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5311 Commits

Author SHA1 Message Date
c9s
b59b42c3fa
Merge branch 'feature/tri' 2023-07-05 16:47:01 +08:00
c9s
631203c89e
tri: update symbol file 2023-07-05 16:46:43 +08:00
c9s
05a8a7442c
Merge pull request #1221 from c9s/feature/tri 
FEATURE: add triangular arbitrate strategy as an example
 2023-07-05 16:24:29 +08:00
c9s
f06e37c44f
tri: ignore test in dnum mode 2023-07-05 16:02:11 +08:00
c9s
1abb301af1
core: add order update trigger channel 2023-07-05 15:51:29 +08:00
c9s
e19aa8fa10
add tri strategy 2023-07-05 15:51:16 +08:00
c9s
b9b89756e2
Merge pull request #1220 from c9s/feature/scmaker-with-risk-control 
REFACTOR: refactor risk control with the order executor interface and mocks
 2023-07-05 15:48:38 +08:00
c9s
01096829ae
bbgo: drop empty files 2023-07-05 15:30:15 +08:00
c9s
fbc49c28ef
types: add PriceVolume.Equals method 2023-07-05 15:30:08 +08:00
c9s
1ad10a9360
all: move trade collector to pkg/core 2023-07-05 15:26:36 +08:00
c9s
ff727ae495
all: use order executor extended interface to mock the risk tests 2023-07-04 22:07:31 +08:00
c9s
f1828beac8
all: move trade store and order store into pkg/core 2023-07-04 21:42:24 +08:00
c9s
1f98731636
riskcontrol: add doc to PositionRiskControl 2023-07-04 21:33:40 +08:00
c9s
adbb6d7f93
riskcontrol: move parameter order 2023-07-04 21:32:34 +08:00
c9s
c8ae36ddfc
riskcontrol: move release position order submission into the pos risk control 2023-07-04 21:31:47 +08:00
c9s
f6ad784583
Merge pull request #1219 from c9s/feature/scmaker-with-risk-control 
FEATURE: [scmaker] integrate risk control
 2023-07-03 17:50:16 +08:00
c9s
0426c18757
scmaker: initialize order executor before we setup risk control 2023-07-03 17:39:42 +08:00
c9s
808d771748
Merge pull request #1218 from c9s/feature/scmaker-liq-skew 
FEATURE: [scmaker] add liquiditySkew support
 2023-07-03 17:23:20 +08:00
c9s
ae3f371551
all: refactor risk control and integrate risk control into scmaker 2023-07-03 17:09:13 +08:00
c9s
3052dd5add
scmaker: add liquiditySkew support 2023-07-03 16:22:01 +08:00
Andy Cheng
b877d07f74
exit/hhllStop: log hhll detection instead of notify 2023-07-03 16:06:04 +08:00
c9s
532b6f783d
types: remove unused Interval1ms 2023-07-03 15:27:37 +08:00
c9s
ea130e434c
types,cmd: add IntervalMap type to refactor the interval code 2023-07-03 15:14:48 +08:00
c9s
d60dbe5e0b
refactor interval slice code and add sort test 2023-07-03 15:07:34 +08:00
c9s
471df81b29
bump version to v1.50.1 2023-07-02 14:14:06 +08:00
c9s
3f7710303f
fix .Indicators nil map 2023-07-02 14:13:24 +08:00
c9s
334204b46a
bbgo: add deprecation warning 2023-07-01 13:26:57 +08:00
Andy Cheng
2fe19119a7
exit/hhllStop: avoid using underscore in variable names 2023-06-30 14:10:25 +08:00
Andy Cheng
12e3e9b5f8
exit/hhllStop: readability 2023-06-30 14:03:46 +08:00
Andy Cheng
936a3c95d9
exit/hhllStop: readability 2023-06-30 13:55:07 +08:00
Andy Cheng
43c49aa41d
exit/hhllStop: readability 2023-06-30 13:51:47 +08:00
Andy Cheng
3c0ade57f8
exit/hhllStop: fix bugs 2023-06-30 13:42:10 +08:00
c9s
daec6b5f30
bump version to v1.50.0 2023-06-30 12:02:40 +08:00
c9s
3929eb2090
Merge pull request #1214 from c9s/refactor/bollmaker 
REFACTOR: [bollmaker] upgrade to indicator v2
 2023-06-30 12:01:47 +08:00
c9s
e1affc746d
