2304 Commits

Author	SHA1	Message	Date
narumi	a5e7091af6	subscribe to level 5 book	2024-03-13 23:22:14 +08:00
Zenix	2a7ca4233d	Merge pull request #1575 from zenixls2/feature/loose_interface_public_data ... feature: add ExchangePublic	2024-03-13 17:42:28 +09:00
kbearXD	661b7be12e	dca2: add more log and retry	2024-03-12 14:53:45 +08:00
zenix.huang	f1a4879253	upgrade golang mockgen to uber mockgen. generate exchange public	2024-03-12 14:18:14 +09:00
kbearXD	17b193b003	dca2: remove debug log	2024-03-11 15:34:12 +08:00
narumi	8e6423514f	rebalance: fix cannot lock fund	2024-03-08 17:17:37 +08:00
kbearXD	53b72194f9	MINOR: add log when there is error at calculating and emit profit	2024-03-08 14:11:04 +08:00
c9s	b77618f9d8	xfunding: add PositionReady case	2024-03-06 22:39:44 +08:00
c9s	256e09a863	xfunding: adjust quote investment variable only when position is not opening	2024-03-06 22:39:44 +08:00
c9s	dc0f07d42f	xfunding: add notification for the fixed positions	2024-03-06 22:39:43 +08:00
c9s	f609b1cdc4	simplify profitFixer and apply it to xfunding	2024-03-06 22:39:43 +08:00
c9s	b20b306818	xfunding: add dustQuantity check	2024-03-06 22:39:43 +08:00
c9s	4a4f91e7f9	xfunding: improve transfer logics	2024-03-06 22:39:43 +08:00
c9s	4242f052d8	xfunding: pull out queryAvailableTransfer and improve pending transfer things	2024-03-06 22:39:43 +08:00
c9s	b2c6dce350	xfunding: rewrite transferIn method	2024-03-06 22:39:43 +08:00
c9s	8c517179dd	xfunding: fix state notification	2024-03-06 22:39:43 +08:00
c9s	d139d333a6	common: let FixFromTrades return error	2024-03-06 20:36:53 +08:00
c9s	83b526940a	common: pull out aggregateAllTrades from Fix() method	2024-03-06 20:36:21 +08:00
c9s	acb232242c	add FixFromTrades method	2024-03-06 20:34:19 +08:00
c9s	6a24059624	common: move out profit fixer to strategy/common	2024-03-06 20:31:53 +08:00
c9s	b6ddb49d0a	xdepthmaker: fix stats fixer	2024-03-06 18:12:24 +08:00
c9s	441ebbdbe5	xdepthmaker: add notification	2024-03-06 17:48:53 +08:00
c9s	188231e2fb	add more logs to profitFixer	2024-03-06 17:47:18 +08:00
c9s	be89292cbb	xdepthmaker: another fix	2024-03-06 17:19:50 +08:00
c9s	f5873172de	xdepthmaker: fix use of uninitialized vars	2024-03-06 16:10:45 +08:00
c9s	ad9163f7da	xdepthmaker: adjust FullReplenishInterval to 10min	2024-03-06 13:13:18 +08:00
c9s	1fb7262aae	xdepthmaker: adjust default update interval	2024-03-06 13:12:57 +08:00
c9s	31676cce8e	xdepthmaker: run profit fixer before s.CrossExchangeMarketMakingStrategy.Initialize	2024-03-06 12:53:36 +08:00
c9s	ac43937847	xdepthmaker: add disable hedge option	2024-03-06 12:49:15 +08:00
c9s	0d3483e7c3	xdepthmaker: fix loopvar issue	2024-03-05 21:16:35 +08:00
c9s	26c34618b2	xdepthmaker: improve fixer logging	2024-03-05 21:14:00 +08:00
c9s	4bed29ad02	xdepthmaker: pull out until argument	2024-03-05 21:11:51 +08:00
c9s	a518cf71c0	xdepthmaker: fix both profit stats and position	2024-03-05 18:15:25 +08:00
c9s	95a5e542ba	xdepthmaker: add profitx fixer	2024-03-05 18:12:30 +08:00
kbearXD	8e224739de	sync active orders and send metrics of order nums	2024-03-04 20:53:15 +08:00
