388 Commits

Author	SHA1	Message	Date
c9s	e57b9f235b	add quota	2020-11-23 16:47:36 +08:00
c9s	db6c90b8dd	cmd: fix run command signal handling	2020-11-23 16:36:03 +08:00
c9s	a86078d68c	max: fix tick size	2020-11-22 21:34:05 +08:00
c9s	914d5cdc94	try to keep all orders from order store	2020-11-17 15:53:46 +08:00
c9s	c40982164a	fix trade slack formatting	2020-11-17 15:48:18 +08:00
c9s	8f5491d818	improve balance printing	2020-11-17 14:45:27 +08:00
c9s	18d9245b06	improve order slice lock	2020-11-17 14:31:18 +08:00
c9s	ed6d6342e7	fix account currency translation	2020-11-17 14:24:26 +08:00
c9s	95b0910a09	fix trade order id parsing	2020-11-17 14:13:37 +08:00
c9s	03d99a4cab	remove debug logs	2020-11-17 13:25:59 +08:00
c9s	4bda1fee08	fix order id parsing	2020-11-17 12:46:55 +08:00
c9s	cc3da5b678	pass order id for order store exists	2020-11-17 08:53:22 +08:00
c9s	f4512f031c	improve cross exchange strategy mounting behavior and add fixedpoint atomic ops	2020-11-17 08:19:22 +08:00
c9s	3ea2e877ff	do not submit subscribe request if param array is empty	2020-11-15 13:32:46 +08:00
c9s	ded970f5a4	imporve CrossExchange subscription handling	2020-11-15 13:27:33 +08:00
c9s	94aaaf21b0	improve wrapper binary invocation	2020-11-15 13:23:26 +08:00
c9s	e8b5379202	bollgrid: add warn messages	2020-11-12 17:41:28 +08:00
c9s	2b6547df47	bollgrid: add profit orderbook for bolling grid	2020-11-12 17:38:13 +08:00
c9s	cd283f2c28	remove unused logger field	2020-11-12 17:30:21 +08:00
c9s	1a6f5b99ae	bollgrid: submit orders on connect	2020-11-12 16:31:09 +08:00
c9s	8cc1c589a1	fix waitgroup counting	2020-11-12 14:59:47 +08:00
c9s	fc9409673f	add graceful shutdown	2020-11-12 14:50:21 +08:00
c9s	af8826a9e4	improve messages	2020-11-12 08:30:57 +08:00
c9s	6740541bcd	improve bollgrid	2020-11-12 08:28:59 +08:00
c9s	35a5b61f60	add local active orderbook callback files	2020-11-11 23:19:16 +08:00
c9s	0264baa922	refactor and improve bollgrid	2020-11-11 23:18:53 +08:00
c9s	3912de235b	rename baseQuantity to just quantity	2020-11-11 17:55:44 +08:00
c9s	b2cd595069	grid: rename baseQuantity to just quantity	2020-11-11 17:55:16 +08:00
c9s	4bb5730cea	remove backtest flag from the sync command	2020-11-11 16:11:41 +08:00
c9s	24e5911140	refactory sync mode into the backtest command	2020-11-11 16:08:24 +08:00
c9s	097b2d30a6	add base-asset-baseline flag for backtest	2020-11-11 14:39:33 +08:00
c9s	04f6da3cb8	add traditional grid strategy	2020-11-10 19:06:20 +08:00
c9s	4ab402a188	clean up legacy code	2020-11-10 16:56:30 +08:00
c9s	04a7c7a2cc	add stddev accessor	2020-11-10 16:55:35 +08:00
c9s	23c19c5968	use fixedpoint for balances	2020-11-10 14:19:33 +08:00
c9s	cdf7959029	fix fixedpoint unmarshal	2020-11-10 14:19:22 +08:00
c9s	923fea0d94	improve backtest cmd	2020-11-10 14:19:11 +08:00
c9s	941c93794c	fix grid strategy for backtesting	2020-11-10 14:18:54 +08:00
c9s	770efeed4f	pnl format improve	2020-11-10 14:18:27 +08:00
c9s	69a33b6400	fix and improve backtest	2020-11-10 14:18:04 +08:00
