12-15 14:34:31 +08:00
TonyQ
c0b9cc0f0b exchange: make ftx kline event more reliable 2021-12-15 11:23:07 +08:00
Yo-An Lin
05323f211f Merge pull request #368 from tony1223/feature/355-update-sync 
backtest : auto sync
 2021-12-15 01:39:19 +08:00
TonyQ
16933555b8 backtest : auto sync missing range 2021-12-15 01:26:05 +08:00
austin362667
ccd607ba28 binance: remove unsupported comments 2021-12-15 01:01:05 +08:00
austin362667
7f96fa8dde binance: add multierr 2021-12-15 01:01:05 +08:00
austin362667
bb592663ab binance: removed unsupport isolated futures trade 2021-12-15 01:01:05 +08:00
austin362667
a0130affe4 binance: add query orders & trades 2021-12-15 01:01:05 +08:00
TonyQ
20b03fe4a5 exchange: fix ftx for wrong last kline issue 2021-12-15 00:07:54 +08:00
austin362667
839bb6d0e8 binance: remove comments cuz not support isolated futures 2021-12-14 20:41:55 +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
Yo-An Lin
d531e041dd Merge pull request #357 from narumiruna/rebalance 
feature: add portfolio rebalancing strategy
 2021-12-14 12:01:07 +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
なるみ
f320d78f2f Refactor 2021-12-14 02:18:08 +08:00
austin362667
d3526b2c71 binance: add SubmitFuturesOrder and related conversions 2021-12-13 23:19:14 +08:00
austin362667
36c6d39612 bbgo: add session Futures & types: add FuturesExchange 2021-12-13 23:16:58 +08:00
c9s
74811abb36 okex: rewrite okex api request with requestgen 2021-12-13 14:55:44 +08:00
c9s
e2937acb28 apply requestgen for CancelOrderRequest and CancelAllOrderRequest 2021-12-13 14:55:44 +08:00
なるみ
f494a0f514 Initial commit of rebalance strategy 2021-12-13 05:19:44 +08:00
Yo-An Lin
d847d223e3 Merge pull request #356 from c9s/feature/kucoin 
refactor: apply requestgen
 2021-12-13 02:14:05 +08:00
Yo-An Lin
a3215d6f31 Merge pull request #354 from austin362667/order-trade 
binance: parse OrderTrade event stream & add futures client connection
 2021-12-13 02:12:19 +08:00
c9s
34c2b342ba apply requestgen for CancelOrderRequest and CancelAllOrderRequest 2021-12-13 02:08:18 +08:00
c9s
c28833fba0 kucoinapi: use requestgen for list orders request 2021-12-13 01:53:00 +08:00
c9s
97b63f45d5 kucoin: rename receiver to r 2021-12-13 01:14:52 +08:00
c9s
22972953d0 use requestgen to generate the accessor methods 2021-12-13 01:11:15 +08:00
austin362667
04919e0fa4 binance: add futures exchange stream connection 2021-12-12 15:40:03 +08:00
austin362667
8ca60cec10 binance: add user stream event parser & toGlobalType converter 2021-12-12 15:39:06 +08:00
TonyQ
6915a0e573 ftx: update kline event handling for #318 2021-12-12 14:29:48 +08:00
austin362667
a21f3b11ba types: add PositionMap in std Stream & callbacks 2021-12-12 05:24:39 +08:00
Yo-An Lin
2e7b69320b Merge pull request #349 from c9s/feature/kucoin 
feature: integrate kucoin api
 2021-12-11 23:17:07 +08:00
c9s
de80a14715 kucoin: add cancel order command 2021-12-11 20:07:32 +08:00
c9s
95ecaa7a66 rename orderResponse to apiResponse 2021-12-11 20:02:35 +08:00
c9s
8a00509987 kucoin: check data pointer and return error 2021-12-11 19:44:07 +08:00
c9s
0c854a8a85 kucoin: add place order and list orders command 2021-12-11 19:40:53 +08:00
austin362667
1703fff8b2 types: refactor Position and related files 2021-12-11 19:16:16 +08:00
c9s
a9bc02ef3d kucoin: implement order placement and cancel api 2021-12-11 18:33:30 +08:00
c9s
4d57967664 kucoin: add orderbook api 2021-12-11 18:33:30 +08:00
c9s
18653aca7e kucoin: implement all ticker and get ticker api 2021-12-11 18:33:30 +08:00
c9s
50b79cb742 implement ListSymbols api 2021-12-11 18:33:30 +08:00
c9s
be7e9f551a add GetAccount api 2021-12-11 18:33:30 +08:00
c9s
c8ba3f7c1b kucoin: add query accounts api 2021-12-11 18:33:30 +08:00
c9s
cd69994647 kucoin: implement api client 2021-12-11 18:33:30 +08:00
Yo-An Lin
0c7bbba675 Merge pull request #346 from tony1223/bug/343-fee_currency_length 2021-12-11 10:57:17 +08:00
Yo-An Lin
3952acaf55 Merge pull request #342 from tony1223/bug/341-windows-issue 2021-12-11 10:47:41 +08:00
TonyQ
25d4b9a0b3 order: add is_futures field for #344 2021-12-11 10:45:21 +08:00
TonyQ
c38564dcc7 compile and update migration package 2021-12-11 10:40:11 +08:00
TonyQ
e5450492bb telegram: find USERNAME when USER env not found for windows. 2021-12-11 10:30:57 +08:00
Yo-An Lin
9f14d00f3c Merge pull request #340 from tony1223/feature/336-kline-table 
backtest: add ftx kline table
 2021-12-11 02:30:06 +08:00
Yo-An Lin
edcb8a3327 Merge pull request #339 from tony1223/bug/338-refine_client_order_id 
orders: update client_order_id (client_id) column length
 2021-12-11 02:29:31 +08:00
TonyQ Wang
776f82fcd5 Merge branch 'main' into feature/336-kline-table 2021-12-11 02:26:01 +08:00
TonyQ
8bb702223a orders: update client_order_id (client_id) column length for 
#338
 2021-12-11 02:23:39 +08:00
TonyQ
0fcc5e5edc compile and update migration package 2021-12-11 02:19:53 +08:00
Yo-An Lin
0cf72de21d Merge pull request #335 from tony1223/bug/334-ftx-ratelimit 
ftx : fix #334 rate limit
 2021-12-10 23:24:42 +08:00
TonyQ
5259bba5fe ftx : fix #334 rate limit 2021-12-10 23:08:26 +08:00
c9s
4665ae0e31 remove unused error return value 2021-12-10 15:03:43 +08:00
c9s
fe9b604d79 update ftx market mapping 2021-12-09 15:57:44 +08:00
c9s
06262f0172 check sync from time with start time instead of end time 2021-12-09 15:57:12 +08:00
c9s
61817e1e83 add startPrice and lastPrice in the backtest report 
closes #321
 2021-12-09 11:58:19 +08:00
c9s
ca85aa69e6 pull out global premium index type and funding rate type 2021-12-09 00:10:18 +08:00
c9s
71e043e4b2 move convertPremiumIndex to convert.go 2021-12-09 00:08:25 +08:00
c9s
fbae368e6c make getLaunchDate as a simple function 2021-12-09 00:06:46 +08:00
c9s
078c79d73f binance: refactor QueryMarkets 2021-12-09 00:05:36 +08:00
c9s
48612e2b13 reformat import lines and add fixme note 2021-12-09 00:01:33 +08:00
c9s
a0f46bf9b8 improve error checking, avoid using panic inside the constructor 2021-12-08 23:30:58 +08:00
c9s
2223ef088c add ftx, okex to the public exchange factory for backtest 2021-12-08 23:27:01 +08:00
c9s
7b290afc2a compile and update migration package 2021-12-08 19:57:55 +08:00
c9s
9413e0017d bump version to v1.20.0 2021-12-08 19:57:55 +08:00
Yo-An Lin
cf0cdf5b83 Merge pull request #320 from c9s/minor/integrate-binance-future-types 
feature: integrate binance future types
 2021-12-08 19:55:31 +08:00
c9s
874c7b39fa service: add is_futures fields to trade service 2021-12-08 19:38:16 +08:00
c9s
9b56e9e32b service: add is_futures fields to order service 2021-12-08 19:38:10 +08:00
c9s
5aa027f883 types: add is_futures field to the global trade 2021-12-08 19:37:27 +08:00
c9s
20e61d5b5c types: extend order fields for futures 2021-12-08 19:36:57 +08:00
TonyQ
3dff1acd79 finetune ftx for #318 2021-12-08 19:36:37 +08:00
c9s
b71d0f5b6e bump version to v1.19.4 2021-12-08 17:27:08 +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
245905a25a remove unnecessary parent node assignment 2021-12-07 21:23:43 +08:00
c9s
f716dd12c0 re-arrange rb node fields for alignment 2021-12-07 21:22:11 +08:00
c9s
fb2204a86d share one neel object for all rbtree 2021-12-07 21:21:30 +08:00
c9s
aa21ea874a make rbtree properties in lower case 2021-12-07 21:16:40 +08:00
Yo-An Lin
3fb6d204aa Fix pointer check 2021-12-07 18:52:24 +08:00
c9s
da8b15d817 bump version to v1.19.3 2021-12-07 16:16:25 +08:00
