Jui-Nan Lin
dd0bfab292
fix(ftx): call EmitStart() after connected
2021-05-21 23:25:26 +08:00
Jui-Nan Lin
c7f9352e20
fix(ftx): keep in the loop
2021-05-21 23:10:05 +08:00
Jui-Nan Lin
fb47a4882f
fix(ftx): support subaccount in websocket
2021-05-21 23:07:53 +08:00
Jui-Nan Lin
05bde543b7
feat(ftx): emulating kline channel with polling
2021-05-21 23:07:39 +08:00
c9s
09d68057c5
move price volume slice to a separated file
2021-05-21 12:32:47 +08:00
c9s
94fb0e320e
implement RBTree orderbook benchmark
2021-05-21 12:31:18 +08:00
c9s
f6229515ac
fix color ref
2021-05-21 02:18:45 +08:00
c9s
31f9920ddc
fix func comment
2021-05-21 02:17:57 +08:00
c9s
d2003bbc3d
remove unused emit function calls
2021-05-21 02:17:40 +08:00
c9s
d930816672
define RBOrderBook
2021-05-21 02:15:31 +08:00
c9s
be646fbac2
move rbtree to types package
2021-05-21 01:44:53 +08:00
c9s
edf8902b28
implement rbtree delete
2021-05-21 01:36:58 +08:00
c9s
d14137b878
add rbtree functions
2021-05-21 00:10:53 +08:00
c9s
57a78777df
move Time type to types.Time
2021-05-21 00:10:53 +08:00
c9s
4fde442722
Add position Reset function
2021-05-21 00:08:04 +08:00
c9s
d737ab678f
support removing filled orders from the order store
2021-05-21 00:07:43 +08:00
Yo-An Lin
343f184252
Merge pull request #248 from jnlin/fix/ftx-orderid
...
fix(ftx): use generated order id if not specified
2021-05-20 01:06:37 +08:00
Jui-Nan Lin
02649bdd63
fix(ftx): use generated order id if not specified
2021-05-19 21:37:29 +08:00
c9s
d1ad802806
improve trade command output layout
2021-05-19 17:54:30 +08:00
c9s
44901572ac
show order id in the slack attachment
2021-05-19 17:21:17 +08:00
c9s
e95429bbc3
binance: save newer events for later usage
2021-05-19 01:02:41 +08:00
c9s
2fddc9166f
show bid/ask volume in the message
2021-05-19 00:41:34 +08:00
c9s
7f86c75360
add CopyDepth for avoid copying the whole book
2021-05-19 00:15:11 +08:00
c9s
34106cf65e
add cpu profile option
2021-05-18 15:38:22 +08:00
c9s
9406682944
improve maxapi websocket reconnect issue
2021-05-18 14:14:58 +08:00
c9s
c3c3c47808
move lock section
2021-05-18 13:59:58 +08:00
c9s
422e85e3a3
twap: fix stop price check
2021-05-18 13:53:51 +08:00
c9s
896518f5c2
check if restQuantity is less than 0
2021-05-18 13:44:57 +08:00
c9s
21f7fa7846
twap: fix tick spread calculation
2021-05-18 13:38:23 +08:00
c9s
b8139e6e86
add xarb strategy
2021-05-18 10:19:35 +08:00
c9s
c4ccd8094f
make max client order id factory public
2021-05-18 09:10:43 +08:00
c9s
e23932f99c
xbalance: add checkOnStart option
2021-05-18 08:32:00 +08:00
c9s
d722b76564
adjust pips by bollband ratio
2021-05-17 23:57:20 +08:00
Yo-An Lin
d1bfeccc72
Merge pull request #246 from jnlin/fix/ftx-symbol
...
fix(ftxExchange): setup a symbol mapping table
2021-05-17 21:37:46 +08:00
c9s
1c19c02206
xmaker: fix order submission
2021-05-17 21:33:55 +08:00
Jui-Nan Lin
c0cf529db7
fix(ftx): allow empty TimeInForce to place market orders
2021-05-17 21:05:44 +08:00
c9s
f6f1226bd0
integrate bollband indicator into xmaker
2021-05-17 20:04:13 +08:00
c9s
b8fe100b5e
move balance printing to debug-balance env var
2021-05-17 20:04:13 +08:00
c9s
f80c98b97c
since we always receive balance update from websocket we do not need to subscribe 1m from the maker exchange
2021-05-17 20:04:13 +08:00
c9s
6370b39cde
adjust quantity by max amount if balance is not enough
2021-05-17 20:04:13 +08:00
c9s
c6ae1b54b8
remove redundant word
2021-05-17 20:04:13 +08:00
c9s
a1c888f04b
adjust profit margin percentage precesion
2021-05-17 20:04:13 +08:00
Jui-Nan Lin
31993d7ccf
fix(ftx): update test toGlobalOrderBook
2021-05-17 18:53:43 +08:00
Jui-Nan Lin
316799d5a0
fix(ftxExchange): setup a symbol mapping table
...