chiahung.lin	5936cf32c7	FEATURE: add metrics for dca2 ... add log to debug	2024-03-04 20:53:15 +08:00
narumi	3ef7d3e09e	add balance type	2024-03-04 19:58:34 +08:00
chiahung.lin	9ac8bb916d	dca2: all the profit will use in the first order of the next round ... fix precision problem truncate profit first	2024-03-04 14:49:39 +08:00
c9s	4f57c5b842	Merge pull request #1545 from c9s/feat/add-universal-cancel-all-orders ... FEATURE: add universal cancel all orders api helper	2024-02-27 22:12:16 +08:00
なるみ	9538a41c1b	Merge pull request #1541 from c9s/narumi/price-type ... FEATURE: [rebalance] add price type	2024-02-23 20:32:09 +08:00
c9s	b72a176b91	Merge pull request #1547 from c9s/refactor/tradingutil ... REFACTOR: move trading related utility functions to the tradingutil package	2024-02-23 19:25:03 +08:00
c9s	36e90cf5ca	grid2: rename filterPrice to roundAndTruncatePrice	2024-02-23 18:50:57 +08:00
c9s	a298950be8	move trading related utility functions to the tradingutil package	2024-02-23 18:47:49 +08:00
c9s	3b8a3bed5f	add universal cancel all orders api helper	2024-02-23 16:56:30 +08:00
narumi	8f2d551399	add price type	2024-02-23 14:05:25 +08:00
c9s	c6db392a26	deposit2transfer: improve deposit logging	2024-02-15 11:43:59 +08:00
narumi	502685f5d8	check dust quantity by taker price	2024-02-06 17:21:26 +08:00
narumi	541d19d826	modify log again	2024-02-06 17:03:51 +08:00
なるみ	2f40149387	Merge pull request #1527 from c9s/narumi/atrpin/log ... CHORE: [atrpin] modify position log	2024-02-06 15:19:01 +08:00
narumi	a1995db014	log with field symbol	2024-02-06 15:08:01 +08:00
c9s	24952581fe	Merge pull request #1526 from c9s/c9s/simplify-booksignal-struct ... FIX: simplify booksignal struct	2024-02-06 13:02:25 +08:00
narumi	a9198c0127	modify position log	2024-02-06 12:14:54 +08:00
c9s	996a1ecdc1	deposit2transfer: reduce log frequency	2024-02-06 00:39:05 +08:00
chiahung.lin	dfb65ba9e3	[dca2] add dev mode field for dev ... use pointer IsNewStrategy -> IsNewAccount [dca2] recover at cancelling stage new var recoverSinceLimit fix profit stats round bug	2024-02-05 16:19:53 +08:00
c9s	bfbf415c15	tri: fix tests	2024-01-29 20:23:24 +08:00
c9s	35b7667da6	add the missing file	2024-01-29 15:45:48 +08:00
c9s	9efd8bd604	fix backtest Initialize call	2024-01-28 14:29:54 +08:00
c9s	4b70f864ff	tri: update quantity truncation method	2024-01-26 17:16:06 +08:00
c9s	67b500fce5	tri: fix tri bugs	2024-01-26 17:14:31 +08:00
chiahung.lin	d13d882fc4	remove unused log ... remove running field	2024-01-23 15:53:20 +08:00
chiahung.lin	1b33308450	fix bug and new field running to help to test	2024-01-18 15:39:56 +08:00
chiahung.lin	465206afba	use cancel api not GracefulCancel in CleanUp	2024-01-17 17:30:37 +08:00
chiahung.lin	44dc5c5a65	remove balance checker	2024-01-17 16:52:04 +08:00
chiahung.lin	9836dc603c	truncate notional when open position	2024-01-17 15:22:03 +08:00
chiahung.lin	a363377c26	[dca2] new struct profit stats and its recover	2024-01-17 15:22:03 +08:00
kbearXD	4a0c9ca032	Merge pull request #1474 from c9s/kbearXD/dca2/callbacks-and-close ... FEATURE: [dca2] add callbacks and shutdown function	2024-01-10 15:10:08 +08:00
chiahung.lin	6e661c805a	fix	2024-01-10 14:37:07 +08:00
