c9s
2611012d28
types: move json struct to types package
2022-08-23 01:54:29 +08:00
c9s
c0abae90a7
bump version to v1.39.2
2022-08-20 00:10:01 +08:00
c9s
5a4d71b073
strategy/autoborrow: fix reBalanceDebt check
2022-08-19 18:56:25 +08:00
c9s
5d85ceeec4
service/backtest: filter klines that will be closed in the future
2022-08-19 17:55:48 +08:00
c9s
49728622bc
service/backtest: use second instead of milliseconds for filtering
2022-08-19 17:53:45 +08:00
c9s
5e1e0c7661
service/backtest: check and filter kline by its endTime
2022-08-19 17:28:55 +08:00
c9s
834487d568
strategy/schedule: add MaxBaseBalance config
2022-08-19 16:48:43 +08:00
c9s
4622f9f34e
autoborrow: add more verbose logs
2022-08-19 16:10:13 +08:00
c9s
8827fc3ec6
binance: fix futures/margin order sync issue
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fixes : #887
2022-08-19 15:28:24 +08:00
Zenix
bcd524361d
Merge pull request #886 from COLDTURNIP/feature/sortino_ratio
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Add Sortino ratio
2022-08-19 16:14:46 +09:00
Yo-An Lin
039fc21505
Merge pull request #881 from zenixls2/feature/print_strategy_config
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print strategy config
2022-08-19 15:13:50 +08:00
Raphanus Lo
747839212a
feature: add Sortino ratio
2022-08-18 23:26:54 +08:00
zenix
5030b93285
fix: move canInt to dynamic
2022-08-18 18:05:52 +09:00
c9s
369fc8c4ea
bump version to v1.39.1
2022-08-18 16:44:53 +08:00
zenix
a958d4d092
fix: matching_test add TickSize
2022-08-18 17:38:27 +09:00
zenix
e1c2ed40ff
fix: truncate price in backtest, don't truncate amount, add TruncatePrice function
2022-08-18 17:38:27 +09:00
zenix
66a2f55f9a
fix: matching test by adding default stepSize on BTCUSDT
2022-08-18 17:38:27 +09:00
zenix
f7398f163a
fix: inequality on quantites of balances and submitted orders in backtest
2022-08-18 17:38:27 +09:00
zenix
2720ee90b1
fix: equation of exit dump
2022-08-18 17:38:27 +09:00
zenix
e5c1152030
doc: add comment to strategy config printing func
2022-08-18 17:38:27 +09:00
zenix
5e7ea71613
feature: withdraw print config functionality from drift to be a general function
2022-08-18 17:38:27 +09:00
c9s
4d32a578d7
backtest: emit balance update if we got some quote back
2022-08-18 16:09:07 +08:00
c9s
bd8b362274
backtest: delay the order update after the balance unlock
2022-08-18 15:43:09 +08:00
c9s
3a24a48cde
backtest: fix execution price for stop limit taker orders
2022-08-18 15:26:09 +08:00
c9s
9f9fc098f4
backtest: clean up todo
2022-08-18 15:11:27 +08:00
c9s
6c4d5041ba
backtest: fix limit taker lock issue
2022-08-18 15:09:46 +08:00
c9s
d7dbfd7613
bump version to v1.39.0
2022-08-18 13:43:48 +08:00
Andy Cheng
f990947370
bump version to v1.39.0
2022-08-17 18:59:26 +08:00
c9s
94e2e28edd
strategy/autoborrow: add debt re-balancing
2022-08-17 16:45:10 +08:00
c9s
c6e4fcf0c2
binance: fix QueryOrderTrades
2022-08-17 16:08:11 +08:00
c9s
b4e71dd5bb
binance: implement QueryOrderTrades method
2022-08-17 16:08:09 +08:00
c9s
53b8fd488e
types: add trade stats omitempty tag option
2022-08-17 16:07:47 +08:00
c9s
df8a4bef93
bbgo: remove unused trade store symbol argument
2022-08-17 16:02:42 +08:00
c9s
fa34a0ee70
binance: handle order status expired
2022-08-17 16:02:11 +08:00
Andy Cheng
2b638d1f8f
strategy/supertrend: use pkg/data/tsv for tsv output
2022-08-16 15:49:08 +08:00
Andy Cheng
cd09ee0e34
Merge pull request #877 from andycheng123/improve/supertrend-strategy
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strategy/supertrend: update example config
2022-08-16 15:38:21 +08:00
Andy Cheng
b5beadceb4
exhange/binance: exclude unrealized pnl from balance calculation
2022-08-16 15:06:13 +08:00
Raphanus Lo
b4e32a9ba7
hoptimizer: manually early stop
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User is now able to stop trials by sending system signal (SIGINT & SIGTERM) and see the report earlier at any time.
