34 Commits

Author	SHA1	Message	Date
c9s	eb5064ccfe	bollmaker: separate bidSpread and askSpread	2022-01-31 01:11:30 +08:00
c9s	2e7621ca55	add BidSpread and AskSpread	2022-01-31 01:08:33 +08:00
c9s	701e80d0d8	bollmaker: pull out trailing stop order logics into SmartStops struct	2022-01-31 01:07:00 +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	e1fc0e7b8d	bollmaker: remove redundant log and fix return	2022-01-30 02:00:42 +08:00
c9s	20938895a8	bollmaker: merge skip condition	2022-01-30 01:40:33 +08:00
c9s	a185f3fdbe	bollmaker: improve trailing stop order log	2022-01-30 01:37:36 +08:00
c9s	9adc3a9243	bollmaker: always collect trades and check balance	2022-01-30 01:21:36 +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	584dd3e279	bollmaker: add TradeInBand option	2022-01-28 01:29:12 +08:00
c9s	f49b7165d8	bollmaker: fix MinNotional adjustment	2022-01-27 19:56:10 +08:00
c9s	a6cbb2fb2d	bollmaker: rewrite trend detection	2022-01-27 18:51:51 +08:00
c9s	4f6e04323f	bollmaker: add more logs	2022-01-27 02:25:23 +08:00
c9s	aea8f97ab9	bollmaker: add Test_calculateBandPercentage test	2022-01-27 02:22:26 +08:00
c9s	f9d650cd23	bollmaker: add DynamicExposurePositionScale	2022-01-27 02:04:57 +08:00
c9s	49f671ef54	add PercentageScale and its tests	2022-01-27 01:40:54 +08:00
c9s	e82379a668	bollmaker: add QuantityOrAmount struct	2022-01-27 01:10:39 +08:00
c9s	5c0e3a1254	bollmaker: add shadow protection config	2022-01-16 04:40:50 +08:00
c9s	a68ad20ddc	bollmaker: add shadow protection	2022-01-16 04:06:19 +08:00
c9s	1e370ff244	bollmaker: collect trades before we shutdown	2022-01-16 01:27:28 +08:00
c9s	898204f5fa	bollmaker: adjust quantity to met the min notional condition before we submit	2022-01-16 01:15:34 +08:00
c9s	fd4a3bb000	bollmaker: remove unused cancelOrders function	2022-01-16 01:08:50 +08:00
c9s	93722e6db3	implement position closer interaction	2022-01-15 02:52:46 +08:00
Lee	965fc6989d	fix: Correct uptrendSkew and downtrendSkew parameters setting on bollmaker strategy	2022-01-13 23:06:23 +08:00
c9s	9ca4e23aaf	add strategy documentation	2022-01-09 22:43:49 +08:00
c9s	bba4e86fdf	bollmaker: adjust default skew parameter	2022-01-09 22:37:27 +08:00
c9s	b98777afe4	bollmaker: pull out skew options	2022-01-09 22:32:23 +08:00
c9s	cd340bd596	bollmaker: check s.MaxExposurePosition	2022-01-09 03:03:54 +08:00
c9s	0cec652f38	bollmaker: skip submitOrder calls if submitOrders is empty	2022-01-09 02:35:12 +08:00
c9s	656ef942e4	bollmaker: add disable short option	2022-01-09 02:24:10 +08:00
c9s	4df5847647	bollmaker: add quantity scaling for closing position	2022-01-09 01:57:51 +08:00
c9s	4cdb5b607b	rename bollpp to bollmaker	2022-01-09 01:20:47 +08:00