chiahung.lin	d3bc37f45e	use CommonCallback and pull PersistenceTTL out	2024-01-09 16:01:10 +08:00
c9s	2ff74a5f86	autoborrow: add repaid alert	2024-01-09 09:59:53 +08:00
chiahung.lin	21e87079b5	FEATURE: ProfitStats for dca2	2024-01-08 18:25:11 +08:00
chiahung.lin	468b73abb6	bbgo.Sync profit stats	2024-01-08 18:25:11 +08:00
chiahung.lin	faaaaabce3	FEATURE: rename and use specific profit stats	2024-01-08 18:25:11 +08:00
chiahung.lin	0d6c6666a1	fix	2024-01-08 18:25:11 +08:00
chiahung.lin	b965dbe757	use OrderExecutor.GracefulCancel to replace cancelAllOrders	2024-01-08 18:25:11 +08:00
chiahung.lin	05870c5d60	move EmitReady and add go:generate	2024-01-08 18:25:11 +08:00
chiahung.lin	006256a9df	FEATURE: add callbacks and shutdown function	2024-01-08 18:25:11 +08:00
narumi	9c108380e8	xgap: print currency	2024-01-07 18:56:57 +08:00
narumi	36aadf74a1	xgap: check balance before placing orders	2024-01-06 22:55:45 +08:00
c9s	9dd4de0755	Merge pull request #1482 from c9s/narumi/xgap/log ... CHORE: [xgap] improve log message	2024-01-06 20:28:40 +08:00
narumi	dc2895c4dc	rename cronExpression to schedule	2024-01-06 17:37:13 +08:00
なるみ	6367bd79d3	Merge pull request #1402 from c9s/narumi/fixedmaker/inventory-skew ... FEATURE: inventory skew	2024-01-06 17:00:18 +08:00
narumi	3ee5bf29ef	xgap: improve log message	2024-01-06 15:53:16 +08:00
narumi	012fc33376	xgap: refactor with common strategy	2024-01-06 14:49:26 +08:00
c9s	9f8bdeb3e9	Merge pull request #1475 from c9s/narumi/rebalance/fix-instance-id ... REFACTOR: [rebalance] refactor MultiMarketStrategy.Initialize	2024-01-06 14:30:12 +08:00
narumi	94fb883a0f	xgap: fix order cancel error	2024-01-04 18:53:23 +08:00
c9s	3dca9aaf98	Merge pull request #1470 from c9s/narumi/xnav/schedule ... FEATURE: [xnav] add cron schedule	2024-01-03 16:38:19 +08:00
chiahung.lin	57282c30d2	FEATURE: remove Short	2023-12-28 23:04:09 +08:00
なるみ	e35795943d	Merge pull request #1468 from c9s/narumi/autobuy/init ... FEATURE: add autobuy strategy	2023-12-28 17:44:53 +08:00
c9s	60043d6239	Merge pull request #1464 from c9s/kbearXD/dca2/run-state-and-recover ... FEATURE: [dca2] run state machine	2023-12-28 17:35:57 +08:00
narumi	030c6c1ca5	fix instance id	2023-12-28 17:31:15 +08:00
chiahung.lin	59b1bb68cb	use stateTransition	2023-12-27 11:41:29 +08:00
narumi	687df81784	add autobuy strategy	2023-12-26 17:53:14 +08:00
narumi	5592d93c13	add cron schedule to xnav	2023-12-26 17:07:03 +08:00
c9s	d0f9052cf2	Merge pull request #1472 from c9s/c9s/grid2-check-price-for-subscribe ... FIX: [grid2] subscribe 1m kline only when one of the trigger price is set	2023-12-26 12:01:29 +08:00
c9s	4d17d7e049	grid2: subscribe 1m kline only when one of the trigger price is set	2023-12-26 10:56:08 +08:00
c9s	c250fec2dc	Merge pull request #1463 from c9s/c9s/bollmaker-ema-crosssignal	2023-12-23 01:17:30 +08:00
chiahung.lin	b30b023858	FEATURE: check every cuerrent state and next state is valid	2023-12-22 15:27:31 +08:00
narumi	7f0a4a9953	apply inventory-skew to xfixedmaker	2023-12-21 16:39:23 +08:00
narumi	f160ea856f	apply inventory-skew to fixedmaker	2023-12-21 16:29:46 +08:00