c9s
5c23dfb14f bump version to v1.19.3 2021-12-07 16:16:02 +08:00
c9s
a6604174d9 bump version to v1.19.3 2021-12-07 16:15:12 +08:00
c9s
f61f89da65 bump version to v1.19.3 2021-12-07 16:15:00 +08:00
c9s
85b5c760ea bump version to v1.19.3 2021-12-07 16:14:32 +08:00
c9s
ecd67cf23e bump version to v1.19.3 2021-12-07 16:14:23 +08:00
c9s
70017101bb bump version to v1.19.3 2021-12-07 16:12:41 +08:00
c9s
1ff02b08ce add release note 2021-12-07 16:12:35 +08:00
c9s
ccd9d8c466 improve makefile for version target 2021-12-07 16:10:49 +08:00
c9s
522d1bd8bf bump version to 1.19.3 2021-12-07 16:03:32 +08:00
c9s
1de4e5ee4c grid: fix parameter checking for fixed amount 2021-12-07 15:37:37 +08:00
c9s
5ef1ee927b improve the error message 2021-12-07 15:23:09 +08:00
c9s
f1e3cc6049 add strict start time, sync time checking for preventing back-test failure 
related to #311
 2021-12-07 15:21:37 +08:00
c9s
132fe893e1 use stderr for verbose log 2021-12-07 14:45:20 +08:00
c9s
ca3f438288 show symbol name in the error message 2021-12-07 14:35:00 +08:00
c9s
ac08e9d3c2 bump version to v1.19.2 2021-12-06 18:34:27 +08:00
c9s
af837ea237 do not omit empty for field feeInUSD 2021-12-06 13:36:38 +08:00
c9s
5d6bd5a964 not to omit empty all fields 2021-12-06 13:34:39 +08:00
c9s
634ce6180b avoid using panic when order cancel failed 2021-12-06 13:32:08 +08:00
c9s
744af85a94 bump version to v1.19.1 2021-12-06 13:32:08 +08:00
c9s
93761ba5d9 bump version to v1.19.0 2021-12-06 01:51:34 +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
85bb9f214e grid: disable trade marking 2021-12-06 01:34:08 +08:00
c9s
5929385a2e bump version to v1.18.5 2021-12-06 01:08:04 +08:00
c9s
474be4e815 support json output for backtesting 2021-12-06 01:05:33 +08:00
c9s
1e151a170a add JSON method to the pnl report 2021-12-06 00:47:41 +08:00
c9s
0c6055a201 add json tag for AverageCostPnlReport 2021-12-06 00:46:50 +08:00
c9s
3615477d8f backtest: allocate matching books from the exchange constructor 
also adds the mutex for trades and closed orders
 2021-12-06 00:38:36 +08:00
c9s
3d536efec8 types: extend FuturesSettings fields for isolated margin 2021-12-05 16:47:01 +08:00
c9s
c8ba2e59e3 types: reformat account usd cal expression 2021-12-05 16:28:30 +08:00
c9s
91f26cc501 types: add account types for futures 2021-12-05 16:28:19 +08:00
c9s
0431014867 bump version to v1.18.4 2021-12-05 12:25:06 +08:00
c9s
b301ea549a adjust default rate to DefaultFeeRate 0.075% 2021-12-05 12:24:51 +08:00
c9s
f692ef2c31 realign account fields 2021-12-05 12:23:27 +08:00
c9s
44d7055809 fix backtest fee rate calculation 2021-12-05 12:10:45 +08:00
c9s
4d7fe7f37d call matchingBooksMutex when assigning matching book 2021-12-05 12:06:36 +08:00
c9s
dac1967e2f bump version to v1.18.3 2021-12-05 12:03:53 +08:00
c9s
298e981de0 bump version to v1.18.2 2021-12-05 12:01:37 +08:00
c9s
df683bdf56 use position to calculate the pnl 2021-12-05 02:17:15 +08:00
Yo-An Lin
9d38dc2c87 Merge pull request #297 from tony1223/bug/261-default-notification 
fix #261 provide default config for notification setting
 2021-12-05 01:17:04 +08:00
c9s
35da3ba3a0 check env vars for query related tests 2021-12-05 01:11:47 +08:00
c9s
062f9243c6 max: fix query ticker tests 2021-12-05 01:08:50 +08:00
c9s
715363298f fix query ticker tests 2021-12-05 00:58:01 +08:00
Yo-An Lin
19548a9449 Merge pull request #296 from tony1223/feature/294-force-backtest 
add force parameter for backtest
 2021-12-05 00:25:23 +08:00
TonyQ
bd325f02a5 add force parameter for backtest 2021-12-04 16:18:51 +00:00
c9s
52218c513f compile and update migration package 2021-12-04 23:03:35 +08:00
TonyQ
a1b6be3bda compile and update migration package 2021-12-04 03:06:04 +00:00
TonyQ
30c14a6828 fix #261 provide default config for notification setting 2021-12-04 02:37:21 +00:00
TonyQ
056afb577c fix generateGridSellOrders with ProfitSpread for begining 2021-11-30 11:55:00 +08:00
c9s
5ed337926d add mutex lock protection for backtesting 
solving issue #282
 2021-11-30 10:40:28 +08:00
c9s
9a589bf71c show broadcast enabled 2021-11-25 18:49:29 +08:00
c9s
032b62e4e1 broadcast should also send message to owner 2021-11-25 16:22:20 +08:00
c9s
fc81f7b6cb add Command function 2021-11-25 11:54:09 +08:00
c9s
6326d52c1b add /start command 2021-11-25 11:52:14 +08:00
c9s
8acc2cd87f fix chat nil pointer issue 2021-11-25 11:50:14 +08:00
c9s
4bde40f2db override binance default http client timeout instead of zero timeout 2021-11-23 10:54:43 +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
Austin
c5d1a70a61 add Continuous Contract Kline/Candlestick Streams 2021-11-16 14:26:27 +08:00
Austin
a36739f119 add MarkPriceUpdateEvent 2021-11-16 01:24:36 +08:00
c9s
aceca1b49f adjust listen key keep alive to 30 min 2021-11-07 23:40:13 +08:00
c9s
7a3963b34e techsignal: if it's already high funding rate, do not show change 2021-11-06 15:23:52 +08:00
c9s
a2c2646a16 binance: adjust rate limiter bucket 2021-11-05 01:25:16 +08:00
c9s
82d859a43d binance: fix binance order rate limiter 2021-11-05 01:21:58 +08:00
c9s
0c8addc58b grid: refactor trade callback for s.TradeService.Mark 2021-11-05 01:05:43 +08:00
c9s
6851d8d254 grid: add field guards 2021-11-05 01:04:13 +08:00
c9s
7db7596abe grid: refactor trade handler with trade collector 2021-11-05 00:30:04 +08:00
c9s
7787edffa0 refactor grid strategy state loading/saving 2021-11-05 00:22:44 +08:00
c9s
bfaec8fdd8 increase min amount if it's not greater than min notional 2021-11-04 23:22:01 +08:00
c9s
13577fc2b4 improve SubmitOrder formating 2021-11-04 23:21:01 +08:00
c9s
6002a958d2 grid: fix format error 2021-11-04 13:08:38 +08:00
c9s
1a861c98a1 binance: add order rate limiter for binance 2021-11-04 12:50:32 +08:00
c9s
7eb91cc7cc adjust grid quantity if it does not match min notional and min quantity 2021-11-04 12:50:32 +08:00
c9s
ed1d0ea27e add xnav strategy 2021-10-29 10:40:14 +08:00
Yo-An Lin
b8e5942f1c Merge pull request #274 from kkc/fix_emwa_indicator_in_backtest_mode 2021-10-20 18:03:51 +08:00
c9s
6cb593cd90 techsignal: use realtime funding rate 2021-10-20 14:01:19 +08:00
Kakashi Liu
8938478d93 Truncate emwa slice to be the same size as given kLines 2021-10-19 21:38:12 +08:00
c9s
16fca0150d implement futures PremiumIndex support 2021-10-19 15:54:16 +08:00
c9s
1e6692ec8d rename funding rate query method name 2021-10-19 15:29:55 +08:00
c9s
af602df302 techsignal: add math.Round for quote volumes 2021-10-18 20:06:23 +08:00
c9s
3a68d9dae4 techsignal: fix arg cast 2021-10-18 19:40:51 +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
721d63bee0 techsignal: add skip log 2021-10-18 11:10:54 +08:00
c9s
ebc61de946 techsignal: fix ma subscription 2021-10-18 09:00:56 +08:00
c9s
c36bbd6c35 bbgo: show pnl in the slack fields 2021-10-18 08:45:27 +08:00
c9s
d446dbbed7 bollpp: send profit stat notification 2021-10-18 01:16:46 +08:00
c9s
d6b707c832 bollpp: fix order quantity 2021-10-18 00:56:22 +08:00
c9s
0bd32094ee bollpp: improve bolling ping pong maker 2021-10-18 00:42:01 +08:00
c9s
e3431ef970 binance: fix binance order type for limit maker 2021-10-18 00:41:41 +08:00
c9s
759b6a812b techsignal: fix funding rate diff 2021-10-17 22:26:04 +08:00
c9s
a3f68d7b72 xmaker: use bbgo.NewPositionFromMarket 2021-10-17 22:24:57 +08:00
c9s
450b7bb61e bollpp: improve boll ping pong strategy with profit stats 2021-10-17 22:23:34 +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
