c9s
|
055cfbb3ff
|
Merge pull request #1699 from c9s/c9s/refactor-twap
REFACTOR: [twap] upgrade twap command and add optional order update rate limiter
|
2024-08-21 15:20:57 +08:00 |
|
c9s
|
d855d9bbc0
|
bump version to v1.60.0
|
2024-08-21 14:42:59 +08:00 |
|
narumi
|
731fa9af7e
|
fix error when bollinger settings is not set
|
2024-08-21 13:28:22 +08:00 |
|
c9s
|
a06b63c897
|
twap: rename constructor
|
2024-08-20 18:13:42 +08:00 |
|
c9s
|
ebaf3a330f
|
twap: pull out submitOrder method
|
2024-08-20 17:53:19 +08:00 |
|
c9s
|
a0cbf82d97
|
twap: handle delayInterval after canceling order
|
2024-08-20 17:51:44 +08:00 |
|
c9s
|
9a2b792ed1
|
twap: split doneSignal into a single file
|
2024-08-20 17:49:18 +08:00 |
|
c9s
|
2392fddc3c
|
fix method name
|
2024-08-20 17:47:39 +08:00 |
|
c9s
|
c92c395f67
|
twap: improve rate limiter syntax parser and support order update rate limiter in twap
|
2024-08-20 17:07:29 +08:00 |
|
c9s
|
48029f95cc
|
cmd: pull out and refine twap order executor command
|
2024-08-20 16:24:34 +08:00 |
|
c9s
|
baffefac07
|
Merge pull request #1689 from anywhy/fix_float64_series
fix float64 series use mean or stdev function result is zero
|
2024-08-20 14:41:29 +08:00 |
|
c9s
|
6d3a18ad55
|
twap: call trade collector process when shutdown
|
2024-08-20 14:30:08 +08:00 |
|
c9s
|
d1617b6a0b
|
Merge pull request #1697 from c9s/c9s/refactor-twap
FEATURE: redesign and refactor twap order executor
|
2024-08-20 14:24:48 +08:00 |
|
c9s
|
b9c41b7ad7
|
twap: improve cancelContextIfTargetQuantityFilled check method
|
2024-08-20 14:14:19 +08:00 |
|
c9s
|
0530809834
|
fix position test
|
2024-08-20 14:10:22 +08:00 |
|
c9s
|
d8fad8250c
|
fix duplicated field
|
2024-08-20 14:01:19 +08:00 |
|
c9s
|
c8aea81505
|
twap: implement twap mock testing
|
2024-08-20 14:01:04 +08:00 |
|
c9s
|
cec078f4bf
|
twap: add stream executor test
|
2024-08-20 14:01:04 +08:00 |
|
c9s
|
648e10fd7c
|
binance: fix time in force setting for limit maker
|
2024-08-20 14:01:04 +08:00 |
|
c9s
|
b7d18e687e
|
twap: implement orderUpdater
|
2024-08-20 14:01:03 +08:00 |
|
c9s
|
51c1b995c2
|
twap: add v2 fixed quantity executor
|
2024-08-20 14:01:03 +08:00 |
|
c9s
|
47c7714d33
|
Merge pull request #1698 from c9s/feature/max/update-get-trade-api
FEATURE: update get trades api
|
2024-08-20 13:49:39 +08:00 |
|
c9s
|
f7ad141b04
|
Merge pull request #1693 from anywhy/fix_binance_query_order
fix binance exchange query futures order
|
2024-08-19 18:01:03 +08:00 |
|
kbearXD
|
90712aff29
|
FEATURE: update get trades api
|
2024-08-19 17:05:02 +08:00 |
|
c9s
|
0a83c26fd5
|
types: add warning to the price type
|
2024-08-17 14:15:43 +08:00 |
|
c9s
|
1294cd95be
|
rename twap.Execution to twap.StreamExecutor
|
2024-08-17 14:09:25 +08:00 |
|
c9s
|
9dd85623b9
|
types,strategy: refactor price type and add more bbo (best bid offer)
|
2024-08-17 14:05:29 +08:00 |
|
c9s
|
621a2b86cf
|
twap: move twap execution to a single package
|
2024-08-17 13:29:27 +08:00 |
|
c9s
|
e9bf4babe2
|
core: log number of loaded converters
|
2024-08-16 20:57:28 +08:00 |
|
c9s
|
52abb9193d
|
core: fix InitializeConverter return value
|
2024-08-16 20:53:21 +08:00 |
|
c9s
|
3d7453f18c
|
core: setting.InitializeConverter could return a nil converter object
