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8,860 Commits 56 Branches 138 Tags 185 MiB
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1222 Commits

Author SHA1 Message Date
c9s
275aa9494a support canceling orders on max 2020-12-29 16:00:03 +08:00
c9s
9223b2ba47 move FormatOrder to ExchangeSession since it depends on Market 2020-12-21 13:47:40 +08:00
c9s
3eae58322a add trade update callbacks and order update callbacks to order executor 2020-12-21 13:40:23 +08:00
c9s
728bf5fc81 bbgo: move some logs to debug level 2020-12-15 14:14:44 +08:00
c9s
0222c33330 fix kline tail method 2020-12-08 10:26:20 +08:00
c9s
9eaf69388c add fixedpoint json marshaling 2020-12-07 23:03:06 +08:00
c9s
4addf65f64 support memory persistence 2020-12-07 12:03:56 +08:00
c9s
2d98336fb6 implement Persistent API for strategy 2020-12-07 11:44:41 +08:00
c9s
341f735bc3 configure ConfigurePersistence if it's defined 2020-12-07 11:44:41 +08:00
c9s
a01f83ab15 add persistence config and tests 2020-12-07 11:44:41 +08:00
c9s
b843388483 only query subscribed kline intervals 2020-12-07 11:44:23 +08:00
c9s
62a541fb27 rename preload to loadBuildConfig 2020-12-07 11:44:23 +08:00
c9s
c5d002a0b0 fix market data kline registration 2020-12-05 13:32:41 +08:00
c9s
900f822559 improve and fix ewma calculation 2020-12-05 13:32:41 +08:00
c9s
ef03c0cf20 separate Run and CrossRun 
so that we mount one strategy as cross strategy or single exchange strategy
 2020-12-03 09:31:40 +08:00
c9s
4f399ebb9f fix stop price formating 2020-12-03 09:25:47 +08:00
c9s
d38b16fb3e fix cross exchange strategy subscription 2020-12-02 22:44:41 +08:00
c9s
d226ec2e01 change field names to lower case so that we can use shorter name for the accessors 2020-12-02 22:21:13 +08:00
c9s
e57b9f235b add quota 2020-11-23 16:47:36 +08:00
c9s
914d5cdc94 try to keep all orders from order store 2020-11-17 15:53:46 +08:00
c9s
ed6d6342e7 fix account currency translation 2020-11-17 14:24:26 +08:00
c9s
cc3da5b678 pass order id for order store exists 2020-11-17 08:53:22 +08:00
c9s
f4512f031c improve cross exchange strategy mounting behavior and add fixedpoint atomic ops 2020-11-17 08:19:22 +08:00
c9s
ded970f5a4 imporve CrossExchange subscription handling 2020-11-15 13:27:33 +08:00
c9s
94aaaf21b0 improve wrapper binary invocation 2020-11-15 13:23:26 +08:00
c9s
cd283f2c28 remove unused logger field 2020-11-12 17:30:21 +08:00
c9s
8cc1c589a1 fix waitgroup counting 2020-11-12 14:59:47 +08:00
c9s
fc9409673f add graceful shutdown 2020-11-12 14:50:21 +08:00
c9s
35a5b61f60 add local active orderbook callback files 2020-11-11 23:19:16 +08:00
c9s
0264baa922 refactor and improve bollgrid 2020-11-11 23:18:53 +08:00
c9s
04f6da3cb8 add traditional grid strategy 2020-11-10 19:06:20 +08:00
c9s
4ab402a188 clean up legacy code 2020-11-10 16:56:30 +08:00
c9s
23c19c5968 use fixedpoint for balances 2020-11-10 14:19:33 +08:00
c9s
6c2aef31a3 improve backtest logging 2020-11-09 16:47:29 +08:00
c9s
e7cc79f3cf replace errors.Errorf with fmt.Errorf 2020-11-09 16:34:35 +08:00
c9s
1e129e4c86 collect error object instead of logging 2020-11-09 15:29:40 +08:00
c9s
8414f406bf drop the legacy order executor 2020-11-09 15:02:12 +08:00
c9s
4a2a542222 refactor basic risk controller 2020-11-09 14:56:54 +08:00
c9s
f69c87b3a8 fix fee calculation and add account balance checking 2020-11-08 21:52:44 +08:00
c9s
4b0bab31fb Merge branch 'feature/backtest' into main 2020-11-07 20:34:55 +08:00
c9s
641784e1b1 calculate pnl after the backtest 2020-11-07 20:34:34 +08:00
c9s