ftx uses BTC/USDT symbol styles, however bbgo uses the BTCUSDT style
We setup a mapping table in Markets() to make conversion
2021-05-17 18:32:29 +08:00
Yo-An Lin
345c3c9e2c
Merge pull request #245 from jnlin/fix/ftx-subaccount
2021-05-17 16:34:05 +08:00
Jui-Nan Lin
2d5ae1dde3
fix(ftxExchange): the env variable is "FTX_ACCOUNT"
2021-05-17 12:42:04 +08:00
c9s
6069102099
fix percentage
2021-05-17 09:02:34 +08:00
c9s
82e85dd27a
add profit margin
2021-05-17 08:59:20 +08:00
c9s
61d95a4c34
render trade time
2021-05-17 00:53:19 +08:00
c9s
45e930a086
use slack attachment title instead of pretext
2021-05-16 18:07:06 +08:00
c9s
e7c718ee15
assign fee rate to position
2021-05-16 17:58:51 +08:00
c9s
187a9c795b
use exchange fee rate as a reference for profit
2021-05-16 17:50:08 +08:00
c9s
d0e4a5e65c
move addTrade lock section
2021-05-16 17:05:12 +08:00
c9s
e636a5008d
replace Exchange field type with ExchangeName
2021-05-16 17:02:23 +08:00
c9s
0a016cba75
split maker fee and taker fee
2021-05-16 16:50:26 +08:00
c9s
491c4bbada
fixedpoint: support percentage parsing
2021-05-16 15:16:04 +08:00
c9s
a4381a54a3
add fee rate field
2021-05-16 15:03:36 +08:00
c9s
5c10f8a4e2
binance: call set server time service
2021-05-16 15:03:31 +08:00
c9s
fad1e39bba
update state asset name for legacy caches
2021-05-16 01:22:55 +08:00
c9s
b4f6653ccc
prefer PlainText interface over String interface
2021-05-16 01:21:35 +08:00
c9s
f176afee6f
remove duplicated notify
2021-05-16 01:18:54 +08:00
c9s
c9cdf31df1
add pnl emoji
2021-05-16 01:16:03 +08:00
c9s
6f79a7eea8
improve support strategy messages
2021-05-16 01:07:53 +08:00
c9s
f28cc18ce4
support: check target quantity and min notional
2021-05-16 01:04:46 +08:00
c9s
9aaad2d28c
add emoji icons to the messages
2021-05-16 01:03:28 +08:00
c9s
933765defb
add State PlainText method test
2021-05-16 00:59:57 +08:00
c9s
2652bee83b
remove arrow from the message text
2021-05-16 00:52:53 +08:00
c9s
f09e248c02
improve slack attachment title
2021-05-16 00:51:51 +08:00
c9s
16fbbd0e4b
notify transfer states
2021-05-16 00:51:12 +08:00
c9s
40b5baeda7
add maxDailyAmountOfTransfer check
2021-05-16 00:50:15 +08:00
c9s
942eaac659
improve message formatting
2021-05-16 00:45:08 +08:00
c9s
8eb8a3de72
refactor state functions
2021-05-16 00:32:27 +08:00
c9s
ca10135646
translate WithdrawalRequest to slack attachment
2021-05-16 00:03:19 +08:00
c9s
e0d3b7a418
fix message formating
2021-05-15 23:55:13 +08:00
c9s
1f449eca7f
implement SlackAttachment interface on Position
2021-05-15 23:50:03 +08:00
c9s
a582fdbfa7
xbalance: add jitter and notification messages
2021-05-15 10:42:16 +08:00
c9s
c85456b8e8
lock position for fetching base quantity
2021-05-15 10:06:48 +08:00
c9s
531799bdfb
use mutex composition since we may lock from out side
2021-05-15 10:05:39 +08:00
c9s
8071559f99
position: use pointer receiver
2021-05-15 10:02:04 +08:00
c9s
a636cdaec9
add mutex to Position since position could be changed from 2 goroutine
2021-05-15 10:01:41 +08:00
c9s
aa340f0db3
always check restQuantity
2021-05-15 10:00:32 +08:00
c9s
638cc40516
fix notification arguments
2021-05-15 09:59:17 +08:00
c9s
236df245a2
adjust quantity bases on the balances
2021-05-15 09:46:07 +08:00
c9s
f9cb414832
twap: add update-interval option
2021-05-15 09:29:44 +08:00
c9s
ae256ce9d3
add more quantity adjustment fix
2021-05-15 09:23:41 +08:00
c9s
356a8b77ac
adjust updateLimiter to 3 seconds one time
2021-05-15 09:20:46 +08:00
c9s
445feb016a
support price ticks option
2021-05-14 15:35:11 +08:00
c9s
a2bcfc8630
fix bollgrid function call
