2426 Commits

Author	SHA1	Message	Date
c9s	cc4ef327d6	add strategy id and instance id to position	2022-03-14 21:21:58 +08:00
c9s	ac675d0099	add position table and service	2022-03-14 21:21:58 +08:00
c9s	f0d500bbaa	add positions table migration	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
zenix	7e92f0f4e5	fix: remove requirements on config flag	2022-03-11 19:56:59 +09:00
c9s	36e039108a	bump version to v2.0.0	2022-03-10 19:01:58 +08:00
なるみ	b6493ad282	Change id type	2022-03-09 13:14:14 +08:00
なるみ	8522c0dadb	Add exchange field to QueryOrderRequest	2022-03-08 19:33:23 +08:00
Yo-An Lin	bfdf4c245f	Merge pull request #460 from zenixls2/feature/backtest_multiple_exchange ... feature: add multiple exchange support in backtest	2022-03-07 14:28:20 +08:00
c9s	fcbdf8162a	max: add env var MAX_QUERY_CLOSED_ORDERS_LIMIT	2022-03-07 13:56:20 +08:00
zenix	39572c5fe0	fix: remove maker/buyer/taker/sellerCommission	2022-03-07 14:32:00 +09:00
Yo-An Lin	35ef21ab1c	Merge pull request #466 from c9s/feature/strategy-profit ... feature: add strategy profit records	2022-03-07 12:20:47 +08:00
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
c9s	b8ef2eb550	fix Test_tradeService	2022-03-07 12:12:06 +08:00
zenix	1f27ef653b	fix: exception on parsing empty string in dnum	2022-03-07 12:46:03 +09:00
c9s	9b6b071d2b	compile and update migration package	2022-03-06 18:47:01 +08:00
c9s	e23232c3e7	max: fix timeInForce conversion	2022-03-06 18:37:34 +08:00
c9s	586013d9f2	max: fix order update message	2022-03-06 18:33:21 +08:00
c9s	af2070b908	binance: add updated time field	2022-03-06 18:32:33 +08:00
c9s	f3577a4182	fix: if it's an empty time, do not return a driver value	2022-03-06 18:28:40 +08:00
c9s	917684aa27	bbgo: inject environment object	2022-03-06 18:28:40 +08:00
c9s	099d860c5a	fix: fix Test_parseStructAndInject test	2022-03-06 18:28:40 +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	f6ec2e78e6	record profits	2022-03-06 15:37:41 +08:00
c9s	3a15738fec	pull out default persistence selector	2022-03-06 14:06:19 +08:00
c9s	35b0d8dc0d	bbgo: add profit service to environment	2022-03-05 13:40:20 +08:00
c9s	1f1c26a9e5	bbgo: inject more service objects	2022-03-05 13:37:27 +08:00
c9s	c1ac738ca0	bbgo: add doc comment for parseStructAndInject	2022-03-05 12:59:47 +08:00
c9s	bdcae5b763	bbgo: add more injection types	2022-03-05 12:49:53 +08:00
c9s	a9f9fa8fed	bollmaker: add Environment field and Market field for injection	2022-03-05 12:40:56 +08:00
c9s	47023729ec	bbgo: rewrite field injection	2022-03-05 12:39:39 +08:00
c9s	a6053e0e59	bbgo: move inject function to injection.go	2022-03-05 03:20:20 +08:00
c9s	cd6b37ac3b	bbgo: skip unexported fields for injection	2022-03-05 03:19:45 +08:00
c9s	fa7bab2c3a	bbgo: improve dynamic injection	2022-03-05 02:51:43 +08:00
c9s	db4d8a31bc	bbgo: implement parseStructAndInject	2022-03-05 02:33:25 +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	82e5520ee4	service: update profit service tests	2022-03-05 00:28:13 +08:00
c9s	a642aa1a5a	service: add more columns	2022-03-05 00:27:44 +08:00
c9s	09dea3938d	implement profit insert	2022-03-04 19:24:40 +08:00
c9s	9e0df77a36	move profit struct into the types package	2022-03-04 16:39:48 +08:00
Yo-An Lin	f8b257d490	Merge branch 'main' into fix/cmd-required	2022-03-03 19:53:27 +08:00
c9s	f190cc4f6c	cmd: fix account command usage	2022-03-03 19:40:18 +08:00
