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4,596 Commits 59 Branches 138 Tags 188 MiB
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Commit Graph

239 Commits

Author SHA1 Message Date
zenix
42a3737f2e fix: use series in ewo to predict values 2022-04-13 21:10:07 +09:00
なるみ
83e37f52a8 Rebalance on kline closed 2022-03-24 12:50:40 +08:00
zenix
39572c5fe0 fix: remove maker/buyer/taker/sellerCommission 2022-03-07 14:32:00 +09:00
zenix
25b5eddc03 feature: add multiple exchange support in backtest 
fix: change doc, since --exchange removed from backtest

fix: test for config changes
 2022-03-07 13:18:56 +09:00
zenix
05521a98b6 add skeleton strategy. fix most of the tests. fix final asset value 2022-02-15 12:01:39 +09:00
Andy Cheng
41c3b860b0
strategy: rename callBackRatio to callbackRatio 2022-02-06 17:47:14 +08:00
Andy Cheng
16f811f48f
strategy: support strategy doc 2022-02-06 17:47:14 +08:00
c9s
c0b8c36222 config: update bollmaker config 2022-02-01 01:43:12 +08:00
c9s
f96c2e6271 bbgo: add activated flag on trailing stop order 2022-02-01 00:41:28 +08:00
c9s
c7ce59cd6f config: add more doc to the config 2022-01-31 01:52:47 +08:00
c9s
36b0db6cc8 config: update schedule strategy config 2022-01-31 01:46:02 +08:00
c9s
bed03dbd17 schedule: refactor and improve schedule strategy with QuantityOrAmount struct 2022-01-31 01:42:21 +08:00
c9s
bcb33f6887 config: update trailing stop usage doc 2022-01-31 00:18:52 +08:00
c9s
f49b7165d8 bollmaker: fix MinNotional adjustment 2022-01-27 19:56:10 +08:00
c9s
eec26663c5 update bollmaker config 2022-01-27 19:17:00 +08:00
c9s
30a9a5849f add user data stream sync config 2022-01-27 09:34:04 +08:00
c9s
78c8cb1362 add dynamicExposurePositionScale to the sample config 2022-01-27 08:52:27 +08:00
c9s
aaec79eec9 add sync config example 2022-01-27 08:43:44 +08:00
austin362667
904e7c03ad strategy: cleanup funding strategy 
strategy: cleanup funding strategy
 2022-01-15 08:28:02 +08:00
austin362667
d0e26c66e4 strategy: add funding strategy 2022-01-15 08:28:02 +08:00
c9s
c6a20b0d53 config/bollmaker.yaml: add persistence config 2022-01-09 23:45:33 +08:00
c9s
ba7328f025 config: move disableShort and add more description 2022-01-09 22:53:35 +08:00
c9s
10e21d5a8f config: change default exchange 2022-01-09 22:49:54 +08:00
c9s
51aa45a077 config: add config doc 2022-01-09 22:48:34 +08:00
c9s
4cdb5b607b rename bollpp to bollmaker 2022-01-09 01:20:47 +08:00
c9s
567f0c8b59 update bollpp config 2022-01-08 02:40:34 +08:00
c9s
1652c17e33 config: clean up xmaker config 2022-01-01 01:06:08 +08:00
c9s
dcdf33e2c9 xmaker: pull out notifyTrade to a single callback 2021-12-27 00:12:35 +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
なるみ
41d4001872 Add log 2021-12-22 01:59:25 +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
4416a96194 doc: remove obsolete back-testing commission options 2021-12-17 14:41:40 +08:00
Andy Cheng
0e82bf630f doc: update support strategy 2021-12-16 19:32:35 +08:00
Andy Cheng
debd5b3bf2 doc: issue #281 2021-12-16 18:35:44 +08:00
Andy Cheng
634b722044 doc: support strategy 2021-12-16 18:30:38 +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
なるみ
f320d78f2f Refactor 2021-12-14 02:18:08 +08:00
Andy Cheng
5a6ff7ebb7 doc: fix tg doc, needs no notification: block 2021-12-13 11:43:05 +08:00
なるみ
f494a0f514 Initial commit of rebalance strategy 2021-12-13 05:19:44 +08:00
Andy Cheng
8fdd8873c8 config: add pricealert-tg.yaml 2021-12-09 20:23:40 +08:00
c9s
f6937b03e0 adjust default grid parameters 2021-12-05 02:51:08 +08:00
c9s