Merge pull request #1213 from c9s/feature/v2-indicator-set 
FEATURE: add v2 indicator set api
 2023-06-30 12:01:03 +08:00
c9s
fe9038106d
types: wrap pendingRemoval with lock 2023-06-30 11:41:13 +08:00
c9s
085114b244
grid2: add warning message when failed to acquire the lock 2023-06-30 11:07:02 +08:00
c9s
0e2f69e837
bbgo: just use else condition 2023-06-30 11:05:03 +08:00
c9s
a3a1586e24
bbgo: add TestIndicatorSet_EWMA test 2023-06-30 11:02:42 +08:00
c9s
ea1025d790
indicator: implement Subscribe method on PriceStream 2023-06-30 10:58:25 +08:00
c9s
775ad7d906
indicator: improve kline stream backfill 2023-06-30 10:58:07 +08:00
c9s
dcb091cab1
bbgo: add TestIndicatorSet_closeCache test 2023-06-30 10:46:40 +08:00
c9s
9885a68537
bbgo: rename AddBackLog to BackFill 2023-06-30 10:38:38 +08:00
c9s
064932ea9d
indicator: add VOLUME api 2023-06-30 10:37:42 +08:00
c9s
b29c1aa972
bbgo: add warning 2023-06-30 10:35:34 +08:00
c9s
77e31e9274
types: split pendingRemoval lock scope 2023-06-30 01:12:10 +08:00
c9s
fc7edc5c80
grid2: call TryLock in updateGridNumOfOrdersMetricsWithLock 2023-06-30 01:05:18 +08:00
c9s
5c5543d78a
bbgo: when err == nil, should just return the created orders 2023-06-29 21:08:43 +08:00
c9s
e3be2a8af6
bollmaker: replace bollinger indicator with v2 indicator 2023-06-29 18:04:39 +08:00
c9s
f91a4c2979
indicator: simplify add klines 2023-06-29 17:55:55 +08:00
c9s
eafd777046
add indicators v2 api to session 2023-06-29 17:49:04 +08:00
c9s
dddf7c57ba
bbgo: add v2 indicator set 2023-06-29 17:44:36 +08:00
c9s
2d9890a18f
bump version to v1.49.0 2023-06-29 17:19:22 +08:00
c9s
8a89408f0f
Merge pull request #1212 from randych521/randy/feat/riskcontrol-for-mm 
FEATURE: add risk controls for strategies
 2023-06-29 17:18:03 +08:00
c9s
ce40549e88
all: rename QueryOrderUntilSuccessful to QueryOrderUntilFilled 2023-06-29 17:17:32 +08:00
randy
9a98c4995e Add two risk controls for strategies: postion and circuit break. 2023-06-29 16:52:35 +08:00
c9s
c6f7723620
bbgo: rename env ENABLE_MARKET_TRADE_STOP to DISABLE_MARKET_TRADE_STOP 
since we've set it default to true
 2023-06-29 14:26:12 +08:00
c9s
3da145877f
Merge pull request #1206 from c9s/improve/concurrent-stop-loss 
IMPROVE: improve stop loss methods
 2023-06-29 14:25:02 +08:00
c9s
c4bd5a8a13
Merge pull request #1210 from c9s/refactor/move-retry-funcs 
REFACTOR: move retry functions
 2023-06-29 14:16:51 +08:00
c9s
2b65012b37
bbgo: openPosition should check if it's still closing 2023-06-29 13:29:31 +08:00
c9s
b6dba18f77
all: move retry functions to the retry package 2023-06-29 10:59:01 +08:00
c9s
131345a762
types: add TestPosition_SetClosing test 2023-06-28 18:13:11 +08:00
c9s
195ace63b0
check if it's in back testing mode 2023-06-28 18:11:00 +08:00
c9s
0360d9fa8b
block and query order until the market order for closing position is filled 2023-06-28 18:09:10 +08:00
c9s
b5f2f57678
bbgo: introduce ENABLE_MARKET_TRADE_STOP env var 2023-06-27 16:39:10 +08:00
c9s
5afd23b5c7
bbgo: trigger trailingStop when kline is updated 2023-06-27 16:39:10 +08:00
c9s
ac1b5aa0e2
bbgo: trigger price check when kline is updated (not just closed) 2023-06-27 16:39:09 +08:00
c9s
fdf2a91604
bbgo: enable enableMarketTradeStop 2023-06-27 16:39:09 +08:00
c9s
4bc41bad9d
bbgo: improve ProtectiveStopLoss notification message 2023-06-27 16:39:09 +08:00
