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3971 Commits

Author SHA1 Message Date
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 
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 
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 
Drift rebase
 2022-08-16 15:35:42 +09:00
Yo-An Lin
0fa8692679
Merge pull request #875 from ankion/fix_pivotshort_trendema 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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
Fredrik
b324149db2 added SideEffectTypeAutoRepay to supportTakeProfit 2022-07-29 09:41:35 +02:00
c9s
a132e789da
bump version to v1.38.0 2022-07-29 14:42:03 +08:00
Andy Cheng
4bc70820c4 positionmodifier: move functions into types.Position 2022-07-29 14:40:54 +08:00
Andy Cheng
9588a6f6bd positionupdater: update command flow 2022-07-29 13:45:33 +08:00
Andy Cheng
2724949678 positionupdater: update avaerage cost 2022-07-29 12:05:39 +08:00
Andy Cheng
32b91b67dd positionupdater: update quote position 2022-07-29 12:00:11 +08:00
Andy Cheng
8c53c7e575 positionupdater: update base position 2022-07-29 11:52:20 +08:00
Yo-An Lin
ae6c6c90a7
Merge pull request #849 from COLDTURNIP/feature/optimizer_output_asset_diff 
optimizer: print equity diff in final report
 2022-07-28 18:56:41 +08:00
Yo-An Lin
a32ef8ca9a
Merge pull request #850 from COLDTURNIP/feature/optimizer_predict_grid_number 
optimizer: calculate total number of grids before testing
 2022-07-28 18:54:21 +08:00
zenix
d46267aff9 feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 19:34:12 +09:00
Raphanus Lo
16814138a1 optimizer: calculate total number of grids before testing 2022-07-28 12:36:44 +08:00
Raphanus Lo
3c0d5727e6 optimizer: print equity diff in final report 2022-07-28 12:31:17 +08:00
c9s
30978ecbd4
pivotshort: check TrendEMA pointer 2022-07-28 11:29:27 +08:00
c9s
d61047cd26
pivotshort: add maxGradient config to trendEMA 2022-07-28 10:27:16 +08:00
c9s
93593ffa06
bbgo: add close position tag log 2022-07-28 10:27:04 +08:00
c9s
a791b455b8
types: fix average profit/loss overflow issue 2022-07-28 10:26:48 +08:00
c9s
5fa2606357
pivotshort: rename kLineClosedStop to fakeBreakStop 2022-07-28 09:29:10 +08:00
c9s
abd99a1d93
types: fix IntervalProfits struct tag 2022-07-27 19:26:16 +08:00
c9s
03541ca746
types: record the position open time 2022-07-27 19:25:30 +08:00
c9s
56bfa22dbe
types: add position openedAt time field 2022-07-27 19:25:30 +08:00
c9s
9f06be14aa
types: calculate MaximumConsecutiveLosses and MaximumConsecutiveProfits 2022-07-27 19:25:29 +08:00
c9s
151d907457
use debug log for trendEMA 2022-07-27 19:22:56 +08:00
c9s
c65456e44b
pivotshort: refactor and add trendEMA to resistance short 2022-07-27 19:22:56 +08:00
c9s
2719c86400
pivotshort: drop unused tail function 2022-07-27 19:22:56 +08:00
c9s
5821dd02cb
pivotshort: fix log format 2022-07-27 19:22:56 +08:00
c9s
9b35c789ee
pivotshort: add total quantity to the notification 2022-07-27 19:22:55 +08:00
c9s
b067c02cf0
pivotshort: fix resistance order quantity calculation 2022-07-27 19:22:55 +08:00
c9s
a9eef3fb93
pivotshort: fix pivot low usage 2022-07-27 19:22:55 +08:00
Yo-An Lin
3aeb6912c9
Merge pull request #846 from c9s/strategy/pivotshort 
strategy/pivotshort: refactor breaklow + add fake break stop
 2022-07-27 12:18:50 +08:00
c9s
4c6fe11796