df683bdf56 use position to calculate the pnl 2021-12-05 02:17:15 +08:00
c9s
e835e63c9b add persistence settings to bollpp config 2021-10-18 00:57:23 +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
4c061439d3 rename buyandhold to pricedrop 2021-10-14 13:10:00 +08:00
c9s
7119378ac0 add bollpp config 2021-10-14 12:53:46 +08:00
c9s
6e7f12ca9f rename trailingstop to emastop 2021-10-14 12:04:56 +08:00
c9s
764a8be46a adjust grid backtest parameters 2021-10-13 10:43:56 +08:00
c9s
291a2edbaa fix etf config format 2021-08-26 11:47:51 +08:00
c9s
14d6a71127 add etf config example 2021-08-26 11:37:20 +08:00
c9s
41daea9e05 config: update support example configs 2021-06-01 01:39:22 +08:00
c9s
b27a840607 add interval setting 2021-05-12 01:29:43 +08:00
c9s
4c1d2b60a9 add xbalance example 2021-05-12 01:18:18 +08:00
c9s
6c34ed2d71 increase date range 2021-05-08 01:04:48 +08:00
c9s
28b918b3f9 adjust balance config and grid parameters 2021-05-08 01:03:50 +08:00
c9s
3501e8f5fd refactor backtest, add BootstrapBacktestEnvironment 2021-05-08 00:14:25 +08:00
c9s
7c57246070 add TWD balance 2021-05-05 16:59:30 +08:00
c9s
503ce42a8d adjust backtest time range 2021-05-05 16:56:49 +08:00
Yo-An Lin
76bf6edffc add more comments to the schedule parameters 2021-05-03 00:14:12 +08:00
c9s
885d6c1a9d add schedule config for ethusdt and btcusdt 2021-05-03 00:10:29 +08:00
Yo-An Lin
4e75557c0f update schedule config 2021-05-03 00:07:46 +08:00
c9s
103095a986 add schedule config example 2021-05-03 00:06:24 +08:00
c9s
5de221524f adjust state and reset per day 2021-03-22 18:48:18 +08:00
c9s
e86f29b7cc add gap strategy 2021-03-22 17:32:21 +08:00
c9s
814a77ea39 xmaker: improve balance checking 2021-03-21 12:55:33 +08:00
c9s
e22a2caade add basic risk control to the xmaker config 2021-03-21 12:55:33 +08:00
c9s
bc620601f6 add xmaker config files 2021-03-21 12:55:33 +08:00
Larry850806
a77bd1d74c Remove unused symbols in backtest 2021-03-03 14:43:49 +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
b158884708 add long flag to the sample config 2021-02-20 11:52:56 +08:00
c9s
b207663732 add config for testing support strategy 2021-02-20 10:32:43 +08:00
c9s
f8378957ee add more checks for bollgrid 
related to #93
 2021-02-13 16:03:31 +08:00
Yo-An Lin
7aa6b60fbc Update and rename movingstop.yaml to trailingstop.yaml 2020-12-31 17:18:25 +08:00
Yo-An Lin
ff5378bc51 Update grid-usdttwd.yaml 2020-12-31 14:02:10 +08:00
Yo-An Lin
ce83285893 Update grid-usdttwd.yaml 2020-12-31 13:56:12 +08:00
c9s
39868a99bc add usdttwd grid config 2020-12-31 13:54:17 +08:00
c9s
43c8b03da9 reconfigure price range 2020-12-29 18:32:59 +08:00
c9s
f485c1ba7f fix grid strategy order placing 2020-12-29 18:18:32 +08:00
c9s
97375da875 delete cached config/bbgo.yaml 2020-12-17 15:38:34 +08:00
c9s
16c873ce7d update readme for helm chart usage 2020-12-17 15:31:00 +08:00
c9s
bee06ea192 chart: load secrets into env vars 2020-12-17 14:09:22 +08:00
c9s
f604e3c3c9 include ETHUSDT in backtest 2020-12-14 14:40:50 +08:00
c9s
cabd8f8dcb improve buyandhold strategy 2020-12-14 14:21:02 +08:00
c9s
c5d002a0b0 fix market data kline registration 2020-12-05 13:32:41 +08:00
Yo-An Lin
535e07cf25 Create movingstop.yaml 2020-12-05 10:23:42 +08:00
ricotoothless
6ab7b04a90 fix: backtest endTime 2020-11-26 22:53:23 +08:00
Yo-An Lin
0e16434e24 Delete grid-max.yaml 2020-11-12 17:03:15 +08:00
c9s
63bfaccc4e update config 2020-11-12 16:34:57 +08:00
c9s
1a6f5b99ae bollgrid: submit orders on connect 2020-11-12 16:31:09 +08:00
c9s
fc9409673f add graceful shutdown 2020-11-12 14:50:21 +08:00
c9s