|
2024-08-16 20:52:28 +08:00 |
|
c9s
|
b88aff6d73
|
max: fix GetDepositHistoryRequest
|
2024-08-16 13:40:34 +08:00 |
|
c9s
|
4154cc9d53
|
max: fix max withdrawal api parameters
|
2024-08-16 13:27:14 +08:00 |
|
anywhy
|
714275fedb
|
fix binance exchange query futures order
|
2024-08-16 13:06:43 +08:00 |
|
anywhy
|
b27fc896f9
|
add serie_float64 test case
|
2024-08-15 16:44:45 +08:00 |
|
edwin
|
5596589bff
|
pkg/exchange: delete v1 file
|
2024-08-13 11:14:31 +08:00 |
|
edwin
|
ee04e12210
|
pkg/exchange: upgrade market trade ws to v2
|
2024-08-13 11:14:29 +08:00 |
|
edwin
|
b02be2cf70
|
pkg/exchange: upgrade kline ws to v2
|
2024-08-13 00:24:51 +08:00 |
|
c9s
|
9911a4f711
|
all: fix converter initialization
|
2024-08-12 15:56:24 +08:00 |
|
c9s
|
1b0d4599e2
|
all: add trade converter to trade pnl fixer
|
2024-08-12 15:02:02 +08:00 |
|
c9s
|
473a6bc108
|
xdepthmaker: set converter manager
|
2024-08-10 15:50:20 +08:00 |
|
c9s
|
1ad2bc5f34
|
core: add Initialize() method to the converter interface
|
2024-08-08 17:37:58 +08:00 |
|
c9s
|
df8d52adda
|
core: add TestSymbolConverter
|
2024-08-08 17:33:35 +08:00 |
|
c9s
|
00e860df26
|
core: add dynamic converter
|
2024-08-08 17:18:17 +08:00 |
|
c9s
|
f277b191d2
|
core: add ConverterManager
|
2024-08-08 17:00:45 +08:00 |
|
Any Yang
|
8773c220f5
|
fix float64 series use mean or stdev function result is zero
|
2024-08-07 17:52:39 +08:00 |
|
c9s
|
f228ca7962
|
core: add OrderConverter
|
2024-08-07 17:44:42 +08:00 |
|
c9s
|
813684fc77
|
core: change TradeConverter to interface and integrate trade converter
|
2024-08-07 17:29:03 +08:00 |
|
c9s
|
25b0b5ded5
|
max: fix withdraw state convert by calling convertWithdrawStatusV2
v3 api does not return status field
|
2024-08-07 17:12:55 +08:00 |
|
c9s
|
ffb2c14f1d
|
core: add TradeConverter to the trade collector
|
2024-08-07 17:07:31 +08:00 |
|
c9s
|
fad7ef219e
|
xdepthmaker: separate hedge symbol
|
2024-08-07 16:01:56 +08:00 |
|
c9s
|
b4cc893cac
|
types: add SlackAttachment support to types.Withdraw
|
2024-08-06 18:26:17 +08:00 |
|
c9s
|
a24a118182
|
xalign: add more withdraw checking logs
|
2024-08-06 18:08:39 +08:00 |
|
c9s
|
e03ba63e44
|
max: remove legacy emptyTime
|
2024-08-05 16:40:10 +08:00 |
|
c9s
|
5d65b817ef
|
max: add withdraw status convert function for v3
|
2024-08-05 16:39:44 +08:00 |
|
c9s
|
97336912e5
|
max: use v3/withdrawals apis
|
2024-08-02 15:24:00 +08:00 |
|
c9s
|
089e69a221
|
xalign: add withdraw detection notification
|
2024-08-02 15:24:00 +08:00 |
|
c9s
|
600d81049e
|
add simple price resolver
|
2024-08-01 16:57:59 +08:00 |
|
c9s
|
4bf558f9eb
|
xaling: add detectActiveTransfers
|
2024-07-31 16:51:00 +08:00 |
|
c9s
|
6bc8dffe16
|
maxapi: improve withdraw status conversion
|
2024-07-31 16:43:56 +08:00 |
|
c9s
|
ab20b6db89
|
all: improve binance withdraw status convertion
|
2024-07-31 15:04:08 +08:00 |
|
kbearXD
|
1c28fd3b44
|
FEATURE: [max] update max api url
|
2024-07-15 18:04:44 +08:00 |
|
Yu-Cheng
|
2c2e5afa45
|
trade: test gid parameter
|
2024-07-09 17:36:20 +08:00 |
|
Yu-Cheng
|
9fb273e6a1
|
trade: support custom order by column
|
2024-07-09 16:44:24 +08:00 |
|
narumi
|
0eb3856906
|
round down quantity
|
2024-07-09 12:08:24 +08:00 |
|
c9s
