c9s
|
fb96756460
|
xmaker: reset position started time when hedge order is submitted
|
2024-10-17 13:13:45 +08:00 |
|
c9s
|
7f0b8f38d5
|
orderStore: remove only filled orders and canceled orders
|
2024-10-17 13:09:29 +08:00 |
|
c9s
|
5fbb06639d
|
xmaker: prune expired orders
|
2024-10-17 13:02:44 +08:00 |
|
c9s
|
bfe8ce9f2c
|
grid2,xmaker: prune expired trades
|
2024-10-17 12:53:51 +08:00 |
|
c9s
|
f9a75036a7
|
xmaker: fix disableHedge check
Go / build (1.21, 6.2) (push) Waiting to run
golang-lint / lint (push) Waiting to run
|
2024-10-16 17:36:05 +08:00 |
|
c9s
|
6d857cdd48
|
indicator: improve boll indicator slice truncation
|
2024-10-16 16:07:58 +08:00 |
|
c9s
|
8ce587f5f5
|
indicator: implement Truncate method on the indicators
|
2024-10-16 16:04:15 +08:00 |
|
c9s
|
4f1b216fbf
|
xmaker: fix trade window test
|
2024-10-16 15:55:55 +08:00 |
|
c9s
|
c066a187d9
|
xmaker: fix TradeVolumeWindowSignal algo
|
2024-10-16 15:45:11 +08:00 |
|
c9s
|
e55676abab
|
xmaker: add delayHedgeCounterMetrics counter
|
2024-10-16 15:41:09 +08:00 |
|
bailantaotao
|
8fcd76cb59
|
Merge pull request #1779 from c9s/edwin/bybit/uta
FEATURE: [bybit] upgrade classic account to UTA
|
2024-10-16 14:49:54 +08:00 |
|
c9s
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a6f5d5fff1
|
Merge pull request #1781 from c9s/c9s/xmaker/improvements2
FIX: [xmaker] fix covered position field
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2024-10-16 14:39:48 +08:00 |
|
c9s
|
165c8d99b8
|
xmaker: fix covered position field
|
2024-10-16 14:39:09 +08:00 |
|
kbearXD
|
18c362db15
|
remove verified code
|
2024-10-16 14:02:29 +08:00 |
|
kbearXD
|
bd83832d2d
|
WIP: use depth to build orderbook
|
2024-10-16 14:02:29 +08:00 |
|
c9s
|
a650534a98
|
xmaker: rename arbitrage option to enableArbitrage
|
2024-10-16 11:44:30 +08:00 |
|
c9s
|
0b1773b959
|
xmaker: pull out delay hedge logics
|
2024-10-15 23:00:09 +08:00 |
|
c9s
|
334c868117
|
xmaker: add enableDelayHedge option
|
2024-10-15 18:51:37 +08:00 |
|
c9s
|
1210a79fc7
|
xmaker: improve if condition
|
2024-10-15 18:45:16 +08:00 |
|
c9s
|
59862303aa
|
xmaker: reset and set position start time
|
2024-10-15 17:29:12 +08:00 |
|
c9s
|
b137707723
|
xmaker: use mutex protected fixedpoint for covered position
|
2024-10-15 16:24:35 +08:00 |
|
edwin
|
74feb928c9
|
pkg/exchange: use execution.fast topoc
|
2024-10-15 15:31:19 +08:00 |
|
c9s
|
d940cde945
|
xmaker: check dust quantity
|
2024-10-15 13:40:31 +08:00 |
|
edwin
|
b41cd348bc
|
pkg/exchange: update query open orders to latest
|
2024-10-15 12:00:39 +08:00 |
|
edwin
|
5a4c38caa2
|
pkg/exchange: update query wallet balance to latest
|
2024-10-15 11:26:02 +08:00 |
|
edwin
|
0712a8399a
|
pkg/exchange: update query closed order to latest
|
2024-10-15 00:55:27 +08:00 |
|
edwin
|
f22e4a1810
|
pkg/exchange: move rate limiter to api
|
2024-10-14 22:42:48 +08:00 |
|
edwin
|
6f7e02daef
|
pkg/exchange: add marketunit for submit order
|
2024-10-14 22:39:17 +08:00 |
|
edwin
|
d48fa7c202
|
pkg/exchange: use fee currency of trade
|
2024-10-14 16:55:36 +08:00 |
|
c9s
|
76a627a504
|
xmaker: adjust metrics bucket
Go / build (1.21, 6.2) (push) Has been cancelled
golang-lint / lint (push) Has been cancelled
|
2024-10-09 17:24:49 +08:00 |
|
c9s
|
11fcf8c617
|
xmaker: fix buckets with prometheus.ExponentialBuckets and record cancel maker orders metrics
|
2024-10-09 17:09:28 +08:00 |
|
c9s
|
6b54c90a53
|
xmaker: add more info into the signal logs
|
2024-10-09 12:47:53 +08:00 |
|
c9s
|