de2a8d6adc update grid backtest date range 2020-11-12 12:55:54 +08:00
c9s
6740541bcd improve bollgrid 2020-11-12 08:28:59 +08:00
c9s
4dfc0039e5 add bollgrid config 2020-11-11 23:19:08 +08:00
c9s
b2cd595069 grid: rename baseQuantity to just quantity 2020-11-11 17:55:16 +08:00
c9s
04f6da3cb8 add traditional grid strategy 2020-11-10 19:06:20 +08:00
c9s
4a2a542222 refactor basic risk controller 2020-11-09 14:56:54 +08:00
c9s
6bd3573287 add exchange field in the table so that we can reuse the kline objects for backtest 2020-11-08 12:13:34 +08:00
c9s
4b0bab31fb Merge branch 'feature/backtest' into main 2020-11-07 20:34:55 +08:00
c9s
641784e1b1 calculate pnl after the backtest 2020-11-07 20:34:34 +08:00
c9s
a4a9067c6a integrate matching engine with backtest exchange 2020-11-07 19:57:36 +08:00
c9s
573a082391 add flashcrash strategy 2020-11-07 12:02:15 +08:00
c9s
b13a2deec5 emit klines and setup account balances 2020-11-07 03:18:05 +08:00
c9s
22a214328d implement backtest command, stream and add backtest config 2020-11-07 02:57:50 +08:00
c9s
b86b74effb fix max kline parsing 2020-11-05 15:04:56 +08:00
c9s
c54c0788ab rewrite grid strategy trigger 2020-11-05 14:27:22 +08:00
c9s
8e0b5d11a7 add max grid config and fix max price formatting 2020-10-31 20:38:20 +08:00
c9s
64286bf198 adjust default grid parameters 2020-10-31 18:29:58 +08:00
c9s
fed9ec7a44 add grid config 2020-10-31 18:29:58 +08:00
c9s
67446670ac finalize swing strategy and fix trade reporter issue 2020-10-28 17:48:16 +08:00
c9s
2680ad5072 refactor environment, market data store, injection and add swing strategy 2020-10-28 17:48:16 +08:00
c9s
e2df24f31c support standard indicatorset 2020-10-28 09:43:19 +08:00
c9s
6dcb6df7c1 add minimal config for example 2020-10-27 20:38:56 +08:00
c9s
b3eaf832af Add pricealert strategy for demonstrating notification 2020-10-27 13:54:39 +08:00
c9s
8453e95300 configure channel routers 2020-10-27 09:38:29 +08:00
c9s
922da31afd drop legacy config structure 2020-10-27 00:44:07 +08:00
c9s
e57ab039d1 document the baseQuantity 2020-10-26 22:26:01 +08:00
c9s
085d02bee4 clean up strategy code since we can loaded from the config 2020-10-26 22:04:48 +08:00
c9s
c324a791f6 refactor and configure risk control order executor 2020-10-26 21:36:47 +08:00
c9s
a4b6a5f923 load order executor config 2020-10-26 17:57:28 +08:00
c9s
502e5bdc04 load exchange sessions dynamically 2020-10-26 17:00:17 +08:00
c9s
7764560f3d add buyandhold config 2020-10-26 17:00:07 +08:00
c9s
19f259111d improve config loading by adding unmarshal yaml method 2020-10-26 15:33:25 +08:00
c9s
aa6ccbf905 refactor xpuremaker strategy 2020-10-26 10:08:58 +08:00
c9s
308427416a Add more exchange order features 
- use uuid for client order id
- add stop limit and stop market order types
- add order convert functions
- improve submit orders
 2020-10-25 19:22:22 +08:00
c9s
0d570dd4c8 Add sample config for xpuremaker 2020-10-25 18:32:48 +08:00
c9s
1e12de28da Add xpuremaker skeleton 2020-10-25 18:32:46 +08:00
c9s
9ce9ecc910 compile local strategies into the wrapper binary 2020-10-24 15:38:13 +08:00
c9s
6e033461bb use the time of the first trade as the report start time 2020-10-23 14:09:05 +08:00
c9s
c9f5d51556 confgi: fix []interface parsing issue 2020-10-23 14:01:45 +08:00
c9s
9127913370 improve parsing for one or more string slice 2020-10-23 13:50:17 +08:00
c9s
9c751f377a import buyandhold strategy 2020-10-22 16:04:37 +08:00
c9s
ea3e9e7d05 add per-session-based trade reporter 2020-10-22 10:54:03 +08:00
c9s
978dc4be67 add bbgo yaml config file 2020-10-10 12:23:05 +08:00