a4a9067c6a integrate matching engine with backtest exchange 2020-11-07 19:57:36 +08:00
c9s
0d8fa08171 add book Update method 2020-11-07 15:07:06 +08:00
c9s
b13a2deec5 emit klines and setup account balances 2020-11-07 03:18:05 +08:00
c9s
22a214328d implement backtest command, stream and add backtest config 2020-11-07 02:57:50 +08:00
c9s
8823a39fc2 support backtesting kline verification 2020-11-07 00:49:17 +08:00
c9s
555fe57341 implement kline sync function from command 2020-11-06 21:40:48 +08:00
c9s
7fab2e24de improve order persistence and support order data sync 2020-11-05 11:14:14 +08:00
c9s
eb67fc0f8f make mysql-url optional for run command 2020-11-05 11:14:14 +08:00
c9s
8388f443a9 move active order book to the bbgo package 2020-11-05 11:14:14 +08:00
c9s
8e0b5d11a7 add max grid config and fix max price formatting 2020-10-31 20:38:20 +08:00
c9s
14abe3fb7e pull out active order book to the types package 2020-10-31 20:38:20 +08:00
c9s
2397acd45f fix type casting and assertion by passing pointer 2020-10-31 18:35:48 +08:00
c9s
0f8e9f6df7 add doc comment to Notifiability 2020-10-31 18:35:48 +08:00
c9s
eb05620f99 use Notifiability directly from environment 2020-10-31 18:35:48 +08:00
c9s
49ff9c4dd6 drop legacy trade reporter 2020-10-31 18:35:48 +08:00
c9s
c4d7476212 add submit order routing 2020-10-31 18:35:48 +08:00
c9s
ec9b5230aa refactor trade report and move trade reporter to the environment layer 2020-10-31 18:35:48 +08:00
c9s
8867ceb951 initialize Notifiability for exchange session 2020-10-31 18:35:48 +08:00
c9s
dc547aa818 fix BOLL map allocation 2020-10-31 18:29:58 +08:00
c9s
c3961024cf implement grid strategy update orders method 2020-10-31 18:29:58 +08:00
c9s
e60127090b add GetBOLL access to standard indicator sets 2020-10-31 18:29:58 +08:00
c9s
d49b2be543 add bollinger indicator 2020-10-29 17:51:20 +08:00
c9s
4afabd92ed clean up code 2020-10-29 17:05:01 +08:00
c9s
5f45d18ae2 fix struct composition 2020-10-29 13:08:33 +08:00
c9s
19b600bb35 simplify strategy registration api 2020-10-29 07:54:59 +08:00
c9s
c71f013916 let SMA indicator and EWMA indicator use IntervalWindow type 2020-10-29 07:51:23 +08:00
c9s
2f8bffeaca add strict injection check fo pointer only objects 2020-10-29 07:49:06 +08:00
c9s
33257c591e refactor swing strategy with types IntervalWindow 2020-10-29 07:44:22 +08:00
c9s
6d8ec7894e refactor standard indicator set with store 2020-10-29 07:40:02 +08:00
c9s
67446670ac finalize swing strategy and fix trade reporter issue 2020-10-28 17:48:16 +08:00
c9s
b22e0370b3 drop legacy OrderProcessor and remove slack debug 2020-10-28 17:48:16 +08:00
c9s
468864302e fix submit order quantity formatting 2020-10-28 17:48:16 +08:00
c9s
2680ad5072 refactor environment, market data store, injection and add swing strategy 2020-10-28 17:48:16 +08:00
c9s
7d7d2c2fc7 assign standard indicator set to the session 2020-10-28 11:15:50 +08:00
c9s
e2df24f31c support standard indicatorset 2020-10-28 09:43:19 +08:00
c9s
50693ae845 implement ewma and sma 2020-10-28 09:13:57 +08:00
c9s
388346b284 move injectStrategyField to a single file 2020-10-27 20:42:48 +08:00
c9s
e1c2f7cc3d improve notifier signatures and fix slack Notify method 2020-10-27 20:13:10 +08:00
c9s
7905ba09d4 pull out fillStrategyNotifiability 2020-10-27 19:37:11 +08:00
c9s
ccc381143d support pointer type filling 2020-10-27 19:33:11 +08:00
c9s
b3eaf832af Add pricealert strategy for demonstrating notification 2020-10-27 13:54:39 +08:00
c9s
ab43de3efd clean up comment for base order executor 2020-10-27 10:00:41 +08:00
c9s