2b17124d06 telegramnotifier: support broadcast flag 2021-10-15 18:01:11 +08:00
c9s
77e7f814d9 support: refactor PercentageTargetStop logics 2021-10-15 16:10:57 +08:00
c9s
f5f96b585a apply broadcast option from config file 2021-10-15 16:10:39 +08:00
c9s
6c46c2cad1 telegramnotifier: add broadcast option 2021-10-15 16:10:25 +08:00
c9s
2b0793ee49 bbgo: add telegram config 2021-10-15 16:10:09 +08:00
c9s
a2c29f4519 support: remove legacy resistance code 2021-10-15 12:38:16 +08:00
c9s
d704e19f04 move signedPercentage method to fixedpoint 2021-10-15 12:22:53 +08:00
c9s
01f6d70d28 telegramnotifier: add broadcast function and subscribe command 2021-10-15 12:14:15 +08:00
c9s
a1779b6823 telegramnotifier: add warning 2021-10-15 12:03:15 +08:00
c9s
08c300fbad add warning if owner's chat is not configured 2021-10-15 11:56:17 +08:00
c9s
0fe11438bd telegramnotifier: rename Chat to OwnerChat 2021-10-15 11:55:05 +08:00
c9s
93e297dd7e adjust qutoe currency formatter symbol for fiat currency 2021-10-15 11:53:01 +08:00
c9s
952bdf8218 move currency formatter to market struct 2021-10-15 11:50:37 +08:00
c9s
790b3357d7 techsignal: adjust funding rate notification 2021-10-15 11:13:00 +08:00
c9s
4523135012 techsignal: add funding rate checker 2021-10-14 23:01:10 +08:00
c9s
e7fe443cbe show kline in the notification 2021-10-14 14:32:49 +08:00
c9s
fbbefe2878 techsignal: show interval in the message 2021-10-14 14:30:45 +08:00
c9s
a6848a6af4 add strategy/techsignal 2021-10-14 14:24:08 +08:00
c9s
c84ba12735 implement PlainText interface for kline 2021-10-14 14:22:24 +08:00
c9s
3581c1768c fix SMA indicator value length check 2021-10-14 14:22:07 +08:00
c9s
47e4847034 fix kline query endtime 2021-10-14 14:21:38 +08:00
c9s
4c2897a86d use Float64 indicator from the types package 2021-10-14 13:15:08 +08:00
c9s
4c061439d3 rename buyandhold to pricedrop 2021-10-14 13:10:00 +08:00
c9s
768a88247b rename bpp to bollpp (bollinger pingpong) 2021-10-14 12:52:54 +08:00
c9s
6e7f12ca9f rename trailingstop to emastop 2021-10-14 12:04:56 +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
e2f58d0466 xmaker: use report ticker to report profit stats 2021-10-14 08:53:44 +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
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
c9s
18045bb1e7 Move ReconnectC to the StandardStream 2021-05-27 14:42:14 +08:00
Yo-An Lin
7804415873 Merge pull request #254 from c9s/feature/okex 
feature: add okex exchange
 2021-05-27 01:28:41 +08:00
Yo-An Lin
930467d9c6 Merge pull request #257 from jnlin/ftx/symbol-map 
feat(ftx): use go generate to build symbol map
 2021-05-27 01:28:10 +08:00
c9s
8c50ce725c add stream callbacks 2021-05-27 01:07:38 +08:00
c9s
2538824661 okex: implement basic stream 2021-05-27 01:07:25 +08:00
c9s
2381df5009 add okex to the exchange factory 2021-05-27 00:35:51 +08:00
c9s
29ad95a639 add okex to the valid exchange name 2021-05-27 00:29:16 +08:00
c9s
18daf54500 ftx: add LocalSymbol to test 2021-05-27 00:27:46 +08:00
c9s
5becfb99e6 okex: implement query account balance 2021-05-27 00:24:16 +08:00
c9s
859eaf3c2a okex: add trade service function skeletons 2021-05-27 00:05:43 +08:00
c9s
c6c353b29a okex: implement QueryTickers 2021-05-27 00:05:43 +08:00
c9s
c9aa0df054 gensymbols to generate spot symbol map 2021-05-27 00:05:43 +08:00
c9s
d8c6545d2d okex: implement query ticker 2021-05-27 00:05:43 +08:00
c9s
3511bcf13f okex: move go generate to the convert file 2021-05-27 00:05:43 +08:00
c9s
364e6fc990 okex: add local symbol convert function 2021-05-27 00:05:43 +08:00
c9s
016c60796d pull out BNB currency string 2021-05-27 00:05:43 +08:00
c9s
ea78c0308b add LocalSymbol field for exchange specific symbol 2021-05-27 00:05:43 +08:00
c9s
97b377da0a okex: implement query markets 2021-05-27 00:05:43 +08:00
c9s
4ded82c94e pull out types.Exchange interfaces to make it minimal 2021-05-27 00:05:43 +08:00
c9s
c8cb75cabc add funding rate api support 2021-05-27 00:05:43 +08:00
c9s
1fb456d8ad add Stringer interface to fixedpoint 2021-05-27 00:05:43 +08:00
c9s
2bd79bcaf0 okex: add PublicDataService NewGetInstrumentsRequest 2021-05-27 00:05:43 +08:00
c9s
365b4c3837 okex: refactor trade service and fix order details api 2021-05-27 00:05:43 +08:00
c9s
5f8108f93e okex: add GetPendingOrderRequest 2021-05-27 00:05:43 +08:00
c9s
172239ddf6 okex: add order detail request 2021-05-27 00:05:43 +08:00
c9s
7e97163207 okex: implement batch place and batch cancel orders 2021-05-27 00:05:43 +08:00
c9s
1acbaefcd9 okex: implement place order and cancel order requests 2021-05-27 00:05:43 +08:00
c9s
b1aadb4bf0 okex: parse numbers as fixedpoints 2021-05-27 00:05:43 +08:00
c9s
8842208441 okex: add market ticker api support 2021-05-27 00:05:43 +08:00
c9s
e678289577 implement okex balances endpoint 2021-05-27 00:05:43 +08:00
c9s
fe269fd93d okex: implement base rest client 2021-05-27 00:05:43 +08:00
c9s
36071d6649 move MillisecondsJitter to the util package 2021-05-26 23:41:45 +08:00
c9s
9d7f147fbf fix address UnmarshalJSON 2021-05-26 23:37:08 +08:00
c9s
967c7e9f9d xbalance: add withdrawal options 2021-05-26 23:24:05 +08:00
c9s
8781902b68 xmaker: fix stop hedge balance condition 2021-05-26 23:05:41 +08:00
Jui-Nan Lin
72e7915d8d feat(ftx): use go generate to build symbol map 2021-05-26 20:53:51 +08:00
zenix
698ec9911f Fix error formating on depth load fail 2021-05-26 00:57:35 +00:00
zenix
3d2a27fc10 Fix: nil pointer exception in indicator creation, add stoch util func 2021-05-26 00:20:31 +00:00
c9s
9c331063f4 improve depth error messages 2021-05-26 01:31:58 +08:00
c9s
06e982124b fix depth reset 2021-05-26 01:27:42 +08:00
c9s
07ded04a9b fix depth reset 2021-05-26 01:20:24 +08:00
c9s
44ff833c91 binance: buffer depth events 2021-05-26 01:05:12 +08:00
c9s
edeaa597f1 fix loadDepthSnapshot mutex lock issue 2021-05-26 00:58:40 +08:00
c9s
47bf7a1e03 remove time sleep for depthframe 2021-05-26 00:58:40 +08:00
Yo-An Lin
31871143a0 Merge pull request #249 from jnlin/ftx/websocket-kline 
Implement kline stream and subaccount feature for FTX exchange
 2021-05-26 00:31:35 +08:00
Jui-Nan Lin
1dd397f900 fix(ftx): return original symbol if not found (e.g. BTC-PREP) 2021-05-25 23:29:50 +08:00
Jui-Nan Lin
2e749bb7a8 fix(ftx): always update since to avoid infinite loop 2021-05-25 23:21:38 +08:00
Jui-Nan Lin
bca57e017b fix(ftx): set lastTradeID from options{} to filter trades 2021-05-25 23:14:49 +08:00
Jui-Nan Lin
2fd82ef775 fix(ftx): should use local symbol in fillResponse 2021-05-25 22:43:26 +08:00
Jui-Nan Lin
ab8c1ec18c fix(ftx): allow subaccount to be empty 2021-05-25 22:12:10 +08:00
c9s
686dcef2c5 binance: fix depth snapshot buffering 2021-05-25 21:36:14 +08:00
Jui-Nan Lin
bee3b913f2 fix(ftx): typo 2021-05-25 21:30:15 +08:00
c9s
d3f06bc9d7 fix binance depth stream buffering 2021-05-25 19:13:10 +08:00
Jui-Nan Lin
1318f221b2 fix(ftx): iterate subscription arraywhile polling klines 2021-05-25 18:37:48 +08:00
c9s
bf684c0a5e fix empty bids and ask issues 2021-05-25 15:54:41 +08:00
c9s
28c646a4db reformat code 2021-05-25 01:50:36 +08:00
c9s
c8ca19a298 fixedpoint: fix percentage parsing 2021-05-25 01:36:17 +08:00
Jui-Nan Lin
a7a141c3ea fix(ftx): rename to pollKLines() 2021-05-24 14:21:40 +08:00
Jui-Nan Lin
239d55ce33 fix(ftx): use ID() 2021-05-24 14:18:40 +08:00
Jui-Nan Lin
9226d086b3 fix(ftx/rest): use Id() to make rest requests 2021-05-24 11:20:39 +08:00
