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918 Commits

Author SHA1 Message Date
c9s
82c7c024ce
bbgo: add persistence Sync api 2022-05-05 18:18:38 +08:00
c9s
f3691489dd
add state key as the prefix 2022-05-05 18:18:38 +08:00
c9s
7378c63cb7
cmd: call SaveState and LoadState for normal run 2022-05-05 14:28:42 +08:00
c9s
57c43936d6
ignore service.ErrPersistenceNotExists error 2022-05-05 14:04:44 +08:00
c9s
57a9647401
add more test case and simplify return stmt 2022-05-05 13:16:46 +08:00
c9s
4cf1f0a91a
add func type StructFieldIterator 2022-05-05 13:06:02 +08:00
c9s
30c85d2969
pull out callID method call 2022-05-05 13:05:01 +08:00
c9s
21f81dec29
implement reflect-based persistence restore and load 2022-05-05 12:53:48 +08:00
c9s
18eab1fbd3
move graceful shutdown to a single file 2022-05-05 09:56:21 +08:00
c9s
36c764efa9
refactor balance, asset and remove price cache check 2022-05-04 17:17:09 +08:00
c9s
450517d159
bbgo: do not write trade when writing position 2022-05-04 16:21:53 +08:00
c9s
0e417f6f71
xnav: rename assets to allAssets 2022-05-04 16:21:53 +08:00
c9s
8a93f0921f
add more margin info columns 2022-05-04 14:40:52 +08:00
c9s
95f7d85183
bbgo: pass price time into the asset conversion function 2022-05-04 14:23:46 +08:00
c9s
2c70509ee8
add recordAsset method 2022-05-03 19:26:52 +08:00
c9s
946bbdbca3
backtest: rename backtest.account to backtest.accounts 2022-05-03 12:18:40 +08:00
c9s
fa2eb87268
fix: sync can be nil 2022-05-02 11:55:40 +08:00
c9s
2bdcf2266d
fix default sync logic 2022-05-02 10:39:59 +08:00
c9s
486cf50a9c bbgo: fix init band width setup 2022-05-01 01:12:57 +08:00
c9s
044470377b
avoid using the iterator variable 2022-04-27 17:13:58 +08:00
c9s
1c1fbb1633
bbgo: document strategy id and pnl field 2022-04-27 13:30:07 +08:00
c9s
5edaa9708c
bbgo: fix margin order/trade sync 2022-04-27 13:25:42 +08:00
Andy Cheng
8c353421d8 interact: Remove status from strategy signature 2022-04-26 21:05:26 +08:00
Andy Cheng
1a13826505 interact: refactor generateStrategyButtonsForm() 2022-04-26 19:11:50 +08:00
Andy Cheng
eb1beb05d1 interact: rename functions to private functions 2022-04-26 18:32:41 +08:00
Andy Cheng
6b62f27155 feature: make callback vars start with lowercase 2022-04-26 18:29:22 +08:00
Andy Cheng
61b6755518 interact: GetStrategySignatures() returns map[string]SingleExchangeStrategy instead of slice of strategy signatures 2022-04-26 18:29:22 +08:00
Andy Cheng
f6ec931bed feature: use callbackgen 2022-04-26 18:29:22 +08:00
Andy Cheng
cbf6bf78bc feature: make FilterStrategyByInterface a simple function 2022-04-26 18:29:22 +08:00
Andy Cheng
ecc63f743f feature: split strategy controller interface into several smaller ones 2022-04-26 18:29:21 +08:00
Andy Cheng
64766c48f3 feature: revert position closer and position reader back 2022-04-26 18:29:21 +08:00
Andy Cheng
78a8c2aaaf feature: mix embeded struct and callback in strategy controller 2022-04-26 18:29:21 +08:00
Andy Cheng
57fdc9b120 feature: adapt new strategy controller in support strategy 2022-04-26 18:29:21 +08:00
Andy Cheng