2022-08-16 14:55:39 +08:00
Andy Cheng
f7feb7e0fc
strategy/supertrend: output acc. profit report to tsv file
2022-08-16 14:42:04 +08:00
Zenix
2e9f554f9e
Merge pull request #878 from zenixls2/drift_rebase
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Drift rebase
2022-08-16 15:35:42 +09:00
Yo-An Lin
0fa8692679
Merge pull request #875 from ankion/fix_pivotshort_trendema
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pivotshort: trendema add initial date
2022-08-16 14:31:17 +08:00
Andy Cheng
0b5f2c308e
exchange/binance: fix missing github.com/adshao/go-binance/v2
2022-08-16 14:21:48 +08:00
zenix
17d6b2465c
fix: drift add back symbol in InstanceID
2022-08-16 12:50:30 +09:00
zenix
14aa667d59
fix: drift pnl and cumpnl
2022-08-16 12:45:40 +09:00
zenix
9f8b8d97d0
fix: drift empty pnl. exit condition
2022-08-16 12:30:29 +09:00
Andy Cheng
9cf29b6cc6
exchange/binance: get locked balance of futures account
2022-08-16 10:55:45 +08:00
zenix
71d3b926ec
fix: go1.7
2022-08-15 21:46:13 +09:00
zenix
c1d9df8cdb
feature: export drift1m, remove take profit, add profit report for listing pnl by date
2022-08-15 21:06:46 +09:00
zenix
da28750313
feature: dump parameter to tg, esp series, fix: order tag, position calculation and bp/sp of drift
2022-08-15 21:05:29 +09:00
zenix
2f75dda6ee
fix: highest price and lowest price reset, condition gets crossed
2022-08-15 21:05:08 +09:00
zenix
ba532bd98c
fix: takeProfitFactor NaN
2022-08-15 21:04:48 +09:00
zenix
e34b0c6c30
fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m
2022-08-15 21:04:31 +09:00
zenix
0cc3c5d485
feature: output config to telegram
2022-08-15 21:04:01 +09:00
zenix
6a4eec71d6
feature: create simpleinteract and remove command in notification
2022-08-15 21:03:48 +09:00
zenix
90e596f463
feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering
2022-08-15 21:03:14 +09:00
zenix
008814992f
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype
2022-08-15 21:02:59 +09:00
zenix
d11738b6b5
feature: add smart cancel to drift
2022-08-15 21:02:43 +09:00
Andy Cheng
3da86556b5
risk: AvailableQuote() should use Net() to get net value
2022-08-13 13:28:45 +08:00
Yo-An Lin
dad562db97
Merge pull request #874 from ankion/fix_binance_futures
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Fix binance futures
2022-08-12 01:43:15 +08:00
ankion
65218d8920
pivotshort: trendema add length check
2022-08-12 00:54:40 +08:00
Andy Cheng
62d450b92d
Merge pull request #872 from andycheng123/fix/trailing-stop
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fix: trailing stop properly works on both long and short positions
2022-08-11 17:37:07 +08:00
Andy Cheng
8527d4996e
trailingstop: add default case
2022-08-11 17:23:42 +08:00
ankion
1b0f653450
pivotshort: trendema add initial date
2022-08-11 16:42:29 +08:00
Andy Cheng
8d3dfd17c7
trailingstop: add side both
2022-08-11 16:39:16 +08:00
ankion
69e03c8428
binance: fix futures position
2022-08-11 14:29:28 +08:00
Andy Cheng
6f2eb1688b
generalorderexecutor: retry submit/cancel order once
2022-08-11 13:49:16 +08:00
Andy Cheng
df0e527e1e