pivotshort: rename ClosedKLineStop to fake break stop 2022-07-27 12:04:54 +08:00
c9s
7438798390
bbgo: add ClosedKLineStop trigger 2022-07-27 11:47:12 +08:00
c9s
f323e91a56
pivotshort: fix resistance short 2022-07-27 11:30:32 +08:00
Yo-An Lin
4fd571d712
Merge pull request #813 from zenixls2/feature/drift_study 
feature: drift study
 2022-07-27 11:29:48 +08:00
zenix
84c7c0596d fix: fix drift naming style, fix kline Copy -> Set 2022-07-27 12:17:33 +09:00
zenix
3f33111182 fix: rename kline Copy to Set 2022-07-27 10:55:15 +09:00
c9s
3fbc634d81
bbgo: narrow down indicator interface type 2022-07-27 02:21:25 +08:00
c9s
feef912930
indicator: pivot low reformat 2022-07-27 01:58:05 +08:00
c9s
ac496e8488
pivotshort: refactor pivot low collector 2022-07-27 01:57:28 +08:00
c9s
b746f801f7
pivotshort: get the correct pivot low value 2022-07-27 01:56:18 +08:00
c9s
854af6b4bd
pivotshort: use new config struct stopEMA and trendEMA 2022-07-27 01:53:53 +08:00
c9s
6f64b6d08e
pivotshort: introduce new config struct 2022-07-27 01:51:47 +08:00
c9s
4fd318701d
indicator: fix slice 2022-07-27 01:43:36 +08:00
c9s
0e18aa68f7
indicator: fix length slice calculation 2022-07-27 01:32:37 +08:00
c9s
5dd14feb42
indicator: fix pivot low indicator 2022-07-27 01:30:43 +08:00
c9s
076f196621
risk: return quantity directly if it's not zero 2022-07-27 01:29:53 +08:00
c9s
578e4b2801
indicator: fix pivot low indicator 2022-07-27 00:58:05 +08:00
zenix
da51bf44c8 fix: rebase error 2022-07-26 20:14:23 +09:00
c9s
2822e39e7b
pivotshort: remove the legacy preloadPivot 2022-07-26 19:00:09 +08:00
c9s
f460a7901d
indicator: refactor macd indicator 2022-07-26 19:00:09 +08:00
c9s
3959e288fd
all: refactor standard indicator helper and fix tests 2022-07-26 18:35:50 +08:00
c9s
0456cdc7a9
bbgo: add hull to the standard indicator 2022-07-26 18:27:22 +08:00
c9s
2459dbd384
indicator: refactor hull indicator 2022-07-26 18:26:52 +08:00
c9s
808d742efc
bbgo: add CCI helper 2022-07-26 18:07:43 +08:00
c9s
f5e64e8e70
bbgo: add ATR, ATRP, EMV to the standard indicator set 2022-07-26 18:07:43 +08:00
c9s
1d6b1de8ba
bbgo: rename standard indicator receiver name 2022-07-26 18:07:43 +08:00
c9s
46afc54559
bbgo: refactor standard indicator set 2022-07-26 18:07:43 +08:00
c9s
94efa8890b
rename inf.go to interface.go 2022-07-26 18:07:43 +08:00
c9s
82673e501b
indicator: fix test cases 2022-07-26 18:07:43 +08:00
c9s
16c62eab2b
indicator/pivotlow: drop the legacy CalculateAndUpdate 2022-07-26 17:33:09 +08:00
c9s
0df321c880
indicator: drop the legacy CalculateAndUpdate for standard indicators 2022-07-26 17:30:41 +08:00
c9s
8bf9b280fc
add low indicator 2022-07-26 17:27:38 +08:00
c9s
eeab328648
indicator: rewrite pivotlow indicator 2022-07-26 17:00:17 +08:00
zenix
85f8b9510d fix: gofmt 2022-07-26 18:00:05 +09:00
zenix
4dd4c5823f fix: unlock lock to get latest price 2022-07-26 18:00:05 +09:00
zenix
2ceb24ad09 fix: panic on image drawing, reduce fee by smoothing the drift curve 2022-07-26 18:00:05 +09:00
zenix
553a55811c fix: buyPrice/sellPrice calculation on one order multiple trades 2022-07-26 18:00:05 +09:00
zenix
d2dee44647 fix: ewma copy 2022-07-26 18:00:05 +09:00
zenix
a8fe20ae3a fix: drift exit condition, trade_stats serialization in redis 2022-07-26 18:00:05 +09:00
zenix
