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247 Commits

Author SHA1 Message Date
c9s
abd6f4c7ef rename bbgo.AdjustQuantityByMaxAmount to bbgo.AdjustFloatQuantityByMaxAmount 2021-05-14 14:53:26 +08:00
c9s
f69cbe9c31 add basic TwapExecution 2021-05-14 14:53:26 +08:00
c9s
c520cfa540 xmaker: fix price calculation 2021-05-14 14:53:26 +08:00
Larry850806
4b53b3c96a bollgrid: generate the last order if balance is not enough 2021-05-12 20:45:54 +08:00
c9s
a49cf531b5 fix cross exchange order executor for the basic risk control 2021-05-12 19:02:09 +08:00
c9s
29b7326f19 add withdrawal property to the exchange session 2021-05-12 12:05:54 +08:00
c9s
9ff7b62123 add xbalance strategy 2021-05-12 01:21:40 +08:00
c9s
f197a0fc4f improve log messages 2021-05-11 15:57:44 +08:00
c9s
9d53adc6ef xmaker: ignore self trade 2021-05-11 15:56:46 +08:00
c9s
610c33b819 improve support quantity for spot session 2021-05-11 13:25:29 +08:00
c9s
15086996e4 add balance warning 2021-05-11 12:53:32 +08:00
c9s
5f8e3259eb add stopHedgeQuoteBalance and stopHedgeBaseBalance 2021-05-11 12:47:45 +08:00
c9s
d2a770bc05 adjust second layer price according to the pips 2021-05-11 01:06:39 +08:00
c9s
b86ed36aa2 calculate price by depth 2021-05-11 00:58:11 +08:00
c9s
4429a29c29 disable hedge quote adjustment 2021-05-11 00:10:49 +08:00
c9s
fa3ca54a55 improve warning messages 2021-05-10 23:52:17 +08:00
c9s
fe4e4bf5ea use bbgo.AdjustQuantityByMaxAmount 2021-05-10 23:50:19 +08:00
c9s
b16d2553b5 remove floating point 2021-05-10 23:49:25 +08:00
c9s
1f9558cd64 use local timezone 2021-05-10 23:27:08 +08:00
c9s
af8f718228 add more pnl details to the state 2021-05-10 20:22:33 +08:00
c9s
95d58e9385 adjust hedge quantity according to the hedge account balances 2021-05-10 20:13:23 +08:00
c9s
c1ea9ff9ed xmaker: move cancel order calls to the go routine 2021-05-10 13:18:57 +08:00
c9s
ddab6083d4 xmaker: support quantity scale 2021-05-10 02:52:41 +08:00
c9s
dde998aced fix graceful shutdown 2021-05-10 02:17:19 +08:00
c9s
405f9c863f xmaker: call cancel orders everytime 2021-05-10 01:47:17 +08:00
Yo-An Lin
8a9fe7ea23 Merge pull request #221 from frankurcrazy/fix/skip-cancel-profit-order-on-graceful-exit 
fix(bollgrid): skip canceling profit orders on graceful exit
 2021-05-10 01:11:20 +08:00
c9s
0307a740e3 calculate accumulatedProfit 2021-05-09 23:56:54 +08:00
c9s
a98fbeea77 reduce notify calls 2021-05-09 21:14:51 +08:00
c9s
2f326d0fed xmaker: add interval jitter 2021-05-09 20:03:06 +08:00
c9s
74e01ce444 fix order waiting for graceful shutdown 2021-05-09 19:44:51 +08:00
c9s
ff90a704d9 fix fixedpoint format 2021-05-09 19:40:56 +08:00
c9s
e35eef2b72 fix message formatting 2021-05-09 19:15:37 +08:00
c9s
9525a334d2 add more fix 2021-05-09 19:04:44 +08:00
c9s
b343ecad61 xmaker: add more helpful messages 2021-05-09 18:55:56 +08:00
c9s
dc282182a5 fix xmaker order cancellation in the graceful shutdown 2021-05-09 18:48:25 +08:00
c9s
569bbfea54 use new bbgo position for calculating profits 2021-05-09 18:46:09 +08:00
c9s
f44d85d704 fix QuantityMultiplier 2021-05-09 18:33:11 +08:00
c9s
c0f12cf452 xmaker: add active maker order cancellation check 2021-05-09 18:32:29 +08:00
Frank Chang
da0ea3d390 fix(bollgrid): skip canceling profit order on graceful exit 
profit orders shouldn't be canceled on graceful exit unless
properly persisted.

a new strategy parameter `shutdownCancelProfitOrders` is added.

