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4,114 Commits 60 Branches 138 Tags 189 MiB
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596 Commits

Author SHA1 Message Date
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
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
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
9bdc05b69c strategy/grid: use background context for canceling orders 2022-01-19 18:26:57 +08:00
c9s
9953a30717 xgap: fix subscribe interval 2022-01-19 13:08:50 +08:00
Yo-An Lin
0e0525be99
Merge pull request #418 from austin362667/refactor/futures-account 
binance: add futures exchange api queries
 2022-01-17 20:54:49 +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
austin362667
904e7c03ad strategy: cleanup funding strategy 
strategy: cleanup funding strategy
 2022-01-15 08:28:02 +08:00
austin362667
d0e26c66e4 strategy: add funding strategy 2022-01-15 08:28:02 +08:00
c9s
93722e6db3 implement position closer interaction 2022-01-15 02:52:46 +08:00
c9s
317d8e9d49 xgap: add minSpread option 2022-01-14 12:49:46 +08:00
Yo-An Lin
e797e597b1
Merge pull request #435 from jessy1092/fix/correct-bollmaker-params 
fix: Correct uptrendSkew and downtrendSkew parameters setting on bollmaker strategy
 2022-01-14 12:18:18 +08:00
c9s
eef14fa950 xgap: add jitter 2022-01-14 12:03:29 +08:00
c9s
1f6076ae18 plus a quantity jitter 2022-01-14 11:59:40 +08:00
Lee
965fc6989d fix: Correct uptrendSkew and downtrendSkew parameters setting on bollmaker strategy 2022-01-13 23:06:23 +08:00
c9s
dc6d60216b types: fix order book copy 2022-01-13 11:09:50 +08:00
c9s
98247385f9 xmaker: use GracefulCancel to cancel active orders 2022-01-13 11:01:46 +08:00
c9s
5cc3a88911 xmaker: show order book last update time 2022-01-12 22:11:28 +08:00
c9s
c3356fa694 types: add test for PriceHeartBeat 2022-01-12 14:42:11 +08:00
c9s
5755c44845 move PriceHeartBeat to types 2022-01-12 14:33:55 +08:00
c9s
420e221f5b xmaker: pull out PriceHeartBeat 2022-01-12 12:14:51 +08:00
c9s
7195c6ed27 xmaker: add price quoting protection 2022-01-12 11:55:45 +08:00
c9s
940c675cae xmaker: add rate limit hit alert 2022-01-11 22:48:28 +08:00
c9s
081a143ec0 xmaker: add DepthQuantity 2022-01-11 22:47:40 +08:00
c9s
70dec09f26 xmaker: fix minQuantity buffer 2022-01-10 23:17:19 +08:00
c9s
b26141ac1f support: set default s.triggerEMA 2022-01-10 13:51:14 +08:00
c9s
b56e988fc9 support: fix triggerEMA check 2022-01-10 13:49:36 +08:00
c9s
3907f99e70 xmaker: keep rate reservation token 2022-01-10 12:25:13 +08:00
c9s
1b27c4e9c4 remove hedge error limiter 2022-01-09 23:45:46 +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
d94cc2df31 bbgo: add recover callbacks to trace collector 2022-01-09 15:39:59 +08:00
c9s
6ce8edba7d xmaker: add error rate limiter 2022-01-09 11:33:34 +08:00
c9s
471a1b2baa xmaker: adjust minimal quantity and minimal notional threshold 2022-01-09 10:18:31 +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
c9s
7e2acdc416 all: add lock protected GetBase method for Position 2022-01-09 00:35:45 +08:00
c9s
9b92c8948d xmaker: fix quantity truncation and add check for min quantity n min notional 2022-01-09 00:30:18 +08:00
c9s
cb189d885c fix backtest for limit maker order and bollpp strategy 2022-01-08 02:18:44 +08:00
c9s
f4ebae17bb xmaker: when recover the trade, notify 2022-01-07 13:13:57 +08:00
c9s
a49d001c29 xmaker: add trade scanner 2022-01-07 01:03:12 +08:00
c9s
41574a2390 xmaker: use millisecond jitter from the util package 2022-01-07 00:14:24 +08:00
c9s
259771b0b0 all: pull out the graceful cancel process to the local active book 2022-01-07 00:10:40 +08:00
c9s
1d5406ef21 xmaker: always update maker market 2022-01-06 23:27:06 +08:00
c9s
c8bf85f4e2 xmaker: improve pips 2022-01-05 11:34:07 +08:00
c9s
e997220321 xmaker: fix ask pips 2022-01-05 11:32:56 +08:00
c9s
6ff24e713e xmaker: fix notification format 2022-01-01 01:34:48 +08:00
c9s
6055f90680 xmaker: add cover and uncover logs 2021-12-31 15:26:51 +08:00
c9s
1116fc1de1 session: print klines only when debug-kline is enabled 2021-12-31 15:13:26 +08:00
c9s
899e8d2d58 Revert "xmaker: fix s.state.CoveredPosition.AtomicAdd add" 
This reverts commit 5999dc1151.