exits/trailingstop: properly works on both long and short positions
2022-08-11 13:36:31 +08:00
ankion
ffd46fd71d
binance: fix futures orderTypelimitMaker timeInForce was null
2022-08-11 11:30:00 +08:00
ankion
68a65f1913
binance: fix futures not emit filled event
2022-08-11 10:40:19 +08:00
c9s
e735362efd
cmd/kline: show klines from restful api
2022-08-11 00:08:48 +08:00
c9s
ba87ffab43
max: fix order type casting
2022-08-11 00:00:25 +08:00
c9s
e2df05c054
maxapi: add option to disable user agent header
2022-08-10 23:59:55 +08:00
c9s
8f17d6b019
maxapi: rewrite public service with requestgen
2022-08-10 23:59:50 +08:00
c9s
fc73a12689
maxapi: add get klines request
2022-08-10 23:59:43 +08:00
c9s
6f35aa0f20
maxapi: replace client field type with interface
2022-08-10 23:59:38 +08:00
c9s
c5e93dba00
max: replace client field type with interface
2022-08-10 23:59:25 +08:00
c9s
ae3f6001b9
maxapi/v3: add order type alias
2022-08-10 23:59:21 +08:00
c9s
2380ebb285
maxapi/v3: apply order type constant type
2022-08-10 23:59:16 +08:00
c9s
2f8020efd6
max: add v2 order api back
2022-08-10 23:59:10 +08:00
c9s
3bdc6c7f28
bollmaker: remove unused embedded struct
2022-08-10 23:46:24 +08:00
c9s
677b122964
bbgo: use types.KLineWith for roi take profit
2022-08-10 23:45:21 +08:00
Yo-An Lin
62aff676da
Revert "feature: add smart cancel to drift"
2022-08-09 16:25:36 +08:00
Yo-An Lin
55b4edc595
Merge pull request #853 from zenixls2/feature/smartcancel_drift
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feature: add smart cancel to drift
2022-08-09 16:23:33 +08:00
Raphanus Lo
ed975b7ed9
Merge pull request #860 from COLDTURNIP/feature/exchange_order_amount_protection
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exchange: order fee-amount protection
2022-08-09 15:01:53 +08:00
c9s
0283f2ad55
bbgo: fix doneTrades lock
2022-08-09 14:52:05 +08:00
zenix
5be6e822e9
fix: highest price and lowest price reset, condition gets crossed
2022-08-09 13:26:56 +09:00
zenix
2c4e03a102
fix: takeProfitFactor NaN
2022-08-09 13:26:56 +09:00
zenix
0e3aecb549
fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m
2022-08-09 13:26:56 +09:00
zenix
9704c09a09
feature: output config to telegram
2022-08-09 13:26:56 +09:00
zenix
45e819ebe7
feature: create simpleinteract and remove command in notification
2022-08-09 13:26:56 +09:00
zenix
4117a83cd1
feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering
2022-08-09 13:26:56 +09:00
zenix
214e7259ed
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype
2022-08-09 13:26:56 +09:00
zenix
53d4f21c30
feature: add smart cancel to drift
2022-08-09 13:26:56 +09:00
Andy Cheng
ef18791c6a
Merge pull request #865 from andycheng123/fix/protective-stoploss
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fix: protectivestoploss not working on long position
2022-08-09 12:15:33 +08:00
Yo-An Lin
072b808a6e
Merge pull request #868 from c9s/fixes
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fix: many minor fixes
2022-08-09 12:11:38 +08:00
c9s
9867aa9c68
bbgo: add mutex protection to tradecollector
2022-08-09 11:37:44 +08:00
c9s
2dff1e72da
types: rbtree - add panic check
