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
Andy Cheng
1cd48177ae
Merge pull request #862 from andycheng123/improve/supertrend-strategy
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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
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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
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optimizeex: hyperparameter optimization tool
2022-08-02 17:38:38 +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
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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
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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
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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
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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
