Commit Graph

111 Commits

Author SHA1 Message Date
Andy Cheng
c9ba81fcbb strategy: Update bollmaker to support new strategy controller 2022-05-06 16:52:00 +08:00
c9s
82c7c024ce
bbgo: add persistence Sync api 2022-05-05 18:18:38 +08:00
c9s
10a7928580
extract NewProfitStats method 2022-05-05 14:48:50 +08:00
c9s
c3db85443e
bollmaker: add Deprecated note 2022-05-05 14:47:06 +08:00
c9s
3140b7e2ef
bollmaker: remove unnecessary log 2022-05-05 14:41:11 +08:00
c9s
019e6a2a88
improve legacy state handling and move fnv 2022-05-05 14:39:29 +08:00
c9s
21f81dec29
implement reflect-based persistence restore and load 2022-05-05 12:53:48 +08:00
c9s
58e8da914e
bollmaker: migrating state.position to strategy.position 2022-05-05 09:54:50 +08:00
c9s
18da434e92 all: use thread-safe GetAccount method to get account 2022-04-23 15:43:11 +08:00
Andy Cheng
07c30f82af
strategy: add StrategyController to bollmaker 2022-04-15 15:38:40 +08:00
c9s
f91132f35c bollmaker: avoid using time in force in maker order 2022-04-15 11:40:43 +08:00
austin362667
a8484046d3 bollmaker: add TimeInForce for futures limit order support 2022-03-28 21:12:45 +08:00
c9s
4b89f4a48b bollmaker: fix profit stats notification 2022-03-14 21:21:58 +08:00
c9s
5db4e11167 rewrite trade profit handling 2022-03-14 21:21:58 +08:00
c9s
6fec30d79c call record position on trade 2022-03-14 21:21:58 +08:00
c9s
d67b800e7e use RecordPosition 2022-03-14 21:21:58 +08:00
c9s
b1559bcbe3 fix persistence injection 2022-03-14 21:21:43 +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
a9f9fa8fed bollmaker: add Environment field and Market field for injection 2022-03-05 12:40:56 +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
9e0df77a36 move profit struct into the types package 2022-03-04 16:39:48 +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
abc1d535d8 fix bollmaker, fix pnl issues 2022-02-15 12:01:39 +09:00
c9s
bf8558e9ad bollmaker: add BuyBelowNeutralSMA option 2022-02-01 01:40:51 +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
e1fc0e7b8d bollmaker: remove redundant log and fix return 2022-01-30 02:00:42 +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
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
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
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
c9s
5c0e3a1254 bollmaker: add shadow protection config 2022-01-16 04:40:50 +08:00
c9s
a68ad20ddc bollmaker: add shadow protection 2022-01-16 04:06:19 +08:00
c9s
1e370ff244 bollmaker: collect trades before we shutdown 2022-01-16 01:27:28 +08:00
c9s
898204f5fa bollmaker: adjust quantity to met the min notional condition before we submit 2022-01-16 01:15:34 +08:00
c9s
fd4a3bb000 bollmaker: remove unused cancelOrders function 2022-01-16 01:08:50 +08:00
c9s
93722e6db3 implement position closer interaction 2022-01-15 02:52:46 +08:00
Lee
965fc6989d fix: Correct uptrendSkew and downtrendSkew parameters setting on bollmaker strategy 2022-01-13 23:06:23 +08:00
c9s
9ca4e23aaf add strategy documentation 2022-01-09 22:43:49 +08:00
c9s
bba4e86fdf bollmaker: adjust default skew parameter 2022-01-09 22:37:27 +08:00
c9s
b98777afe4 bollmaker: pull out skew options 2022-01-09 22:32:23 +08:00
c9s
cd340bd596 bollmaker: check s.MaxExposurePosition 2022-01-09 03:03:54 +08:00
c9s
0cec652f38 bollmaker: skip submitOrder calls if submitOrders is empty 2022-01-09 02:35:12 +08:00
c9s
656ef942e4 bollmaker: add disable short option 2022-01-09 02:24:10 +08:00
c9s
4df5847647 bollmaker: add quantity scaling for closing position 2022-01-09 01:57:51 +08:00
c9s
4cdb5b607b rename bollpp to bollmaker 2022-01-09 01:20:47 +08:00