4595 Commits

Author	SHA1	Message	Date
c9s	854ac4f8ea	grid2: fix pin price algorithm	2023-02-01 18:56:01 +08:00
c9s	4bf0cb6a0c	grid2: use Round instead of Trunc	2023-02-01 15:48:19 +08:00
c9s	d43acaa17c	grid2: add metrics registration guard	2023-01-31 21:30:58 +08:00
zenix	bfe5eace1a	feature: get historical public trades from binance	2023-01-19 13:07:01 +09:00
Zenix	4a68f0e75c	Merge pull request #1023 from zenixls2/feature/add_indicators2 ... implement indicators from phemex	2023-01-18 20:09:40 +09:00
zenix	4c2c647160	fix: remove bind and handler for newly added indicators	2023-01-18 19:11:23 +09:00
Yo-An Lin	effd4df72e	Merge pull request #1050 from frin1/new_indicators ... Feature: New indicators	2023-01-17 14:53:51 +08:00
c9s	74daa76e75	grid2: fix grid num calculation	2023-01-16 18:34:08 +08:00
zenix	0b71f2f1d2	fix: query price range from volume profile trades on every updates. will make it slower on updates	2023-01-16 12:37:51 +09:00
Fredrik	c8f934cafb	Rename variables	2023-01-15 10:25:22 +01:00
Fredrik	f1fbf537c4	Added functions to supertrend	2023-01-14 18:13:18 +01:00
Fredrik	96405658c9	Added indicators	2023-01-14 18:13:18 +01:00
zenix	746279d0a7	Fix klingerOscillator, add test for it	2023-01-12 19:37:36 +09:00
c9s	46eb590a9f	grid2: OpenGrid, CloseGrid	2023-01-12 14:33:09 +08:00
c9s	668bf2d847	grid2: remove strategyInstance since we have custom labels	2023-01-11 00:47:36 +08:00
c9s	0d47afd5fd	grid2: add order side to the metrics label	2023-01-10 21:41:10 +08:00
c9s	75919a0bf1	grid2: reset metricsGridOrderPrices	2023-01-10 21:21:35 +08:00
c9s	857b5d0f30	grid2: integrate prometheus metrics	2023-01-10 20:15:51 +08:00
Yo-An Lin	9ee4fa0064	Merge pull request #1047 from c9s/narumi/add-rsi ... feature: add RSI to StandardIndicatorSet	2023-01-07 19:25:56 +08:00
c9s	5765969573	service: add redis namespace support	2023-01-05 19:07:15 +08:00
なるみ	5ccdab34be	add RSI to StandardIndicatorSet	2023-01-05 18:36:09 +08:00
なるみ	a238da3dc4	create log dir to avoid error	2022-12-28 17:15:30 +08:00
c9s	c9a70d9897	grid2: add grid callbacks	2022-12-26 18:15:39 +08:00
c9s	d9312abba2	grid2: adjust maxTries to 5	2022-12-26 18:08:36 +08:00
c9s	a4f5d15334	grid2: adjust rollback duration to twice	2022-12-26 18:05:35 +08:00
c9s	a66cee9130	util: remove unused func	2022-12-26 16:05:21 +08:00
c9s	c07c3c62a9	util: remove unused NotZero funcs	2022-12-26 01:51:32 +08:00
c9s	ecf5ed3c85	remove empty render.go	2022-12-26 01:50:25 +08:00
c9s	e9ff0dcc66	types: fix lint issue	2022-12-26 01:49:46 +08:00
c9s	2d2d194bda	grid2: fix InstanceID for autoRange	2022-12-26 01:40:59 +08:00
c9s	8af7d6f457	grid2: use initial grid order id to query closed order history	2022-12-26 01:35:37 +08:00
c9s	6444fd5e03	grid2: remove default profit stats	2022-12-26 01:24:56 +08:00
c9s	0a6261b6b9	grid2: split more files	2022-12-26 01:04:17 +08:00