narumi	8ecba4378c	inventory skew	2023-12-21 16:03:35 +08:00
なるみ	7f8a331373	Merge pull request #1465 from c9s/narumi/rebalance/fix-position-and-profit ... FIX: [rebalance] fix position map and profit stats map	2023-12-20 23:59:05 +08:00
c9s	3ba1621590	xdepthmaker: simplify covered handler registration	2023-12-20 22:28:20 +08:00
c9s	58321e8aa5	xdepthmaker: update instance id format	2023-12-20 22:20:40 +08:00
c9s	eb36ed6926	xdepthmaker: remove the shared trade collector and order store, add mutex for covered position	2023-12-20 21:54:32 +08:00
narumi	7b121b10be	rebalance on order filled	2023-12-20 20:35:43 +08:00
narumi	762a09042a	graceful cancel orders	2023-12-20 20:26:34 +08:00
narumi	da02c926be	fix profit stats and position	2023-12-20 20:21:34 +08:00
chiahung.lin	bfd9c8ac64	FEATURE: run state machine ... FEATURE: support recover FEATURE: add order into orderStore and recover position recover position/budget FEATURE: support recover budget	2023-12-20 16:02:37 +08:00
c9s	a4f996c963	Merge pull request #1393 from c9s/strategy/emacross ... STRATEGY: add emacross strategy	2023-12-20 15:50:52 +08:00
c9s	311ba3b2ac	bollmaker: fix ema cross subscription	2023-12-20 12:09:19 +08:00
c9s	46329c3a24	bollmaker: add ema cross signal to bollmaker strategy	2023-12-19 22:17:33 +08:00
c9s	6a07af80d8	bollmaker: define EMACrossSetting	2023-12-19 22:04:24 +08:00
c9s	4894a59756	fixedmaker, liquiditymaker: update initialize method	2023-12-19 21:59:44 +08:00
c9s	3dd93b65db	emacross, scmaker: fix strategy initialization	2023-12-19 21:58:50 +08:00
c9s	6abb320bce	emacross: clean up and update config	2023-12-19 21:57:51 +08:00
c9s	25c895bb09	add emacross strategy	2023-12-19 21:57:51 +08:00
c9s	ec4f43b100	bollmaker: support custom quantity	2023-12-19 21:55:38 +08:00
c9s	47b12edc4d	xdepthmaker: call bbgo.Sync on shutdown	2023-12-18 22:32:13 +08:00
c9s	84085e09b5	xdepthmaker: fix duplicated binding	2023-12-18 22:32:13 +08:00
c9s	2c9583cccb	xdepthmaker: remove redundant notification	2023-12-18 22:32:13 +08:00
c9s	98468feb73	Merge pull request #1458 from c9s/feature/xdepthmaker ... FIX: [xdepthmaker] final fix	2023-12-18 17:59:38 +08:00
chiahung.lin	eda072327c	FIX: move common.Strategy to Initialize	2023-12-18 14:48:13 +08:00
c9s	f19ed7abe0	xdepthmaker: initialize s.CrossExchangeMarketMakingStrategy in Initialize()	2023-12-18 14:31:51 +08:00
chiahung.lin	e86b1bb90f	REFACTOR: make all common.Strategy from pointer to value	2023-12-13 17:36:30 +08:00
c9s	6dd3766776	Merge pull request #1451 from c9s/feature/xdepthmaker ... CHORE: [xdepthmaker] improve shutdown process	2023-12-13 16:47:01 +08:00
c9s	c870defd47	xdepthmaker: improve shutdown process	2023-12-13 16:29:07 +08:00
chiahung.lin	e3d51777d3	rename	2023-12-13 14:16:02 +08:00
chiahung.lin	092d5cfb07	FEATURE: cancel maker orders and open take profit order	2023-12-13 14:16:02 +08:00
c9s	c5282a8f9b	bitget: add more debug logs	2023-12-12 16:37:43 +08:00
c9s	8c6724b264	xdepthmaker: fix pricing book copy by avoiding using CopyDepth	2023-12-11 17:59:16 +08:00
c9s	98468b39c7	xdepthmaker: change priceHeartBeat alert to warning	2023-12-11 17:05:07 +08:00
