576 Commits

Author	SHA1	Message	Date
c9s	743ad0455f	add autoborrow strategy	2022-04-23 15:27:28 +08:00
c9s	c70317af2b	add autoborrow strategy	2022-04-23 15:00:04 +08:00
austin362667	1163b89807	factorzoo: fix correlation	2022-04-20 18:10:27 +08:00
austin362667	71a032a29b	factorzoo: clean up ... factorzoo: clean up factorzoo: clean up	2022-04-20 18:10:27 +08:00
austin362667	fdbb2be45c	factorzoo: add cross-sectional factors model strategy	2022-04-20 18:10:27 +08:00
austin362667	a1fa23121d	factorzoo: add correlation indicator	2022-04-20 18:10:27 +08:00
zenix	2a942eab0e	fix: rename EVWMP to VWEMP, fix backtesting fee	2022-04-15 19:12:11 +09:00
Yo-An Lin	d6755d7ca0	Merge pull request #512 from zenixls2/feature/elliott_wave ... strategy: elliott wave oscillator	2022-04-15 15:53:24 +08:00
Andy Cheng	07c30f82af	strategy: add StrategyController to bollmaker	2022-04-15 15:38:40 +08:00
c9s	f91132f35c	bollmaker: avoid using time in force in maker order	2022-04-15 11:40:43 +08:00
zenix	6f04789111	fix: rename packae name	2022-04-14 20:01:13 +09:00
zenix	4ee73149c1	feature: add heikinashi	2022-04-14 19:58:05 +09:00
zenix	2f51441256	fix: remove smartstop. use dynamic stoploss. improve profit and lower the lost	2022-04-13 21:10:07 +09:00
zenix	a0e218a5c6	use trailingstop	2022-04-13 21:10:07 +09:00
zenix	fcf29f7e11	fix: doing some performance tuning	2022-04-13 21:10:07 +09:00
zenix	0fe14c5fe5	feature: post orders for ewo	2022-04-13 21:10:07 +09:00
zenix	42a3737f2e	fix: use series in ewo to predict values	2022-04-13 21:10:07 +09:00
zenix	017dd4175a	feature: implement Elliott Wave Oscilla	2022-04-13 21:10:07 +09:00
なるみ	859933d4ed	Avoid to use map[string]fixedpoint.Value	2022-04-11 23:26:05 +08:00
Andy Cheng	854a364b38	strategy: use fixedpoint.Zero instead	2022-04-10 00:03:37 +08:00
Andy Cheng	ceccba43f9	strategy: re-submit trailing stop order if previous one failed	2022-04-08 18:46:41 +08:00
Andy Cheng	d94e8e3826	strategy: check trailing stop order creation success	2022-04-08 18:41:19 +08:00
Andy Cheng	f9052f3397	strategy: fix load CurrentHighestPrice bug	2022-04-08 18:35:02 +08:00
Yo-An Lin	6c20ec3c85	Merge pull request #499 from austin362667/strategy/bollmaker ... strategy: add bollmaker futures support	2022-04-07 10:11:41 +08:00
Yo-An Lin	ed0384c85a	Merge pull request #501 from andycheng123/fix-support ... strategy: fix wrong support condition	2022-04-06 18:57:39 +08:00
Andy Cheng	75f3e33543	strategy: use stop limit due to sop market unsupported by binance	2022-04-02 21:32:40 +08:00
Andy Cheng	8f4ba971f1	strategy: fix typo	2022-04-02 21:27:52 +08:00
Andy Cheng	c2747ca9e4	strategy: remove TimeInForce when sending trailing stop order	2022-04-02 21:19:47 +08:00
Andy Cheng	861fd84fd4	strategy: use stop market to tp instead of stop limit	2022-03-31 11:10:53 +08:00
Andy Cheng	8782104f1a	strategy: remove unnecessary notification	2022-03-30 16:46:42 +08:00
なるみ	8881b9e105	Fix package name	2022-03-29 21:51:50 +08:00
Andy Cheng	934e4aa69f	strategy: fix wrong support condition	2022-03-29 11:46:01 +08:00
austin362667	a8484046d3	bollmaker: add TimeInForce for futures limit order support	2022-03-28 21:12:45 +08:00
Yo-An Lin	1a29bc7362	Merge pull request #492 from andycheng123/tg-control ... feature: strategy controller	2022-03-26 15:41:59 +08:00
