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3,011 Commits 61 Branches 138 Tags 189 MiB
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Commit Graph

508 Commits

Author SHA1 Message Date
TonyQ
8eb3eede82 fix backtest (with review) 2021-12-14 16:02:54 +08:00
TonyQ
51e23b6a0c Merge branch 'main' of github.com:c9s/bbgo into feature/302-record-assets-review 2021-12-14 10:39:51 +08:00
TonyQ
4eb5a099ae account: add nav_history_details and account_service for #302 2021-12-14 08:09:18 +08:00
austin362667
36c6d39612 bbgo: add session Futures & types: add FuturesExchange 2021-12-13 23:16:58 +08:00
austin362667
1703fff8b2 types: refactor Position and related files 2021-12-11 19:16:16 +08:00
c9s
d52edce40b fix markets info cache 2021-12-08 17:26:43 +08:00
c9s
08a264d4eb add futures exchange check in the markets cache 2021-12-07 21:29:40 +08:00
c9s
ca3f438288 show symbol name in the error message 2021-12-07 14:35:00 +08:00
c9s
aeeecba8dc support different time format for backtesting 2021-12-06 01:50:50 +08:00
c9s
0472b7f21e avoid recording trades in backtest by default 
introducing a RecordTrades option
 2021-12-06 01:42:53 +08:00
c9s
f692ef2c31 realign account fields 2021-12-05 12:23:27 +08:00
c9s
df683bdf56 use position to calculate the pnl 2021-12-05 02:17:15 +08:00
TonyQ
30c14a6828 fix #261 provide default config for notification setting 2021-12-04 02:37:21 +00:00
c9s
9a589bf71c show broadcast enabled 2021-11-25 18:49:29 +08:00
c9s
513a799ced fix ewma calculation 2021-11-22 02:14:44 +08:00
c9s
20f0e8dbd5 preallocate kline window with capacity 2021-11-22 01:17:08 +08:00
c9s
540722e430 adjust ewma truncate size 2021-11-22 01:17:08 +08:00
c9s
7787edffa0 refactor grid strategy state loading/saving 2021-11-05 00:22:44 +08:00
c9s
d763a3c415 bbgo: add debug ewma and sma 2021-10-18 17:26:03 +08:00
c9s
30b82390b7 bbgo: add EMA and SMA debug var 2021-10-18 15:23:22 +08:00
c9s
c36bbd6c35 bbgo: show pnl in the slack fields 2021-10-18 08:45:27 +08:00
c9s
15cfd735a0 bbgo: add doc comment for ExchangeSessionSubscriber 2021-10-17 22:23:21 +08:00
c9s
39b7a956e0 Add market field to position 2021-10-17 22:23:09 +08:00
c9s
30c7c34826 bbgo: fix kline backward query for backtest 2021-10-16 13:49:00 +08:00
c9s
4bcea5a388 bbgo: add AllFilled method on OrderStore 2021-10-16 13:39:18 +08:00
c9s
f5f96b585a apply broadcast option from config file 2021-10-15 16:10:39 +08:00
c9s
2b0793ee49 bbgo: add telegram config 2021-10-15 16:10:09 +08:00
c9s
47e4847034 fix kline query endtime 2021-10-14 14:21:38 +08:00
c9s
b3661f5d32 bbgo: improve profit stat PlainText format 2021-10-14 10:16:11 +08:00
c9s
7d416c3467 bbgo: fix profit json tag 2021-10-14 10:14:11 +08:00
c9s
7874471828 bbgo: improve pnlEmojiMargin function 2021-10-14 10:13:21 +08:00
c9s
c8554f09a0 bbgo: refactor the pnl functions 2021-10-14 10:07:27 +08:00
c9s
2116efc42e bbgo: fix profit title 2021-10-14 08:59:45 +08:00
c9s
49a78c0c88 bbgo: fix profit stat title 2021-10-14 08:58:19 +08:00
c9s
c12ff57e57 bbgo: improve profit stats plaintext format 2021-10-14 08:55:55 +08:00
c9s
77f11f4515 bbgo: add ticker for collecting trades 2021-10-14 07:56:40 +08:00
c9s
b154e3baea bbgo: add pnl emoji with margin 2021-10-14 07:48:32 +08:00
c9s
7e8897f1d0 bbgo: fix profit field check condition 2021-10-14 07:33:34 +08:00
c9s
5c3f305060 bbgo: implement SlackAttachment interface for profitstats 2021-10-14 01:27:58 +08:00
c9s
d3fa0a964b bbgo: add slack attachment support for profit 2021-10-14 01:27:50 +08:00
c9s
b6b2e33cc0 extend profit stats fields for quote,base currency and symbol 2021-10-14 01:26:36 +08:00
c9s
5039a43413 bbgo: move pnl formating to the bbgo package 2021-10-14 01:26:11 +08:00
c9s
e1e6d1de12 bbgo: add net profit margin field to profit stats 2021-10-14 01:26:04 +08:00
c9s
44a0b10240 bbgo: load last price from 1m interval kline only 2021-10-14 00:37:40 +08:00
c9s