Jui-Nan Lin
7fd3375741 fix(ftx/rest): add Id() for setting restful id 2021-05-24 11:19:30 +08:00
Jui-Nan Lin
2467d3fcf6 fix(ftx): get current kline candle in the beginning 2021-05-24 10:22:48 +08:00
Jui-Nan Lin
ddcd0d3969 fix(ftx): send ctx to handleChannelKlineMessage() 2021-05-24 10:16:17 +08:00
Jui-Nan Lin
64387ed2cb Merge branch 'main' into ftx/websocket-kline 2021-05-24 10:01:58 +08:00
Jui-Nan Lin
bd9a61ea97 fix(ftx): use select to handle kline message 2021-05-24 10:00:43 +08:00
Jui-Nan Lin
bbeafab59b fix(ftx): remove unused variables 2021-05-24 09:51:00 +08:00
Jui-Nan Lin
301ed621e6 fix(ftx): use timer.ticker() 2021-05-24 09:45:33 +08:00
Jui-Nan Lin
2394aab32e fix(ftx): start go routine while connecting to ftx websocket 2021-05-24 09:22:47 +08:00
Jui-Nan Lin
02912f362c fix(ftx): subscribe channel first to avoid losing order update 2021-05-24 09:21:49 +08:00
c9s
956ef71a48 use stamp time with milliseconds 2021-05-23 01:29:41 +08:00
c9s
fbe850b364 improve floating number formatting 2021-05-23 01:19:26 +08:00
c9s
117b26840e show net profit margin percentage 2021-05-23 01:17:20 +08:00
c9s
de768296f1 fix rbtree memory error, check neel 2021-05-23 01:12:16 +08:00
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
9fa10ee1fd fix rbtree price volume order 2021-05-23 00:42:27 +08:00
c9s
7a653affa6 slice orderbook: do not copy book callbacks 2021-05-23 00:21:57 +08:00
c9s
0061e51dc9 fix rbtree copy depth 2021-05-23 00:21:57 +08:00
なるみ
2052d05bb3 Move Float64Slice to types 2021-05-22 20:20:48 +08:00
c9s
1531f2bb1b fix rbtree insertion and rotation 2021-05-22 18:11:32 +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
Yo-An Lin
20f02886de Merge pull request #250 from narumiruna/feature/kd 
feature: add stochastic oscillator (KD) indicator
 2021-05-22 16:52:46 +08:00
Yo-An Lin
890323c87b Merge pull request #251 from narumiruna/fix/kline-window 
fix: KLineWindow
 2021-05-22 16:51:53 +08:00
c9s
6df72d54a8 add callbacks 2021-05-22 16:47:34 +08:00
c9s
8acada76a9 replace sliceorderbook with orderbook interface 2021-05-22 16:32:29 +08:00
c9s
cca37d309a fix rbtree iteration 2021-05-22 14:57:14 +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
なるみ
0377a7321e Rename KD to STOCH 2021-05-22 05:52:10 +08:00
なるみ
b9ced0955d Fix test 2021-05-22 05:36:38 +08:00
なるみ
25f76235e9 Fix GetHigh, GetLow and Mid 2021-05-22 05:26:27 +08:00
なるみ
50d96f1276 Fix KLineWindow.Tail 2021-05-22 05:22:38 +08:00
なるみ
ec6cbb05aa Add kd_test.go 2021-05-22 05:00:27 +08:00
なるみ
b82fbbb2ab Add pop, max, min, sum, mean and tail methods to Float64Slice 2021-05-22 03:28:25 +08:00
なるみ
c58e252ff2 Add stochastic oscillator indicator 2021-05-22 03:24:09 +08:00
Jui-Nan Lin
14abd1436b fix(ftx): call EmitConnect() after connected 2021-05-21 23:33:05 +08:00
Jui-Nan Lin
dd0bfab292 fix(ftx): call EmitStart() after connected 2021-05-21 23:25:26 +08:00
Jui-Nan Lin
c7f9352e20 fix(ftx): keep in the loop 2021-05-21 23:10:05 +08:00
Jui-Nan Lin
fb47a4882f fix(ftx): support subaccount in websocket 2021-05-21 23:07:53 +08:00
Jui-Nan Lin
05bde543b7 feat(ftx): emulating kline channel with polling 2021-05-21 23:07:39 +08:00
c9s
09d68057c5 move price volume slice to a separated file 2021-05-21 12:32:47 +08:00
c9s
94fb0e320e implement RBTree orderbook benchmark 2021-05-21 12:31:18 +08:00
c9s
f6229515ac fix color ref 2021-05-21 02:18:45 +08:00
c9s
31f9920ddc fix func comment 2021-05-21 02:17:57 +08:00
c9s
d2003bbc3d remove unused emit function calls 2021-05-21 02:17:40 +08:00
c9s
d930816672 define RBOrderBook 2021-05-21 02:15:31 +08:00
c9s
be646fbac2 move rbtree to types package 2021-05-21 01:44:53 +08:00
c9s
edf8902b28 implement rbtree delete 2021-05-21 01:36:58 +08:00
c9s
d14137b878 add rbtree functions 2021-05-21 00:10:53 +08:00
c9s
57a78777df move Time type to types.Time 2021-05-21 00:10:53 +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
Yo-An Lin
343f184252 Merge pull request #248 from jnlin/fix/ftx-orderid 
fix(ftx): use generated order id if not specified
 2021-05-20 01:06:37 +08:00
Jui-Nan Lin
02649bdd63 fix(ftx): use generated order id if not specified 2021-05-19 21:37:29 +08:00
c9s
d1ad802806 improve trade command output layout 2021-05-19 17:54:30 +08:00
c9s
44901572ac show order id in the slack attachment 2021-05-19 17:21:17 +08:00
c9s
e95429bbc3 binance: save newer events for later usage 2021-05-19 01:02:41 +08:00
c9s
2fddc9166f show bid/ask volume in the message 2021-05-19 00:41:34 +08:00
c9s
7f86c75360 add CopyDepth for avoid copying the whole book 2021-05-19 00:15:11 +08:00
c9s
34106cf65e add cpu profile option 2021-05-18 15:38:22 +08:00
c9s
9406682944 improve maxapi websocket reconnect issue 2021-05-18 14:14:58 +08:00
c9s
c3c3c47808 move lock section 2021-05-18 13:59:58 +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
b8139e6e86 add xarb strategy 2021-05-18 10:19:35 +08:00
c9s
c4ccd8094f make max client order id factory public 2021-05-18 09:10:43 +08:00
c9s
e23932f99c xbalance: add checkOnStart option 2021-05-18 08:32:00 +08:00
c9s
d722b76564 adjust pips by bollband ratio 2021-05-17 23:57:20 +08:00
Yo-An Lin
d1bfeccc72 Merge pull request #246 from jnlin/fix/ftx-symbol 
fix(ftxExchange): setup a symbol mapping table
 2021-05-17 21:37:46 +08:00
c9s
1c19c02206 xmaker: fix order submission 2021-05-17 21:33:55 +08:00
Jui-Nan Lin
c0cf529db7 fix(ftx): allow empty TimeInForce to place market orders 2021-05-17 21:05:44 +08:00
c9s
f6f1226bd0 integrate bollband indicator into xmaker 2021-05-17 20:04:13 +08:00
c9s
b8fe100b5e move balance printing to debug-balance env var 2021-05-17 20:04:13 +08:00
c9s
f80c98b97c since we always receive balance update from websocket we do not need to subscribe 1m from the maker exchange 2021-05-17 20:04:13 +08:00
c9s
6370b39cde adjust quantity by max amount if balance is not enough 2021-05-17 20:04:13 +08:00
c9s
c6ae1b54b8 remove redundant word 2021-05-17 20:04:13 +08:00
c9s
a1c888f04b adjust profit margin percentage precesion 2021-05-17 20:04:13 +08:00
Jui-Nan Lin
31993d7ccf fix(ftx): update test toGlobalOrderBook 2021-05-17 18:53:43 +08:00
Jui-Nan Lin
316799d5a0 fix(ftxExchange): setup a symbol mapping table 
ftx uses BTC/USDT symbol styles, however bbgo uses the BTCUSDT style
We setup a mapping table in Markets() to make conversion
 2021-05-17 18:32:29 +08:00
Yo-An Lin
345c3c9e2c Merge pull request #245 from jnlin/fix/ftx-subaccount 2021-05-17 16:34:05 +08:00
Jui-Nan Lin
2d5ae1dde3 fix(ftxExchange): the env variable is "FTX_ACCOUNT" 2021-05-17 12:42:04 +08:00
c9s
6069102099 fix percentage 2021-05-17 09:02:34 +08:00
c9s
82e85dd27a add profit margin 2021-05-17 08:59:20 +08:00
c9s
61d95a4c34 render trade time 2021-05-17 00:53:19 +08:00
c9s
45e930a086 use slack attachment title instead of pretext 2021-05-16 18:07:06 +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
491c4bbada fixedpoint: support percentage parsing 2021-05-16 15:16:04 +08:00
c9s
a4381a54a3 add fee rate field 2021-05-16 15:03:36 +08:00
c9s
5c10f8a4e2 binance: call set server time service 2021-05-16 15:03:31 +08:00
c9s
fad1e39bba update state asset name for legacy caches 2021-05-16 01:22:55 +08:00
c9s
b4f6653ccc prefer PlainText interface over String interface 2021-05-16 01:21:35 +08:00
c9s
f176afee6f remove duplicated notify 2021-05-16 01:18:54 +08:00
c9s
c9cdf31df1 add pnl emoji 2021-05-16 01:16:03 +08:00