|
22c154f9cd
|
common: fix profit fixer batch query
|
2024-07-08 17:43:22 +08:00 |
|
c9s
|
c217aadc1b
|
common: pull out ProfitFixerBundle
|
2024-07-08 14:16:40 +08:00 |
|
c9s
|
d982524824
|
liquiditymaker: refactor profit fixer
|
2024-07-08 14:15:15 +08:00 |
|
c9s
|
e293ec5c70
|
Merge pull request #1665 from c9s/c9s/improve-pv-slice-parsing
IMPROVE: improve price volume slice parsing
|
2024-07-02 14:59:05 +08:00 |
|
c9s
|
bc12e88501
|
add func doc comments
|
2024-07-02 14:47:36 +08:00 |
|
c9s
|
0a6d24195b
|
improve pv slice parsing
|
2024-07-02 14:45:58 +08:00 |
|
kbearXD
|
a6aef35393
|
Merge pull request #1664 from c9s/feature/max/get-trades-api
FEATURE: update max api to latest version
|
2024-07-01 17:01:50 +08:00 |
|
kbearXD
|
e63158f5fa
|
FEATURE: update max api to latest version
|
2024-06-28 16:32:41 +08:00 |
|
kbearXD
|
3735499753
|
FEATURE: merge recover logic and run periodically
|
2024-06-27 20:31:55 +08:00 |
|
なるみ
|
ad5674d9cb
|
Merge pull request #1656 from c9s/narumi/autobuy-min-base-balance
REFACTOR: [autobuy] replace threshold with minBaseBalance
|
2024-06-21 18:18:37 +01:00 |
|
なるみ
|
396ee68170
|
Merge pull request #1644 from c9s/narumi/fee-budget
REFACTOR: Extract and move FeeBudget from xgap
|
2024-06-20 14:26:27 +01:00 |
|
narumi
|
bbb1b8a9fa
|
fix position quantity
|
2024-06-20 17:40:22 +08:00 |
|
c9s
|
ee09922865
|
Merge pull request #1661 from c9s/c9s/improve-trade-batch-query
IMPROVE: [batch] improve trade batch query
|
2024-06-20 17:05:58 +08:00 |
|
c9s
|
1dc1afc993
|
batch: add TradeQueryOptionsMatcher for testing trade query options
|
2024-06-20 16:54:05 +08:00 |
|
narumi
|
a1b8e07bb5
|
take profit by expected base balance
|
2024-06-20 16:08:12 +08:00 |
|
c9s
|
df125c0efb
|
batch: improve trade batch query
|
2024-06-19 17:35:38 +08:00 |
|
c9s
|
6cdf991877
|
compile and update migration package
|
2024-06-19 16:07:59 +08:00 |
|
c9s
|
82501ff57c
|
fix reflection
|
2024-06-19 16:07:58 +08:00 |
|
c9s
|
00b9c3156f
|
fix trade insertion for inserted_at field
|
2024-06-19 15:59:19 +08:00 |
|
c9s
|
6afde4808f
|
use NamedQueryContext instead of NamedQuery
|
2024-06-19 15:51:16 +08:00 |
|
c9s
|
b2722d9e44
|
environment: check syncBufferPeriod
|
2024-06-19 14:18:21 +08:00 |
|
narumi
|
9cbf8a0ecf
|
add fee budget support to random strategy
|
2024-06-18 18:24:16 +08:00 |
|
narumi
|
0f03bc785b
|
extract FeeBudget struct and move to common
|
2024-06-18 18:24:14 +08:00 |
|
c9s
|
46bd4a0ef8
|
compile and update migration package
|
2024-06-18 18:10:36 +08:00 |
|
YC
|
c83524a04a
|
Merge pull request #1646 from c9s/minor/add-inserted-at-to-trade
MINOR: add inserted_at column to trades
|
2024-06-18 18:07:27 +08:00 |
|
narumi
|
4dc28ec16a
|
replace threshold with minBaseBalance
|
2024-06-18 17:45:31 +08:00 |
|
c9s
|
e953a04638
|
Merge pull request #1655 from c9s/c9s/xgap-vol-target
FEATURE: [xgap] add dailyTargetVolume option
|
2024-06-18 17:10:49 +08:00 |
|
c9s
|
589a8b6eb2
|
xgap: add dailyTargetVolume option
|
2024-06-18 16:49:47 +08:00 |
|
Yu-Cheng
|
0d7236ca8a
|
add json tag to insertedAt field
|
2024-06-17 17:44:50 +08:00 |
|
Yu-Cheng
|
49d567c8f2
|
trade: add inserted_at column
A trade may be missed initially and fetched after it has occurred.