37ac907c0f profitstats: add accumulated volume 2021-10-12 11:24:28 +08:00
c9s
d9dc7e31df extend more fields 2021-10-12 11:24:24 +08:00
c9s
45645d0a3d use the profit struct to pass profit info 2021-10-08 19:16:40 +08:00
c9s
fac14a8c7f profitstats: add netProfit field 2021-10-08 15:09:55 +08:00
c9s
aadb1ed389 remove MakerExchange from the core profit stats field 2021-10-08 15:00:53 +08:00
c9s
d058125f78 bbgo: refactor profit stats 2021-10-08 14:57:44 +08:00
c9s
9e1d28f3b3 do not remove order if it's partially filled 2021-10-08 14:17:47 +08:00
c9s
ded740107f bbgo: refactor TradeCollector bind stream for background and foreground 2021-10-08 13:24:07 +08:00
c9s
8ada9eef02 bbgo: optimize AdjustQuantityByMaxAmount, early return 2021-10-08 12:09:05 +08:00
c9s
7fb4d2f78d return positionChanged for Process method 2021-10-05 21:44:39 +08:00
c9s
5dd2f568fe add doc comment for trade collector 2021-10-05 21:39:10 +08:00
c9s
45c875fe7c bbgo: improve trade collect process 2021-10-05 21:30:06 +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
3ab4a570fb bbgo: limit max kline slice 2021-06-28 14:33:32 +08:00
c9s
06a1f018c2 bbgo: push to the buffer first 2021-06-26 20:26:47 +08:00
c9s
7d853a9c74 bbgo: add emit position update 2021-06-26 20:26:47 +08:00
c9s
ecd2d9ea68 bbgo: improve trade collector callbacks 2021-06-26 20:26:47 +08:00
c9s
db4fbbc30c bbgo: add trade collector 2021-06-26 20:26:47 +08:00
c9s
65629a77f4 bbgo: add two new position constructor 2021-06-26 20:26:47 +08:00
c9s
3d12a7df59 support: add sensitivity settings 2021-06-16 13:14:10 +08:00
c9s
e276ddd38a bbgo: add shared local time zone 2021-06-16 13:04:23 +08:00
c9s
e23c459697 bbgo: move orderbook to the session level so that we can access it eaiser 2021-06-16 13:04:23 +08:00
c9s
2614b25de3 types: move fiat currency list to types 2021-06-16 13:04:23 +08:00
c9s
e5db780be8 notify trades and update position 2021-06-01 01:39:22 +08:00
c9s
c84d59734c clear all trades before running backtests 2021-05-30 15:25:00 +08:00
c9s
3aa36b5989 refactor and fix backtest for user data stream and market data stream 2021-05-30 15:08:11 +08:00
c9s
38fd5422ab xmaker: use uncovered position 2021-05-30 14:46:48 +08:00
c9s
8d31435ded add trade store 2021-05-29 00:25:23 +08:00
c9s
5f18b89dfa if publicOnly is set, we should not connect user data stream 2021-05-28 19:01:55 +08:00
c9s
f190b1e66a fix market data stream initialization 2021-05-28 03:17:46 +08:00
c9s
7d62a7634b set market data stream to public 2021-05-27 15:11:44 +08:00
c9s
b7c87c7744 core: move market data subscription to market data stream 2021-05-27 15:09:18 +08:00
c9s
45f1a13870 rename Stream field to UserDataStream and add MarketDataStream 2021-05-27 14:45:06 +08:00
c9s
2381df5009 add okex to the exchange factory 2021-05-27 00:35:51 +08:00
zenix
3d2a27fc10 Fix: nil pointer exception in indicator creation, add stoch util func 2021-05-26 00:20:31 +00:00
c9s
9c70e36e1b save average cost with feeInQuote in the ApproximateAverageCost 2021-05-23 01:05:11 +08:00
c9s
d2e299a68a improve position comment 2021-05-23 00:42:57 +08:00
c9s
9efb45b133 reduce side book copy 2021-05-23 00:42:44 +08:00
c9s
9b9643e1f9 improve order cancellation mechanisim 2021-05-22 17:44:20 +08:00
c9s
289227e5f3 add exists method for active book 2021-05-22 17:44:07 +08:00
c9s
0a908e5dda fix position test for net profit 2021-05-22 17:43:53 +08:00
c9s
cca3284140 separate net profit and profit 2021-05-22 17:17:37 +08:00
c9s
8acada76a9 replace sliceorderbook with orderbook interface 2021-05-22 16:32:29 +08:00
c9s
fd710d533f implement tree copy method 2021-05-22 12:18:08 +08:00
c9s
56b2c8845b fix preorder, postorder and inorder 2021-05-22 11:36:58 +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
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
f6f1226bd0 integrate bollband indicator into xmaker 2021-05-17 20:04:13 +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