49e949dbc9
|
xmaker: refactor signal methods
|
2024-10-09 12:35:06 +08:00 |
|
c9s
|
cea59ef9cf
|
xmaker: show signal margin range
|
2024-10-09 12:35:06 +08:00 |
|
c9s
|
022dcdf745
|
scale: improve error message
|
2024-10-09 12:35:06 +08:00 |
|
c9s
|
956ad10683
|
xmaker: stores calculated signal in lastAggregatedSignal
|
2024-10-09 12:35:06 +08:00 |
|
c9s
|
e70899a35d
|
xmaker: add more xmaker metrics and profiles
|
2024-10-09 12:35:06 +08:00 |
|
Lan Phan
|
8b17d78a48
|
solved all deprecated, comment all unused variables and functions
|
2024-10-08 00:08:15 +07:00 |
|
narumi
|
3fe4568dc2
|
check quote balance before submitting order
|
2024-10-07 21:37:49 +08:00 |
|
c9s
|
a5d4130625
|
Merge pull request #1768 from c9s/c9s/xmaker/improvements2
IMPROVE: [xmaker] add more improvements
|
2024-10-07 17:38:49 +08:00 |
|
c9s
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80b1a3262d
|
Merge pull request #1767 from c9s/c9s/pricesolver/float64
IMPROVE: use float64 in pricesolver internally to make it more precise
|
2024-10-07 17:15:10 +08:00 |
|
c9s
|
544c172a9c
|
xmaker: improve fee price updating
|
2024-10-07 17:12:49 +08:00 |
|
c9s
|
2599a4bcd3
|
xmaker: add SubscribeFeeTokenMarkets option
|
2024-10-07 17:09:01 +08:00 |
|
c9s
|
969e813c7f
|
xmaker: fix profit fixer fee settings
|
2024-10-07 17:09:01 +08:00 |
|
c9s
|
2cdd9072c2
|
Merge pull request #1766 from c9s/c9s/refactor/account-value-calc
REFACTOR: refactor account value calculator with price solver
|
2024-10-07 17:08:49 +08:00 |
|
c9s
|
a0cdfc2b8e
|
xmaker: fix aggregatePriceVolumeSliceWithPriceFilter
Go / build (1.21, 6.2) (push) Has been cancelled
golang-lint / lint (push) Has been cancelled
|
2024-10-06 12:18:03 +08:00 |
|
c9s
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efc3bbeb5b
|
allow redis persistence config could be created with an existing redis client
|
2024-10-06 12:12:33 +08:00 |
|
c9s
|
113695eabf
|
Merge pull request #1749 from r03921081/task/change_circuitbreaker
Use new circuitbreaker in common strategy
|
2024-10-06 12:10:22 +08:00 |
|
c9s
|
a94d1b424f
|
pricesolver: use float64 internally to make it faster and more precise
|
2024-10-05 14:26:15 +08:00 |
|
c9s
|
7506fb63a8
|
refactor account value calculator
|
2024-10-05 14:22:13 +08:00 |
|
c9s
|
6079e7b06a
|
all: refactor NewAccountValueCalculator
|
2024-10-05 13:09:31 +08:00 |
|
c9s
|
a718e30bb4
|
refactor tests
|
2024-10-04 23:46:43 +08:00 |
|
c9s
|
8f0d58aee9
|
add new test helper to create balance map objects
Signed-off-by: c9s <yoanlin93@gmail.com>
|
2024-10-04 23:32:11 +08:00 |
|
c9s
|
14fa561f6e
|
Fix account value tests with price solver
Signed-off-by: c9s <yoanlin93@gmail.com>
|
2024-10-04 19:45:07 +08:00 |
|
c9s
|
c3bf0ed7e7
|
only query ticker on the symbol that is defined in the market map
Signed-off-by: c9s <yoanlin93@gmail.com>
|
2024-10-04 19:16:39 +08:00 |
|
c9s
|
8199428b61
|
Add ticker test helper
Signed-off-by: c9s <yoanlin93@gmail.com>
|
2024-10-04 19:10:05 +08:00 |
|
c9s
|
83ab00a601
|
allow redis persistence config could be created with an existing redis client
|
2024-10-04 18:11:15 +08:00 |
|
kbearXD
|
a548596c16
|
Merge pull request #1760 from c9s/chiahung/max/query-depth
Go / build (1.21, 6.2) (push) Has been cancelled
golang-lint / lint (push) Has been cancelled
FEATURE: [max] add QueryDepth v3 API to query orderbook
|
2024-10-04 13:11:05 +08:00 |
|
Lan Phan
|
dad7b53d9c
|
add new tag ignore to prevent printing specific field
|
2024-10-02 23:00:48 +07:00 |
|