c9s	f5b17193c5	move verbose flag detection before we setup the environment	2020-11-09 16:49:03 +08:00
c9s	6c2aef31a3	improve backtest logging	2020-11-09 16:47:29 +08:00
c9s	e7cc79f3cf	replace errors.Errorf with fmt.Errorf	2020-11-09 16:34:35 +08:00
c9s	1e129e4c86	collect error object instead of logging	2020-11-09 15:29:40 +08:00
c9s	8414f406bf	drop the legacy order executor	2020-11-09 15:02:12 +08:00
c9s	4a2a542222	refactor basic risk controller	2020-11-09 14:56:54 +08:00
c9s	ded89e099f	refactor simple price matching	2020-11-09 03:17:02 +08:00
c9s	5cc9506960	simplify executeTrade method since we should not use over locked funds	2020-11-09 03:09:12 +08:00
c9s	443f2c6891	document fee rate for BNB holders	2020-11-09 03:01:40 +08:00
c9s	377f4cae34	add account balance lock and unlock for testing maker strategies	2020-11-09 02:58:46 +08:00
c9s	5d4680e496	add lock and unlock functions	2020-11-09 01:10:14 +08:00
c9s	f69c87b3a8	fix fee calculation and add account balance checking	2020-11-08 21:52:44 +08:00
c9s	090011da9e	pull out order matching trigger from the kline event callbacks	2020-11-08 13:07:45 +08:00
c9s	e3a1184d22	fix backtest sync exchange and consider fee rate	2020-11-08 12:47:14 +08:00
c9s	6bd3573287	add exchange field in the table so that we can reuse the kline objects for backtest	2020-11-08 12:13:34 +08:00
c9s	4b0bab31fb	Merge branch 'feature/backtest' into main	2020-11-07 20:34:55 +08:00
c9s	641784e1b1	calculate pnl after the backtest	2020-11-07 20:34:34 +08:00
c9s	f3571b9832	fix tests	2020-11-07 20:18:11 +08:00
c9s	6040c69327	add sync flag for backtesting	2020-11-07 20:14:53 +08:00
c9s	f1db12eb10	add done channel for backtest exchange	2020-11-07 20:11:07 +08:00
c9s	a4a9067c6a	integrate matching engine with backtest exchange	2020-11-07 19:57:36 +08:00
c9s	5be4aa53db	move simple price matching to matching.go	2020-11-07 16:09:21 +08:00
c9s	3778adc8c8	implement SimplePriceMatching engine	2020-11-07 16:08:20 +08:00
c9s	0d8fa08171	add book Update method	2020-11-07 15:07:06 +08:00
c9s	1e925cac6e	move onConnect to the standard stream	2020-11-07 12:38:57 +08:00
c9s	94bb7f5dac	max: fix order symbol convertion	2020-11-07 12:19:57 +08:00
c9s	573a082391	add flashcrash strategy	2020-11-07 12:02:15 +08:00
c9s	b13a2deec5	emit klines and setup account balances	2020-11-07 03:18:05 +08:00
c9s	22a214328d	implement backtest command, stream and add backtest config	2020-11-07 02:57:50 +08:00
c9s	8823a39fc2	support backtesting kline verification	2020-11-07 00:49:17 +08:00
c9s	555fe57341	implement kline sync function from command	2020-11-06 21:40:48 +08:00
c9s	f78fefb3b0	implement QueryCh on kline service	2020-11-06 20:58:45 +08:00
c9s	78d7c71ecc	add kline service and extend kline struct fields	2020-11-06 19:07:07 +08:00
c9s	c9f2a1aed5	add db tag to kline struct	2020-11-06 11:08:31 +08:00
c9s	5bdf5e0034	remove goroutine from the strategy	2020-11-06 11:01:19 +08:00