c9s	961725f03c	grid2: support autoRange	2022-12-26 00:56:03 +08:00
c9s	54b4f593ec	grid2: validate upper price and lower price only when autoRange is not given	2022-12-26 00:29:31 +08:00
c9s	579df0cec9	types: add simple duration tests	2022-12-25 16:08:34 +08:00
c9s	f60b4630c5	grid2: add AutoRange parameter	2022-12-24 20:39:11 +08:00
c9s	d27786d5ae	types: always use pointer on duration	2022-12-24 20:39:01 +08:00
c9s	4388bc209b	types: add simple duration type for parsing [0-9]+[wd]	2022-12-24 20:37:53 +08:00
c9s	e0daf9904e	grid2: add recover time range rollback	2022-12-24 17:08:50 +08:00
c9s	cb2d9d7eb2	grid2: fix replayOrderHistory logic	2022-12-24 16:14:39 +08:00
c9s	6b75150983	refactor order related functions into core api	2022-12-24 15:58:02 +08:00
c9s	a46b3fe908	grid2: improve debugGrid func	2022-12-24 14:52:08 +08:00
c9s	8e20a55060	grid2: refactor recover functions to replayOrderHistory and reuse scanMissingPinPrices	2022-12-24 14:48:47 +08:00
c9s	53b2a0d7ab	bump version to v1.43.1	2022-12-24 01:29:05 +08:00
c9s	216bdb891f	grid2: skip canceled orders	2022-12-24 01:08:28 +08:00
c9s	3d9b919e24	grid2: fix grid recovering	2022-12-24 00:54:40 +08:00
c9s	8715d0aca9	grid2: prevent infinite loop	2022-12-23 23:50:30 +08:00
c9s	ae20cef8f4	grid2: add scanOrderCreationTimeRange func	2022-12-23 23:41:36 +08:00
c9s	606b4650b3	grid2: add RecoverOrdersWhenStart and fix grid recover logic	2022-12-23 19:15:46 +08:00
c9s	6bcf5f8f82	bbgo: improve active order book printing	2022-12-23 18:19:00 +08:00
c9s	882c56a820	grid2: add RecoverWhenStart option	2022-12-23 17:54:30 +08:00
c9s	8a45fe522e	grid2: pull out session dependency from the recoverGrid method	2022-12-23 16:48:40 +08:00
c9s	c721274adc	grid2: implement scanMissingGridOrders	2022-12-23 15:35:26 +08:00
c9s	28beca18e1	bump version to v1.43.0	2022-12-23 13:08:06 +08:00
Yo-An Lin	8bcfb78bc0	Merge pull request #1030 from c9s/feature/grid2 ... WIP: Feature/grid2	2022-12-23 12:59:43 +08:00
c9s	bf87d04d57	binance: change rate limit unit to minute	2022-12-22 19:07:55 +08:00
c9s	1ea72099ed	service: fix margin sync with asset condition	2022-12-22 14:10:35 +08:00
c9s	c59c8638be	grid2: find lastOrderTime and firstOrderTime range	2022-12-22 13:21:39 +08:00
c9s	5b4be1f9fc	max: drop unused toMaxSubmitOrder	2022-12-22 13:14:25 +08:00
zenix	1ca79db4e5	fix: volume profile	2022-12-22 13:35:04 +09:00
zenix	2811dbb580	fix: tsi, add test	2022-12-22 11:55:17 +09:00
zenix	75caa6565e	feature: add sar indicator	2022-12-22 11:55:17 +09:00
zenix	c0f82977b0	feature: add psar	2022-12-22 11:55:17 +09:00
zenix	2b62616513	doc: add description about indicators generated by chatgpt	2022-12-22 11:55:17 +09:00
zenix	38461167ba	feature: add tsi and klinger oscillator, fix wdrift div 0 issue	2022-12-22 11:55:17 +09:00
c9s	441e5d867b	grid2: add todo mark	2022-12-20 17:34:20 +08:00
