4283 Commits

Author	SHA1	Message	Date
c9s	bc4c22f633	grid2: pull out quoteQuantity	2022-12-04 15:15:16 +08:00
c9s	bf62fb7d2d	grid2: calculate grid profit	2022-12-04 15:01:52 +08:00
c9s	9506516ea3	grid2: add grid profit stats to the strategy	2022-12-04 14:45:04 +08:00
c9s	8d601a6cb4	grid2: add exchange session field	2022-12-04 14:24:04 +08:00
c9s	dc2ce372c4	grid2: reset grid field when it's closed	2022-12-04 14:23:00 +08:00
c9s	0ea6dfb158	grid2: add triggerPrice protection	2022-12-04 14:22:11 +08:00
c9s	5148fadf67	types: remove duplciated klineCallback type	2022-12-04 14:22:01 +08:00
c9s	7abc799da4	grid2: make openGrid and closeGrid as private method	2022-12-04 13:04:14 +08:00
c9s	c77bb83b95	grid2: move OpenGrid method and add KeepOrdersWhenShutdown	2022-12-04 12:58:01 +08:00
c9s	7dc3c448bb	grid2: remove unused fields	2022-12-04 11:47:30 +08:00
c9s	c00d59806f	grid2: add closeGrid option	2022-12-04 11:47:01 +08:00
c9s	dd2d48fde0	bbgo: handle order cancel event	2022-12-04 11:39:43 +08:00
c9s	2977c80dd1	grid2: check profitSpread for profit	2022-12-03 16:59:47 +08:00
c9s	64d8a30ecc	grid2: add earnBase option	2022-12-03 16:40:40 +08:00
c9s	5f7ad125c6	grid2: add earnBase option	2022-12-03 16:03:01 +08:00
c9s	6ed09c847d	grid2: add compound mode option	2022-12-03 15:21:03 +08:00
c9s	9bb628328c	grid2: use profit to buy more inventory	2022-12-03 15:18:47 +08:00
c9s	d5cf1a7311	grid2: log submitOrder	2022-12-03 15:17:31 +08:00
c9s	c0573210b3	grid2: log grid info	2022-12-03 14:58:53 +08:00
c9s	54ffc8cbcc	grid2: add order filled handler	2022-12-03 14:46:05 +08:00
c9s	3521d42310	trendtrader: fix converge lint issue	2022-12-03 12:36:51 +08:00
c9s	d5f8c3e756	binance: fix binanceapi client test	2022-12-03 12:35:04 +08:00
c9s	a825ae5d04	grid2: use custom logger entry	2022-12-03 11:36:14 +08:00
c9s	a715933106	grid2: allocate logger instance for fields	2022-12-03 11:31:44 +08:00
c9s	d91921f6c2	grid2: fix grid sell order quantity calculation	2022-12-03 11:25:18 +08:00
c9s	1e13fe6191	grid2: fix grid2 strategy validation	2022-12-03 11:02:55 +08:00
c9s	26e221cf7e	service: fix backtest test for binance restrict	2022-12-03 11:02:36 +08:00
c9s	2b14803829	grid2: add comment	2022-12-02 00:10:01 +08:00
c9s	29f3ff7ba2	grid2: remove todo	2022-12-02 00:10:00 +08:00
c9s	22569fcb30	grid2: fix quantity calculation	2022-12-02 00:10:00 +08:00
c9s	e80c8f2959	grid2: pull out maxNumberOfSellOrders	2022-12-02 00:10:00 +08:00
c9s	46bebb1022	grid2: calculate minBaseQuantity	2022-12-02 00:10:00 +08:00
c9s	45328a9f3d	grid2: add comment for the quantity loop	2022-12-02 00:10:00 +08:00
c9s	4eb652b560	grid2: add calculateQuoteBaseInvestmentQuantity	2022-12-02 00:10:00 +08:00
c9s	2260fd6908	grid2: add TestStrategy_calculateQuoteInvestmentQuantity test case	2022-12-02 00:10:00 +08:00
c9s	9f2e4d3f71	grid2: add calculateQuoteInvestmentQuantity so that we can calculate quantity from the quote investment	2022-12-02 00:10:00 +08:00