c9s
02fa4d822a
cmd: fix persistent flags method call 2023-06-27 16:32:46 +08:00
c9s
37da9dee0e
cmd: add log formatter option and refactor the logrus setup code 2023-06-27 16:30:46 +08:00
c9s
e8fe8082cc
cmd: remove ftx options 2023-06-27 16:17:00 +08:00
gx578007
8e64b5293e MINOR: [grid2] delete order prices metric 2023-06-23 21:30:32 +08:00
c9s
c802fae211
xalign: add logger 2023-06-21 17:36:09 +08:00
c9s
f6128b9bdc
xalign: support percentage string 2023-06-21 15:59:15 +08:00
c9s
76884a4ddf
xalign: add balance fault tolerance 2023-06-21 15:56:59 +08:00
c9s
d4cf39430e
xgap: fix group id range 2023-06-20 17:18:15 +08:00
c9s
91a2c7255c
bump version to v1.48.4 2023-06-19 17:06:09 +08:00
c9s
833d942833
bump version to v1.48.4 2023-06-19 17:05:42 +08:00
c9s
de00e5fa88
scmaker: preload indicators 2023-06-19 17:03:38 +08:00
c9s
9b8c2b5ba4
bump version to v1.48.3 2023-06-19 15:39:34 +08:00
c9s
55b8413472
scmaker: when user data stream is ready, place liquidity orders 2023-06-19 15:38:55 +08:00
c9s
1f3a13808b
bump version to v1.48.3 2023-06-19 15:26:15 +08:00
c9s
f579fc7d93
scmaker: call cancel api before starting up 2023-06-19 15:25:10 +08:00
c9s
58a13507bc
scmaker: graceful cancel orders 2023-06-19 15:22:43 +08:00
c9s
6a5e35c065
bump version to v1.48.2 2023-06-19 14:57:46 +08:00
c9s
759dce1d5a
types: fix number() call 2023-06-19 14:51:37 +08:00
c9s
2448fa6f83
scmaker: add MaxExposure option 2023-06-19 13:46:45 +08:00
c9s
8360931497
fix test TestMarket_AdjustQuantityByMinNotional 2023-06-19 13:46:20 +08:00
c9s
46fecbbdeb
types: do not truncate quantity before adjustment 2023-06-16 15:35:07 +08:00
c9s
dc3901cc7f
xfunding: add more notificiation 2023-06-16 13:03:37 +08:00
c9s
e1c602c68f
bump version to v1.48.1 2023-06-16 08:39:24 +08:00
c9s
17931d179e
bump version to v1.48.1 2023-06-16 08:39:14 +08:00
c9s
8bd5fc246c
Merge pull request #1168 from andycheng123/profit-report-parameter 
FEATURE: Accumulated Profit report
 2023-06-15 18:14:44 +08:00
Andy Cheng
2ed5095ffb
feature/profitReport: pass 0 to Last() 2023-06-15 17:35:52 +08:00
Andy Cheng
6b46b1e01e
Merge branch 'main' into profit-report-parameter 2023-06-15 17:28:02 +08:00
c9s
a7b2051858
scmaker: fix the layer price 2023-06-15 17:26:04 +08:00
c9s
aa26dfaabc
bump version to v1.48.0 2023-06-15 15:03:09 +08:00
c9s
73726b91c7
scmaker: check ticker price and adjust liq order prices 2023-06-15 13:47:21 +08:00
c9s
148869d46b
scmaker: clean up 2023-06-14 17:31:01 +08:00
c9s
8344193e81
scmaker: rename liquidityLayerTick to liquidityLayerTickSize 2023-06-14 17:25:23 +08:00
c9s
372028ebe6
scmaker: truncate price with price precision 2023-06-14 17:25:23 +08:00
c9s
68c3c96b10
scmaker: fix balance lock and active order book update issue 2023-06-14 17:25:23 +08:00
c9s
f426d151a8
scmaker: final version 2023-06-14 17:25:23 +08:00
c9s
b8597a1803
scmaker: calculate balance quantity 2023-06-14 17:25:23 +08:00
c9s
aa4f998382
bbgo: add scale Sum method 2023-06-14 17:25:23 +08:00
c9s
40f8283616
scmaker: basic prototype 2023-06-14 17:25:23 +08:00
c9s
a28081a5d2
xalign: add more checks 2023-06-14 17:25:22 +08:00
c9s
0482ade44a
backtest: adjust best bid/ask price with tick size 2023-06-14 17:25:22 +08:00
c9s
fded41b0ea
indicator: fix macd test case since we changed the ewma default value 2023-06-14 17:25:22 +08:00