c9s	f92ba9cbf1	grid2: implement recover func loading	2022-12-20 17:33:53 +08:00
c9s	130cf2468d	types: implement lookup method	2022-12-20 17:33:40 +08:00
c9s	330be79ec6	grid2: add recoverGrid	2022-12-20 15:56:38 +08:00
Yo-An Lin	2b20ff4da9	Merge pull request #1027 from andycheng123/strategy/linregmaker ... Strategy: LinReg Maker	2022-12-20 14:55:48 +08:00
c9s	756bfe2402	types: print message body when message parse error	2022-12-19 19:00:35 +08:00
c9s	30f471db00	binance: fix execution report parsing	2022-12-19 19:00:14 +08:00
c9s	6f2664b03e	grid2: fix test for orderTag	2022-12-19 18:51:39 +08:00
c9s	811be78933	grid2: update log message	2022-12-17 11:57:32 +08:00
Andy Cheng	d5e37f03e2	feature/dynamic_*: move dynamic_* to risk/dynamicrisk package	2022-12-16 11:51:52 +08:00
c9s	fa73b0e7f7	grid2: add warning message	2022-12-15 19:20:15 +08:00
c9s	bbc47bb63a	grid2: remove todo item	2022-12-15 19:06:34 +08:00
c9s	78f10212b9	grid2: fix base fee format	2022-12-15 18:57:21 +08:00
c9s	fcd7a20b78	bbgo,grid2: add place order error log	2022-12-15 18:54:02 +08:00
c9s	051aa19989	grid2: add newOrderUpdateHandler and send profit to notification	2022-12-15 18:47:45 +08:00
c9s	c2133a1712	grid2: call bbgo sync api to sync profit stats	2022-12-15 18:42:25 +08:00
c9s	1964763f58	grid2: add more logs	2022-12-15 18:41:04 +08:00
c9s	a340cd321b	max: add submit order limiter	2022-12-15 18:38:57 +08:00
c9s	ac8186d43d	grid2: debug submitOrder before sending them to the api	2022-12-15 18:30:28 +08:00
c9s	bc8d7e9968	grid2: add skipSpreadCheck option	2022-12-15 18:09:43 +08:00
Andy Cheng	e39b94cf51	bbgo/standard_indicator_set: embed BOLL's SMA initialization into the constructor literal	2022-12-15 17:50:05 +08:00
c9s	c0598a05f6	grid2: add slack attachment footer	2022-12-15 17:47:34 +08:00
Andy Cheng	095eb9c134	feature/dynamic_exposure: undo move dynamic_exposure and dynamic_spread	2022-12-15 17:25:56 +08:00
Andy Cheng	754f8da5d4	strategy/linregmaker: move private fields to the end of the struct	2022-12-15 17:23:43 +08:00
Andy Cheng	5b017cd361	feature/dynamic_spread: rename DynamicSpreadAmp to DynamicAmpSpread	2022-12-15 17:12:04 +08:00
Andy Cheng	5c7c125c99	feature/dynamic_spread: move to risk package	2022-12-15 17:09:47 +08:00
Andy Cheng	4c98bed76f	feature/dynamic_quantity: add comment for getQuantity()	2022-12-15 17:08:36 +08:00
Andy Cheng	1002c13062	feature/dynamic_exposure: move to risk package	2022-12-15 17:08:35 +08:00
c9s	19478b1fbc	grid2: add profit stats since field	2022-12-15 15:39:48 +08:00
c9s	a7c8da7e88	grid2: add SlackAttachment on profit stats	2022-12-15 15:39:16 +08:00
c9s	7a35a652c3	grid2: add SlackAttachment on grid profit	2022-12-15 15:33:26 +08:00
c9s	a6a4be9878	grid2: sync order tag	2022-12-15 14:58:50 +08:00
c9s	16df170ca3	grid2: pull out order tag	2022-12-15 14:58:50 +08:00