Issue: #220
 2021-05-08 15:19:04 +08:00
c9s
13d9f2ba49 grid: fix order generator checking 2021-05-08 01:00:57 +08:00
c9s
a94c42d9c2 grid: improve error messages 2021-05-08 00:59:30 +08:00
c9s
858d6bdf05 grid: adjust callback registration ordering 2021-05-07 02:14:35 +08:00
Larry850806
f1309c46fc bollgrid: check balance before submit reverse order 2021-05-03 16:18:58 +08:00
c9s
822a010932 add moving average configuration to the schedule strategy 2021-05-02 20:58:32 +08:00
c9s
20d673f769 add schedule strategy 2021-05-02 18:03:41 +08:00
Larry850806
453a906a5a bollgrid: use onStart instead of onConnect 2021-04-15 15:51:23 +08:00
Larry850806
980f1ae3e7 bollgrid: submit buy/sell orders separately 2021-04-15 12:31:18 +08:00
Larry850806
aa950b3dc4 bollgrid: track createdOrders when error occurs 2021-04-15 12:31:18 +08:00
Larry850806
a80afff0c2 grid: track createdOrders when error occurs 2021-04-15 12:31:18 +08:00
c9s
13a8597d59 add MaxExposurePosition settings 2021-04-04 11:14:09 +08:00
Larry850806
6718aace8c Add validation for support strategy 2021-04-02 10:32:38 +08:00
Larry850806
53133851cc Add validation for grid strategy 2021-04-02 10:32:38 +08:00
Larry850806
2c41ec28ae Add validation for bollgrid strategy 2021-04-02 10:32:34 +08:00
c9s
c82df27cf3 grid: fix message format 2021-03-25 15:22:52 +08:00
c9s
129b25d86e fix persistence key 2021-03-25 13:18:38 +08:00
c9s
89c01adf60 xmaker: fix state passing for persistence 2021-03-25 13:16:48 +08:00
c9s
5de221524f adjust state and reset per day 2021-03-22 18:48:18 +08:00
c9s
2b27815929 move out groupID to the maxapi package 2021-03-22 17:32:22 +08:00
c9s
706b38efa3 gap: finalize the implementation 2021-03-22 17:32:22 +08:00
c9s
865dda14f5 gap: accumulate fee 2021-03-22 17:32:22 +08:00
c9s
e86f29b7cc add gap strategy 2021-03-22 17:32:21 +08:00
c9s
814a77ea39 xmaker: improve balance checking 2021-03-21 12:55:33 +08:00
c9s
2a067e5cb4 add more balance check for hedging 2021-03-21 12:55:33 +08:00
c9s
4e3f325bb6 first commit of xmaker strategy from mobydick 2021-03-21 12:55:33 +08:00
c9s
ca27bf100d grid: use instance id for persistence 2021-03-20 23:07:04 +08:00
c9s
ef8543db8a show accumulative arbitrage profit in the message 2021-03-20 23:05:11 +08:00
c9s
761d51597d add todo fee rate here 2021-03-18 17:48:05 +08:00
c9s
4975fb5498 track arbitrage orders 2021-03-18 17:20:21 +08:00
c9s
0e6918a352 grid: add profit field 2021-03-18 15:46:14 +08:00
c9s
8d784576cd put state vars into the state struct for persistence 2021-03-18 01:14:56 +08:00
c9s
72c1f55b70 fix grid price calculation 2021-03-18 00:46:25 +08:00
c9s
216c12b49e backup and restore position 2021-03-16 20:07:54 +08:00
c9s
a1667010eb fix filled grid map assignment 2021-03-16 20:05:03 +08:00
c9s
714d61a829 add grid restore behavior 2021-03-16 20:04:06 +08:00
c9s
8c08cfebb7 rename MarkStrategyID to just Mark 2021-03-16 14:07:47 +08:00
c9s
ebcef65b01 mark trades with the strategy ID 2021-03-16 10:58:51 +08:00
c9s
478bef526d copy the position object and send notification 2021-03-16 02:22:00 +08:00
c9s
98995bc75c use debug log for skipping filled grid 2021-03-16 02:21:46 +08:00
c9s
f56df038aa fix position and add catchup mode for grid strategy 2021-03-16 02:18:17 +08:00
c9s
2bf4a555ec use OnStart instead of OnConnect 
this is for avoiding re-connect issue
 2021-03-15 18:04:55 +08:00
Larry850806
689734567a Remove unused conditions when generating orders 2021-03-03 14:55:11 +08:00
c9s
da79920ca9 rename scale struct name to PriceVolumeScale 2021-02-28 14:51:24 +08:00
c9s
99f236d2e0 integrate quantity scale into support strategy and grid strategy 2021-02-28 11:57:25 +08:00
c9s
21a4669905 adjust max query limiter and sync before running trader 2021-02-22 16:54:08 +08:00
c9s
ff5233ba3e support: use Notfiy 2021-02-20 10:51:01 +08:00
c9s
e3d3eacb78 fix trade service injection 2021-02-16 16:30:01 +08:00
c9s
0c9ca851e5 improve support strategy 2021-02-15 01:26:46 +08:00
c9s
f8378957ee add more checks for bollgrid 
related to #93
 2021-02-13 16:03:31 +08:00
Yo-An Lin
de195b3c17 Merge pull request #130 from Larry850806/fix/bollgrid 2021-02-11 15:38:50 +08:00
Larry850806
ca31179b40 Fix balance calculation 2021-02-11 14:48:13 +08:00
c9s
4a0bd45301 remove order test code 2021-02-11 00:30:37 +08:00
c9s
88411a134b add supportAndTargets strategy 2021-02-11 00:21:06 +08:00
c9s
4b66deec3d subscribe RepostInterval as well 
might be related to issue #93
 2021-02-10 22:45:23 +08:00
c9s
061312771c fix float formatting 2021-02-10 22:41:42 +08:00
Larry850806
9f6d9028fa Use fixedpoint type to calculate the balance 2021-02-10 16:01:11 +08:00
Larry850806
6d399647cf Remove unused functions 2021-02-10 11:37:37 +08:00
Larry850806
11a176145e Refactor placeGridOrders into three functions 2021-02-10 11:37:33 +08:00
Larry850806
d22a8e9c63 Improve bollgrid strategy's balance check and quote calculation 2021-02-10 10:11:32 +08:00
c9s
ffb6a29d0d fix startPrice value conversion 2021-02-08 13:21:22 +08:00
c9s
173074f5e4 improve grid strategy's balance check and quote calculation 2021-02-07 11:37:24 +08:00