|
2024-06-17 17:42:32 +08:00 |
|
kbearXD
|
5098c3ac35
|
Merge pull request #1645 from c9s/kbearXD/dca2/flexible-recovery
FEATURE: [dca2] make the take-profit order of round from order to orders
|
2024-06-13 18:19:44 +08:00 |
|
c9s
|
34dbc5d55c
|
types: improve AdjustQuantityByMinNotional
|
2024-06-13 17:22:29 +08:00 |
|
kbearXD
|
60160cd7b4
|
new flag DisableOrderGroupIDFilter to only query order group id
|
2024-06-13 17:21:27 +08:00 |
|
c9s
|
a5831bbf13
|
xgap: fix price and balance checking
|
2024-06-13 15:55:40 +08:00 |
|
c9s
|
88ce5a4928
|
xgap: make sourceBook optional
|
2024-06-13 15:40:40 +08:00 |
|
c9s
|
7a4f9347f1
|
Merge pull request #1652 from c9s/c9s/fix-xgap-spread-too-large-issue
FIX: [xgap] fix empty source book pricing issue
|
2024-06-11 18:11:44 +08:00 |
|
edwin
|
b562e46c55
|
pkg/exchange: adjust the time since of unit test
|
2024-06-11 17:59:45 +08:00 |
|
c9s
|
4a1b5e0e25
|
Merge pull request #1649 from c9s/c9s/basic-circuitbreaker
FEATURE: add BasicCircuitBreaker
|
2024-06-11 17:19:10 +08:00 |
|
c9s
|
9adedc186f
|
xgap: fix empty source book pricing issue
|
2024-06-11 16:28:48 +08:00 |
|
c9s
|
e081a362f7
|
Merge pull request #1650 from c9s/c9s/fix-okex-book-subscription
FIX: [okex] fix order book subscription channels
|
2024-06-03 17:55:26 +08:00 |
|
edwin
|
bafa5a4783
|
pkg/exchange: add rate limit comment
|
2024-06-03 17:25:07 +08:00 |
|
edwin
|
57618ced7c
|
pkg/exchange: add conn count info event
|
2024-06-03 17:01:57 +08:00 |
|
c9s
|
de7bf31b24
|
okex: fix order book subscription channels
|
2024-06-03 16:07:47 +08:00 |
|
c9s
|
907a1c8c53
|
Merge pull request #1647 from c9s/c9s/add-initial-attempt-for-order-trades-query
FIX: [retry] add initialAttempts to the order trades query backoff
|
2024-06-03 14:01:19 +08:00 |
|
c9s
|
e1532ffa46
|
add BasicCircuitBreaker
|
2024-06-02 20:38:41 +08:00 |
|
c9s
|
6bb910c561
|
retry: add initialAttempts to the order trades query backoff
|
2024-06-01 14:18:34 +08:00 |
|
kbearXD
|
1d0b4e5cb8
|
FEATURE: [dca2] make the take-profit order of round from order to orders
|
2024-05-30 15:53:44 +08:00 |
|
なるみ
|
7bde48adce
|
Merge pull request #1637 from c9s/narumi/atrpin-log-with-fields
CHORE: [atrpin] add symbol and window log fields
|
2024-05-25 21:37:51 +08:00 |
|
c9s
|
01fac1fd01
|
binance: optimize pv parsing
|
2024-05-24 18:06:40 +08:00 |
|
c9s
|
acb84e098f
|
binance: use pre-allocated pv var
|
2024-05-24 18:06:33 +08:00 |
|
c9s
|
55c6a435e7
|
binance: remove orderbook convert error var
|
2024-05-24 18:06:21 +08:00 |
|
c9s
|
901272f153
|
binance: refactor and update QueryOrderTrades implementation
|
2024-05-24 17:35:27 +08:00 |
|
c9s
|
bc71c95608
|
binance: implement query trade for binance margin trading
|
2024-05-24 17:35:27 +08:00 |
|
kbearXD
|
c42c52d549
|
Merge pull request #1640 from c9s/kbearXD/dca2/flexible-recovery
FEATURE: [dca2] change state recovery logic
|
2024-05-24 15:54:23 +08:00 |
|
kbearXD
|
7134f51d38
|
FEATURE: [dca2] change state recovery logic
|
2024-05-24 15:12:27 +08:00 |
|
c9s
|
8a852afedb
|
Merge pull request #1642 from c9s/refactor/average-depth-price-method
Refactor: add average depth price method