edwin
|
fc4a9769c9
|
pkg/exchange: use individual rate limit
|
2024-10-02 17:23:20 +08:00 |
|
edwin
|
771a136acd
|
pkg/exchange: fix redundant code
|
2024-10-01 21:22:42 +08:00 |
|
kbearXD
|
2bbaf48057
|
move to convert.go
|
2024-10-01 17:16:28 +08:00 |
|
c9s
|
5e7627cc7a
|
xmaker: fix signal depth metrics
Go / build (1.21, 6.2) (push) Waiting to run
golang-lint / lint (push) Waiting to run
|
2024-10-01 16:52:58 +08:00 |
|
kbearXD
|
d1c5671a83
|
FEATURE: [max] add QueryDepth v3 API to query orderbook
|
2024-10-01 14:53:32 +08:00 |
|
bailantaotao
|
7e908c3ff7
|
Merge pull request #1759 from c9s/edwin/bybit/add-v5-execution-request
FEATURE: [bybit] integrate the v5 trade history
|
2024-10-01 14:06:46 +08:00 |
|
edwin
|
a68764b763
|
pkg/exchange: merge FeeRatePoller into StreamDataProvider
|
2024-10-01 11:45:33 +08:00 |
|
edwin
|
7f1e1a3a51
|
pkg/exchange: export SymbolFeeDetail struct
|
2024-10-01 11:45:33 +08:00 |
|
edwin
|
eb2a7421da
|
pkg/exchange: integrate the v5 query trade api
|
2024-10-01 11:45:31 +08:00 |
|
edwin
|
d2c1ae0642
|
pkg/exchange: move fee rate calculate method outside
|
2024-10-01 00:06:47 +08:00 |
|
edwin
|
f6e58ded02
|
pkg/exchange: add PollAndGet method and declare an interface
|
2024-10-01 00:06:43 +08:00 |
|
bailantaotao
|
a639a5831b
|
Merge pull request #1757 from c9s/edwin/bybit/add-v5-execution-request
Go / build (1.21, 6.2) (push) Waiting to run
golang-lint / lint (push) Waiting to run
FEATURE: [bybit] add v5 execution request
|
2024-09-30 17:51:26 +08:00 |
|
c9s
|
3c48663032
|
add more tests
|
2024-09-30 17:32:46 +08:00 |
|
edwin
|
bdfcbdcf56
|
pkg/exchange: move common execution field to bybitapi.trade
|
2024-09-30 16:28:07 +08:00 |
|
edwin
|
aac833d135
|
pkg/exchange: add execution list request to bybit
|
2024-09-30 16:27:33 +08:00 |
|
c9s
|
39fad2e0b5
|
xmaker: add depth ratio signal
|
2024-09-30 16:21:22 +08:00 |
|
c9s
|
f776914e8c
|
do not return when failed cleaning up orders
Go / build (1.21, 6.2) (push) Has been cancelled
golang-lint / lint (push) Has been cancelled
|
2024-09-27 21:23:11 +08:00 |
|
c9s
|
4661ec629d
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xdepthmaker: add priceImpactRatio detection
|
2024-09-27 20:14:34 +08:00 |
|
c9s
|
be353c533b
|
xmaker: bind price solver with market data stream
|
2024-09-27 18:43:09 +08:00 |
|
c9s
|
e8c063c09b
|
xdepthmaker: support countery party 5 hedge and force full replenish
|
2024-09-27 18:43:09 +08:00 |
|
c9s
|
5dcd375279
|
add more update methods for price solver
|
2024-09-27 18:43:09 +08:00 |
|
c9s
|
9194a9152c
|
extend ticker method
|
2024-09-27 18:43:09 +08:00 |
|
c9s
|
d5a6930545
|
add disconnectedC method
|
2024-09-27 18:43:09 +08:00 |
|
c9s
|
98011e1e97
|
extend price volume slice methods
|
2024-09-27 18:43:09 +08:00 |
|
c9s
|
79b636fa02
|
move bbo monitor to bbgo package
|
2024-09-27 18:43:09 +08:00 |
|
c9s
|
091eb5d9c5
|
xdepthmaker: return when we can't clean up the open orders
|
2024-09-27 14:27:20 +08:00 |
|
c9s
|
fb35a2b79f
|
types: add AnyDisconnected() method on ConnectivityGroup
|
2024-09-27 13:31:37 +08:00 |
|
c9s
|
c07661af57
|
all: refactor depthmaker with connectivity
|
2024-09-27 13:24:03 +08:00 |
|
c9s
|
ccb617f30f
|
types: add connectivity test
|
2024-09-27 12:56:44 +08:00 |
|
c9s
|
431d6964d5
|
xdepthmaker: split quote worker and hedge worker
|
2024-09-26 17:57:12 +08:00 |
|
c9s
|
0c842e0eb5
|
Merge pull request #1753 from c9s/c9s/xdepthmaker/improvements
Go / build (1.21, 6.2) (push) Waiting to run