ef598c3a0f assign base order executor descendingly 2020-10-27 09:58:21 +08:00
c9s
8453e95300 configure channel routers 2020-10-27 09:38:29 +08:00
c9s
42f947506c add route methods on Notifiability 2020-10-27 09:24:59 +08:00
c9s
c315b79bd7 add notification config 2020-10-27 08:48:47 +08:00
c9s
284a0676f7 remove unused confg package 2020-10-27 08:19:16 +08:00
c9s
955479486a add symbol channel router and object channel router for notification 2020-10-27 08:19:16 +08:00
c9s
1d8e0bff5a drop legacy NewDefaultEnvironment method 2020-10-27 08:19:16 +08:00
c9s
0fd9e8b95a reset price field when market order is used 2020-10-26 22:08:16 +08:00
c9s
38c87bfecc drop config dir 2020-10-26 21:46:38 +08:00
c9s
a1eeb55778 refactor and clean up bbgo config 2020-10-26 21:45:02 +08:00
c9s
c324a791f6 refactor and configure risk control order executor 2020-10-26 21:36:47 +08:00
c9s
59aa5c5ee2 implement RiskControlOrderExecutor 2020-10-26 18:28:34 +08:00
c9s
4e7c1a327b pull out order formatter 2020-10-26 18:17:18 +08:00
c9s
a4b6a5f923 load order executor config 2020-10-26 17:57:28 +08:00
c9s
8274f6e97c reformat OrderProcessor code 2020-10-26 16:45:09 +08:00
c9s
c9fa565c24 remove the legacy submit order method 2020-10-26 16:44:05 +08:00
c9s
359b3c56b4 move files 2020-10-26 16:15:30 +08:00
c9s
19f259111d improve config loading by adding unmarshal yaml method 2020-10-26 15:33:25 +08:00
c9s
cd666fdf9e pull out db parameter from the constructor 2020-10-26 15:06:39 +08:00
c9s
332ca7ffe8 make trade sync optional 2020-10-26 13:48:59 +08:00
c9s
931c646fde configure notifier and make slack notification optional 2020-10-26 13:40:43 +08:00
c9s
145264aae4 cancel orders and re-submit maker orders 2020-10-26 00:26:17 +08:00
c9s
de11ef10f5 return created order objects from SubmitOrders method 2020-10-25 19:22:22 +08:00
c9s
308427416a Add more exchange order features 
- use uuid for client order id
- add stop limit and stop market order types
- add order convert functions
- improve submit orders
 2020-10-25 19:22:22 +08:00
c9s
cd28fb8771 unmarshal imports into config 2020-10-23 14:49:54 +08:00
c9s
6b0f2b80d7 add multiple spec support 2020-10-23 00:21:03 +08:00
c9s
aea6a7c03d integrate AverageCostPnLReporter 2020-10-22 15:57:50 +08:00
c9s
897d882c35 update Notifiability interface 2020-10-22 14:45:15 +08:00
c9s
ea3e9e7d05 add per-session-based trade reporter 2020-10-22 10:54:03 +08:00
c9s
678e4ef4ab add trade reporter 2020-10-22 10:47:54 +08:00
c9s
a714af739a implement TradeReporter 2020-10-21 19:52:55 +08:00
c9s
b1a9a66dba assign account and stream when allocating session object 2020-10-21 17:42:37 +08:00
c9s
1f71fa623c add channel argument to the notify method 2020-10-21 17:10:47 +08:00
c9s
58265d14f9 move cmdutil package 2020-10-21 15:58:58 +08:00
c9s
4ee10de40f add LoadedCrossExchangeStrategies loader api 2020-10-20 14:21:46 +08:00
c9s
2fbf19455e implement strategy yaml loader 2020-10-20 13:52:25 +08:00
c9s
a08aebaa17 bbgo: add SetTradeScanTime method 2020-10-20 13:11:04 +08:00
c9s
3b3df77ec3 clean up the legacy context struct 2020-10-20 12:24:30 +08:00
c9s
752fdf5c80 document WithCache function 2020-10-20 12:22:18 +08:00
c9s
2bbee6671a make the first arg of WithCache as a key var 2020-10-20 12:18:29 +08:00
c9s
40c697275d query market config with cache 2020-10-20 12:11:44 +08:00
c9s
180bfff558 loadedSymbols is not used in the init method 2020-10-20 11:49:18 +08:00
c9s
f6c1ed67e6 add CacheDir function 2020-10-20 11:48:44 +08:00
c9s
f62f3b8a02 define HomeDir and SourceDir helper functions 2020-10-20 11:46:44 +08:00