|
2024-05-23 18:22:06 +08:00 |
|
c9s
|
75b86e435a
|
max: assign client order id only when it's not empty
|
2024-05-23 17:16:27 +08:00 |
|
c9s
|
99edfb61bf
|
integrate aggregatePrice method
|
2024-05-23 16:30:43 +08:00 |
|
c9s
|
1c567d7146
|
pull out AverageDepthPrice from xdepthmaker
|
2024-05-23 15:22:45 +08:00 |
|
kbearXD
|
be674278b2
|
FEATURE: [dca2] new flag UniversalCancelAllOrdersWhenClose to decide if cancel all orders when closing
|
2024-05-22 18:20:18 +08:00 |
|
kbearXD
|
5f1ece2a4b
|
Merge pull request #1638 from c9s/kbearXD/dca2/store-open-position-pqs
FEATURE: [dca2] store price quantity pairs of the open-position order…
|
2024-05-22 11:34:39 +08:00 |
|
kbearXD
|
275286b9b9
|
remove test case
|
2024-05-21 17:00:02 +08:00 |
|
kbearXD
|
0faef68fbf
|
use types.PriceVolume
|
2024-05-21 16:06:02 +08:00 |
|
c9s
|
5397a3366c
|
Merge pull request #1639 from c9s/narumi/move-common-maker-tools
REFACTOR: move maker tools
|
2024-05-21 14:50:43 +08:00 |
|
c9s
|
7114b37967
|
Merge pull request #1625 from luchenhan/main
chore: fix function names in comment
|
2024-05-21 14:50:33 +08:00 |
|
c9s
|
7c85fd83b3
|
bump version to v1.59.2
|
2024-05-20 18:34:00 +08:00 |
|
c9s
|
2e52d3175d
|
deposit2transfer: apply backoff to api calls
|
2024-05-20 18:05:21 +08:00 |
|
c9s
|
543b283820
|
liquiditymaker: remove orderbook subscription
|
2024-05-20 17:55:32 +08:00 |
|
narumi
|
8ad85fc365
|
move OrderPriceRiskControl to riskcontrol
|
2024-05-20 15:19:42 +08:00 |
|
narumi
|
5f096bbe0d
|
move InventorySkew to strategy.common
|
2024-05-20 15:19:22 +08:00 |
|
kbearXD
|
6676e1e452
|
FEATURE: [dca2] store price quantity pairs of the open-position orders into persistence
|
2024-05-20 14:37:23 +08:00 |
|
narumi
|
0f045dccbb
|
add symbol and window log fields
|
2024-05-20 14:34:08 +08:00 |
|
zenix.huang
|
24ab4895b6
|
fix: tg order decimal
|
2024-05-20 00:19:28 +09:00 |
|
なるみ
|
ad6efaf449
|
Merge pull request #1633 from c9s/narumi/fix-common-strategy-init
FIX: fix strategy initialization
|
2024-05-16 16:32:22 +08:00 |
|
kbearXD
|
38e63422f2
|
Merge pull request #1634 from c9s/kbearXD/dca2/fix
FIX: [dca2] fix triggerNextState loop side effect
|
2024-05-16 15:57:57 +08:00 |
|
edwin
|
ecc08fabb7
|
pkg/exchange: update okx symbols
|
2024-05-16 15:29:47 +08:00 |
|
kbearXD
|
73c467a06b
|
FIX: [dca2] fix triggerNextState loop side effect
|
2024-05-16 14:44:56 +08:00 |
|
narumi
|
705261d2d4
|
fix strategy initialization
|
2024-05-15 23:38:34 +08:00 |
|
narumi
|
095ca85669
|
disable bbgo.sync in common strategy
|
2024-05-14 19:50:52 +08:00 |
|
c9s
|
6aed8f33f7
|
bump version to v1.59.1
|
2024-05-14 17:35:18 +08:00 |
|
c9s
|
34200efd54
|
liquiditymaker: skip dust quantity
|
2024-05-14 17:34:26 +08:00 |
|
c9s
|
cc107b80da
|
bump version to v1.59.0
|
2024-05-14 15:08:21 +08:00 |
|
kbearXD
|
e856727e97
|
trigger position opening immediately after recovery
|
2024-05-13 15:24:31 +08:00 |
|
kbearXD
|
f49924caa4
|
not emit WaitToOpenPosition when kline event
|
2024-05-13 14:35:29 +08:00 |
|
kbearXD
|
6cdd2f0d71
|
REFACTOR: [dca2] refactor dca2 strategy to make it can back testing
|
2024-05-13 14:35:29 +08:00 |
|