c9s	b86b74effb	fix max kline parsing	2020-11-05 15:04:56 +08:00
c9s	c54c0788ab	rewrite grid strategy trigger	2020-11-05 14:27:22 +08:00
c9s	b38d0d15ed	fix order sync for max	2020-11-05 14:12:19 +08:00
c9s	7e47f754c5	use channel to sync trades	2020-11-05 13:35:04 +08:00
c9s	8693bbbd24	fix orderId-based query for binance	2020-11-05 11:14:14 +08:00
c9s	7fab2e24de	improve order persistence and support order data sync	2020-11-05 11:14:14 +08:00
c9s	a4555a2b7b	implement QueryClosedOrders	2020-11-05 11:14:14 +08:00
c9s	fe16f9aa4d	add is_working column	2020-11-05 11:14:14 +08:00
c9s	bb0ff263c8	assign order_id to the trade object	2020-11-05 11:14:14 +08:00
c9s	eb67fc0f8f	make mysql-url optional for run command	2020-11-05 11:14:14 +08:00
c9s	f223940b69	add db tags	2020-11-05 11:14:14 +08:00
c9s	8388f443a9	move active order book to the bbgo package	2020-11-05 11:14:14 +08:00
c9s	8e0b5d11a7	add max grid config and fix max price formatting	2020-10-31 20:38:20 +08:00
c9s	14abe3fb7e	pull out active order book to the types package	2020-10-31 20:38:20 +08:00
c9s	1eb263de23	use AnyFilled to simplify the order management in the strategy	2020-10-31 20:38:20 +08:00
c9s	e264257d23	implement OrderMap and SyncOrderMap	2020-10-31 20:38:20 +08:00
c9s	2397acd45f	fix type casting and assertion by passing pointer	2020-10-31 18:35:48 +08:00
c9s	0f8e9f6df7	add doc comment to Notifiability	2020-10-31 18:35:48 +08:00
c9s	eb05620f99	use Notifiability directly from environment	2020-10-31 18:35:48 +08:00
c9s	49ff9c4dd6	drop legacy trade reporter	2020-10-31 18:35:48 +08:00
c9s	c4d7476212	add submit order routing	2020-10-31 18:35:48 +08:00
c9s	ec9b5230aa	refactor trade report and move trade reporter to the environment layer	2020-10-31 18:35:48 +08:00
c9s	8867ceb951	initialize Notifiability for exchange session	2020-10-31 18:35:48 +08:00
c9s	a60207db2a	only re-submit the order when the order is filled on the opposite side	2020-10-31 18:33:04 +08:00
c9s	8174b64e21	handle max order update message convertion	2020-10-31 18:29:58 +08:00
c9s	458fa8aa9d	add types.OrderStatusFilled	2020-10-31 18:29:58 +08:00
c9s	63df07b815	fix MAX market min price format	2020-10-31 18:29:58 +08:00
c9s	dc547aa818	fix BOLL map allocation	2020-10-31 18:29:58 +08:00
c9s	01699f7268	fix price format	2020-10-31 18:29:58 +08:00
c9s	17a2f74add	finalize grid strategy	2020-10-31 18:29:58 +08:00
c9s	9c46ef17b2	handle order update	2020-10-31 18:29:58 +08:00
c9s	551fa4b7fb	add grid to built-ins	2020-10-31 18:29:58 +08:00
c9s	60b78979dc	fix order id parsing (seems case insensitive)	2020-10-31 18:29:58 +08:00
c9s	c3961024cf	implement grid strategy update orders method	2020-10-31 18:29:58 +08:00
c9s	74a9cae38e	rename trade callbacks to trade update callbacks	2020-10-31 18:29:58 +08:00
c9s	224acd0ca9	add accessors for last up band and down band values	2020-10-31 18:29:58 +08:00
c9s	e60127090b	add GetBOLL access to standard indicator sets	2020-10-31 18:29:58 +08:00
c9s	d49b2be543	add bollinger indicator	2020-10-29 17:51:20 +08:00