golang-lint / lint (push) Waiting to run
IMPROVE: [xdepthmaker] use order query to update the canceled order, fix depth price, fix symbol column lengths, fix covered position
|
2024-09-26 15:06:12 +08:00 |
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c9s
|
6e19777277
|
Merge pull request #1751 from lanphan/fixemitnew
fix OnNew event must be called before OnFilled
|
2024-09-26 12:26:34 +08:00 |
|
c9s
|
1b5da22c90
|
xdepthmaker: fix coveredPosition reduction
|
2024-09-25 18:16:04 +08:00 |
|
c9s
|
f4e905833c
|
xdepthmaker: improve HedgeMaxOrderQuantity check
|
2024-09-25 18:16:03 +08:00 |
|
c9s
|
42cd3cba1e
|
xdepthmaker: clean up todo
|
2024-09-25 18:16:03 +08:00 |
|
c9s
|
67fd15c88f
|
xdepthmaker: log covered position
|
2024-09-25 18:16:03 +08:00 |
|
c9s
|
d83297b605
|
migrations: add table column symbol length fix
|
2024-09-25 18:16:03 +08:00 |
|
c9s
|
e11db4a2d1
|
xdepthmaker: avoid using the same depth price for the new maker order
|
2024-09-25 18:16:02 +08:00 |
|
c9s
|
6a5ab424c9
|
xdepthmaker: add hedgeMaxOrderQuantity protection
|
2024-09-25 15:52:23 +08:00 |
|
c9s
|
b3d58a9e05
|
bbgo: add types.ExchangeOrderQueryService support for checking canceled orders
|
2024-09-25 14:13:23 +08:00 |
|
c9s
|
768428a7eb
|
bbgo: pass the actual context object instead of background context
|
2024-09-25 13:36:49 +08:00 |
|
c9s
|
329b8a40d9
|
xdepthmaker: adjust covered position when order is canceled
|
2024-09-25 13:36:31 +08:00 |
|
c9s
|
60d5126b61
|
xdepthmaker: add HedgeStrategyBboQueue1 hedge method
|
2024-09-24 17:10:50 +08:00 |
|
c9s
|
59191cf6bf
|
xdepthmaker: support bbgo counter party 1 hedge method
|
2024-09-24 16:33:53 +08:00 |
|
c9s
|
566234d3ab
|
xdepthmaker: rename last price var to just price
|
2024-09-24 16:14:03 +08:00 |
|
c9s
|
e7c76ddd26
|
xdepthmaker: refactor hedge methods
|
2024-09-24 16:12:17 +08:00 |
|
c9s
|
61ea41d999
|
xdepthmaker: simplify hedge
|
2024-09-23 22:16:53 +08:00 |
|
c9s
|
b02580f9f6
|
xdepthmaker: remove shared mutex lock usage
|
2024-09-23 18:28:46 +08:00 |
|
c9s
|
345c92c295
|
all: improve UniversalCancelAllOrders and add mutex to covered position
|
2024-09-23 18:26:23 +08:00 |
|
c9s
|
a8444e9796
|
bybit,biget: improve bitget, bybit query log messages
|
2024-09-23 17:51:33 +08:00 |
|
Lan Phan
|
2a767aba71
|
fix OnNew event must be called before OnFilled
|
2024-09-20 20:01:24 +07:00 |
|
Andy Liao
|
7137343ba0
|
Use new circuitbreaker in common strategy
|
2024-09-18 22:35:35 +08:00 |
|
c9s
|
8265ada5a0
|
compile and update migration package
|
2024-09-18 13:30:56 +08:00 |
|
c9s
|
a0c41f89f2
|
bump version to v1.60.3
|
2024-09-16 00:31:00 +08:00 |
|
c9s
|
26b1fd2ae7
|
xmaker: fix price initialization
|
2024-09-16 00:29:37 +08:00 |
|
Lan Phan
|
1f8b2b3710
|
call b.EmitNew() when new order is added into activeorderbook
|
2024-09-14 18:26:36 +07:00 |
|
c9s
|
aca2c32442
|
bump version to v1.60.2
|
2024-09-12 17:51:57 +08:00 |
|
c9s
|
0d6b7b29d5
|
Merge pull request #1742 from c9s/c9s/fix-ws-close-err
FIX: types/stream: change errorf to warnf
|
2024-09-12 17:46:24 +08:00 |
|
c9s
|
ea8f3a5485
|
types/stream: change errorf to warnf
|
2024-09-12 17:35:13 +08:00 |
|
c9s
|
52f32e0ad0
|
upgrade github.com/c9s/requestgen to 1.4.3
|
2024-09-12 17:27:30 +08:00 |
|
c9s
|
de0d11b511
|
max: regenerate order cancel requests
|
2024-09-11 16:47:20 +08:00 |
|
kbearXD
|
f83491af26
|
FEATURE: [dca2] set exchange fee rate for round position
|
2024-09-11 15:40:59 +08:00 |
|
edwin
|
619cce53f6
|