c9s	f14694c65f	cmd: remove config file check from the account command	2022-03-03 19:39:55 +08:00
zenix	a33b748563	fix: mark flags as required during PreRunE	2022-03-03 18:03:15 +09:00
c9s	3843bda7c2	cmd: remove incorrect MarkPersistentFlagRequired usage	2022-03-03 15:37:17 +08:00
c9s	7d08263cdb	fix: fix required flag marking issue	2022-03-03 15:34:16 +08:00
c9s	b8f54ed4b9	ftx: print result directly	2022-03-03 15:04:53 +08:00
c9s	86af4d2b40	ftx: rewrite order cancel handling	2022-03-03 14:52:24 +08:00
c9s	dd76cfafa4	ftx: remove legacy orderRequest from the legacy rest	2022-03-03 12:33:44 +08:00
c9s	c9f2027a38	ftx: remove the legacy orderRequest	2022-03-03 11:55:00 +08:00
c9s	5ea01c8d80	regenerate symbol map	2022-03-03 11:44:01 +08:00
c9s	eaa81f1313	ftx: remove legacy balances method	2022-03-03 11:43:15 +08:00
c9s	270ae51c9b	ftx: remove legacy PlaceOrderPayload	2022-03-03 11:42:57 +08:00
c9s	2510f14d53	ftx: remove legacy place order request method	2022-03-03 11:42:40 +08:00
c9s	5bbb796e94	ftx: clean up imports	2022-03-03 11:42:25 +08:00
c9s	37db477ece	ftx: remove legacy method CancelOrderByClientID	2022-03-03 11:42:13 +08:00
c9s	60ad6bc901	ftx: remove legacy CancelOrderByOrderID method	2022-03-03 11:41:51 +08:00
c9s	064da7f938	ftx: remove legacy open orders method	2022-03-03 11:40:23 +08:00
c9s	a47924d1c9	ftx: remove legacy order history method	2022-03-03 11:40:03 +08:00
c9s	da54fbb676	cmd: remove extra config option check	2022-03-03 11:39:28 +08:00
c9s	6ae588575a	ftx: remove legacy market api method	2022-03-03 11:39:11 +08:00
c9s	21ae48c975	cmd: use MarkFlagRequired	2022-03-03 11:36:06 +08:00
c9s	2845e03100	ftx: fix ftx test cases	2022-03-03 01:47:19 +08:00
c9s	3f8f17b1de	ftx: reimplement submit order api	2022-03-03 00:30:52 +08:00
c9s	3b601d73ce	ftx: remove legacy fills requests	2022-03-03 00:30:52 +08:00
c9s	4321cab557	ftx: drop the legacy unused account request	2022-03-03 00:30:52 +08:00
c9s	688445d7e7	cmd: add get-order cmd	2022-03-03 00:30:52 +08:00
c9s	127de0d81c	cmd: update executeOrderCmd description	2022-03-03 00:30:52 +08:00
c9s	95daa004aa	ftx: implement get order status api	2022-03-03 00:30:52 +08:00
c9s	14bcc780a4	ftxapi: add cancel order by client order id	2022-03-03 00:30:52 +08:00
c9s	07dd2e8d9c	ftx: improve order cancel by client order id	2022-03-03 00:30:52 +08:00
c9s	5cfc266d7a	ftx: simplify and replace the order history query	2022-03-03 00:30:52 +08:00
c9s	5c8997e293	ftx: fix ftx order status isWorking	2022-03-03 00:30:52 +08:00
c9s	66700016e4	ftx: add toGlobalOrderNew to convert new order structure	2022-03-03 00:30:52 +08:00
c9s	e9e1127d3e	ftx: replace query markets api	2022-03-03 00:30:52 +08:00
c9s	883f0ed83a	ftxapi: replace fill implementation	2022-03-03 00:30:52 +08:00
c9s	833354e553	ftx: replace QueryTrades implementation	2022-03-03 00:30:52 +08:00
c9s	9c371425f6	ftx: replace QueryAccount implementation	2022-03-03 00:30:52 +08:00
c9s	84bc170a2e	ftxapi: use order types	2022-03-03 00:30:52 +08:00
c9s	03f0305b3d	ftxapi: add fills request	2022-03-03 00:30:52 +08:00
c9s	14a49989fe	ftxapi: define types	2022-03-03 00:30:52 +08:00
c9s	cd0ac71b99	ftxapi: separate request files	2022-03-03 00:30:52 +08:00
c9s	abc425d820	ftx: fix ftx api client	2022-03-03 00:30:52 +08:00
c9s	93992801f9	ftxapi: add order history request	2022-03-03 00:30:52 +08:00