c9s	aa4130ed30	grid2: add PlainText method on GridProfit struct	2022-12-15 14:58:31 +08:00
c9s	532d474564	grid2: pull out processFilledOrder method	2022-12-15 14:57:25 +08:00
Andy Cheng	8b1d19124f	strategy/linregmaker: allow using amount for order qty calculation	2022-12-14 14:42:56 +08:00
Andy Cheng	d510c37e91	improve/dynamic_quantity: fix dynamic qty logic	2022-12-14 12:28:39 +08:00
Andy Cheng	2b8a5fe755	strategy/linregmaker: fix faster decrease logic	2022-12-14 11:52:15 +08:00
Andy Cheng	2ecdae6530	strategy/linregmaker: remove wrong test file	2022-12-13 17:49:31 +08:00
Andy Cheng	c6f9b0feed	strategy/linregmaker: update config	2022-12-13 17:37:47 +08:00
Andy Cheng	ff334ca13d	strategy/linregmaker: calculated allowed margin when leveraged	2022-12-13 17:16:30 +08:00
Andy Cheng	30f3ef2180	strategy/linregmaker: add more tg notification	2022-12-13 12:12:46 +08:00
Andy Cheng	79dcda5f52	strategy/linregmaker: add more trend reverse logs	2022-12-13 11:06:18 +08:00
Andy Cheng	a6956e50b7	strategy/linregmaker: add more logs	2022-12-12 18:23:49 +08:00
c9s	d83feec9ec	cmd: add log message for rollbar token	2022-12-12 17:37:40 +08:00
c9s	c8098b414b	cmd: add rollbar support	2022-12-12 17:18:40 +08:00
c9s	df6a34f5af	binanceapi: adjust http timeout to 10s	2022-12-09 21:30:33 +08:00
c9s	096defc331	add test flag and disable lfs in test	2022-12-09 17:34:24 +08:00
c9s	6c0cc71c1c	binance: avoid using fromId and timeRange at the same time	2022-12-09 17:28:06 +08:00
c9s	ae678d1b3b	binance: add workaround for the myTrades api	2022-12-09 17:09:03 +08:00
c9s	85097840f1	binance: replace /api/v3/myTrades api	2022-12-09 16:44:27 +08:00
c9s	b515c24505	grid2: add earnBase test case	2022-12-07 14:48:51 +08:00
c9s	120a22f0cd	grid2: add compound mode order test	2022-12-07 14:42:06 +08:00
c9s	9d24540826	grid2: add order executor mock for testing reverse order	2022-12-07 14:19:49 +08:00
c9s	9215e401d0	grid2: fix quantity, amount, quoteInvestment validation	2022-12-07 12:29:14 +08:00
c9s	df6187dc98	grid2: remove default fee rate	2022-12-07 12:25:30 +08:00
c9s	489b025702	grid2: refactor check spread	2022-12-07 12:24:52 +08:00
c9s	02bebe8ed1	grid2: use min quantity instead of max quantity	2022-12-07 11:44:22 +08:00
c9s	e1e521cec5	grid2: add comment to the minimal quote investment test	2022-12-06 16:38:12 +08:00
c9s	46d1207adb	grid2: fix TestStrategy_checkMinimalQuoteInvestment	2022-12-06 16:37:12 +08:00
c9s	b0381fd927	grid2: pull out debugGridOrders func	2022-12-06 16:35:52 +08:00
c9s	b8e5bf1ddd	grid2: add test case for testing checkMinimalQuoteInvestment	2022-12-06 16:09:46 +08:00
c9s	47759236e0	grid2: improve log	2022-12-06 15:57:03 +08:00
c9s	0cf43ffb11	grid2: pull out aggregateTradesQuantity func	2022-12-06 15:57:03 +08:00
c9s	b4e403d632	grid2: remove fee check from verifyOrderTrades	2022-12-06 15:57:03 +08:00
c9s	423fe521b6	grid2: add build tag for backtest_test	2022-12-06 15:57:03 +08:00
