77 Commits

Author	SHA1	Message	Date
ankion	ccb7fe39fa	backtest: fix order cancel fail when run order cancel on the filled event.	2022-03-16 15:01:19 +08:00
zenix	d6995e40ff	fix: submit order on userDataStream == nil	2022-03-15 20:51:15 +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
c9s	0c09e6b32a	use global timeInForce type	2022-02-18 13:52:13 +08:00
zenix	8648528435	fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests	2022-02-15 14:55:19 +09:00
zenix	05521a98b6	add skeleton strategy. fix most of the tests. fix final asset value	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
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	ec8129ab87	backtest: fix market order fee calculation	2022-01-30 02:00:30 +08:00
c9s	78855d552a	backtest: fix backtest trade for market order	2022-01-30 01:37:24 +08:00
c9s	2255f3ed0a	bollmaker: check dust order for stop	2022-01-29 17:44:42 +08:00
c9s	007207e24f	all: use types.LooseFormatTime to parse loose format date time string	2022-01-25 00:24:12 +08:00
zenix	213ceeda82	fix: #431 for not updating lastPrice if no tade happened	2022-01-21 20:57:55 +09:00
austin362667	91d2312c5c	cache: refactor moving from bbgo to pkg/cache	2022-01-15 08:28:02 +08:00
c9s	cb189d885c	fix backtest for limit maker order and bollpp strategy	2022-01-08 02:18:44 +08:00
c9s	dd22776a7e	cmd: refactor the exchange factory function	2021-12-25 23:27:05 +08:00
c9s	dcbce18fd8	fix format	2021-12-25 23:12:54 +08:00
c9s	442afe8eb9	backtest: pull out market data feeding to a function and call it in the main thread	2021-12-25 22:57:28 +08:00
c9s	60853bee23	backtest: pull out market data feeder	2021-12-25 22:37:38 +08:00
c9s	57bc65a729	avoid calling EmitConnect and EmitStart outside of the kline feeding goroutine ... this causes 2 goroutine running in the same time hence cause the concurrent map read / write should fix #399, #401	2021-12-25 21:05:50 +08:00
c9s	f5bbe29ac6	cmd: fix debug flag loading and add debug log to cache function	2021-12-23 23:02:07 +08:00
c9s	562c287a4e	all: move publicOnly to StandardStream	2021-12-23 17:49:18 +08:00
c9s	cfd68fdd1d	all: change trade id to uint64	2021-12-23 17:49:18 +08:00
TonyQ	3e45035ab1	database: sqlite3 issue fix ... database: upgrade gosqllite3 version for increasing variable amount limit types: update kline starttime/endtime field to prevent sqlite3 time parsing issue. fix #215	2021-12-15 14:34:31 +08:00
c9s	4665ae0e31	remove unused error return value	2021-12-10 15:03:43 +08:00
c9s	a0f46bf9b8	improve error checking, avoid using panic inside the constructor	2021-12-08 23:30:58 +08:00
c9s	2223ef088c	add ftx, okex to the public exchange factory for backtest	2021-12-08 23:27:01 +08:00
c9s	d52edce40b	fix markets info cache	2021-12-08 17:26:43 +08:00
c9s	634ce6180b	avoid using panic when order cancel failed	2021-12-06 13:32:08 +08:00
c9s	3615477d8f	backtest: allocate matching books from the exchange constructor ... also adds the mutex for trades and closed orders	2021-12-06 00:38:36 +08:00
c9s	b301ea549a	adjust default rate to DefaultFeeRate 0.075%	2021-12-05 12:24:51 +08:00
c9s	f692ef2c31	realign account fields	2021-12-05 12:23:27 +08:00
c9s	44d7055809	fix backtest fee rate calculation	2021-12-05 12:10:45 +08:00
c9s	4d7fe7f37d	call matchingBooksMutex when assigning matching book	2021-12-05 12:06:36 +08:00
c9s	5ed337926d	add mutex lock protection for backtesting ... solving issue #282	2021-11-30 10:40:28 +08:00
c9s	60e4442f85	add document for the backtest engine	2021-10-05 22:06:36 +08:00
c9s	3aa36b5989	refactor and fix backtest for user data stream and market data stream	2021-05-30 15:08:11 +08:00
c9s	57a78777df	move Time type to types.Time	2021-05-21 00:10:53 +08:00
c9s	e636a5008d	replace Exchange field type with ExchangeName	2021-05-16 17:02:23 +08:00
c9s	d8d2e17b9e	fix backtest exchange query klines methods	2021-05-08 00:57:12 +08:00
c9s	6bbd66a4f9	split environment start and init	2021-05-08 00:45:24 +08:00
c9s	61ad2b6567	emit start callback for backtest	2021-05-08 00:43:53 +08:00
c9s	3501e8f5fd	refactor backtest, add BootstrapBacktestEnvironment	2021-05-08 00:14:25 +08:00
ycdesu	c8447663db	refactor: use fixedpoint to store fee	2021-03-19 08:49:24 +08:00
ycdesu	83ae943a4f	ftx: calculate commission	2021-03-18 23:58:28 +08:00
c9s	c5eb6483a5	integrate QueryTicker for backtesting	2021-03-16 02:13:52 +08:00
c9s	0ba595bd55	Fix trade sync for self trades ... MAX uses one single trade for presenting self trade. BINANCE uses two trade records for presenting self trade. the trade creation time are the same.	2021-02-18 17:37:49 +08:00
c9s	ffa001fc29	fix quantity format	2021-02-11 00:21:56 +08:00
ycchen	288f7257eb	fix testcases	2021-02-06 19:39:43 +01:00