2022-08-09 11:37:38 +08:00
c9s
4e4ffe83e5
cmd: fix cpu profile starter
2022-08-09 11:37:30 +08:00
c9s
ba7b6f82e2
types: add average price support in order in/out method
2022-08-09 11:37:23 +08:00
c9s
dce64871e8
types: add IsUSDFiatCurrency helper
2022-08-09 11:37:17 +08:00
c9s
99121d19c0
exchange/max: fix order trades query field name
2022-08-09 11:37:12 +08:00
c9s
b4dcdc4031
exchange/max: fix GetOrderTradesRequest order id field
2022-08-09 11:37:05 +08:00
c9s
a5a40c3a42
exchange/max: check order id field
2022-08-09 11:36:59 +08:00
c9s
cba9ffe064
exchange/max: add order trades api
2022-08-09 11:36:53 +08:00
c9s
df4ea9c1e6
types: update ExchangeOrderQueryService interface
2022-08-09 11:36:45 +08:00
c9s
babb0abc95
types: add Out() and Int() methods on SubmitOrder type
2022-08-09 11:36:39 +08:00
c9s
938e612c42
util: move emoji and pnl related functions to util
2022-08-09 11:36:24 +08:00
c9s
f191d3c091
bbgo: make position object optional for trade collector
2022-08-09 11:36:17 +08:00
c9s
cae8bc2882
bbgo: add mutli symbol support to active order book
2022-08-09 11:36:10 +08:00
c9s
f9fe5d7790
cmd: move package import paths
2022-08-09 11:36:02 +08:00
c9s
96b10caa8c
types: add callbacks to the stream order book
2022-08-09 11:35:35 +08:00
austin362667
bb4db871b2
factorzoo: add comments for strategy
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factorzoo: add comments for strategy
2022-08-09 00:01:34 +08:00
austin362667
d282568614
factorzoo: add customized indicators
2022-08-08 23:50:42 +08:00
austin362667
bdb04a4322
strategy: factorzoo: refactor to logistic regression
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re-format
2022-08-08 20:09:15 +08:00
Andy Cheng
6c2fc3fee0
exits/protectivestoploss: fix shouldStop()
2022-08-08 17:57:05 +08:00
Andy Cheng
5455ae810b
strategy/supertrend: only show nterval profit report in backtesting
2022-08-08 17:42:21 +08:00
Andy Cheng
b133767e47
exit/protectivestoploss: works in long position
2022-08-08 16:49:19 +08:00
Andy Cheng
1cd48177ae
Merge pull request #862 from andycheng123/improve/supertrend-strategy
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Improve: supertrend strategy
2022-08-08 14:11:49 +08:00
Andy Cheng
c6407e92c8
strategy/supertrend: supertrend indicator adapted new indicator API
2022-08-08 13:07:59 +08:00
Andy Cheng
9d0eecc5bc
strategy/supertrend: linreg adapted new indicator API
2022-08-08 12:43:38 +08:00
Raphanus Lo
318590f41b
types: rbtree: resolve neel reusing problem
2022-08-08 00:51:37 +08:00
Andy Cheng
737f6e99ba
strategy/supertrend: use CalculateQuoteQuantity() in strategy
2022-08-05 16:28:42 +08:00
Andy Cheng
b564e69f82
strategy/supertrend: add CalculateQuoteQuantity()
2022-08-05 15:59:20 +08:00
Andy Cheng
dba1102588
strategy/supertrend: rename AvailableValue() to AvailableQuote()
2022-08-05 15:38:19 +08:00
Andy Cheng
eb57e80119
strategy/supertrend: different qty calculation for spot and leveraged
2022-08-05 15:11:15 +08:00
Andy Cheng
550f2f3fd7
strategy/supertrend: adapt risk.AccountValueCalculator
2022-08-05 11:47:36 +08:00
Andy Cheng
9369ad3155