6228cddbec feature: adapt new strategy controller in interact 2022-04-26 18:29:21 +08:00
Andy Cheng
bb2bce4721 feature: strategy controller 2022-04-26 18:29:21 +08:00
Andy Cheng
85ffe9a2de feature: prototype of strategy controller struct 2022-04-26 18:29:21 +08:00
Andy Cheng
73c2c84cab feature: prototype of strategy controller struct 2022-04-26 18:29:21 +08:00
Andy Cheng
5799709e3e pkg: add empty strategy controller file 2022-04-26 18:29:21 +08:00
c9s
2732fb413f
bbgo: remove slack debug option 2022-04-25 18:56:19 +08:00
c9s
a57a238e09
bbgo: add more sync options 2022-04-25 17:18:42 +08:00
c9s
fae3b6a215
fix BOLL method 2022-04-25 15:31:12 +08:00
Yo-An Lin
b94b9e1b73
Merge pull request #437 from jessy1092/enhance-boll-indicator 
indicator: Support difference bandwidth on boll indicator and can dynamic create BOLL
 2022-04-25 13:43:02 +08:00
c9s
18da434e92 all: use thread-safe GetAccount method to get account 2022-04-23 15:43:11 +08:00
c9s
c70317af2b add autoborrow strategy 2022-04-23 15:00:04 +08:00
c9s
cf055c3f7d bbgo: improve account updating 2022-04-23 12:51:07 +08:00
c9s
9e48a850bd bbgo: call queryAccount to update account 2022-04-23 12:51:07 +08:00
c9s
ad373b95a7 add FLUSH_OTP_KEY env for flushing otp key 2022-04-17 00:35:16 +08:00
c9s
63f525970f auth: store otp key url instead of just secret 2022-04-17 00:18:48 +08:00
zenix
2a942eab0e fix: rename EVWMP to VWEMP, fix backtesting fee 2022-04-15 19:12:11 +09:00
zenix
af61952e40 fix: series not been updated 2022-04-11 17:04:56 +09:00
なるみ
4e2faacbae Mkdir if dir not exists 2022-04-07 20:21:07 +08:00
Andy Cheng
3a6f34330b
interact: refactor 2022-03-28 15:16:11 +08:00
Andy Cheng
63e8850cc3
interact: separate strategy filtering and button generation 2022-03-28 12:37:42 +08:00
Andy Cheng
ee6377ab87
interact: fix misuse of cycle() 2022-03-28 11:58:01 +08:00
Yo-An Lin
1a29bc7362
Merge pull request #492 from andycheng123/tg-control 
feature: strategy controller
 2022-03-26 15:41:59 +08:00
Andy Cheng
0974b1c7fd
interact: pull out the interaction related code to the caller 2022-03-23 12:05:35 +08:00
Yo-An Lin
ae4a3d81fb
Merge pull request #489 from zenixls2/feature/market_trade 
feature: add market trade subscription in binance
 2022-03-22 20:18:39 +08:00
Andy Cheng
5eef2a2085
interact: pull out interface filter as a function 2022-03-21 17:49:18 +08:00
Andy Cheng
f4c87e5d75
interact: refactor strategy controller related interfaces 2022-03-21 16:19:55 +08:00
Andy Cheng
fb8b79f38d
interact: rename GetStrategyStatus() to GetStatus() 2022-03-21 16:12:23 +08:00
Andy Cheng
ffd5c646e9
interact: refactor interface func name 2022-03-21 15:08:15 +08:00
Andy Cheng
962645c2c8
interact: Pull out EmergencyStop to a single instance 2022-03-21 15:05:24 +08:00
Andy Cheng
5f7710103d
type: add StrategyStatus type 2022-03-21 15:01:15 +08:00
Andy Cheng
69a02f1664
interact: add EmergencyStop() to StrategyController interface 2022-03-21 11:42:54 +08:00
Andy Cheng
b6aff9674c
strategy: add StrategyController functions to support strategy 2022-03-21 10:20:12 +08:00
Andy Cheng
5de137ced8