pkg/exchange: update to latest
|
2024-09-10 17:11:58 +08:00 |
|
c9s
|
d7ddc9c462
|
Merge pull request #1737 from c9s/c9s/xmaker/ioc-arb
Go / build (1.21, 6.2) (push) Waiting to run
golang-lint / lint (push) Waiting to run
FEATURE: [xmaker] implement tryArbitrage
|
2024-09-09 22:57:20 +08:00 |
|
c9s
|
34ef50d889
|
xmaker: refactor and clean up tryArbitrage
|
2024-09-09 22:03:06 +08:00 |
|
c9s
|
52925c5643
|
xmaker: calculate balance for arbitrage
|
2024-09-09 18:12:46 +08:00 |
|
c9s
|
b4f2748892
|
xmaker: fix sides
|
2024-09-09 18:03:03 +08:00 |
|
c9s
|
ceda1e06b9
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xmaker: implement tryArbitrage
|
2024-09-09 17:49:53 +08:00 |
|
c9s
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bc1715f8ad
|
Merge pull request #1736 from c9s/kbearXD/session/remove-log
Go / build (1.21, 6.2) (push) Waiting to run
golang-lint / lint (push) Waiting to run
MINOR: [session] remove environment nil validation log
|
2024-09-09 16:17:17 +08:00 |
|
c9s
|
f361b19564
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Merge pull request #1734 from c9s/c9s/xmaker/ioc-arb
REFACTOR: [xmaker] refactor for supporting ioc arb [part1]
|
2024-09-09 16:05:11 +08:00 |
|
kbearXD
|
f44486447e
|
MINOR: [session] remove environment nil validation log
|
2024-09-09 16:04:04 +08:00 |
|
kbearXD
|
129e2c438e
|
FIX: add debug log
|
2024-09-09 15:13:02 +08:00 |
|
c9s
|
90749f4873
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xmaker: pull out s.UseDepthPrice dependency
|
2024-09-09 15:04:56 +08:00 |
|
c9s
|
77dfe213e5
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xmaker: pull out getLayerPrice and add test against the method
|
2024-09-09 14:41:41 +08:00 |
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c9s
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960ea89d8c
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testhelper: add more test helpers
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2024-09-09 14:41:27 +08:00 |
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c9s
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f24a96c8c3
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xmaker: refactor getInitialLayerQuantity for quantity multiplier
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2024-09-07 14:19:07 +08:00 |
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c9s
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6ad16b7488
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xmaker: add EnableArbitrage option and makerBook
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2024-09-07 13:47:34 +08:00 |
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c9s
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e14f09a914
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xmaker: add sourceDepthLevel option
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2024-09-06 21:47:43 +08:00 |
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c9s
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3cc96ff6ad
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Merge pull request #1724 from dropbigfish/main
Go / build (1.21, 6.2) (push) Has been cancelled
golang-lint / lint (push) Has been cancelled
fix: fix slice init length
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2024-09-06 18:06:21 +08:00 |
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c9s
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a282654c02