strategy/supertrend: adapt SetIntervalProfitCollector
2022-08-04 10:39:52 +08:00
Andy Cheng
0d82f32769
Merge pull request #852 from andycheng123/position-updater
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feature: PositionModifier
2022-08-03 16:45:02 +08:00
Andy Cheng
e60aae40eb
positionModifier: combine callbacks into one
2022-08-03 16:27:05 +08:00
Andy Cheng
5d1bfc6010
strategy/supertrend: add last period accumulated profit report
2022-08-03 15:31:20 +08:00
Andy Cheng
dc9ecdd6ca
strategy/supertrend: add accumulated profit SMA report
2022-08-03 14:04:30 +08:00
Yo-An Lin
1b177044fb
Merge pull request #855 from COLDTURNIP/feature/optimizer_hyperparam
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optimizeex: hyperparameter optimization tool
2022-08-02 17:38:38 +08:00
Raphanus Lo
d76245cb43
exchange: adjust tests for order fee-amount protection
2022-08-02 15:12:14 +08:00
Raphanus Lo
ed7df4ddbe
exchange: order fee-amount protection
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Reduce the order amount to prevent submit rejection because of balance exceeding.
submit_amount = original_amount / (1 + fee_rate)
Currently supported only by FTX Pro.
2022-08-02 13:35:24 +08:00
Raphanus Lo
68af2d0ff8
optimizer: rename optimizeex to hoptimize
2022-08-02 12:44:42 +08:00
Yo-An Lin
609508288c
Merge pull request #856 from COLDTURNIP/fix/ftx_default_fee
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exchange: FTX default fee
2022-07-31 13:16:01 +08:00
Raphanus Lo
5ef34a3b61
optimizer: calculate equity diff from whole assets instead of first symbol
2022-07-31 12:52:21 +08:00
Raphanus Lo
bad0aa31b7
optimizer: print best result in the same parameter order defined in config
2022-07-30 23:43:40 +08:00
Raphanus Lo
09940ed3cd
optimizer: optimizeEx supports discrete parameters
2022-07-30 20:34:28 +08:00
c9s
55a128ea90
pivotshort: use bbgo notify instead of just info log
2022-07-30 18:14:53 +08:00
c9s
8873101752
pivotshort: move trendEMA log
2022-07-30 18:02:28 +08:00
c9s
adb8a2a713
remove ping / pong debug
2022-07-30 16:27:43 +08:00
c9s
efaf8e9559
pivotshort: add more logs
2022-07-30 13:14:29 +08:00
Raphanus Lo
76d908e2bc
optimizer: workaround for data race in TPE optimization
2022-07-30 09:57:15 +08:00
Raphanus Lo
ae3eaaaeb3
optimizer: testing: param config
2022-07-30 00:19:12 +08:00
Raphanus Lo
f5d4fa098d
optimizer: refactor selector config types
2022-07-29 23:39:56 +08:00
Raphanus Lo
4e14df443a
optimizer: fix typo
2022-07-29 23:33:51 +08:00
Raphanus Lo
23dc8a9ce3
exchange: FTX default fee
2022-07-29 21:49:04 +08:00
Raphanus Lo
67f8b1c32c
optimizeex: hyperparameter optimization tool
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Currently support the following search algorithms:
- Tree-structured Parzen Estimators (tpe, default)
- Covariance Matrix Adaptation Evolution Strategy (cmaes)
- Quasi-monte carlo sampling based on Sobol sequence (sobol)
- random search (random)
And the following objective function:
- profit
- volume
- equity
2022-07-29 17:09:54 +08:00
c9s
bd754e1714
pivotshort: use infof log
2022-07-29 16:13:57 +08:00