なるみ	83e37f52a8	Rebalance on kline closed	2022-03-24 12:50:40 +08:00
Andy Cheng	fb8b79f38d	interact: rename GetStrategyStatus() to GetStatus()	2022-03-21 16:12:23 +08:00
Andy Cheng	ffd5c646e9	interact: refactor interface func name	2022-03-21 15:08:15 +08:00
Andy Cheng	5f7710103d	type: add StrategyStatus type	2022-03-21 15:01:15 +08:00
Andy Cheng	ce6efd9333	strategy: add EmergencyStop() to support strategy	2022-03-21 11:51:12 +08:00
Andy Cheng	b6aff9674c	strategy: add StrategyController functions to support strategy	2022-03-21 10:20:12 +08:00
c9s	f85db9be61	improve asset summary layout and format	2022-03-18 17:13:37 +08:00
zenix	77a88aabe4	feature: add CancelOrders and CancelOrdersTo to executor	2022-03-16 21:38:09 +09:00
Yo-An Lin	00b8f7d6b7	Merge pull request #479 from andycheng123/position-closer ... strategy: add PositionCloser function for support strategy	2022-03-15 21:59:21 +08:00
zenix	d6995e40ff	fix: submit order on userDataStream == nil	2022-03-15 20:51:15 +09:00
Andy Cheng	72a6877094	strategy: add PositionCloser function for support strategy	2022-03-15 19:19:44 +08:00
Yo-An Lin	ab447a152f	Merge pull request #475 from andycheng123/fix-support ... fix support strategy	2022-03-15 16:50:03 +08:00
Andy Cheng	231085d507	strategy: add PositionReader function for support strategy	2022-03-15 16:46:27 +08:00
Andy Cheng	b94096cb2e	strategy: cache orders.IDs() in orderIds	2022-03-15 16:44:43 +08:00
c9s	4b89f4a48b	bollmaker: fix profit stats notification	2022-03-14 21:21:58 +08:00
c9s	5db4e11167	rewrite trade profit handling	2022-03-14 21:21:58 +08:00
c9s	6fec30d79c	call record position on trade	2022-03-14 21:21:58 +08:00
c9s	d67b800e7e	use RecordPosition	2022-03-14 21:21:58 +08:00
c9s	b1559bcbe3	fix persistence injection	2022-03-14 21:21:43 +08:00
Andy Cheng	822fea44fc	strategy: fix index out of range error	2022-03-14 12:01:17 +08:00
Andy Cheng	ad7605e7b2	strategy: do not submit order if current position < market.MinQuantity	2022-03-14 11:45:24 +08:00
c9s	b1ba5386b3	fix bbgo.Notifiability injection	2022-03-06 16:09:15 +08:00
c9s	25f3aeef58	bollmaker: call RecordProfit	2022-03-06 15:39:20 +08:00
c9s	8fa0e6702c	bollmaker: assign strategy id and instance id	2022-03-06 15:38:58 +08:00
c9s	a9f9fa8fed	bollmaker: add Environment field and Market field for injection	2022-03-05 12:40:56 +08:00
c9s	5fe0b69927	bollmaker: use the new profit generator method	2022-03-05 01:41:23 +08:00
c9s	197d750cb4	all: update profit struct fields	2022-03-05 01:39:53 +08:00
c9s	9e0df77a36	move profit struct into the types package	2022-03-04 16:39:48 +08:00
c9s	0c09e6b32a	use global timeInForce type	2022-02-18 13:52:13 +08:00
zenix	ced2afaed8	fix: remove backup file in schedule strategy	2022-02-16 18:32:02 +09:00
zenix	a3a262783f	fix: set backtest cancel Delta to be 1e-11	2022-02-15 18:59:10 +09:00
zenix	8648528435	fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests	2022-02-15 14:55:19 +09:00
zenix	cdba7924b4	fix backtest panic when cancel fail on the last order	2022-02-15 12:01:39 +09:00
zenix	fad85d0992	fix binance test, outptu for support and xgap strategies	2022-02-15 12:01:39 +09:00
zenix	05521a98b6	add skeleton strategy. fix most of the tests. fix final asset value	2022-02-15 12:01:39 +09:00