c9s	9e350afed5	ftxapi: add get coins api	2022-03-03 00:30:52 +08:00
c9s	3601edab84	ftxapi: add get single market api	2022-03-03 00:30:52 +08:00
c9s	2a6310c5f5	ftxapi: add get markets api	2022-03-03 00:30:52 +08:00
c9s	94ee46787e	ftxapi: add generated files	2022-03-03 00:30:52 +08:00
c9s	7ed2e352d9	ftx: rewrite ftxapi	2022-03-03 00:30:52 +08:00
Yo-An Lin	7ae5869461	Merge pull request #451 from narumiruna/protobuf ... grpc: add protobuf	2022-03-02 12:57:23 +08:00
zenix	f101e93311	fix: dnum panic, precision loss in parsing string in legacy	2022-02-28 15:50:31 +09:00
c9s	9c45e6693f	fix formatString	2022-02-25 18:25:44 +08:00
c9s	99b025dd5c	add FormatString test case and fix FormatString	2022-02-25 18:03:28 +08:00
c9s	10612cdfa9	add Test_formatQuantity	2022-02-25 17:47:54 +08:00
c9s	555e8c5253	add Test_formatPrice	2022-02-25 16:52:43 +08:00
なるみ	37fbe724cf	Add Error message	2022-02-23 12:44:31 +08:00
なるみ	3aeae99587	Add SubcribeUserData	2022-02-23 12:29:01 +08:00
なるみ	36fd5d648a	Add exchange and symbol to Ticker	2022-02-23 12:27:22 +08:00
なるみ	6b10d1160f	Merge SuccessResponse and SubscribeResponse	2022-02-23 12:21:49 +08:00
なるみ	9fd4074d37	Add Depth message for bids and asks	2022-02-23 12:19:23 +08:00
Yo-An Lin	2108003f9b	Merge pull request #454 from zenixls2/fix/pnl ... fix: #287 init environ before querying balance	2022-02-23 11:46:11 +08:00
zenix	06e9450859	feature: add cmd document ... add documentation index	2022-02-22 19:36:45 +09:00
zenix	52cc047673	fix: #287 init environ before querying balance	2022-02-22 14:32:35 +09:00
なるみ	32acec5669	Put exchange field in the order and trade message	2022-02-21 12:53:39 +08:00
なるみ	c1b705956f	Add SubmitOrder, rename variables and fix typo	2022-02-21 12:13:51 +08:00
なるみ	f2bca1d5b7	add QueryKLines	2022-02-20 04:41:39 +08:00
なるみ	136d36b2b1	generate code	2022-02-20 04:10:39 +08:00
なるみ	7a7627eafd	update proto	2022-02-20 04:08:52 +08:00
c9s	208a9bcb7d	fix: fix context error handling	2022-02-18 18:21:51 +08:00
c9s	849f2a248e	ftx: check context error	2022-02-18 15:35:58 +08:00
c9s	3a488a4c0f	ftx: add ioc order test	2022-02-18 14:50:54 +08:00
なるみ	4fb8881be7	Fix package path	2022-02-18 14:27:12 +08:00
なるみ	72bcdaaf25	Move pkg/proto to pkg/pb	2022-02-18 14:24:38 +08:00
c9s	17034b2467	ftx: fix ioc convert	2022-02-18 14:10:21 +08:00
c9s	f6ebeeafc5	ftx: cast time in force from the order result	2022-02-18 14:07:29 +08:00
c9s	d0f1e2db04	ftx: fix ftx ioc conversion	2022-02-18 14:01:47 +08:00
c9s	fb9f8b484c	max: remove ioc limit type	2022-02-18 13:57:47 +08:00
c9s	0c09e6b32a	use global timeInForce type	2022-02-18 13:52:13 +08:00
zenix	20cccf57e5	fix: NumFractionalDigits in legacy fixedpoint and dnum fixedpoint	2022-02-17 12:45:06 +09:00
zenix	ced2afaed8	fix: remove backup file in schedule strategy	2022-02-16 18:32:02 +09:00
なるみ	328c507bee	Update go generated code	2022-02-16 11:54:46 +08:00
なるみ	3fe6fbf514	Add Trade message and support streaming	2022-02-16 11:52:18 +08:00
zenix	a3a262783f	fix: set backtest cancel Delta to be 1e-11	2022-02-15 18:59:10 +09:00
zenix	7455279517	fix: #400 for int64 formating when exp <= 0	2022-02-15 18:24:21 +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	eb70410f80	add back legacy implementation	2022-02-15 12:01:39 +09:00
zenix	cdba7924b4	fix backtest panic when cancel fail on the last order	2022-02-15 12:01:39 +09:00