c9s
6f79a7eea8 improve support strategy messages 2021-05-16 01:07:53 +08:00
c9s
f28cc18ce4 support: check target quantity and min notional 2021-05-16 01:04:46 +08:00
c9s
9aaad2d28c add emoji icons to the messages 2021-05-16 01:03:28 +08:00
c9s
933765defb add State PlainText method test 2021-05-16 00:59:57 +08:00
c9s
2652bee83b remove arrow from the message text 2021-05-16 00:52:53 +08:00
c9s
f09e248c02 improve slack attachment title 2021-05-16 00:51:51 +08:00
c9s
16fbbd0e4b notify transfer states 2021-05-16 00:51:12 +08:00
c9s
40b5baeda7 add maxDailyAmountOfTransfer check 2021-05-16 00:50:15 +08:00
c9s
942eaac659 improve message formatting 2021-05-16 00:45:08 +08:00
c9s
8eb8a3de72 refactor state functions 2021-05-16 00:32:27 +08:00
c9s
ca10135646 translate WithdrawalRequest to slack attachment 2021-05-16 00:03:19 +08:00
c9s
e0d3b7a418 fix message formating 2021-05-15 23:55:13 +08:00
c9s
1f449eca7f implement SlackAttachment interface on Position 2021-05-15 23:50:03 +08:00
c9s
a582fdbfa7 xbalance: add jitter and notification messages 2021-05-15 10:42:16 +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
638cc40516 fix notification arguments 2021-05-15 09:59:17 +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
a2bcfc8630 fix bollgrid function call 2021-05-14 15:34:58 +08:00
c9s
e3cb2ad86c fix telegram arguments index update 2021-05-14 14:57:22 +08:00
c9s
abd6f4c7ef rename bbgo.AdjustQuantityByMaxAmount to bbgo.AdjustFloatQuantityByMaxAmount 2021-05-14 14:53:26 +08:00
c9s
f1fe492117 improve string format 2021-05-14 14:53:26 +08:00
c9s
66bc06bc5f add more order execution parameter checks 2021-05-14 14:53:26 +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
c520cfa540 xmaker: fix price calculation 2021-05-14 14:53:26 +08:00
c9s
3437515d6a rename placeOrder to submitOrder for making the api consistent 2021-05-14 14:53:26 +08:00
Yo-An Lin
2aea0dee4f Merge pull request #230 from LarryLuTW/bollgrid-enhance 
bollgrid: generate the last order if balance is not enough
 2021-05-14 11:51:25 +08:00
Lee
d1cef15f75 Fix: Correct the Order FILLED event on binance 2021-05-13 00:41:23 +08:00
Larry850806
4b53b3c96a bollgrid: generate the last order if balance is not enough 2021-05-12 20:45:54 +08:00
c9s
3becb32843 bump version to v1.16.0 2021-05-12 19:41:03 +08:00
c9s
a49cf531b5 fix cross exchange order executor for the basic risk control 2021-05-12 19:02:09 +08:00
Yo-An Lin
dcd66d3449 Merge pull request #235 from jessy1092/binance_parser 
Fix: Correct the binance executionReport parser
 2021-05-12 19:01:14 +08:00
Lee
b0e71e4258 Fix: Correct the binance executionReport parser 
Let JSON parse to be explicit for prevent Unmarshal case-insensitive issue
 2021-05-12 18:45:16 +08:00
Yo-An Lin
4028c39dbf Merge pull request #234 from narumiruna/fix/macd-vwap-test-case 2021-05-12 16:52:49 +08:00
なるみ
f1d88188e8 Fix test case 2021-05-12 14:39:10 +08:00
c9s
aa6520ec18 improve error messages 2021-05-12 12:54:46 +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
Yo-An Lin
ca0061856d Merge pull request #231 from zenixls2/binance_cancel 2021-05-12 09:25:34 +08:00
Yo-An Lin
3b61a16a81 Merge pull request #227 from narumiruna/feature/add-ad-indicator 2021-05-12 09:22:09 +08:00
Yo-An Lin
037f564b03 Merge pull request #226 from narumiruna/feature/add-obc-indicator 2021-05-12 09:21:27 +08:00
c9s
fd6fe56f32 implement withdrawal request on binance 2021-05-12 02:15:22 +08:00
c9s
9ff7b62123 add xbalance strategy 2021-05-12 01:21:40 +08:00
c9s
1e3e570edb add ExchangeWithdrawalService interface 2021-05-12 01:21:21 +08:00
c9s
ff7ead9bdf fix max withdrawal address bug 2021-05-12 01:21:04 +08:00
c9s
61319fb4ff implement Withdrawal method on max exchange 2021-05-12 00:23:13 +08:00
c9s
0b7c9a1437 implement withdrawal request api 2021-05-11 22:35:31 +08:00
c9s
f197a0fc4f improve log messages 2021-05-11 15:57:44 +08:00
c9s
9d53adc6ef xmaker: ignore self trade 2021-05-11 15:56:46 +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
610c33b819 improve support quantity for spot session 2021-05-11 13:25:29 +08:00
c9s
15086996e4 add balance warning 2021-05-11 12:53:32 +08:00
c9s
5f8e3259eb add stopHedgeQuoteBalance and stopHedgeBaseBalance 2021-05-11 12:47:45 +08:00
c9s
d2a770bc05 adjust second layer price according to the pips 2021-05-11 01:06:39 +08:00
c9s
b86ed36aa2 calculate price by depth 2021-05-11 00:58:11 +08:00
c9s
4429a29c29 disable hedge quote adjustment 2021-05-11 00:10:49 +08:00
c9s
fa3ca54a55 improve warning messages 2021-05-10 23:52:17 +08:00
c9s
fe4e4bf5ea use bbgo.AdjustQuantityByMaxAmount 2021-05-10 23:50:19 +08:00
c9s
b16d2553b5 remove floating point 2021-05-10 23:49:25 +08:00
c9s
1f9558cd64 use local timezone 2021-05-10 23:27:08 +08:00
なるみ
7cc5485bff Add ad indicator 2021-05-10 20:39:27 +08:00
c9s
af8f718228 add more pnl details to the state 2021-05-10 20:22:33 +08:00
c9s
95d58e9385 adjust hedge quantity according to the hedge account balances 2021-05-10 20:13:23 +08:00
なるみ
f82a344964 Rename test function 2021-05-10 18:16:12 +08:00
なるみ
67f66153ab Add obv test 2021-05-10 17:46:46 +08:00
なるみ
a2d7a40147 Add obv indicator 2021-05-10 17:17:50 +08:00
c9s
c1ea9ff9ed xmaker: move cancel order calls to the go routine 2021-05-10 13:18:57 +08:00
c9s
c90871fb39 implement pending removal order ids 2021-05-10 13:06:23 +08:00
c9s
ddab6083d4 xmaker: support quantity scale 2021-05-10 02:52:41 +08:00
c9s
dde998aced fix graceful shutdown 2021-05-10 02:17:19 +08:00
c9s
405f9c863f xmaker: call cancel orders everytime 2021-05-10 01:47:17 +08:00
c9s
ce63641d70 print otp auth guide when session is loaded 2021-05-10 01:38:19 +08:00
Yo-An Lin
8a9fe7ea23 Merge pull request #221 from frankurcrazy/fix/skip-cancel-profit-order-on-graceful-exit 
fix(bollgrid): skip canceling profit orders on graceful exit
 2021-05-10 01:11:20 +08:00
c9s
8995300cbe use go routine to send message so that we wont be blocked 2021-05-10 00:02:08 +08:00
c9s
0307a740e3 calculate accumulatedProfit 2021-05-09 23:56:54 +08:00
c9s
a98fbeea77 reduce notify calls 2021-05-09 21:14:51 +08:00
c9s
3f8f5616d7 add more order info the local order book printing 2021-05-09 20:03:16 +08:00
c9s
2f326d0fed xmaker: add interval jitter 2021-05-09 20:03:06 +08:00
c9s
c278cdbf30 improve order sync map lock handling 2021-05-09 19:50:26 +08:00
c9s
74e01ce444 fix order waiting for graceful shutdown 2021-05-09 19:44:51 +08:00
c9s
e06310da26 print unhandled order status 2021-05-09 19:44:43 +08:00
c9s
ff90a704d9 fix fixedpoint format 2021-05-09 19:40:56 +08:00
c9s
e35eef2b72 fix message formatting 2021-05-09 19:15:37 +08:00
c9s
9525a334d2 add more fix 2021-05-09 19:04:44 +08:00
c9s
1b454be0f3 fix quote quantity label 2021-05-09 18:58:05 +08:00
c9s
b343ecad61 xmaker: add more helpful messages 2021-05-09 18:55:56 +08:00
c9s
dc282182a5 fix xmaker order cancellation in the graceful shutdown 2021-05-09 18:48:25 +08:00
c9s
569bbfea54 use new bbgo position for calculating profits 2021-05-09 18:46:09 +08:00
c9s
f44d85d704 fix QuantityMultiplier 2021-05-09 18:33:11 +08:00
c9s
c0f12cf452 xmaker: add active maker order cancellation check 2021-05-09 18:32:29 +08:00
なるみ
52248fcf2e feature: add MACD indicator (#219) 2021-05-09 00:56:44 +08:00
Frank Chang
da0ea3d390 fix(bollgrid): skip canceling profit order on graceful exit 
profit orders shouldn't be canceled on graceful exit unless
properly persisted.