 2021-12-31 14:23:02 +08:00
c9s
5999dc1151 xmaker: fix s.state.CoveredPosition.AtomicAdd add 2021-12-31 02:00:39 +08:00
c9s
aaa52ecea4 xmaker: remove unsued localTimeZone var 2021-12-31 01:53:30 +08:00
c9s
f78a7d37a2 xgap: subscribe 1m kline 2021-12-28 02:14:49 +08:00
c9s
8f4ae1e15b xgap: check balance and adjust order quantity according to the available balance 2021-12-28 02:11:11 +08:00
c9s
958dd97f52 xgap: add SimulateVolume 2021-12-28 01:48:24 +08:00
c9s
1fa03cdfd6 xmaker: add back profit function 2021-12-27 02:59:55 +08:00
c9s
f7c39290a0 call tradeCollector process to check trades 2021-12-27 00:51:57 +08:00
c9s
dcdf33e2c9 xmaker: pull out notifyTrade to a single callback 2021-12-27 00:12:35 +08:00
c9s
65da02af2c xmaker: call TruncateQuantity when the quantity is adjusted 2021-12-26 15:45:39 +08:00
c9s
902e27ede4 xmaker: truncate quantity when hedging 2021-12-26 15:44:41 +08:00
c9s
05a0745d08 fix InitExchange for publicOnly session 2021-12-26 15:29:42 +08:00
c9s
30a7ca1ce1 rename gap to xgap 2021-12-26 15:13:51 +08:00
c9s
1c54e59d55 xmaker: fix trade handling 2021-12-26 12:10:10 +08:00
なるみ
4a8be9cc1a Fix log 2021-12-22 02:04:44 +08:00
なるみ
2999e41ef0 Validate config 2021-12-22 01:59:38 +08:00
なるみ
41d4001872 Add log 2021-12-22 01:59:25 +08:00
Yo-An Lin
1ab20e6397
Merge pull request #381 from narumiruna/maxamount 
strategy: rebalance: adjust quantity by max amount
 2021-12-21 20:20:44 +08:00
なるみ
531805a449 Adjust quantity by max amount 2021-12-20 23:46:22 +08:00
Andy Cheng
e4bdb1de06
strategy: allow setting the interval and the window for trigger MA 2021-12-19 18:28:47 +08:00
Andy Cheng
d281182432
strategy: fix support strategy criteria 2021-12-19 17:53:34 +08:00
Yo-An Lin
d531e041dd Merge pull request #357 from narumiruna/rebalance 
feature: add portfolio rebalancing strategy
 2021-12-14 12:01:07 +08:00
なるみ
f320d78f2f Refactor 2021-12-14 02:18:08 +08:00
なるみ
f494a0f514 Initial commit of rebalance strategy 2021-12-13 05:19:44 +08:00
austin362667
1703fff8b2 types: refactor Position and related files 2021-12-11 19:16:16 +08:00
c9s
ca85aa69e6 pull out global premium index type and funding rate type 2021-12-09 00:10:18 +08:00
c9s
1de4e5ee4c grid: fix parameter checking for fixed amount 2021-12-07 15:37:37 +08:00
c9s
85bb9f214e grid: disable trade marking 2021-12-06 01:34:08 +08:00
TonyQ
056afb577c fix generateGridSellOrders with ProfitSpread for begining 2021-11-30 11:55:00 +08:00
c9s
513a799ced fix ewma calculation 2021-11-22 02:14:44 +08:00
c9s
7a3963b34e techsignal: if it's already high funding rate, do not show change 2021-11-06 15:23:52 +08:00
c9s
0c8addc58b grid: refactor trade callback for s.TradeService.Mark 2021-11-05 01:05:43 +08:00
c9s
6851d8d254 grid: add field guards 2021-11-05 01:04:13 +08:00
c9s
7db7596abe grid: refactor trade handler with trade collector 2021-11-05 00:30:04 +08:00
c9s
7787edffa0 refactor grid strategy state loading/saving 2021-11-05 00:22:44 +08:00
c9s
bfaec8fdd8 increase min amount if it's not greater than min notional 2021-11-04 23:22:01 +08:00
c9s
6002a958d2 grid: fix format error 2021-11-04 13:08:38 +08:00
c9s
7eb91cc7cc adjust grid quantity if it does not match min notional and min quantity 2021-11-04 12:50:32 +08:00
