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Commit Graph

1037 Commits

Author SHA1 Message Date
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