a new strategy parameter `shutdownCancelProfitOrders` is added.

Issue: #220
 2021-05-08 15:19:04 +08:00
なるみ
3f39131d76 feature: add volume weighted average price (vwap) indicator (#211) 2021-05-08 02:09:45 +08:00
c9s
fd7081e96f bump version to v1.15.5 2021-05-08 01:11:31 +08:00
c9s
d01abffde3 add todo for the backtest trades 2021-05-08 01:09:06 +08:00
c9s
13d9f2ba49 grid: fix order generator checking 2021-05-08 01:00:57 +08:00
c9s
a94c42d9c2 grid: improve error messages 2021-05-08 00:59:30 +08:00
c9s
ee68deb114 apply limit param to the queries 2021-05-08 00:57:25 +08:00
c9s
d8d2e17b9e fix backtest exchange query klines methods 2021-05-08 00:57:12 +08:00
c9s
6bbd66a4f9 split environment start and init 2021-05-08 00:45:24 +08:00
c9s
14eedecd0e fix backtest sync from time 2021-05-08 00:44:43 +08:00
c9s
61ad2b6567 emit start callback for backtest 2021-05-08 00:43:53 +08:00
c9s
3501e8f5fd refactor backtest, add BootstrapBacktestEnvironment 2021-05-08 00:14:25 +08:00
c9s
f67075c818 bump version to v1.15.4 2021-05-07 14:08:11 +08:00
c9s
858d6bdf05 grid: adjust callback registration ordering 2021-05-07 02:14:35 +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
1264c50e83 improve balances, account command usability 2021-05-06 23:50:26 +08:00
c9s
1a81813e17 add --session option check 2021-05-06 23:44:05 +08:00
c9s
03cee5eb0b apply types.ExchangeMAX 2021-05-05 16:57:01 +08:00
c9s
859bf35255 set sync-from from config by default 2021-05-05 16:45:17 +08:00
c9s
a70d5cbcdc fix kline sync conditions 2021-05-05 16:33:15 +08:00
c9s
d85037f9ea add binance kline query documentation 2021-05-05 16:23:46 +08:00
c9s
1ad8b0b641 remove unused SourceDir func 2021-05-04 01:06:20 +08:00
c9s
0fbc388333 add --webserver-bind option and add option to --enable-webserver 2021-05-03 17:24:39 +08:00
Larry850806
f1309c46fc bollgrid: check balance before submit reverse order 2021-05-03 16:18:58 +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
20d673f769 add schedule strategy 2021-05-02 18:03:41 +08:00
c9s
8fea2022e5 adjust rate limit for backtest data syncing 2021-05-02 17:46:08 +08:00
c9s
471e0a4c45 pass string format quantity and price 2021-04-28 19:48:17 +08:00
c9s
9f77236999 fix and improve position accessor 2021-04-28 19:32:49 +08:00
c9s
e87c2e271f add broker id on max 2021-04-28 19:24:07 +08:00
c9s
5d2296eddd extract client order id generation 2021-04-28 19:20:55 +08:00
c9s
36beabaa0b bump version to v1.15.3 2021-04-28 18:00:23 +08:00
c9s
70a53ed286 make config compatible with key 'strategies' 2021-04-28 17:58:50 +08:00
zenix
2bda296194 Fix: upgrade binance api, fix go fmt, add hard start time for binance to reduce sync execution time 2021-04-21 19:50:33 +09:00
zenix
2d6eb02e6c compile and update migration package 2021-04-21 11:21:15 +09:00
Larry850806
453a906a5a bollgrid: use onStart instead of onConnect 2021-04-15 15:51:23 +08:00
Larry850806
980f1ae3e7 bollgrid: submit buy/sell orders separately 2021-04-15 12:31:18 +08:00
Larry850806
aa950b3dc4 bollgrid: track createdOrders when error occurs 2021-04-15 12:31:18 +08:00
Larry850806
a80afff0c2 grid: track createdOrders when error occurs 2021-04-15 12:31:18 +08:00
Wei-Ning Huang
e7961be86a binance: set TimeInForce to GTC by default for limit orders 
Binance does not allow submitting order without TimeInForce set for
certain order types. Set TimeInforce to GTC (Good-Til-Cancel) by
default.
 2021-04-14 09:49:03 +08:00
David Chang
f884fcd45c fix: add ioc trade type to order type 2021-04-12 14:35:46 +08:00
David Chang
0db2cc2c96 fix: add ioc trade type to order type 2021-04-12 09:35:59 +08:00
David Chang
c9198d498e feature: add ioc order type support to max exchange 2021-04-11 12:29:23 +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
c9s
d315c12f2d call environ.Init to setup sessions 2021-04-09 00:46:36 +08:00
Yo-An Lin
435f7fb12e Merge pull request #190 from jnlin/feat/telegram-group 
feat: allow telegram bot send to group
 2021-04-04 11:21:20 +08:00
c9s
13a8597d59 add MaxExposurePosition settings 2021-04-04 11:14:09 +08:00
Jui-Nan Lin
1b953d88d4 feat: allow bot send to group 2021-04-03 12:50:13 +08:00
Larry850806
6718aace8c Add validation for support strategy 2021-04-02 10:32:38 +08:00
Larry850806
53133851cc Add validation for grid strategy 2021-04-02 10:32:38 +08:00
Larry850806
2c41ec28ae Add validation for bollgrid strategy 2021-04-02 10:32:34 +08:00
Larry850806
dbf5d27f30 Add a validator interface to validate strategy before run 2021-04-02 10:12:55 +08:00
ycdesu
1e3ce81c06 ftx: pull out map 2021-04-01 11:55:27 +08:00
ycdesu
a659bacb0d ftx: remove back slash from symbol 2021-04-01 11:54:16 +08:00
ycdesu
28c9ac95ac ftx: query kline using rest api 2021-03-31 18:09:13 +08:00
ycdesu
f912fde6e3 ftx: panic if subscribe unsupported channel 2021-03-29 22:11:39 +08:00
ycdesu
66f165584f fix: make since/until optional 2021-03-29 22:11:39 +08:00
ycdesu
f526a937d1 ftx: websocket keepalive 2021-03-29 22:11:39 +08:00
ycdesu
53c9b0a606 ftx: remove redundant abstraction 2021-03-29 22:11:39 +08:00
ycdesu
e152aa1036 ftx: trade update 2021-03-29 22:11:39 +08:00
ycdesu
f345730778 ftx: handle err response 2021-03-29 22:11:38 +08:00
ycdesu
9c4ccbd6e2 ftx: subscribe order update 2021-03-29 22:11:38 +08:00
ycdesu
34ea325499 ftx: refactor websocket_messages structs 2021-03-29 22:11:38 +08:00
ycdesu
d3cdd3c2a6 ftx: define order update response 2021-03-29 22:11:38 +08:00
ycdesu
2e2ae46bae ftx: subscribe order update 2021-03-29 22:11:38 +08:00
ycdesu
f60f1ef52e ftx: authenticate websocket 2021-03-27 18:16:52 +08:00
ycdesu
24254a869d ftx: invoke SetPublicOnly in orderbook command 2021-03-27 17:37:16 +08:00
ycdesu
34548f185c ftx: add missing ftx case 2021-03-27 17:00:55 +08:00
ycdesu
691251169d ftx: define ws login request 2021-03-27 16:58:51 +08:00
ycdesu
3bcd5a8e83 ftx: null guard in close 2021-03-27 09:54:12 +08:00
ycdesu
9e77b3afd8 ftx: support queryTrades method 2021-03-26 00:43:15 +08:00
c9s
c82df27cf3 grid: fix message format 2021-03-25 15:22:52 +08:00
c9s
13af4505f7 bump version to v1.15.2 2021-03-25 13:41:44 +08:00
c9s
129b25d86e fix persistence key 2021-03-25 13:18:38 +08:00
c9s
89c01adf60 xmaker: fix state passing for persistence 2021-03-25 13:16:48 +08:00
c9s
121a679d4a fix margin struct tag 2021-03-25 13:16:27 +08:00
c9s
8122fddd02 add exchange field to binance trades and binance orders 2021-03-24 17:51:19 +08:00
YC
80e5144950 Merge pull request #184 from c9s/ftx/add-missing-query-string 2021-03-24 16:26:33 +08:00
ycdesu
241f1ee9de ftx: support lastOrderID 2021-03-23 22:27:11 +08:00
ycdesu
17b6122cf8 ftx: assign query string to order/wallet requests 2021-03-23 22:26:18 +08:00
ycdesu
bce749c13b ftx: add missing query string 2021-03-23 22:25:57 +08:00
ycdesu
33046df35b ftx: list closed orders 2021-03-23 22:25:21 +08:00
ycdesu
cb52b436cb ftx: add log 2021-03-23 22:25:05 +08:00
c9s
cbd43c159f bump version 2021-03-23 21:52:42 +08:00
c9s
29f77c2176 add environ.DatabaseService nil check for backtest 2021-03-22 22:48:43 +08:00
c9s
3a842836cd bump version 2021-03-22 18:51:32 +08:00