c9s	e385b589b6	config: add grid2 config	2022-12-02 00:10:00 +08:00
c9s	e981ad641a	grid2: ignore test build for dnum	2022-12-02 00:10:00 +08:00
c9s	1629a25beb	grid2: fix tests	2022-12-02 00:10:00 +08:00
c9s	622fe75ed3	grid2: check buy placed order price	2022-12-02 00:10:00 +08:00
c9s	020e7c8604	grid2: handle grid orders submission	2022-12-02 00:10:00 +08:00
c9s	e3c735b700	grid2: add more code to setupGridOrders	2022-12-02 00:10:00 +08:00
c9s	4407aa7f97	grid2: refactor checkRequiredInvestmentByAmount and checkRequiredInvestmentByQuantity	2022-12-02 00:10:00 +08:00
c9s	4eb21d5209	grid2: move out baseInvestment, quoteInvestment check	2022-12-02 00:09:59 +08:00
c9s	051755ec54	fixedpoint: add Floor test	2022-12-02 00:09:59 +08:00
c9s	991dc4121c	fixedpoint: add Floor() method on dnum	2022-12-02 00:09:59 +08:00
c9s	2aaa2e7775	grid2: add checkRequiredInvestmentByAmount test	2022-12-02 00:09:59 +08:00
c9s	f5219ae56b	grid2: fix error checking and add more tests	2022-12-02 00:09:59 +08:00
c9s	dcbce8aa5c	grid2: fix TestStrategy_checkRequiredInvestmentByQuantity	2022-12-02 00:09:59 +08:00
c9s	d0bdc859fb	grid2: add basic investment check test checkRequiredInvestmentByQuantity	2022-12-02 00:09:59 +08:00
c9s	3da86ab2e1	grid2: pull out check code to checkRequiredInvestmentByQuantity	2022-12-02 00:09:59 +08:00
c9s	cde463e294	grid2: remove notionalModifier	2022-12-02 00:09:59 +08:00
c9s	fa692d835f	grid2: add totalFee field and volume field	2022-12-02 00:09:59 +08:00
c9s	7fec736e7a	grid2: add GridProfitStats	2022-12-02 00:09:59 +08:00
c9s	4c8db08ccc	grid2: fix require quote and require base calculation	2022-12-02 00:09:59 +08:00
c9s	2c373959a8	grid2: add investment check	2022-12-02 00:09:59 +08:00
c9s	68b1fce634	grid2: get the last trade price and apply generalOrderExecutor	2022-12-02 00:09:59 +08:00
c9s	a42c1799e2	grid2: define PinCalculator type	2022-12-02 00:09:58 +08:00
c9s	a8cbe0e488	grid2: pull out calculate pins call	2022-12-02 00:09:58 +08:00
c9s	32b6299b93	grid2: pull out CalculatePins	2022-12-02 00:09:58 +08:00
c9s	1fa5186002	grid2: allocate grid object	2022-12-02 00:09:58 +08:00
c9s	84c3d386ca	grid2: implement find next higher/lower pin	2022-12-02 00:09:58 +08:00
c9s	629cea0f44	grid2: fix ExtendUpperPrice and its tests	2022-12-02 00:09:58 +08:00
c9s	4fb2230e5d	grid2: improve number func	2022-12-02 00:09:58 +08:00
c9s	f46fc7ee80	grid2: fix tests	2022-12-02 00:09:58 +08:00
c9s	4ddbeff7e4	grid2: fix Test_calculateArithmeticPins	2022-12-02 00:09:58 +08:00
c9s	f98c00b7aa	grid2: fix extendLowerPrice method and tests	2022-12-02 00:09:58 +08:00
c9s	75c088eb9c	refactor calculateArithmeticPins	2022-12-02 00:09:58 +08:00
c9s	725c624281	grid2: rewrite ExtendUpperPrice	2022-12-02 00:09:58 +08:00
c9s	533587ffd2	grid2: update lowerPrice	2022-12-02 00:09:58 +08:00
c9s	d6f751c027	grid2: improve ExtendLowerPrice	2022-12-02 00:09:58 +08:00