c9s	482b6f5e7b	grid2: add test case for aggregateOrderBaseFee Retry	2022-12-06 15:46:21 +08:00
c9s	3d0cfd16b5	grid2: add test case for aggregateOrderBaseFee	2022-12-06 15:46:21 +08:00
c9s	555d2c5046	mocks: add mocks	2022-12-06 15:46:20 +08:00
c9s	c6ce223a13	all: refactor backtest functions so that we can run backtest in test	2022-12-06 13:16:12 +08:00
c9s	846695e632	grid2: add retry to orderQuery	2022-12-06 11:56:30 +08:00
c9s	75521352a9	grid2: pull out aggregateOrderBaseFee	2022-12-06 11:48:32 +08:00
c9s	68e7d0ec24	grid2: add doc comment for gridNumber	2022-12-06 10:47:19 +08:00
c9s	402b625126	grid2: add stringer method on gridProfit	2022-12-06 10:06:58 +08:00
c9s	e29f3c50e8	grid2: calculate TotalFee	2022-12-06 10:05:43 +08:00
c9s	d1f3d201ef	grid2: add todo in the test	2022-12-06 02:40:22 +08:00
c9s	2a22866d55	grid2: inject strategy into user config and run backtest	2022-12-06 02:40:22 +08:00
c9s	d9e230a433	grid2: add TestBacktestStrategy skeleton for backtesting in unit test	2022-12-06 02:40:22 +08:00
c9s	35297b9bbf	bbgo: fix backtesting flag setter	2022-12-06 02:40:22 +08:00
c9s	aa5f2a032a	grid2: call TruncatePrice on profitSpread	2022-12-06 02:13:32 +08:00
c9s	dd591c936f	grid2: add min order quantity protection	2022-12-06 02:07:05 +08:00
c9s	fc80cfb714	grid2: fix quote investment calculation for profit spread	2022-12-06 01:57:33 +08:00
c9s	e7ff7a49db	grid2: fix calculateQuoteInvestmentQuantity for profitSpread	2022-12-06 01:51:50 +08:00
c9s	7e0ac66ea1	grid2: fix calculateQuoteBaseInvestmentQuantity grid calculation	2022-12-06 01:21:41 +08:00
c9s	541c0e76b5	grid2: consider profitSpread in calculateQuoteBaseInvestmentQuantity	2022-12-06 01:19:24 +08:00
c9s	a8c957fc8d	grid2: fix profit spread behavior and tests	2022-12-06 01:17:29 +08:00
c9s	bee528c7c5	grid2: set enable prune for trade history	2022-12-06 00:55:08 +08:00
c9s	a6205e0d1d	bbgo: add EnablePrune option	2022-12-06 00:28:38 +08:00
c9s	beb862be44	bbgo: add TradeStore prune func and its tests	2022-12-06 00:15:09 +08:00
c9s	6408224663	bbgo: add TradeStore prune	2022-12-05 23:54:20 +08:00
c9s	79733b963b	grid2: fix take profit handler	2022-12-05 23:42:03 +08:00
c9s	9be3c79f8a	grid2: handle take profit	2022-12-05 19:46:08 +08:00
c9s	a67d01e821	grid2: fix log format	2022-12-05 19:43:58 +08:00
c9s	c4544cf8b2	grid2: improve debug logging	2022-12-05 19:42:36 +08:00
c9s	8e3bfe8499	grid2: consider base sell quantity reduction	2022-12-05 19:37:42 +08:00
c9s	fae61bd91f	grid2: narrow down orderQueryService support checking	2022-12-05 19:31:44 +08:00
c9s	5d441e3efe	grid2: collect fees and check if we need to reduce the quantity for sell	2022-12-05 19:30:06 +08:00
c9s	16224583ff	grid2: add historicalTrades store	2022-12-05 19:23:39 +08:00
c9s	5c83044297	bbgo: let tradeStore be able to collect trades from stream	2022-12-05 19:23:27 +08:00