c9s	f0681177f9	inject market into the skeleton strategy	2020-10-29 17:06:34 +08:00
c9s	4afabd92ed	clean up code	2020-10-29 17:05:01 +08:00
c9s	b0cc128b79	pull out trend types	2020-10-29 17:03:36 +08:00
c9s	a7325e86f0	document swing strategy	2020-10-29 13:42:53 +08:00
c9s	5f45d18ae2	fix struct composition	2020-10-29 13:08:33 +08:00
c9s	19b600bb35	simplify strategy registration api	2020-10-29 07:54:59 +08:00
c9s	c71f013916	let SMA indicator and EWMA indicator use IntervalWindow type	2020-10-29 07:51:23 +08:00
c9s	2f8bffeaca	add strict injection check fo pointer only objects	2020-10-29 07:49:06 +08:00
c9s	33257c591e	refactor swing strategy with types IntervalWindow	2020-10-29 07:44:22 +08:00
c9s	6d8ec7894e	refactor standard indicator set with store	2020-10-29 07:40:02 +08:00
c9s	b1cf9db879	add reflink	2020-10-28 17:50:47 +08:00
c9s	d6553a1155	move strategy subscribe out	2020-10-28 17:49:49 +08:00
c9s	f4474c6a6d	add check for sma caluclation	2020-10-28 17:48:16 +08:00
c9s	67446670ac	finalize swing strategy and fix trade reporter issue	2020-10-28 17:48:16 +08:00
c9s	c96845ff6a	add fields to slack notifier logs	2020-10-28 17:48:16 +08:00
c9s	b22e0370b3	drop legacy OrderProcessor and remove slack debug	2020-10-28 17:48:16 +08:00
c9s	468864302e	fix submit order quantity formatting	2020-10-28 17:48:16 +08:00
c9s	2680ad5072	refactor environment, market data store, injection and add swing strategy	2020-10-28 17:48:16 +08:00
c9s	7d7d2c2fc7	assign standard indicator set to the session	2020-10-28 11:15:50 +08:00
c9s	e2df24f31c	support standard indicatorset	2020-10-28 09:43:19 +08:00
c9s	50693ae845	implement ewma and sma	2020-10-28 09:13:57 +08:00
c9s	388346b284	move injectStrategyField to a single file	2020-10-27 20:42:48 +08:00
c9s	008e5c83f9	fix notification config check	2020-10-27 20:41:08 +08:00
c9s	e1c2f7cc3d	improve notifier signatures and fix slack Notify method	2020-10-27 20:13:10 +08:00
c9s	7905ba09d4	pull out fillStrategyNotifiability	2020-10-27 19:37:11 +08:00
c9s	ccc381143d	support pointer type filling	2020-10-27 19:33:11 +08:00
Yo-An Lin	1e5327a5e4	Update strategy.go	2020-10-27 15:51:36 +08:00
c9s	b3eaf832af	Add pricealert strategy for demonstrating notification	2020-10-27 13:54:39 +08:00
c9s	ab43de3efd	clean up comment for base order executor	2020-10-27 10:00:41 +08:00
c9s	ef598c3a0f	assign base order executor descendingly	2020-10-27 09:58:21 +08:00
c9s	8453e95300	configure channel routers	2020-10-27 09:38:29 +08:00
c9s	42f947506c	add route methods on Notifiability	2020-10-27 09:24:59 +08:00
c9s	ea05d998f2	load notification conf	2020-10-27 08:57:00 +08:00
c9s	c315b79bd7	add notification config	2020-10-27 08:48:47 +08:00
c9s	284a0676f7	remove unused confg package	2020-10-27 08:19:16 +08:00
c9s	955479486a	add symbol channel router and object channel router for notification	2020-10-27 08:19:16 +08:00
c9s	1d8e0bff5a	drop legacy NewDefaultEnvironment method	2020-10-27 08:19:16 +08:00