c9s	e675a084e2	grid2: refactor spread, height methods	2022-12-02 00:09:58 +08:00
c9s	2761cff2bf	grid2: add pin tests	2022-12-02 00:09:57 +08:00
c9s	21a1d550e3	grid2: add grid struct	2022-12-02 00:09:57 +08:00
c9s	cb612a22b1	add grid2 strategy	2022-12-02 00:09:57 +08:00
c9s	4b0db6b3af	bbgo: fix quantity adjustment	2022-11-27 00:25:29 +08:00
c9s	50d5449b9a	fix types.NewZeroAssetError panic error	2022-11-27 00:24:24 +08:00
c9s	170c3b8c41	all: remove ftx	2022-11-24 17:05:20 +08:00
zenix	a6e0edbb3c	fix: naming of prepare function of openPosition and add comments	2022-11-21 12:16:11 +09:00
zenix	109f4d0e3e	fix: Position not synchronized in drift. add DisableNotify for GeneralOrderExecutor	2022-11-21 12:16:11 +09:00
zenix	27800e95bd	feature: add cancel_replace for binance, add FastSubmitOrders, fix drift leakage on pendingOrderCounter	2022-11-21 12:16:11 +09:00
zenix	7aaea257df	feature: optimizer add profitFactor optimization. Optimization value use float64 instead to save memory and boost performance	2022-11-10 18:17:35 +09:00
Austin Liu	7d03c69406	strategy:harmonic: fix	2022-11-03 15:14:56 +08:00
austin362667	c8aa4ae400	strategy: improve harmonic by adding HMM filter to denoise shark signal ... strategy: improve harmonic by adding HMM filter to denoise shark signal	2022-11-03 15:14:56 +08:00
Austin Liu	6c8addc4ee	strategy:irr: refactor fast cancel from no wait	2022-11-02 16:51:06 +08:00
Austin Liu	5467c8ef01	strategy:irr rollback to original nirr and consume kline	2022-11-02 16:48:50 +08:00
Yo-An Lin	335b90a97c	Merge pull request #989 from austin362667/austin362667/irr ... strategy:irr: a mean reversion based on box of klines in same direction	2022-11-02 12:59:23 +08:00
c9s	04855b023a	bbgo: listen to both order signal and the wait time channel	2022-11-02 12:55:13 +08:00
c9s	3704f3f897	bbgo: emit sigchan when new order is added or an order is removed	2022-11-02 12:42:09 +08:00
c9s	9bf070172a	bbgo: remove extra order arguments from GracefulCancelActiveOrderBook to avoid confusion	2022-11-02 12:34:04 +08:00
c9s	8707fcaa97	bbgo: drop FastCancelActiveOrderBook	2022-11-02 12:31:35 +08:00
c9s	1120821977	add activeOrderBook.Symbol check	2022-11-02 12:27:36 +08:00
c9s	7b9edd0456	all: rename cancelNoWait to fastCancel	2022-11-02 12:25:34 +08:00
なるみ	ba7985690f	Merge pull request #1000 from c9s/narumi/rebalance/backtest ... fix: rebalance: fix backtest	2022-11-01 21:02:54 +08:00
Yo-An Lin	999d7b3799	Merge pull request #997 from zenixls2/fix/serialMarketDataStore	2022-10-31 18:00:39 +08:00
zenix	3695644f97	fix: capitalization of drift variable	2022-10-31 18:50:27 +09:00
zenix	5b7712503f	fix: pendingLock on orderPendingCounter delete	2022-10-31 11:05:55 +09:00
grorge	a5555cf35a	feat: cancel order for exit roi take profit and loss	2022-10-28 17:56:07 +08:00
なるみ	532f3c11e7	fix backtest	2022-10-28 15:33:08 +08:00
zenix	b2e867e51c	fix: unlimited length of indicators, add draw elapsed to drift	2022-10-27 17:35:50 +09:00