a5039de6aa feature: add omega ratio, print sharpe/omega/interval profit from trade_stats, use stdev for high/low diff for drift to estimate the variance and improve profit, add yaml marshal for dnum fixedpoint 2022-07-26 18:00:05 +09:00
zenix
b6fb5e958d feature: deduct fee from entry, move StopLoss orders cleanup to the begin of close position function 2022-07-26 18:00:05 +09:00
zenix
ac5c7f5773 feature: add pnl / cummulative pnl graph, add continuous graph 2022-07-26 18:00:05 +09:00
zenix
62aac8ecc4 fix: indicator limits 2022-07-26 18:00:05 +09:00
zenix
0d65fe1b8a feature: trailing stop, print mean and modify normalization function of output graph 2022-07-26 18:00:05 +09:00
zenix
c6563aa9bd feature: add stoploss from stopPrice 2022-07-26 18:00:05 +09:00
zenix
9c73aa4adb fix: fine tune drift config. fix atr updating issue 2022-07-26 18:00:05 +09:00
zenix
b52208d7b6 fix: bug in wrong channel subscription in drift 2022-07-26 18:00:05 +09:00
zenix
7368069c7a fix: add persistence to drift 2022-07-26 18:00:05 +09:00
zenix
f2d37650a5 fix: drift bias on long entry position condition, make cancel faster 2022-07-26 18:00:05 +09:00
zenix
55704fdd21 fix: Reverse length, alma comment 2022-07-26 18:00:05 +09:00
zenix
e097421b7b feature: export canvas path for drift strategy. fix exit/entry order and fix missing columns from json parsing 2022-07-26 18:00:05 +09:00
zenix
586f1ff269 fix: clone on sma 2022-07-26 18:00:05 +09:00
zenix
83f8b7a84e fix: logistic regression test case 2022-07-26 18:00:05 +09:00
zenix
7310feb0de fix: highest price normalization in drift strategy 2022-07-26 18:00:05 +09:00
zenix
c51a99400d feature: add plot for series. add autocorrelation. add clone for indicators/series 2022-07-26 18:00:05 +09:00
zenix
69b45e90e9 add drift exit condition 2022-07-26 18:00:05 +09:00
zenix
6a9e00ebd4 fix: update drift strategy 2022-07-26 18:00:05 +09:00
zenix
0ae6b6736c feature: use drift indicator to create basic strategy for study 2022-07-26 18:00:05 +09:00
c9s
44c3e5a6f7
indicator: split pivot low indicator 2022-07-26 16:50:45 +08:00
c9s
5bb1722007
binance: remove ineffected DEBUG_BINANCE_STREAM 2022-07-26 16:26:40 +08:00
c9s
e1e725878e
binance: refactor server time offset setter 2022-07-26 16:25:08 +08:00
c9s
ff61235e70
binance: rename to timeSetterOnce 2022-07-26 16:22:57 +08:00
c9s
cf5e81c848
binance: refactor set server time go routine 2022-07-26 16:22:29 +08:00
zenix
2568a81dfe fix: binance time sync, exchange interval query interface, yaml for fixedpoint 2022-07-26 16:42:34 +09:00
Yo-An Lin
9bf48e9de4
Merge pull request #822 from c9s/fix/api-upgrade 
refactor: ewoDgtrd: upgrade order executor api
 2022-07-26 14:33:06 +08:00
c9s
8986eeb3a4
bollmaker: apply kline filter closure 2022-07-26 12:08:47 +08:00
c9s
c252a7dcf9
bollmaker: fix log format issue 2022-07-26 12:08:47 +08:00
c9s
d26dd2f1da
bollmaker: remove status change setter 2022-07-26 12:08:47 +08:00
c9s
83c8bc819a
all: drop the legacy smart stops 2022-07-26 12:08:47 +08:00
c9s
c3b6cb80c3
bollmaker: upgrade bollmaker exits methods 2022-07-26 12:08:47 +08:00
c9s
6ae0620730
bollmaker: integrate exits method to bollmaker 2022-07-26 12:08:47 +08:00
c9s
06d71aab4a
types: add doc comment 2022-07-26 11:53:22 +08:00
c9s
ee4fb1a677
add 24hours guard to AddProfit 2022-07-26 11:51:58 +08:00
c9s
9c944d4aba
types: fix profit stats titles 2022-07-26 11:51:24 +08:00