c9s	cedd790066	xdepthmaker: add lastOrderReplenishTime to prevent replacing orders too frequent	2023-12-11 17:02:17 +08:00
c9s	de7eb8453b	xdepthmaker: refactor auth binding to bindAuthSignal	2023-12-11 17:00:25 +08:00
c9s	2c3ccdf030	xdepthmaker: more improvements ... - place orders with balance quota calculation - wait for authed event - clean up open orders on start	2023-12-11 16:56:19 +08:00
c9s	3048a13f0b	xdepthmaker: replace AtomicAdd with Add	2023-12-08 00:21:53 +08:00
c9s	cd06ffd21f	xdepthmaker: fix order call	2023-12-07 17:38:58 +08:00
c9s	e82605f658	xdepthmaker: skip test for dnum	2023-12-07 16:18:24 +08:00
c9s	35dabe8a72	xdepthmaker: fix aggregatePrice quantity issue	2023-12-07 16:18:24 +08:00
c9s	d14527b5cf	xdepthmaker: apply FullReplenishInterval from config	2023-12-07 16:18:24 +08:00
c9s	25b04cb36c	xdepthmaker: add fullReplenishTicker	2023-12-07 16:18:24 +08:00
c9s	888a550c80	xdepthmaker: support partial maker order replenish	2023-12-07 16:18:24 +08:00
c9s	a82bc86455	xdepthmaker: update updateQuote method	2023-12-07 16:18:23 +08:00
c9s	2f1a700b89	remove xpuremaker	2023-12-07 16:18:23 +08:00
c9s	e0e9876902	improve price hart beat usage	2023-12-07 16:18:23 +08:00
c9s	46b3a81b07	xdepthmaker: add tests to the generateMakerOrders	2023-12-07 16:18:23 +08:00
c9s	d123e89a1b	xdepthmaker: document covered position	2023-12-07 16:18:23 +08:00
c9s	1e27f53891	xdepthmaker: use hedge order executor	2023-12-07 16:18:23 +08:00
c9s	2c3792b290	xdepthmaker: update Validate() method	2023-12-07 16:18:23 +08:00
c9s	18968c67a1	xdepthmaker: remove disable hedge option	2023-12-07 16:18:23 +08:00
c9s	10a71d83f1	xdepthmaker: move global position profit handling	2023-12-07 16:18:23 +08:00
c9s	99723fc1f4	xdepthmaker: remove legacy s.activeMakerOrders	2023-12-07 16:18:23 +08:00
c9s	e0686d11c8	xdepthmaker: clean up duplicated code	2023-12-07 16:18:23 +08:00
c9s	6b28910139	xdepthmaker: refactor CrossSubscribe	2023-12-07 16:18:23 +08:00
c9s	ed63b23e2a	xdepthmaker: refactor CrossRun with CrossExchangeMarketMakingStrategy	2023-12-07 16:18:22 +08:00
c9s	df2daf33a7	types: add PeriodProfitStats	2023-12-07 16:18:22 +08:00
c9s	53bf443b1d	xdepthmaker: first commit	2023-12-07 16:18:22 +08:00
chiahung.lin	6857734282	rename	2023-12-07 11:29:42 +08:00
chiahung.lin	2982be1cbc	rename dca maker orders to open position orders	2023-12-07 11:27:28 +08:00
chiahung.lin	c67737a6d6	use retry package	2023-12-06 16:16:17 +08:00
chiahung.lin	4aa6ea3a46	FEATURE: use notional based to crease dca maker orders	2023-12-06 11:28:45 +08:00
chiahung.lin	60003fc472	rename somme part	2023-12-06 11:28:45 +08:00
chiahung.lin	445f0f1c4c	FEATURE: prepare open maker orders function	2023-12-06 11:28:45 +08:00
kbearXD	45c2ee0ed8	Merge pull request #1432 from c9s/chiahung/recover-with-origin-stats ... FIX: use original status for recover	2023-11-30 15:10:52 +08:00
chiahung	19be49fca8	FIX: use original status for recover	2023-11-24 14:17:19 +08:00
chiahung.lin	800148b271	remain only template part	2023-11-23 16:45:28 +08:00
chiahung.lin	aea3abae07	FEATURE: new strategy dca2 perparation	2023-11-23 16:32:34 +08:00