c9s	537e9e14ec	add GetOrderTrades method to TradeStore ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-12-05 19:00:39 +08:00
c9s	fcf8613319	grid2: fix feeRate var	2022-12-05 18:15:54 +08:00
c9s	f727f314e6	grid2: add FeeRate configuration for checking profit spread	2022-12-05 18:15:30 +08:00
c9s	4bba5510dd	grid2: position reset should reset the total fee	2022-12-05 18:11:44 +08:00
c9s	5be140de0e	grid2: improve sell,buy price calculation	2022-12-05 15:19:24 +08:00
c9s	27b42db3d7	grid2: add test case for enough base investment	2022-12-05 11:23:21 +08:00
c9s	6df4a3c319	grid2: add TestStrategy_generateGridOrders	2022-12-05 11:21:07 +08:00
c9s	0b824a09fc	grid2: fix tests	2022-12-05 00:47:08 +08:00
c9s	076ec3b3c2	grid2: pull out grid order generation	2022-12-05 00:20:18 +08:00
c9s	002ce1958e	grid2: add omitempty to struct tag	2022-12-04 21:44:03 +08:00
c9s	19e0a20c67	grid2: fill fixedpoint.Zero for stats	2022-12-04 21:43:40 +08:00
c9s	ec6b170f01	grid2: add more log messages for stop loss	2022-12-04 21:09:39 +08:00
c9s	3b821c8b58	grid2: fix order price shifting	2022-12-04 21:06:52 +08:00
c9s	8d78399335	grid2: fix order shifting	2022-12-04 19:48:12 +08:00
c9s	efcfcf7c18	grid2: add position reset	2022-12-04 18:42:03 +08:00
c9s	a5e6173038	grid2: fix openGrid method	2022-12-04 18:33:28 +08:00
c9s	943912f6bf	grid2: add grid order debug logs	2022-12-04 18:32:17 +08:00
c9s	ea34b3a962	grid2: another fix	2022-12-04 18:28:34 +08:00
c9s	01b013fcc7	grid2: fix trigger price check for onStart handler	2022-12-04 18:27:21 +08:00
c9s	bce004106c	grid2: check price	2022-12-04 18:21:43 +08:00
c9s	9d62720111	grid2: add log for trigger price	2022-12-04 18:17:05 +08:00
c9s	4f3a160bbf	grid2: add stopLossPrice handler	2022-12-04 18:01:58 +08:00
c9s	bec1103a64	grid2: add more parameters to the test strategy	2022-12-04 17:36:35 +08:00
c9s	5344b3d768	grid2: add TestStrategy_calculateProfit test	2022-12-04 17:35:35 +08:00
c9s	427daba6d0	grid2: change fee rate validation	2022-12-04 15:56:35 +08:00
c9s	bbab8728e3	grid2: add orderQueryService for querying order trades	2022-12-04 15:43:27 +08:00
c9s	813f9c45a7	grid2: add order object into the profit structure	2022-12-04 15:24:59 +08:00
c9s	a8fe55c284	grid2: push profit into stats	2022-12-04 15:24:13 +08:00
c9s	bc4c22f633	grid2: pull out quoteQuantity	2022-12-04 15:15:16 +08:00
c9s	bf62fb7d2d	grid2: calculate grid profit	2022-12-04 15:01:52 +08:00
c9s	9506516ea3	grid2: add grid profit stats to the strategy	2022-12-04 14:45:04 +08:00
c9s	8d601a6cb4	grid2: add exchange session field	2022-12-04 14:24:04 +08:00
c9s	dc2ce372c4	grid2: reset grid field when it's closed	2022-12-04 14:23:00 +08:00
c9s	0ea6dfb158	grid2: add triggerPrice protection	2022-12-04 14:22:11 +08:00
c9s	5148fadf67	types: remove duplciated klineCallback type	2022-12-04 14:22:01 +08:00