Commit Graph

5514 Commits

Author SHA1 Message Date
c9s
bf4eade604
backtest: fix backtest fee mode when fee currency is not base or quote 2022-09-05 17:41:12 +08:00
Yo-An Lin
843b81e132
Merge pull request #914 from LarryLuTW/patch-1
Fix typo
2022-09-04 13:43:54 +08:00
Larry Lu
269529afa4
Fix typo 2022-09-04 13:35:01 +08:00
Yo-An Lin
55474b4bf9
Merge pull request #913 from COLDTURNIP/fix/fixedpoint_support_inf_string_unmarshal
fix: fixedpoint UnarshalJson on inf
2022-09-02 15:14:34 +08:00
Yo-An Lin
fcb7a27f70
Merge pull request #911 from c9s/feature/backtest-report
feature: add fee mode to back-test matching engine
2022-09-02 15:09:04 +08:00
Raphanus Lo
338c4ea170 fix: fixedpoint UnarshalJson on inf for decimal support 2022-09-02 15:02:46 +08:00
c9s
3a225fe7c7
backtest: fix tests for fee 2022-09-02 14:31:04 +08:00
Raphanus Lo
750bdc82b5 fix: fixedpoint UnarshalJson on inf 2022-09-02 14:17:51 +08:00
c9s
db622fbb55
types: add CsvHeaders and CsvRecords methods to TradeStats 2022-09-02 14:16:16 +08:00
c9s
d9cce129a0
doc: add feeMode to the doc 2022-09-02 14:16:16 +08:00
c9s
5c8d2a019a
backtest: rename BackTest to Backtest 2022-09-02 14:16:16 +08:00
c9s
30742bcf0b
backtest: set default fee mode to quote mode 2022-09-02 14:16:16 +08:00
c9s
2e9487e9f4
backtest: fix fee calculator 2022-09-02 14:16:16 +08:00
c9s
d2f9a352a2
backtest,accounting: add position info to the average cost pnl report 2022-09-02 14:16:16 +08:00
c9s
45fb87f2b8
backtest: add fee mode function tests 2022-09-02 14:16:16 +08:00
c9s
10ed706ed6
backtest: move fee mode functions to fee.go 2022-09-02 14:16:16 +08:00
c9s
8cd646668a
bbgo: use enumer to generate enumer parser 2022-09-02 14:16:16 +08:00
c9s
3d32faff46
backtest: add fee mode config 2022-09-02 14:16:15 +08:00
Yo-An Lin
38dbd17664
Merge pull request #912 from zenixls2/fix/klineHandlerBacktest
fix backtest output
2022-09-02 14:15:04 +08:00
zenix
acd057cf3e fix: set exchangeDataSource to pointer in backtest to prevent pass by copy in for loop 2022-09-02 12:32:38 +09:00
Zenix
57d283726a
Merge pull request #900 from zenixls2/fix/backtest
fix: backtest
2022-09-01 11:57:05 +09:00
Yo-An Lin
58487aca4b
Merge pull request #908 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: failed break high improvements
2022-08-31 13:56:59 +08:00
Yo-An Lin
5217947a83
Merge pull request #907 from c9s/dependabot/npm_and_yarn/contracts/minimist-1.2.6
build(deps): bump minimist from 1.2.5 to 1.2.6 in /contracts
2022-08-31 13:01:21 +08:00
c9s
149b1e1444
pivotshort: add BreakInterval config 2022-08-31 13:00:32 +08:00
c9s
3598550d3f
pivotshort: vwma interval should be consistent 2022-08-31 13:00:25 +08:00
c9s
c7bff1695e
pivotshort: avoid using 1m interval to check break 2022-08-31 12:59:54 +08:00
c9s
df902b236c
pivotshort: add vwma condition 2022-08-31 12:59:48 +08:00
dependabot[bot]
d2d1e46e3b
build(deps): bump minimist from 1.2.5 to 1.2.6 in /contracts
Bumps [minimist](https://github.com/substack/minimist) from 1.2.5 to 1.2.6.
- [Release notes](https://github.com/substack/minimist/releases)
- [Commits](https://github.com/substack/minimist/compare/1.2.5...1.2.6)

---
updated-dependencies:
- dependency-name: minimist
  dependency-type: indirect
...