c9s
5de221524f adjust state and reset per day 2021-03-22 18:48:18 +08:00
c9s
6c8babfb27 allow public session 2021-03-22 17:40:17 +08:00
c9s
67bfc508c8 max: remove unnecessary log 2021-03-22 17:40:00 +08:00
c9s
2b27815929 move out groupID to the maxapi package 2021-03-22 17:32:22 +08:00
c9s
706b38efa3 gap: finalize the implementation 2021-03-22 17:32:22 +08:00
c9s
111b3ba036 max: improve multi-order request 2021-03-22 17:32:22 +08:00
c9s
3c5071b87e use uint32 for groupID 2021-03-22 17:32:22 +08:00
c9s
cd5ac1ddf5 fix convert for limit maker 2021-03-22 17:32:22 +08:00
c9s
865dda14f5 gap: accumulate fee 2021-03-22 17:32:22 +08:00
c9s
24c4d05e91 max: load websocket base url from the env var 2021-03-22 17:32:21 +08:00
c9s
088b22f338 support bbgo-no-cache option 2021-03-22 17:32:21 +08:00
c9s
e86f29b7cc add gap strategy 2021-03-22 17:32:21 +08:00
ycdesu
ab743f85c2 ftx:support deposit histories 2021-03-21 20:17:41 +08:00
ycdesu
d2a5a755be ftx: implement queryMarket 2021-03-21 13:06:46 +08:00
ycdesu
14652c6918 ftx: define market request 2021-03-21 13:06:46 +08:00
ycdesu
c30a026243 ftx: support market cmd 2021-03-21 13:06:46 +08:00
Yo-An Lin
1293dbb64b Merge pull request #180 from c9s/strategy/xmaker 
feature: add strategy xmaker
 2021-03-21 13:00:00 +08:00
c9s
814a77ea39 xmaker: improve balance checking 2021-03-21 12:55:33 +08:00
c9s
2a067e5cb4 add more balance check for hedging 2021-03-21 12:55:33 +08:00
c9s
1f744b0fa5 convert limit maker type to post only 2021-03-21 12:55:33 +08:00
c9s
837934e690 add post_only order type 2021-03-21 12:55:33 +08:00
c9s
6b877e1394 add limit maker order type 2021-03-21 12:55:33 +08:00
c9s
4e3f325bb6 first commit of xmaker strategy from mobydick 2021-03-21 12:55:33 +08:00
ycdesu
04870acbab fixedpoint: get num of fractional parts 2021-03-21 12:52:45 +08:00
c9s
cf1262c1a9 update version.go 2021-03-21 10:20:00 +08:00
c9s
ca27bf100d grid: use instance id for persistence 2021-03-20 23:07:04 +08:00
c9s
ef8543db8a show accumulative arbitrage profit in the message 2021-03-20 23:05:11 +08:00
c9s
b4083bdf10 fix fee calc tests 2021-03-20 22:59:53 +08:00
c9s
a52101b163 remove bps from the fee calc 2021-03-20 22:53:14 +08:00
c9s
d97275e408 query max account fee from the vip level api 2021-03-19 17:06:48 +08:00
YC
062a008674 Merge pull request #174 from c9s/ftx/fix-placeorder-init 2021-03-19 10:35:54 +08:00
ycdesu
a7bdcdff38 fix: fix placeorder cmd 2021-03-19 10:07:39 +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
ycdesu
a62481590e ftx: support PlatformCurrency 2021-03-18 23:58:28 +08:00
ycdesu
8a75b21a38 ftx: support account info 2021-03-18 23:53:55 +08:00
Yo-An Lin
9e596a0f63 Merge pull request #171 from c9s/feature/grid-profit-notification 
strategy: calculate grid arbitrage profit per order
 2021-03-18 18:19:09 +08:00
c9s
dffd9fc980 add VipLevel api query support 2021-03-18 17:58:18 +08:00
c9s
890324a4ad maxapi: add VipLevel 2021-03-18 17:58:18 +08:00
c9s
761d51597d add todo fee rate here 2021-03-18 17:48:05 +08:00
c9s
4975fb5498 track arbitrage orders 2021-03-18 17:20:21 +08:00
c9s
a95c3b94a0 core: set default store ID 2021-03-18 17:20:07 +08:00
c9s
0e6918a352 grid: add profit field 2021-03-18 15:46:14 +08:00
Yo-An Lin
40b376802e Merge pull request #168 from c9s/feature/mark-trade-strategy 2021-03-18 10:31:59 +08:00
Yo-An Lin
06381c250b Merge pull request #165 from Larry850806/remove-useless-code-in-balances-cmd 2021-03-18 10:31:41 +08:00
Larry850806
28f4584191 Use empty config if config file doesn't exist 2021-03-18 10:04:41 +08:00
c9s
cad8349a1a remove state OrderStateFinalizing from the order state 
since we are only interested in the closed orders
 2021-03-18 01:15:49 +08:00
c9s
dd87bde785 fix reward sync time range issue 2021-03-18 01:15:38 +08:00
c9s
85b6cb81a2 make local active orderbook json marshallable 2021-03-18 01:15:06 +08:00
c9s
8d784576cd put state vars into the state struct for persistence 2021-03-18 01:14:56 +08:00
c9s
72c1f55b70 fix grid price calculation 2021-03-18 00:46:25 +08:00
c9s
4a415a43b3 fix reward query 2021-03-18 00:46:10 +08:00
c9s
90477826cf implement byte parser for fixedpoint parsing 2021-03-17 22:20:25 +08:00
ycdesu
4a5a53ea28 ftx: support queryClosedOrders 2021-03-17 21:26:25 +08:00
Larry850806
4dc478590f Remove configuring database in balances cmd 2021-03-17 14:35:00 +08:00
ycdesu
54ca62ac5c ftx: define ordersHistory in rest client 2021-03-17 08:18:37 +08:00
ycdesu
342b0dd1dd ftx: cancel orders 2021-03-16 22:36:44 +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
216c12b49e backup and restore position 2021-03-16 20:07:54 +08:00
c9s
a1667010eb fix filled grid map assignment 2021-03-16 20:05:03 +08:00
c9s
714d61a829 add grid restore behavior 2021-03-16 20:04:06 +08:00
c9s
8c08cfebb7 rename MarkStrategyID to just Mark 2021-03-16 14:07:47 +08:00
Yo-An Lin
f5b65e795e Merge pull request #160 from c9s/feature/grid-options 2021-03-16 12:59:14 +08:00
c9s
ebcef65b01 mark trades with the strategy ID 2021-03-16 10:58:51 +08:00
c9s
478bef526d copy the position object and send notification 2021-03-16 02:22:00 +08:00
c9s
98995bc75c use debug log for skipping filled grid 2021-03-16 02:21:46 +08:00
c9s
f56df038aa fix position and add catchup mode for grid strategy 2021-03-16 02:18:17 +08:00
c9s
60aa7df69a adjust withdraw/deposit query limit since there are no many in most cases 2021-03-16 02:14:24 +08:00
c9s
40fded70b2 reformat scale.go 2021-03-16 02:14:10 +08:00
c9s
c5eb6483a5 integrate QueryTicker for backtesting 2021-03-16 02:13:52 +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
ycdesu
c88297117b ftx: new rest everytime 2021-03-15 19:02:14 +08:00
c9s
c3996aee2b add Backup method to the local active order book 2021-03-15 18:25:36 +08:00
c9s
46c59f5009 add both side and support json unmarshalling 2021-03-15 18:09:55 +08:00
c9s
2bf4a555ec use OnStart instead of OnConnect 
this is for avoiding re-connect issue
 2021-03-15 18:04:55 +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
c95e712420 binance: emit disconnect 2021-03-15 17:48:16 +08:00
c9s
6d249cf83c bypass disconnect event 2021-03-15 17:48:16 +08:00
c9s
61a19cbfb4 align fields and tags 2021-03-15 17:31:07 +08:00
c9s
ab6b56d91e fix taker volume parsing 2021-03-15 15:37:53 +08:00
c9s
7b7811bbc3 revise orderbook command options 2021-03-15 10:23:53 +08:00
c9s
b24c69729a improve orderbook print layout 2021-03-15 10:23:42 +08:00
c9s
3ffa319ba8 improve max websocket reconnecting issue 2021-03-15 10:23:20 +08:00
c9s
e8ccc5eabf pass SubAccount field to the factory 2021-03-15 10:23:00 +08:00
c9s
97d427a9ca add ftx into the standard exchange factory 2021-03-15 10:22:45 +08:00
c9s
2eda012f43 add SubAccount field to the exchange session config 2021-03-15 10:13:41 +08:00
c9s
b7da47411e split exchange interface into ExchangeMarketDataService, ExchangeTradingService 2021-03-15 10:06:02 +08:00
c9s
c788601856 add disconnect callbacks on stream 2021-03-15 09:49:22 +08:00
Yo-An Lin
e0d7fefbf2 Merge pull request #150 from c9s/fix/pnl 