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bbgo: fix the defaults / initialize steps
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2024-09-06 17:33:31 +08:00 |
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kbearXD
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63a58e1b12
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FIX: fix memory leak
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2024-09-05 17:05:58 +08:00 |
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longhutianjie
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c75a685cc0
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bug: fix json tag
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2024-09-04 17:58:27 +08:00 |
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c9s
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9fc3a1b44a
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xmaker: rename to aggTradeVolume
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2024-09-04 16:09:58 +08:00 |
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c9s
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656112de45
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xmaker: call signalConfig.TradeVolumeWindowSignal.Bind
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2024-09-04 16:07:28 +08:00 |
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c9s
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ba73eeaad1
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xmaker: add TradeVolumeWindowSignal
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2024-09-04 15:59:21 +08:00 |
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c9s
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2527c0c7b7
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max: convert v3 DepositStateFailed into rejected
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2024-09-04 15:00:37 +08:00 |
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c9s
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a2f8fe5f72
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max: add v3 DepositStateFailed state
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2024-09-04 14:59:58 +08:00 |
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c9s
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ed51eff242
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max: drop unused function
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2024-09-04 14:59:10 +08:00 |
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c9s
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24de49860f
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bump version to v1.60.1
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2024-09-04 14:58:07 +08:00 |
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c9s
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ec68e3c5f6
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Merge pull request #1727 from lanphan/ioc
FIX: update timeInForce for binance margin order
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2024-09-04 14:38:40 +08:00 |
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c9s
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f27afac77b
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max: use error log instead of warning log for convertion
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2024-09-04 11:20:30 +08:00 |
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