c9s
549e28079b
autoborrow: call Debt() for repay 2022-07-26 11:49:04 +08:00
c9s
bdfb5d08aa
risk: pull out max quantity variable 2022-07-26 11:47:07 +08:00
c9s
9787b867ac
types: call debt() 2022-07-26 11:44:57 +08:00
c9s
79fe49f66f
types: for net() always return total sub debt 2022-07-26 11:44:34 +08:00
c9s
e482a164cf
types: repay debt when closing position 2022-07-25 22:10:02 +08:00
Yo-An Lin
2e7ed9f583
Merge pull request #840 from andycheng123/fix/supertrend-strategy 
strategy/supertrend: fix exit methods problem
 2022-07-25 15:14:22 +08:00
c9s
0d5d92b26d
pivotshort: fix tail function 2022-07-25 15:02:59 +08:00
Andy Cheng
07959c8862 strategy/supertrend: fix exit methods problem 2022-07-25 14:11:55 +08:00
Yo-An Lin
bfb7dd51d6
Merge pull request #838 from c9s/improve/backtest-json-format 
improve: use marshal instead of marshal indent
 2022-07-23 12:33:27 +08:00
c9s
4345cef8d7
util: use marshal instead of marshal indent 2022-07-23 12:16:06 +08:00
c9s
a609c0606a
risk: fix margin level prec assertion 2022-07-22 15:06:10 +08:00
c9s
4b7126ce41
risk: add doc comment for MarginLevel method 2022-07-22 14:54:25 +08:00
c9s
a9f9fc4e5e
risk: add margin level calculator 2022-07-22 14:53:17 +08:00
c9s
b53da177c2
risk: add test case for account calculator 2022-07-22 14:42:30 +08:00
c9s
3cf5175baa
risk: make calculateAccountNetValue public 2022-07-22 13:36:03 +08:00
c9s
a1387bb4dd
risk: move spot condition to the top 2022-07-22 12:04:43 +08:00
c9s
36cfaa924d
risk: move leverage quantity calculation to the risk package 2022-07-22 11:55:24 +08:00
c9s
54affd2f99
pivotshort: quantity calculation -- sub debt 2022-07-22 11:47:48 +08:00
c9s
76def2fe9d
pull out AccountValueCalculator 2022-07-21 19:46:58 +08:00
c9s
15879adf3b
pivotshort: fix trade loss ratio 2022-07-21 13:17:46 +08:00
c9s
88c0f31e87
pivotshort: add trade loss to the quantity calculating 2022-07-21 13:05:46 +08:00
c9s
756fcb4807
pivotshort: fix min leverage protection 2022-07-21 13:04:19 +08:00
c9s
763ae1f62f
bbgo: fix missing var 2022-07-21 12:36:26 +08:00
c9s
1079757833
bbgo: bind market data store to market data stream when allocating new instance 2022-07-21 12:35:38 +08:00
c9s
de62d9dd67
bbgo: fix injection 2022-07-21 12:33:29 +08:00
c9s
c78ba6a539
bbgo: fix strategy struct field injection phase 2022-07-21 12:18:09 +08:00
c9s
b6d0482517
pivotshort: add more logs and check 2022-07-21 12:05:05 +08:00
c9s
ea08a61e28
indicator/stoch: simplify CalculateAndUpdate 2022-07-21 01:35:27 +08:00
c9s
86c1619e50
indicator/stoch: move emitUpdate 2022-07-21 01:35:03 +08:00
c9s
9c89359a5f
indicator/stoch: move endTime check to pushK 2022-07-21 01:34:35 +08:00
c9s
6e043ba129
indicator/till: fix e1 check 2022-07-21 01:33:30 +08:00
c9s
946fb96b03
bbgo: reformat 2022-07-21 01:32:09 +08:00
c9s
02c978b812
bbgo: remove volatility from the standard indicator set 2022-07-21 01:31:42 +08:00
c9s
a821641dcf
indicator/atr: implement LoadK and BindK 2022-07-21 01:27:38 +08:00
c9s
0b9d6939f3
indicator/till: add zero time check 2022-07-21 01:22:28 +08:00
c9s
2523c2261b
indicator/till: refactor CalculateAndUpdate 2022-07-21 01:21:29 +08:00
c9s
9f937f529e
bbgo: refactor standard indicator 2022-07-21 01:05:08 +08:00
c9s
4300e00580
indicator/rma: move endTime update to PushK 2022-07-21 01:05:08 +08:00
Yo-An Lin
ed91fdc915