c9s
e529a3271d
indicator: fix ewma2 initial value 2023-06-14 17:25:22 +08:00
c9s
0a5f31a80f
indicator: rename BollStream to BOLLStream 2023-06-14 17:25:22 +08:00
c9s
295ae95da6
indicator: implement bollinger indicator 2023-06-14 17:25:22 +08:00
c9s
9d9f898f17
indicator: use pointer for float64series 2023-06-14 17:25:22 +08:00
c9s
ea3b1cc937
binance: fix logrus call 2023-06-14 17:25:22 +08:00
c9s
c00d7b669b
Merge pull request #1174 from c9s/feature/grid2/recover 
FEATURE: [grid2] recover with twin orders
 2023-06-14 13:02:12 +08:00
c9s
1fd52f78a9
xalign: allocate and bind order store 2023-06-13 23:23:41 +08:00
c9s
45aaad1629
xalign: improve update message 2023-06-13 23:21:07 +08:00
c9s
007f3c9531
autoborrow: add margin level check back 2023-06-13 23:17:24 +08:00
c9s
1855e52838
xalign: graceful cancel orders when shutting down 2023-06-13 17:29:19 +08:00
c9s
a126bc3bb6
binance: add market info warning 2023-06-13 17:09:37 +08:00
c9s
0a7c0632c4
xalign: use %+v format for submit order 2023-06-13 17:08:37 +08:00
c9s
36fa565460
types: add one more market tests 2023-06-13 17:08:28 +08:00
c9s
6308ef5107
autoborrow: repay debt first 2023-06-13 14:21:16 +08:00
c9s
476378e742
xalign:add one more dust check 2023-06-13 13:53:51 +08:00
c9s
599b18fc3c
xalign: skip dust quantity 2023-06-13 13:49:22 +08:00
c9s
358e873582
xalign: add notification 2023-06-13 13:47:01 +08:00
c9s
64dcef3429
xalign: fix tick size calculation 2023-06-13 13:44:31 +08:00
c9s
dadf22e48f
xalign: add more log 2023-06-13 13:40:39 +08:00
c9s
5a30bedc77
autoborrow: always repay first when it deposits 2023-06-13 13:23:10 +08:00
c9s
fe5a6f4c36
xalign: fix quote amount check 2023-06-13 12:42:07 +08:00
c9s
740cfe6d5c
xalign: fix session refs 2023-06-13 12:27:38 +08:00
c9s
909c8f5cc7
xalign: add more checks 2023-06-13 12:25:10 +08:00
c9s
518c6938be
xalign: add more checks 2023-06-13 12:25:04 +08:00
chiahung
49971a2e50 use existing interface 2023-06-12 17:15:56 +08:00
chiahung
18a7520fa7 MINOR: add test for recovery 2023-06-12 17:15:56 +08:00
chiahung
2f050332eb FEATURE: query trades until hard limit or finish filled 2023-06-12 17:15:56 +08:00
chiahung
f38cfb6ea3 REFACTOR: refactor for future test 2023-06-12 17:15:56 +08:00
chiahung
61892eb2df renaming 2023-06-12 17:15:56 +08:00
chiahung
93d35cc423 FEATURE: use TwinOrder to recover 2023-06-12 17:15:56 +08:00
c9s
5996b32ee1
Merge pull request #1194 from c9s/improve/hhllstop 
IMPROVE: improve hhllstop message
 2023-06-09 19:11:57 +08:00
c9s
f6f3293191
xalign: round up requiredQuoteAmount 2023-06-09 11:04:31 +08:00
c9s
8baafdf329
xalign: add DryRun and fix quote amount calculation 2023-06-08 23:15:26 +08:00
c9s
7a6000a316
xalign: fix instanceID 2023-06-08 18:05:58 +08:00
c9s
db43c87227
xalign: load interval from config 2023-06-08 17:02:06 +08:00
c9s
c9ee4e52cc
xalign: add xalign strategy 2023-06-08 17:02:05 +08:00
c9s
5dde93c487
Merge pull request #1192 from c9s/feature/indicator-improvements 
IMPROVE: improve order executor error checking, trailing stop and indicators
 2023-06-07 17:34:38 +08:00
c9s
c25ac65eb0
bbgo: improve hhllstop message 2023-06-07 16:45:46 +08:00
c9s
bd335a0335
bbgo: fix trailing stop order tag 2023-06-07 16:39:37 +08:00
c9s
0f141c7f79
schedule: add MinBaseBalance config 2023-06-07 16:36:38 +08:00