kbearXD	75b8be5e17	Merge pull request #1405 from c9s/chiahung/grid2/use-rest-quote ... FIX: [grid2] use rest quote to place the last order when opening grid	2023-11-23 12:46:53 +08:00
chiahung	102eb61188	remove unused log	2023-11-21 17:06:20 +08:00
c9s	e5033c093a	grid2: check order's original status for updating	2023-11-17 17:14:52 +08:00
chiahung	c8c9659dd1	use PricePrecision for quote round up	2023-11-09 17:17:59 +08:00
chiahung	80ea46ca92	FEATURE: use rest quote to place the last order when opening grid	2023-11-09 16:20:11 +08:00
c9s	3563c0b986	liquiditymaker: filterAskOrders by base balance	2023-11-09 11:56:07 +08:00
c9s	cc5c033af7	liquiditymaker: use order generator	2023-11-09 11:56:07 +08:00
c9s	533907894e	liquiditymaker: implement order generator	2023-11-09 11:56:07 +08:00
c9s	dda2cfb73d	liquiditymaker: first commit	2023-11-09 11:56:07 +08:00
c9s	d2dab58193	scmaker: clean up scmaker risk control	2023-11-09 11:56:07 +08:00
c9s	2c842e54e8	scmaker: fix scmaker stream book binding	2023-11-09 11:56:07 +08:00
kbearXD	20dccc05f9	Merge pull request #1396 from c9s/chiahung/grid2/persistence-ttl ... FEATURE: add ttl for position/grid2.profit_stats persistence	2023-11-08 13:50:29 +08:00
chiahung	52d4f50c88	remove sync every ticker	2023-11-08 11:15:06 +08:00
chiahung	4a40c8bea2	refactor	2023-11-07 17:00:29 +08:00
chiahung	e6fc006747	recoverC back to size 1	2023-11-07 15:21:48 +08:00
chiahung	df2fd170db	return bool to let syncActiveOrderBook really sync or skip	2023-11-07 14:39:29 +08:00
chiahung	7de49155eb	fix	2023-11-07 13:30:58 +08:00
chiahung	c8becbe4f5	bbgo.sync when syncActiveOrders	2023-11-07 10:56:19 +08:00
chiahung	dcff850c64	FEATURE: add ttl for position/grid2.profit_stats persistence	2023-11-06 18:52:01 +08:00
chiahung	358aef770f	FIX: fix skip syncing active order	2023-11-06 17:13:16 +08:00
c9s	e614741a48	grid2: add another test case for 0 baseGridNum	2023-11-04 12:56:11 +08:00
c9s	6cce5a2268	grid2: respect s.BaseGridNum and add a failing test case	2023-11-04 12:56:11 +08:00
narumi	ffea4901ed	fix buy quantity	2023-11-03 15:07:24 +08:00
c9s	9dc57f01cd	wall: refactor wall strategy with common.Strategy	2023-11-01 16:57:07 +08:00
narumi	7c19bb9e20	submit one order at a time	2023-10-31 13:53:12 +08:00
chiahung	d33240ec83	rename and simplify import	2023-10-30 17:17:36 +08:00
chiahung	671772a767	FIX: retry to get open orders only for 5 times and do not sync orders updated in 3 min	2023-10-30 16:28:34 +08:00
kbearXD	be4c69c365	Merge pull request #1368 from c9s/feature/grid2/merge-recover ... FEATURE: merge grid recover and active orders recover logic	2023-10-30 16:11:23 +08:00
narumi	e8c9801535	adjust quantity by max amount	2023-10-27 15:01:41 +08:00
chiahung	40ca323b2d	merge recover logic	2023-10-26 16:29:05 +08:00
chiahung	f31d829294	FEAUTRE: merge grid recover and active orders recover	2023-10-26 14:55:33 +08:00
chiahung	ab1bc998f9	FEATURE: prepare query trades funtion for new recover	2023-10-25 13:34:11 +08:00
chiahung	3710c33670	REFACTOR: rename file and variable	2023-10-24 13:03:14 +08:00
kbearXD	7d97f573c5	Merge pull request #1350 from c9s/feature/grid2/twin-orderbook ... FEATURE: [grid2] twin orderbook	2023-10-24 13:00:25 +08:00