Merge pull request #831 from c9s/feature/defaulter 
feature: api: add strategy defaulter interface
 2022-07-19 17:55:24 +08:00
c9s
ea4efccd89
schedule: use general order executor and fix notification message format 2022-07-19 17:38:32 +08:00
c9s
ab83805b34
bbgo: add StrategyShutdown interface 2022-07-19 17:13:35 +08:00
c9s
8af2f2f83f
add defaulter interface 2022-07-19 16:59:56 +08:00
c9s
808ba2fc02
bbgo: make slack-app-token optional 2022-07-19 11:41:49 +08:00
c9s
f72cf9bfff
pivotshort: fix quantity check 2022-07-19 11:25:27 +08:00
c9s
9302474d51
add 1m subscribe to RoiTakeProfit 2022-07-19 11:00:45 +08:00
c9s
a6fc03efe5
bump version to v1.37.0 2022-07-19 09:48:21 +08:00
c9s
29fc58cb18
autoborrow: fix repay amount 2022-07-18 19:14:31 +08:00
Raphanus Lo
13455e4ee1 backtest: resolve data race on index.json 2022-07-17 15:46:55 +08:00
c9s
6e4c28ed1b
disable marketTrade stop 2022-07-17 00:59:35 +08:00
c9s
2d0fbe4b99
fix ProtectiveStopLoss subscribe 2022-07-16 14:45:02 +08:00
Raphanus Lo
620381f64b optimizer: eliminate limitation of number of grid point 2022-07-15 23:01:56 +08:00
c9s
44f3793db8
max: emit debt event and ad ratio event 2022-07-15 13:25:02 +08:00
c9s
26f5f36f7e
backtest: for types.OrderTypeStopMarket, use stop price to simulate the actual price for balance locking 2022-07-14 19:26:04 +08:00
c9s
a370a5e489
pivotshort: fix on start handler 2022-07-14 18:36:28 +08:00
c9s
89ffd94d98
update pivotlow on start 2022-07-14 18:35:58 +08:00
Yo-An Lin
191e00adeb
Merge pull request #827 from c9s/strategy/pivotshort 
strategy/pivotshort: improve quantity calculation for margin and futures
 2022-07-14 18:16:48 +08:00
c9s
c4332fcac2
pivotshort: add leverage settings 2022-07-14 17:44:33 +08:00
c9s
adb96cac39
pivotshort: check maximum margin leverage 2022-07-14 17:38:11 +08:00
c9s
0284d090d8
all: move getExchangeAttributes 2022-07-14 17:36:16 +08:00
c9s
6c91af2392
pivotshort: improve useQuantityOrBaseBalance 2022-07-14 17:36:03 +08:00
c9s
0ba529cb45
pivotshort: replace orders if the active orders is empty 2022-07-14 16:34:03 +08:00
c9s
8fb216ce52
pivotshort: when resistance order is filled, reset the current resistance price 2022-07-14 16:28:30 +08:00
c9s
dd3bd6a325
indicator: rewrite VWMA calculator 2022-07-14 15:57:17 +08:00
c9s
2ef8ecf3d9
indicator: clean up bollinger band indicator api usage 2022-07-14 14:26:08 +08:00
c9s
a5715c6aee
indicator: rewrite boll indicator with stddev indicator 2022-07-14 14:26:08 +08:00
c9s
975d0d6995
indicator: pull out emit update 2022-07-14 11:36:34 +08:00
c9s
bbf01275cc
indicator/sma: clean CalculateAndUpdate and make cache field private 2022-07-14 11:34:53 +08:00
c9s
7696c9f21e
indicator: improve rma preload 2022-07-14 10:54:46 +08:00
c9s
da4dbf4800
indicator: macd: add link for macd https://school.stockcharts.com/doku.php?id=technical_indicators:macd-histogram 2022-07-14 10:45:22 +08:00
c9s
0b07fb5a83
indicator/macd: drop the legacy func calculateMACD 2022-07-14 10:36:16 +08:00
c9s
a7b7ed6610
rename to KLineClosedEmitter 2022-07-14 10:33:10 +08:00
c9s
77264342ce
indicator: add KLineLoader interface 2022-07-14 10:31:38 +08:00
c9s
cb481c660f
fix all indicators for KLineCalculateUpdater interface 2022-07-14 10:28:53 +08:00
c9s
e6c634690b
indicator: clean up ewma's CalculateAndUpdate 2022-07-14 09:29:54 +08:00