2021-05-14 15:34:58 +08:00
c9s
e3cb2ad86c
fix telegram arguments index update
2021-05-14 14:57:22 +08:00
c9s
abd6f4c7ef
rename bbgo.AdjustQuantityByMaxAmount to bbgo.AdjustFloatQuantityByMaxAmount
2021-05-14 14:53:26 +08:00
c9s
f1fe492117
improve string format
2021-05-14 14:53:26 +08:00
c9s
66bc06bc5f
add more order execution parameter checks
2021-05-14 14:53:26 +08:00
c9s
bb34b1002a
improve order execution graceful shutdown
2021-05-14 14:53:26 +08:00
c9s
dc040bb82b
improving logs
2021-05-14 14:53:26 +08:00
c9s
f69cbe9c31
add basic TwapExecution
2021-05-14 14:53:26 +08:00
c9s
c8b97629e0
add NumOfOrders method on active book
2021-05-14 14:53:26 +08:00
c9s
c520cfa540
xmaker: fix price calculation
2021-05-14 14:53:26 +08:00
c9s
3437515d6a
rename placeOrder to submitOrder for making the api consistent
2021-05-14 14:53:26 +08:00
Yo-An Lin
2aea0dee4f
Merge pull request #230 from LarryLuTW/bollgrid-enhance
...
bollgrid: generate the last order if balance is not enough
2021-05-14 11:51:25 +08:00
Lee
d1cef15f75
Fix: Correct the Order FILLED event on binance
2021-05-13 00:41:23 +08:00
Larry850806
4b53b3c96a
bollgrid: generate the last order if balance is not enough
2021-05-12 20:45:54 +08:00
c9s
3becb32843
bump version to v1.16.0
2021-05-12 19:41:03 +08:00
c9s
a49cf531b5
fix cross exchange order executor for the basic risk control
2021-05-12 19:02:09 +08:00
Yo-An Lin
dcd66d3449
Merge pull request #235 from jessy1092/binance_parser
...
Fix: Correct the binance executionReport parser
2021-05-12 19:01:14 +08:00
Lee
b0e71e4258
Fix: Correct the binance executionReport parser
...
Let JSON parse to be explicit for prevent Unmarshal case-insensitive issue
2021-05-12 18:45:16 +08:00
Yo-An Lin
4028c39dbf
Merge pull request #234 from narumiruna/fix/macd-vwap-test-case
2021-05-12 16:52:49 +08:00
なるみ
f1d88188e8
Fix test case
2021-05-12 14:39:10 +08:00
c9s
aa6520ec18
improve error messages
2021-05-12 12:54:46 +08:00
c9s
98e0390c1d
improve slack notification
2021-05-12 12:43:03 +08:00
c9s
807c049d63
refactor notifiers and add liquidity field to the trade
2021-05-12 12:37:48 +08:00
c9s
85e1b6b1c7
move field assignment
2021-05-12 12:05:54 +08:00
c9s
df11112d64
refactor exchange session initialization
2021-05-12 12:05:54 +08:00
c9s
8d63647104
assign session.Withdrawal
2021-05-12 12:05:54 +08:00
c9s
29b7326f19
add withdrawal property to the exchange session
2021-05-12 12:05:54 +08:00
Yo-An Lin
ca0061856d
Merge pull request #231 from zenixls2/binance_cancel
2021-05-12 09:25:34 +08:00
Yo-An Lin
3b61a16a81
Merge pull request #227 from narumiruna/feature/add-ad-indicator
2021-05-12 09:22:09 +08:00
Yo-An Lin
037f564b03
Merge pull request #226 from narumiruna/feature/add-obc-indicator
2021-05-12 09:21:27 +08:00
c9s
fd6fe56f32
implement withdrawal request on binance
2021-05-12 02:15:22 +08:00
c9s
9ff7b62123
add xbalance strategy
2021-05-12 01:21:40 +08:00
c9s
1e3e570edb
add ExchangeWithdrawalService interface
2021-05-12 01:21:21 +08:00
c9s
ff7ead9bdf
fix max withdrawal address bug
2021-05-12 01:21:04 +08:00
c9s
61319fb4ff
implement Withdrawal method on max exchange
2021-05-12 00:23:13 +08:00
c9s
0b7c9a1437
implement withdrawal request api
2021-05-11 22:35:31 +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
zenix
ba091dccf6
Fix: binance's cancel update is sent through New status with 0 quantity
2021-05-11 06:57:09 +00:00
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
なるみ
7cc5485bff
Add ad indicator
2021-05-10 20:39:27 +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