Signed-off-by: dependabot[bot] <support@github.com>
2022-08-31 04:51:28 +00:00
zenix
a28b257568 fix: debug code 2022-08-31 13:01:00 +09:00
Raphanus Lo
0b6cc6d3cd strategy: bollmaker: sensitivity factor of BB width ratio 2022-08-31 04:31:17 +08:00
Yo-An Lin
c8f3dae34a
Merge pull request #906 from c9s/dependabot/npm_and_yarn/apps/backtest-report/moment-2.29.4 2022-08-31 02:30:16 +08:00
dependabot[bot]
3a829c1638
build(deps): bump moment from 2.29.3 to 2.29.4 in /apps/backtest-report
Bumps [moment](https://github.com/moment/moment) from 2.29.3 to 2.29.4.
- [Release notes](https://github.com/moment/moment/releases)
- [Changelog](https://github.com/moment/moment/blob/develop/CHANGELOG.md)
- [Commits](https://github.com/moment/moment/compare/2.29.3...2.29.4)

---
updated-dependencies:
- dependency-name: moment
  dependency-type: direct:production
...

Signed-off-by: dependabot[bot] <support@github.com>
2022-08-30 18:19:37 +00:00
Yo-An Lin
3aa9636d98
Merge pull request #904 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: add failed break high
2022-08-31 02:13:14 +08:00
c9s
51972e9e28
bbgo: fix indicator load key duplicate issue 2022-08-31 01:45:06 +08:00
c9s
70fb6d19a9
indicator: rename PivotHigh value field 2022-08-31 01:44:51 +08:00
c9s
8fcc3ee368
indicator: update pivot low and pivot high indicator 2022-08-31 01:44:38 +08:00
c9s
9d97eedc0e
pivotshort: add failedBreakHigh 2022-08-31 00:37:17 +08:00
c9s
ca1e9e9657
pivotshort: remove the legacy support take profit 2022-08-31 00:37:12 +08:00
zenix
b52598d1ad fix: fixedpoint MarshalJson on inf 2022-08-30 21:55:16 +09:00
zenix
51d7c1b9ad fix: currentTime in backtest not updated 2022-08-30 21:12:23 +09:00
zenix
be1f6e7242 fix: add description on the limit taker behavior 2022-08-30 21:07:49 +09:00
zenix
c2d5a5961f fix: legacy fixedpoint inf handling, refactor backtest kline consuming 2022-08-30 21:02:21 +09:00
zenix
20ee3fdfbb fix: nan in sortino and sharpe 2022-08-30 12:42:50 +09:00
zenix
c73f4018d0 fix: null pointer error on NextKLine 2022-08-30 12:09:39 +09:00
Yo-An Lin
251d1b7095
Merge pull request #899 from c9s/fix/local-timezone
fix: fix localtime zone issue for the web-based backtest report
2022-08-30 00:57:24 +08:00
Raphanus Lo
6314a31554 strategy: bollmaker: dynamic spread by weighted Bollinger width ratio 2022-08-29 21:41:34 +08:00
zenix
ecc959835a fix: cache params and kline until next kline 1m appears 2022-08-29 19:46:58 +09:00
zenix
1eb03c3dba fix: taker price, matching engine kline emit order and process order, nan in sortino and sharpe 2022-08-29 14:11:02 +09:00
c9s
179a9b1ddb
fix: ensure that orders.tsv are rendered in local timezone 2022-08-26 19:09:11 +08:00
Yo-An Lin
f17249ba89
Merge pull request #898 from c9s/refactor/pivotshort
Refactor/pivotshort
2022-08-26 19:09:00 +08:00