feature: add deposit service and withdraw service for sync
 2021-03-15 09:01:24 +08:00
Yo-An Lin
806a32724f Merge pull request #153 from c9s/improve/balances-cmd 2021-03-14 11:51:49 +08:00
c9s
afb8105694 add reward service todo 2021-03-14 11:18:23 +08:00
c9s
38b9baf340 connect sync with deposit and withdraw services 2021-03-14 11:18:23 +08:00
c9s
54ba240317 implement deposit sync 2021-03-14 11:18:22 +08:00
c9s
0246e298d2 apply launch date if since time is empty 2021-03-14 11:18:22 +08:00
c9s
75c6a2791c reduce log 2021-03-14 11:18:22 +08:00
c9s
ccbb78ce4d migration: extend tx id and address size 2021-03-14 11:18:22 +08:00
c9s
8e85274876 fix used time field for withdraw 2021-03-14 11:18:22 +08:00
c9s
b25671c864 fix max deposits history ordering 2021-03-14 11:18:22 +08:00
c9s
75778675e3 fix withdraw query order 2021-03-14 11:18:22 +08:00
c9s
dbcf35e4a4 add FeeCurrency field 2021-03-14 11:18:22 +08:00
c9s
2d6b6e7427 fix withdrawal data ordering 2021-03-14 11:18:22 +08:00
c9s
4d3b1ec938 fix QueryWithdrawHistory and QueryDepositHistory 2021-03-14 11:18:22 +08:00
c9s
4b49fda463 refactor sync service 2021-03-14 11:18:22 +08:00
c9s
3c90aa515d add deposit service and withdraw service 2021-03-14 11:18:22 +08:00
c9s
f22a6ee697 implement sync method on the trade service 2021-03-14 11:18:22 +08:00
c9s
8fc7c4798e implement sync method on reward service 2021-03-14 11:18:22 +08:00
c9s
5a02cdbda3 implement sync method on the order service 2021-03-14 11:18:22 +08:00
c9s
877ea73435 maxapi: align fields 2021-03-14 11:18:22 +08:00
c9s
be672c89e6 max: update deposit and withdraw types 2021-03-14 11:18:22 +08:00
c9s
3f0290479b binance: update withdraw and deposit types 2021-03-14 11:18:22 +08:00
c9s
ac45bb306a types: update deposit fields and withdraw fields 2021-03-14 11:18:22 +08:00
c9s
2b485602ad split ExchangeTransferService 2021-03-14 11:18:22 +08:00
c9s
b0ea2bfe14 types: add exchange name sql value and unmarshalling 2021-03-14 11:18:22 +08:00
c9s
4e9973681a add migration files 2021-03-14 10:58:26 +08:00
c9s
22a9809327 improve balances command 2021-03-14 10:35:01 +08:00
c9s
33213746f4 cmd: add --all option to the cancel command 2021-03-14 10:29:45 +08:00
ycdesu
a83b95d262 ftx: implemenet place order func 2021-03-13 10:41:04 +08:00
ycdesu
c3a677e2b8 ftx: rename orders cmd to listorders 2021-03-13 10:41:04 +08:00
ycdesu
506fdcd84f ftx: add conversion helper 2021-03-13 09:51:16 +08:00
ycdesu
778ceb2985 ftx: define orderResponse struct 2021-03-13 09:51:03 +08:00
ycdesu
0e611dbee4 ftx: rename orders to ordersResponse 2021-03-12 23:03:08 +08:00
c9s
48fe6054b0 exchange/max: fix query reward issue 2021-03-10 14:18:01 +08:00
Yo-An Lin
b58e96a8a2 Merge pull request #148 from jnlin/fix/telegram-config 2021-03-10 12:42:28 +08:00
Jui-Nan Lin
19e523c1e9 fix: typo of telegram bot auth token 2021-03-10 12:31:26 +08:00
YC
b33402df24 Merge pull request #147 from c9s/ftx/query-open-orders 2021-03-08 18:50:56 +08:00
ycdesu
ee8ebde12d ftx: add todo 2021-03-07 12:53:41 +08:00
ycdesu
6599f276db ftx: implement query open orders 2021-03-07 12:51:13 +08:00
ycdesu
3676450e4b ftx: convert open order 2021-03-07 12:51:13 +08:00
ycdesu
16366b09a4 ftx: rename responses.go to rest_responses.go 2021-03-07 12:51:13 +08:00
ycdesu
26963ce7ab ftx: rename balance.go to rest_balance_request.go 2021-03-07 12:51:13 +08:00
ycdesu
f6f3fcab02 ftx: orderbook snapshot checksum 2021-03-06 19:23:44 +08:00
ycdesu
be7c393fcb ftx: print orderbook update 2021-03-04 10:02:40 +08:00
ycdesu
cd6457f5c0 orderbook: extract String() from Print() 2021-03-04 08:55:33 +08:00
ycdesu
43275d08bc ftx: use pure function to convert orderbook snapshot 2021-03-03 22:36:14 +08:00
ycdesu
55b9569777 ftx: use the same struct to handle orderbook snapshot/update 2021-03-03 22:33:06 +08:00
Larry850806
689734567a Remove unused conditions when generating orders 2021-03-03 14:55:11 +08:00
ycdesu
e34f68ab90 ftx: unmarshal all fields at the same time 2021-03-03 10:31:46 +08:00
ycdesu
081aa17deb doc: modify comment 2021-03-03 08:38:55 +08:00
ycdesu
160f6323e8 ftx: emit orderbook snapshot 2021-03-02 22:18:41 +08:00
ycdesu
253810556e ftx: unmarshal orderbook snapshot 2021-03-02 18:33:19 +08:00
ycdesu
45528fa219 ftx: modify log 2021-03-02 18:33:19 +08:00
ycdesu
a26c0553ee cmd: raise symbol not found err 2021-03-02 18:33:19 +08:00
ycdesu
6f81b0ee17 orderbook: fix IsValid logic 
The original implementation always returns an error.
 2021-03-02 10:33:46 +08:00
ben
40eadfeaca add yaml tag for mapping basic risk control order executor. 2021-03-01 13:44:58 +08:00
c9s
ea5554cf52 fix Makefile and update version file 2021-03-01 12:07:00 +08:00
Yo-An Lin
a52f487d4e Merge pull request #138 from c9s/feature/global-margin-structure 
feature: convert and parse binance margin structure into global types
 2021-02-28 16:13:48 +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
3e616c5fac convert and parse binance margin account structure 2021-02-28 15:06:20 +08:00
c9s
32c2780b16 convert binance margin account data into the global structure 2021-02-28 15:06:20 +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
3c9bcd8c9d add more margin order side effect alias 2021-02-28 12:00:51 +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
ycdesu
f7ef4a8028 cmd: create orderbook command to print orderbook snapshot and updates 2021-02-27 19:28:01 +08:00
ycdesu
883b7ef028 ftx: handle message in a new struct 2021-02-27 19:27:44 +08:00
ycdesu
d9ad022a81 ftx: define subscribed msg 2021-02-27 19:27:37 +08:00
ycdesu
73d05fe7bb ftx: send subscriptions when connected 2021-02-27 18:42:46 +08:00
ycdesu
2a0bd5f962 ws: make Reconnect() public 2021-02-27 18:42:45 +08:00
ycdesu
282ce3ee99 cmd: move simple session factory to cmd/utils.go 2021-02-27 18:42:45 +08:00
ycdesu
fd5574b006 cmd: add balances testing cmd 
Only support ftx
 2021-02-27 17:24:59 +08:00
ycdesu
c52f918dd4 ftx: add missing types.exchange methods 2021-02-27 17:24:08 +08:00
ycdesu
45da7ca1f5 cmd: add ftx flags 2021-02-27 17:23:59 +08:00
ycdesu
8b838b9a59 ftx: make logger private 2021-02-27 17:01:20 +08:00
ycdesu
b28d9631ab ftx: return ftx stream but hasn't implement it yet 2021-02-27 16:48:50 +08:00
ycdesu
bf97af34f3 ws: implement base websocket client 2021-02-27 16:48:50 +08:00
c9s
03d7290e03 pull out time range group by clause generator 2021-02-26 17:22:08 +08:00
c9s
28a8ab34a2 pull out time range column name 2021-02-26 16:16:41 +08:00
c9s
02e7451ed6 bump version 2021-02-26 16:16:34 +08:00
c9s
1d29009133 fix max trade query ordering and sql query ordering for query last 2021-02-25 13:55:04 +08:00
c9s
854014f49a add currency position aggregation and tests 2021-02-24 10:46:42 +08:00
c9s
14830c442c refactor and implement reward sync and query 2021-02-23 22:53:00 +08:00
c9s
5a7cf05701 integrate reward service into the sync service 2021-02-23 16:39:48 +08:00
c9s
fb62af05a4 add global Reward type 2021-02-23 10:08:01 +08:00
c9s
96362a4936 max: add rewards api and example 2021-02-22 18:45:44 +08:00
c9s
507586b560 fix max websocket subscription 2021-02-22 17:36:30 +08:00