interact: add StrategyController interface to control strategies from telegram bot 2022-03-18 18:43:07 +08:00
zenix
efec21ca4b feature: add market trade subscription in binance 2022-03-18 18:30:39 +09:00
c9s
f85db9be61 improve asset summary layout and format 2022-03-18 17:13:37 +08:00
zenix
77a88aabe4 feature: add CancelOrders and CancelOrdersTo to executor 2022-03-16 21:38:09 +09:00
c9s
fdf64fd891 bbgo: fix emit trade profit 2022-03-15 14:29:15 +08:00
c9s
19f01bbca6 add doc comment 2022-03-14 21:21:58 +08:00
c9s
5567ef5676 fix emit trade 2022-03-14 21:21:58 +08:00
c9s
5db4e11167 rewrite trade profit handling 2022-03-14 21:21:58 +08:00
c9s
6fec30d79c call record position on trade 2022-03-14 21:21:58 +08:00
c9s
322f31a56a bbgo: improve RecordPosition method 2022-03-14 21:21:58 +08:00
c9s
5732555c2c doc: update sync configuration doc 2022-03-14 21:21:58 +08:00
c9s
08ae53ba16 bbgo: assign strategy instance id fields automatically 2022-03-14 21:21:58 +08:00
c9s
6088f7b542 bbgo: add RecordPosition method 2022-03-14 21:21:58 +08:00
c9s
9faaed6892 bbgo: initialize position service 2022-03-14 21:21:58 +08:00
c9s
b1559bcbe3 fix persistence injection 2022-03-14 21:21:43 +08:00
Yo-An Lin
bfdf4c245f
Merge pull request #460 from zenixls2/feature/backtest_multiple_exchange 
feature: add multiple exchange support in backtest
 2022-03-07 14:28:20 +08:00
zenix
39572c5fe0 fix: remove maker/buyer/taker/sellerCommission 2022-03-07 14:32:00 +09:00
zenix
25b5eddc03 feature: add multiple exchange support in backtest 
fix: change doc, since --exchange removed from backtest

fix: test for config changes
 2022-03-07 13:18:56 +09:00
c9s
917684aa27 bbgo: inject environment object 2022-03-06 18:28:40 +08:00
c9s
099d860c5a fix: fix Test_parseStructAndInject test 2022-03-06 18:28:40 +08:00
c9s
b1ba5386b3 fix bbgo.Notifiability injection 2022-03-06 16:09:15 +08:00
c9s
f6ec2e78e6 record profits 2022-03-06 15:37:41 +08:00
c9s
3a15738fec pull out default persistence selector 2022-03-06 14:06:19 +08:00
c9s
35b0d8dc0d bbgo: add profit service to environment 2022-03-05 13:40:20 +08:00
c9s
1f1c26a9e5 bbgo: inject more service objects 2022-03-05 13:37:27 +08:00
c9s
c1ac738ca0 bbgo: add doc comment for parseStructAndInject 2022-03-05 12:59:47 +08:00
c9s
bdcae5b763 bbgo: add more injection types 2022-03-05 12:49:53 +08:00
c9s
47023729ec bbgo: rewrite field injection 2022-03-05 12:39:39 +08:00
c9s
a6053e0e59 bbgo: move inject function to injection.go 2022-03-05 03:20:20 +08:00
c9s
cd6b37ac3b bbgo: skip unexported fields for injection 2022-03-05 03:19:45 +08:00
c9s
fa7bab2c3a bbgo: improve dynamic injection 2022-03-05 02:51:43 +08:00
c9s
db4d8a31bc bbgo: implement parseStructAndInject 2022-03-05 02:33:25 +08:00
c9s
9e0df77a36 move profit struct into the types package 2022-03-04 16:39:48 +08:00
zenix
8648528435 fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests 2022-02-15 14:55:19 +09:00
zenix
5315378b9e fix takerfeerate column and makerfeerate column issue in yaml 2022-02-15 12:01:39 +09:00
zenix