なるみ
f82a344964
Rename test function
2021-05-10 18:16:12 +08:00
なるみ
67f66153ab
Add obv test
2021-05-10 17:46:46 +08:00
なるみ
a2d7a40147
Add obv indicator
2021-05-10 17:17:50 +08:00
c9s
c1ea9ff9ed
xmaker: move cancel order calls to the go routine
2021-05-10 13:18:57 +08:00
c9s
c90871fb39
implement pending removal order ids
2021-05-10 13:06:23 +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
c9s
ce63641d70
print otp auth guide when session is loaded
2021-05-10 01:38:19 +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
8995300cbe
use go routine to send message so that we wont be blocked
2021-05-10 00:02:08 +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
3f8f5616d7
add more order info the local order book printing
2021-05-09 20:03:16 +08:00
c9s
2f326d0fed
xmaker: add interval jitter
2021-05-09 20:03:06 +08:00
c9s
c278cdbf30
improve order sync map lock handling
2021-05-09 19:50:26 +08:00
c9s
74e01ce444
fix order waiting for graceful shutdown
2021-05-09 19:44:51 +08:00
c9s
e06310da26
print unhandled order status
2021-05-09 19:44:43 +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
1b454be0f3
fix quote quantity label
2021-05-09 18:58:05 +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
なるみ
52248fcf2e
feature: add MACD indicator ( #219 )
2021-05-09 00:56:44 +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
なるみ
3f39131d76
feature: add volume weighted average price (vwap) indicator ( #211 )
2021-05-08 02:09:45 +08:00
c9s
fd7081e96f
bump version to v1.15.5
2021-05-08 01:11:31 +08:00
c9s
d01abffde3
add todo for the backtest trades
2021-05-08 01:09:06 +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
ee68deb114
apply limit param to the queries
2021-05-08 00:57:25 +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
14eedecd0e
fix backtest sync from time
2021-05-08 00:44:43 +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
c9s
f67075c818
bump version to v1.15.4
2021-05-07 14:08:11 +08:00
c9s
858d6bdf05
grid: adjust callback registration ordering
2021-05-07 02:14:35 +08:00
c9s
494a270c54
insert trades to db only when backtest service is nil
2021-05-07 01:50:38 +08:00
c9s
584a4c2ef8
move fiat currency definition out
2021-05-07 01:30:09 +08:00
c9s
1264c50e83
improve balances, account command usability
2021-05-06 23:50:26 +08:00
c9s
1a81813e17
add --session option check
2021-05-06 23:44:05 +08:00
c9s
03cee5eb0b
apply types.ExchangeMAX
2021-05-05 16:57:01 +08:00
c9s
859bf35255
set sync-from from config by default
2021-05-05 16:45:17 +08:00
c9s
a70d5cbcdc
fix kline sync conditions
2021-05-05 16:33:15 +08:00
c9s
d85037f9ea
add binance kline query documentation
2021-05-05 16:23:46 +08:00
c9s
1ad8b0b641
remove unused SourceDir func
2021-05-04 01:06:20 +08:00
c9s
0fbc388333
add --webserver-bind option and add option to --enable-webserver
2021-05-03 17:24:39 +08:00
Larry850806
f1309c46fc
bollgrid: check balance before submit reverse order
2021-05-03 16:18:58 +08:00
c9s
50db944053
fix initSymbol stages
2021-05-02 23:58:34 +08:00
c9s
2230c56e56
fix comment warning
2021-05-02 23:48:53 +08:00
c9s
2ef13293e9
fix IDE warnings
2021-05-02 23:47:57 +08:00
c9s
5ec0566888
add more injection checks
2021-05-02 23:46:16 +08:00
c9s
822a010932
add moving average configuration to the schedule strategy
2021-05-02 20:58:32 +08:00
c9s
e29d9af9c8
fix persistence config unmarshalling
2021-05-02 18:16:34 +08:00
c9s
20d673f769
add schedule strategy
2021-05-02 18:03:41 +08:00
c9s
8fea2022e5
adjust rate limit for backtest data syncing
2021-05-02 17:46:08 +08:00