c9s
ed1d0ea27e add xnav strategy 2021-10-29 10:40:14 +08:00
c9s
6cb593cd90 techsignal: use realtime funding rate 2021-10-20 14:01:19 +08:00
c9s
1e6692ec8d rename funding rate query method name 2021-10-19 15:29:55 +08:00
c9s
af602df302 techsignal: add math.Round for quote volumes 2021-10-18 20:06:23 +08:00
c9s
3a68d9dae4 techsignal: fix arg cast 2021-10-18 19:40:51 +08:00
c9s
721d63bee0 techsignal: add skip log 2021-10-18 11:10:54 +08:00
c9s
ebc61de946 techsignal: fix ma subscription 2021-10-18 09:00:56 +08:00
c9s
d446dbbed7 bollpp: send profit stat notification 2021-10-18 01:16:46 +08:00
c9s
d6b707c832 bollpp: fix order quantity 2021-10-18 00:56:22 +08:00
c9s
0bd32094ee bollpp: improve bolling ping pong maker 2021-10-18 00:42:01 +08:00
c9s
759b6a812b techsignal: fix funding rate diff 2021-10-17 22:26:04 +08:00
c9s
a3f68d7b72 xmaker: use bbgo.NewPositionFromMarket 2021-10-17 22:24:57 +08:00
c9s
450b7bb61e bollpp: improve boll ping pong strategy with profit stats 2021-10-17 22:23:34 +08:00
c9s
77e7f814d9 support: refactor PercentageTargetStop logics 2021-10-15 16:10:57 +08:00
c9s
a2c29f4519 support: remove legacy resistance code 2021-10-15 12:38:16 +08:00
c9s
d704e19f04 move signedPercentage method to fixedpoint 2021-10-15 12:22:53 +08:00
c9s
952bdf8218 move currency formatter to market struct 2021-10-15 11:50:37 +08:00
c9s
790b3357d7 techsignal: adjust funding rate notification 2021-10-15 11:13:00 +08:00
c9s
4523135012 techsignal: add funding rate checker 2021-10-14 23:01:10 +08:00
c9s
e7fe443cbe show kline in the notification 2021-10-14 14:32:49 +08:00
c9s
fbbefe2878 techsignal: show interval in the message 2021-10-14 14:30:45 +08:00
c9s
a6848a6af4 add strategy/techsignal 2021-10-14 14:24:08 +08:00
c9s
4c2897a86d use Float64 indicator from the types package 2021-10-14 13:15:08 +08:00
c9s
4c061439d3 rename buyandhold to pricedrop 2021-10-14 13:10:00 +08:00
c9s
768a88247b rename bpp to bollpp (bollinger pingpong) 2021-10-14 12:52:54 +08:00
c9s
6e7f12ca9f rename trailingstop to emastop 2021-10-14 12:04:56 +08:00
c9s
e2f58d0466 xmaker: use report ticker to report profit stats 2021-10-14 08:53:44 +08:00
c9s
d3fa0a964b bbgo: add slack attachment support for profit 2021-10-14 01:27:50 +08:00
c9s
e4281b1a02 xmaker: update notification message with strategy ID 2021-10-14 01:27:37 +08:00
c9s
bbc1775ec5 xmaker: update symbol, base, quote currency to profit stats 2021-10-14 01:26:40 +08:00
c9s
8374c98609 xmaker: fix time type casting 2021-10-14 01:26:31 +08:00
c9s
5039a43413 bbgo: move pnl formating to the bbgo package 2021-10-14 01:26:11 +08:00
c9s
45645d0a3d use the profit struct to pass profit info 2021-10-08 19:16:40 +08:00
c9s
d058125f78 bbgo: refactor profit stats 2021-10-08 14:57:44 +08:00
c9s
9e93cd66de strategy: update trade collector api 2021-10-08 13:24:14 +08:00
c9s
8f74c106d6 support: merge stash 2021-10-08 13:14:21 +08:00
c9s
184f93ce79 support: fix interval check 2021-10-08 13:13:49 +08:00
c9s
01de2c5f66 support: fix long term ema kline subscription 2021-10-08 13:13:49 +08:00
c9s
f97eb8914a support: add resistance check 2021-10-08 13:13:49 +08:00