fad85d0992 fix binance test, outptu for support and xgap strategies 2022-02-15 12:01:39 +09:00
zenix
05521a98b6 add skeleton strategy. fix most of the tests. fix final asset value 2022-02-15 12:01:39 +09:00
zenix
105b085786 fix bollgrid, emstop, flashcrash, funding, grid, pricealert, pricedrop, rebalance, schedule, swing, xbalance, xgap, xmaker and speedup fixedpoint 2022-02-15 12:01:39 +09:00
zenix
d9450e823e fix all the fixedpoint use other than strategy 2022-02-15 12:01:39 +09:00
zenix
b8bf2af14d fixedpoint for exchange and indicators, some fixes in types 2022-02-15 12:01:38 +09:00
zenix
e221f54397 add dnum as the fixedpoint implementation. change types float64 to fixedpoint.Value 
change pnl report to use fixedpoint

fix: migrate kline to use fixedpoint
 2022-02-15 12:00:39 +09:00
Andy Cheng
66b042fea7
strategy: trailing stop TP for support strategy 2022-02-06 17:47:11 +08:00
c9s
f96c2e6271 bbgo: add activated flag on trailing stop order 2022-02-01 00:41:28 +08:00
c9s
bed03dbd17 schedule: refactor and improve schedule strategy with QuantityOrAmount struct 2022-01-31 01:42:21 +08:00
c9s
11bbdb16a0 bollmaker: clean up empty files 2022-01-31 01:31:31 +08:00
c9s
0e7f88e3bf move SmartStops into the bbgo package 2022-01-31 01:27:47 +08:00
c9s
67bc5d523a bollmaker: refactor trailing stop snippet 2022-01-31 00:44:04 +08:00
c9s
0667c138ab backtest: fix duplicate trade emit issue 2022-01-30 03:05:19 +08:00
c9s
2255f3ed0a bollmaker: check dust order for stop 2022-01-29 17:44:42 +08:00
c9s
99af5d3971 bollmaker: implement TrailingStopController 2022-01-29 02:22:20 +08:00
c9s
547f4c400a cmd: call BindSync when running strategy 2022-01-27 18:19:25 +08:00
c9s
3b630c0bca bbgo: pull out writer closure 2022-01-27 18:13:15 +08:00
c9s
cb507edf44 bbgo: add BindSync method on environment 2022-01-27 18:12:15 +08:00
c9s
30a9a5849f add user data stream sync config 2022-01-27 09:34:04 +08:00
c9s
70f02a1c19 cmd: handle user config sync options in the run command 2022-01-27 08:21:19 +08:00
c9s
0d0d8b05bf bbgo/scale: test out of domain 2022-01-27 02:39:33 +08:00
c9s
1ef5a37225 bbgo/scale: check domain range 2022-01-27 02:32:26 +08:00
c9s
09213b14f3 bbgo: add negative range test for PercentageScale 2022-01-27 01:47:01 +08:00
c9s
49f671ef54 add PercentageScale and its tests 2022-01-27 01:40:54 +08:00
c9s
cfc17acd20 config: use looseFormatTime type for since field 2022-01-27 00:24:19 +08:00
c9s
a29198f733 bbgo: fix LooseFormatTime.UnmarshalYAML 2022-01-25 01:18:56 +08:00
c9s
007207e24f all: use types.LooseFormatTime to parse loose format date time string 2022-01-25 00:24:12 +08:00
c9s
5f7676f0c1 bbgo: add sync config 2022-01-25 00:06:25 +08:00
c9s
407a533659 use the standard generated comment 
https://github.com/golang/go/issues/13560

Generated files are marked by a line of text that matches the regular
expression, in Go syntax:

    ^// Code generated .* DO NOT EDIT\.$ The .*

means the tool can put whatever folderol it wants in there, but the
comment must be a single line and must start with Code generated and end
with DO NOT EDIT., with a period.