zenix	5315378b9e	fix takerfeerate column and makerfeerate column issue in yaml	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	9978a3cf90	fix unmarshal behavior to gain more precision	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	d9450e823e	fix all the fixedpoint use other than strategy	2022-02-15 12:01:39 +09:00
zenix	b8bf2af14d	fixedpoint for exchange and indicators, some fixes in types	2022-02-15 12:01:38 +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
なるみ	307042025f	Initial commit of protobuf	2022-02-14 16:46:11 +08:00
ankion	98b4495d1f	Fix: precision of futures trade data is incorrect.	2022-02-14 10:32:13 +08:00
c9s	a2a7ef4f7a	exchange: implement ExchangeOrderQueryService on max and binance	2022-02-10 17:48:53 +08:00
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	17187c70e7	cmd: print realized profit in colored text	2022-02-01 01:05:11 +08:00
c9s	c0beca78f5	include terminal color for back-test report	2022-02-01 01:00:26 +08:00
c9s	82adff338e	cmd/backtest: calculate performance in quote asset	2022-02-01 00:54:55 +08:00
c9s	f96c2e6271	bbgo: add activated flag on trailing stop order	2022-02-01 00:41:28 +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	e595b9acb2	backtest: should panic if last price is zero	2022-01-30 02:41:00 +08:00
c9s	6566db1624	accounting: filter duplicated trades when backtesting	2022-01-30 02:40:38 +08:00
c9s	e1fc0e7b8d	bollmaker: remove redundant log and fix return	2022-01-30 02:00:42 +08:00
c9s	ec8129ab87	backtest: fix market order fee calculation	2022-01-30 02:00:30 +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	78855d552a	backtest: fix backtest trade for market order	2022-01-30 01:37:24 +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
c9s	99af5d3971	bollmaker: implement TrailingStopController	2022-01-29 02:22:20 +08:00
c9s	584dd3e279	bollmaker: add TradeInBand option	2022-01-28 01:29:12 +08:00
c9s	f49b7165d8	bollmaker: fix MinNotional adjustment	2022-01-27 19:56:10 +08:00
c9s	a6cbb2fb2d	bollmaker: rewrite trend detection	2022-01-27 18:51:51 +08:00
c9s	547f4c400a	cmd: call BindSync when running strategy	2022-01-27 18:19:25 +08:00
c9s	3b630c0bca	bbgo: pull out writer closure	2022-01-27 18:13:15 +08:00
c9s	cb507edf44	bbgo: add BindSync method on environment	2022-01-27 18:12:15 +08:00
c9s	30a9a5849f	add user data stream sync config	2022-01-27 09:34:04 +08:00
c9s	44efbce8eb	cmd: change trades cmd time range to just 1 day	2022-01-27 09:26:24 +08:00
c9s	c3c2822c82	cmd/trades: avoid passing since and until at the same time	2022-01-27 08:57:31 +08:00
c9s	880d806736	cmd: add --no-sync option to the run command	2022-01-27 08:30:31 +08:00
c9s	70f02a1c19	cmd: handle user config sync options in the run command	2022-01-27 08:21:19 +08:00
c9s	0d0d8b05bf	bbgo/scale: test out of domain	2022-01-27 02:39:33 +08:00
c9s	1ef5a37225	bbgo/scale: check domain range	2022-01-27 02:32:26 +08:00
c9s	4f6e04323f	bollmaker: add more logs	2022-01-27 02:25:23 +08:00
c9s	aea8f97ab9	bollmaker: add Test_calculateBandPercentage test	2022-01-27 02:22:26 +08:00
c9s	f9d650cd23	bollmaker: add DynamicExposurePositionScale	2022-01-27 02:04:57 +08:00
c9s	09213b14f3	bbgo: add negative range test for PercentageScale	2022-01-27 01:47:01 +08:00
c9s	49f671ef54	add PercentageScale and its tests	2022-01-27 01:40:54 +08:00
c9s	e82379a668	bollmaker: add QuantityOrAmount struct	2022-01-27 01:10:39 +08:00