c9s
1091010f64 support: move property configuration to the top 2021-10-08 13:13:49 +08:00
c9s
3539047a39 support: show ema price 2021-10-08 13:13:49 +08:00
c9s
6917b98a74 schedule: show closed price 2021-10-08 11:59:23 +08:00
c9s
f0503b99a1 schedule: add interval check 2021-10-08 11:58:50 +08:00
c9s
193961c4e0 add bpp strategy 2021-10-07 16:39:20 +08:00
c9s
1bc36b17ff xbalance: add verbose flag 2021-09-03 14:25:26 +08:00
c9s
99f97df43b etf: use break instead of return 2021-08-26 11:58:25 +08:00
c9s
8d01c97240 fix cyclic import issue 2021-08-26 11:46:02 +08:00
c9s
1f94ae1c19 bbgo: move moving average settings struct into bbgo 2021-08-26 11:32:39 +08:00
c9s
2c378d6047 add etf strategy 2021-08-26 11:31:36 +08:00
c9s
0dd7438fd7 schedule: show scheduled order price 2021-08-26 10:29:27 +08:00
c9s
684bfcea19 xbalance: capitalize message 2021-08-19 16:35:16 +08:00
c9s
66b7e1fc3f schedule: fix schedule subscription 2021-08-19 16:35:05 +08:00
c9s
cf29cfadd0 xbalance: show balance error message 2021-08-17 12:18:29 +08:00
c9s
47258b31c6 xbalance: fix message 2021-08-17 11:36:51 +08:00
c9s
5a0ae6773c xbalance: configure middle value automatically from total value 2021-08-16 12:52:12 +08:00
c9s
490eb15748 schedule: fix order notification 2021-08-16 12:11:15 +08:00
c9s
5e2b8af4dc xmaker: fix reset today 2021-07-06 12:19:59 +08:00
c9s
1d316ed89c xmaker: call reset today if the date exceeded 2021-07-06 12:19:59 +08:00
c9s
3165d10986 support: use trade collector 2021-06-26 20:26:47 +08:00
c9s
aab0c377d7 xmaker: reformat code 2021-06-26 20:26:47 +08:00
c9s
b58b48d668 xmaker: refactor profit stats 2021-06-26 20:26:47 +08:00
c9s
cef28fa651 xbalance: use time util function from the util package 2021-06-26 20:26:47 +08:00
c9s
5621effd6b add resistance 2021-06-21 19:03:50 +08:00
c9s
4bc0612265 support: add minBaseAssetBalance 2021-06-17 19:28:11 +08:00
c9s
f9fa6e96c3 support: refactor kline handler 2021-06-16 20:33:52 +08:00
c9s
811319fa25 support: fix sensitivity calculation 2021-06-16 14:16:39 +08:00
c9s
5fecccedd6 add resistance check 2021-06-16 13:23:33 +08:00
c9s
3d12a7df59 support: add sensitivity settings 2021-06-16 13:14:10 +08:00
c9s
990da5ad3b xbalance: add foreign fee for withdrawal 2021-06-09 01:37:33 +08:00
c9s
3fd170a4ff xmaker: check book before copying 2021-06-09 01:35:56 +08:00
c9s
f5a241a1a8 xmaker: improve warn message 2021-06-09 01:35:50 +08:00
c9s
a0d8a3718a xmaker: fix bid/ask price check 2021-06-07 02:50:11 +08:00
c9s
d5617d44aa xmaker: pass source market and maker market for formatting 2021-06-07 02:49:54 +08:00
c9s
0a74cc7171 xmaker: add useDepthPrice option 2021-06-07 02:49:44 +08:00
c9s
b60fd9e356 support: fix quantity formatting 2021-06-07 00:57:47 +08:00
c9s
f66095eff9 support: add target orders to the orders 2021-06-01 01:39:22 +08:00
c9s
e5db780be8 notify trades and update position 2021-06-01 01:39:22 +08:00
c9s
40c3a5870f support strategy improvements: 
- add taker buy base volume ratio option
- add max base asset balance config
- add min quote asset balance config
- record orders and trades
 2021-06-01 01:39:22 +08:00
c9s
69e76485c5 xbalance: fix ticker usage 2021-05-30 18:06:31 +08:00