 2022-01-23 14:57:45 +08:00
c9s
1f18c36870 cmd: improve build command 2022-01-23 14:44:17 +08:00
c9s
7b572120a1 interact: use RemoveKeyboard from interact.KeyboardController 2022-01-23 14:13:47 +08:00
c9s
01afe9c14e interact: fix telegram session restore 2022-01-23 02:21:26 +08:00
c9s
0af5fc0530 interact: add RequireTextInput method to Reply interface 2022-01-23 02:21:26 +08:00
c9s
f5f8f15670 slack: add reply and session struct 2022-01-23 02:21:26 +08:00
c9s
ad3f038dc6 bbgo: improve otp key layout 2022-01-23 02:21:26 +08:00
c9s
c7f15efb23 interact: add Slack interaction 2022-01-23 02:21:26 +08:00
Kakashi Liu
cd85edd64d Fix: fallback to memory persistence if redis not found 
resolve #438
Fix bollmaker backtest error
 2022-01-22 00:55:03 +08:00
c9s
0b8e5852eb check persistence error 2022-01-19 18:29:24 +08:00
Yo-An Lin
0e0525be99
Merge pull request #418 from austin362667/refactor/futures-account 
binance: add futures exchange api queries
 2022-01-17 20:54:49 +08:00
c9s
5c0e3a1254 bollmaker: add shadow protection config 2022-01-16 04:40:50 +08:00
c9s
71e660571d bbgo: optimize LocalActiveOrderBook for back-testing speed 2022-01-16 01:34:28 +08:00
c9s
5d54e6fded interact: skip total == 0 balance 2022-01-16 01:06:47 +08:00
c9s
b80f481e7d interact: fix interact tests for session 2022-01-16 00:50:43 +08:00
c9s
b49fc182dc fix telegram session persistence 2022-01-16 00:39:24 +08:00
c9s
2088234b44 interact: separate telegram user sessions 2022-01-16 00:25:11 +08:00
austin362667
91d2312c5c cache: refactor moving from bbgo to pkg/cache 2022-01-15 08:28:02 +08:00
Lee
266400d925 indicator: Support difference bandwidth on boll indicator and can dynamic create BOLL 2022-01-15 05:30:06 +08:00
c9s
5f942e85ed bbgo: show position with plaintext mode instead of string format 2022-01-15 03:13:30 +08:00
c9s
1c7d4d09cf interact: add Cycle state builder 2022-01-15 03:06:36 +08:00
c9s
2a6b821908 bbgo: implement /position command 2022-01-15 02:58:55 +08:00
c9s
93722e6db3 implement position closer interaction 2022-01-15 02:52:46 +08:00
c9s
255ee40c98 bbgo: when calling order cancel we should use background context 2022-01-15 00:49:27 +08:00
c9s
77e92d544a bbgo: pull out interaction setup 2022-01-15 00:32:21 +08:00
c9s
e385d96709 bbgo: move authToken loader 2022-01-15 00:29:35 +08:00
c9s
3a13025d58 bbgo: change default notification rule -- silent order updates 2022-01-15 00:25:16 +08:00
c9s
d5f3946ada bbgo: refactor the current auth with interact 2022-01-15 00:18:07 +08:00
c9s
51ecac54e7 bbgo: fix local active book graceful cancel 2022-01-15 00:17:52 +08:00
c9s
41b94c5c7e interact: refactor telegram interaction 2022-01-14 15:03:19 +08:00
c9s
fdf7ad9648 bbgo: rename auth function for general case 2022-01-14 13:41:43 +08:00
c9s
5bef7d8a1e interact: use interaction singleton 2022-01-14 13:31:31 +08:00
c9s
dd93ee4fd3 move methods to telegramnotifier 2022-01-14 13:31:31 +08:00
c9s
43317bb647 add state and telegram example 2022-01-13 11:43:33 +08:00
c9s
ccaa8c5c86 bbgo: implement parseCommand 2022-01-13 11:43:33 +08:00
c9s
7053802041 basic interaction parser 2022-01-13 11:43:33 +08:00
c9s
6ee831e678 add trade logger 2022-01-12 11:19:41 +08:00
c9s
e5b4af53e6 all: clean up SubmitOrder fields 2022-01-11 01:36:19 +08:00
c9s
48cbb7fff6 bbgo: check order side and log error 2022-01-10 17:26:14 +08:00
c9s
d57f8fedfe bbgo: fix active book order removal 2022-01-10 12:29:19 +08:00
c9s
d94cc2df31 bbgo: add recover callbacks to trace collector 2022-01-09 15:39:59 +08:00
c9s
0cec652f38 bollmaker: skip submitOrder calls if submitOrders is empty 2022-01-09 02:35:12 +08:00
c9s