zenix	abc1d535d8	fix bollmaker, fix pnl issues	2022-02-15 12:01:39 +09:00
zenix	105b085786	fix bollgrid, emstop, flashcrash, funding, grid, pricealert, pricedrop, rebalance, schedule, swing, xbalance, xgap, xmaker and speedup fixedpoint	2022-02-15 12:01:39 +09:00
zenix	2ccc449657	fix xpuremaker,xnav,techsignal,support,etf and add methods in fixedpoint	2022-02-15 12:01:39 +09:00
zenix	e221f54397	add dnum as the fixedpoint implementation. change types float64 to fixedpoint.Value ... change pnl report to use fixedpoint fix: migrate kline to use fixedpoint	2022-02-15 12:00:39 +09:00
Andy Cheng	f7fc7f64b4	strategy: fix fixedpoint value compared to 0 problem	2022-02-06 17:47:14 +08:00
Andy Cheng	41c3b860b0	strategy: rename callBackRatio to callbackRatio	2022-02-06 17:47:14 +08:00
Andy Cheng	a9b48ff138	strategy: fix fixedpoint.Value compare to 0 problem	2022-02-06 17:47:14 +08:00
Andy Cheng	8b009a984a	strategy: fix a bug when 'trailingStopControl' is not used	2022-02-06 17:47:14 +08:00
Andy Cheng	571c3834c5	strategy: fix the JSON tag of 'CurrentHighestPrice'	2022-02-06 17:47:14 +08:00
Andy Cheng	769da1e77c	strategy: rename 'trailingStopCallBackRatio' JSON tag to 'callBackRatio'	2022-02-06 17:47:14 +08:00
Andy Cheng	b48c7f40d7	strategy: make TrailingStopCallBackRatio and MinimumProfitPercentage fixedpoint.Value	2022-02-06 17:47:13 +08:00
Andy Cheng	883f43a9ad	strategy: construct trailingStopControl in the caller	2022-02-06 17:47:13 +08:00
Andy Cheng	60a4ab2f27	strategy: save state on high price update and cancel trailing stop order on shutdown	2022-02-06 17:47:13 +08:00
Andy Cheng	1bd787f44c	strategy: return the createdOrders objects instead in submitOrders()	2022-02-06 17:47:13 +08:00
Andy Cheng	f673fc30ad	strategy: rename GenerateTrailingStopOrder() to GenerateStopOrder() in support strategy	2022-02-06 17:47:13 +08:00
Andy Cheng	2a8938fce0	re-indent with tabs	2022-02-06 17:47:13 +08:00
Andy Cheng	66b042fea7	strategy: trailing stop TP for support strategy	2022-02-06 17:47:11 +08:00
c9s	bf8558e9ad	bollmaker: add BuyBelowNeutralSMA option	2022-02-01 01:40:51 +08:00
c9s	bed03dbd17	schedule: refactor and improve schedule strategy with QuantityOrAmount struct	2022-01-31 01:42:21 +08:00
c9s	11bbdb16a0	bollmaker: clean up empty files	2022-01-31 01:31:31 +08:00
c9s	0e7f88e3bf	move SmartStops into the bbgo package	2022-01-31 01:27:47 +08:00
c9s	eb5064ccfe	bollmaker: separate bidSpread and askSpread	2022-01-31 01:11:30 +08:00
c9s	2e7621ca55	add BidSpread and AskSpread	2022-01-31 01:08:33 +08:00
c9s	701e80d0d8	bollmaker: pull out trailing stop order logics into SmartStops struct	2022-01-31 01:07:00 +08:00
c9s	67bc5d523a	bollmaker: refactor trailing stop snippet	2022-01-31 00:44:04 +08:00
c9s	0667c138ab	backtest: fix duplicate trade emit issue	2022-01-30 03:05:19 +08:00
c9s	e1fc0e7b8d	bollmaker: remove redundant log and fix return	2022-01-30 02:00:42 +08:00
c9s	20938895a8	bollmaker: merge skip condition	2022-01-30 01:40:33 +08:00
c9s	a185f3fdbe	bollmaker: improve trailing stop order log	2022-01-30 01:37:36 +08:00
c9s	9adc3a9243	bollmaker: always collect trades and check balance	2022-01-30 01:21:36 +08:00
c9s	2255f3ed0a	bollmaker: check dust order for stop	2022-01-29 17:44:42 +08:00