c9s
fc687f3174 max: implement kline event parser for websocket 2020-10-19 22:46:34 +08:00
c9s
d68564de28 improve logging 2020-10-19 22:26:43 +08:00
c9s
822e4c2703 receive trade in value instead of pointer 2020-10-19 22:06:43 +08:00
c9s
292dd2492a add comment for loadedSymbols 2020-10-19 22:02:05 +08:00
c9s
a4b872fc8b clean up init and connect phase 2020-10-19 22:00:44 +08:00
c9s
6d6e79eab3 fix session initialization issue 2020-10-19 21:58:50 +08:00
c9s
c1590786e8 integrate orderbook updates to market data store 2020-10-18 20:44:12 +08:00
c9s
75115774f6 rename kline store to market data store back 2020-10-18 20:44:12 +08:00
c9s
f9940a9c2f rename market data store to kline store 2020-10-18 12:32:43 +08:00
c9s
f826bb014a make markets field private 2020-10-18 12:30:13 +08:00
c9s
dab264a4ad add more accessors to exchange session, so that we can make it as an interface 2020-10-18 12:29:38 +08:00
c9s
168cb355fc add accessor to MarketDataStore 2020-10-18 12:27:11 +08:00
c9s
7d7828a556 move commented code 2020-10-18 12:25:08 +08:00
c9s
d2ba9cc4c3 move backtest related component to backtest package 2020-10-18 12:24:21 +08:00
c9s
028aef9402 move marketdata store to store package 2020-10-18 12:23:00 +08:00
c9s
90515855eb move MovingAverageIndicator 2020-10-18 11:37:01 +08:00
c9s
a1c027471e remove more empty files 2020-10-18 11:35:40 +08:00
c9s
d011bf275e move stock_test file and testdata 2020-10-18 11:34:36 +08:00
c9s
cbeb809b22 delete empty pnl file 2020-10-18 11:33:58 +08:00
c9s
c878de10bf delete empty market.go file 2020-10-18 11:33:43 +08:00
c9s
0d9c0bd51b move cost distribution to the accounting package 2020-10-18 11:33:13 +08:00
c9s
985e02c57a delete empty file 2020-10-18 11:31:44 +08:00
c9s
73e17730d7 move account type into types package 2020-10-18 11:30:37 +08:00
c9s
c224eb7af7 add kline to the market data store 2020-10-18 00:06:08 +08:00
c9s
9ebccc72ba add exchange session constructor 2020-10-17 23:51:44 +08:00
c9s
25b4b22077 let strategy attach could be chained 2020-10-16 13:52:18 +08:00
c9s
4335cca0de make it possible to attach multiple strategies in one call 2020-10-16 10:26:45 +08:00
c9s
27b582e948 move report struct 2020-10-16 10:21:37 +08:00
c9s
a6b99f6828 rename ProfitAndLossCalculator to AverageCostCalculator 2020-10-16 10:16:42 +08:00
c9s
ee86a71ebb split files 2020-10-16 10:14:36 +08:00
c9s
98192ae91f move Cmd to the strategy package 2020-10-16 10:09:42 +08:00
c9s
7482fa52d6 add error check and logger 2020-10-15 23:38:00 +08:00
c9s
300609e3db fix subscription initialization 2020-10-15 22:36:22 +08:00
c9s
113cc8ee48 query markets and assign into the exchange session 2020-10-15 21:04:02 +08:00
c9s
f454136449 add exechange order executor and pull out Notifiability 2020-10-14 10:06:15 +08:00
c9s
a91f851ac7 pass types.SubmitOrder by value 2020-10-13 18:08:02 +08:00
c9s
ec23266cc2 implement buyandhold strategy to test the api design 2020-10-13 16:17:07 +08:00
c9s
d1b618850d add context parameter to the strategy method 2020-10-13 14:50:59 +08:00
c9s
fe3ae14fc8 clean up 2020-10-13 11:23:22 +08:00
c9s
26f97b43e8 drop legacy backtest trader 2020-10-12 22:51:13 +08:00
c9s
4c20c9f4ff replace LoadAccount with literal constructor 2020-10-12 22:49:27 +08:00
c9s
6398f049d0 bind market data store and query avg price before we start 2020-10-12 22:46:06 +08:00
c9s
bace7ac3a3 add environment connect integration tests 2020-10-12 17:33:02 +08:00
c9s
64c9960882 use types.Exchange 2020-10-12 07:38:38 +08:00
c9s
3d5507a053 move files into pkg 2020-10-11 16:46:15 +08:00