7e2acdc416 all: add lock protected GetBase method for Position 2022-01-09 00:35:45 +08:00
c9s
d1420e66be fix TestTradeCollector_ShouldNotCountDuplicatedTrade 2022-01-08 02:20:30 +08:00
c9s
e0b906a88b bbgo: fix processTrade 2022-01-07 16:53:11 +08:00
c9s
a5fb408a16 twap: refactor and call activeMakerOrders.GracefulCancel 2022-01-07 01:34:23 +08:00
c9s
e312ec953c bbgo: rename test case 2022-01-07 01:23:54 +08:00
c9s
d63cc42867 bbgo: add trade collector test 2022-01-07 01:17:07 +08:00
c9s
a49d001c29 xmaker: add trade scanner 2022-01-07 01:03:12 +08:00
c9s
69ae3259ff bbgo: mark trade as done in the trade collector for preventing duplicated trade 2022-01-07 00:28:12 +08:00
c9s
259771b0b0 all: pull out the graceful cancel process to the local active book 2022-01-07 00:10:40 +08:00
c9s
47e23fda90 bbgo: add cache expiry 2022-01-06 23:57:42 +08:00
c9s
1116fc1de1 session: print klines only when debug-kline is enabled 2021-12-31 15:13:26 +08:00
c9s
63ccc2d3d0 bbgo: remove order if ExecutedQuantity is zero 2021-12-31 01:55:22 +08:00
c9s
ba73d5a09a fix kucoin orderTime parsing and order id conversion 2021-12-30 22:02:50 +08:00
c9s
31070c3950 pull out connection status binder 2021-12-30 17:25:47 +08:00
c9s
26ff576727 fix connection status callbacks 2021-12-30 17:23:27 +08:00
c9s
cfc66dc13e bbgo: add session connection notification 2021-12-30 17:18:04 +08:00
c9s
a2931da92c move math rand 2021-12-30 16:18:32 +08:00
c9s
22e4da3775 fix pendingRemoval lock 2021-12-29 23:53:46 +08:00
c9s
090d60b44e fix session connection status metrics 2021-12-28 01:58:36 +08:00
c9s
a0e41650be add metricsLastUpdateTimeBalance metrics 2021-12-28 01:39:17 +08:00
c9s
bb9ef72028 update metricsConnectionStatus metrics 2021-12-28 00:49:56 +08:00
c9s
bb7b33e532 bbgo: bind and update balance metrics updater 2021-12-27 17:27:16 +08:00
c9s
7b629c9d30 bbgo: update balances metrics and trade metrics 2021-12-27 17:16:30 +08:00
c9s
0f24eec715 bbgo: fix: filter trades by symbol 2021-12-27 16:32:30 +08:00
c9s
42f22e0ef3 add prometheus metrics server 2021-12-27 16:27:14 +08:00
c9s
a31e2743ee fix kline log space 2021-12-27 00:54:10 +08:00
c9s
f7c39290a0 call tradeCollector process to check trades 2021-12-27 00:51:57 +08:00
c9s
770c1067fc bbgo: fix order store RemoveCancelled 2021-12-26 15:47:39 +08:00
c9s
05a0745d08 fix InitExchange for publicOnly session 2021-12-26 15:29:42 +08:00
c9s
ba8ebfe3a7 refactor and add doc comment for InitExchangeSession 2021-12-25 23:42:29 +08:00
c9s
307d0b8e1f bbgo: add passphrase field to session struct 2021-12-25 23:28:00 +08:00
c9s
57bc65a729 avoid calling EmitConnect and EmitStart outside of the kline feeding goroutine 
this causes 2 goroutine running in the same time hence cause the
concurrent map read / write

should fix #399, #401
 2021-12-25 21:05:50 +08:00
c9s
49e516b80e backtest: allocate public exchange (with empty key secret) for backtesting 2021-12-24 00:24:19 +08:00
c9s
a3e3e1d177 bbgo: do not sync trades when running backtest 2021-12-23 23:20:35 +08:00
c9s
f5bbe29ac6 cmd: fix debug flag loading and add debug log to cache function 2021-12-23 23:02:07 +08:00
c9s
cfd68fdd1d all: change trade id to uint64 2021-12-23 17:49:18 +08:00
TonyQ
d7ac645253 exchange: update maskkey handling 2021-12-23 01:18:36 +08:00
austin362667
f9cf71cef3 indicator: add kline close volatility 
indicator: add kline close volatility
 2021-12-19 14:20:09 +08:00
TonyQ
c0b9cc0f0b exchange: make ftx kline event more reliable 2021-12-15 11:23:07 +08:00
Yo-An Lin
6c6eb252cc Merge pull request #363 from tony1223/feature/355-ftx-backtest 2021-12-14 16:09:16 +08:00
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