390 Commits

Author	SHA1	Message	Date
c9s	e5db780be8	notify trades and update position	2021-06-01 01:39:22 +08:00
c9s	c84d59734c	clear all trades before running backtests	2021-05-30 15:25:00 +08:00
c9s	3aa36b5989	refactor and fix backtest for user data stream and market data stream	2021-05-30 15:08:11 +08:00
c9s	38fd5422ab	xmaker: use uncovered position	2021-05-30 14:46:48 +08:00
c9s	8d31435ded	add trade store	2021-05-29 00:25:23 +08:00
c9s	5f18b89dfa	if publicOnly is set, we should not connect user data stream	2021-05-28 19:01:55 +08:00
c9s	f190b1e66a	fix market data stream initialization	2021-05-28 03:17:46 +08:00
c9s	7d62a7634b	set market data stream to public	2021-05-27 15:11:44 +08:00
c9s	b7c87c7744	core: move market data subscription to market data stream	2021-05-27 15:09:18 +08:00
c9s	45f1a13870	rename Stream field to UserDataStream and add MarketDataStream	2021-05-27 14:45:06 +08:00
c9s	2381df5009	add okex to the exchange factory	2021-05-27 00:35:51 +08:00
zenix	3d2a27fc10	Fix: nil pointer exception in indicator creation, add stoch util func	2021-05-26 00:20:31 +00:00
c9s	9c70e36e1b	save average cost with feeInQuote in the ApproximateAverageCost	2021-05-23 01:05:11 +08:00
c9s	d2e299a68a	improve position comment	2021-05-23 00:42:57 +08:00
c9s	9efb45b133	reduce side book copy	2021-05-23 00:42:44 +08:00
c9s	9b9643e1f9	improve order cancellation mechanisim	2021-05-22 17:44:20 +08:00
c9s	289227e5f3	add exists method for active book	2021-05-22 17:44:07 +08:00
c9s	0a908e5dda	fix position test for net profit	2021-05-22 17:43:53 +08:00
c9s	cca3284140	separate net profit and profit	2021-05-22 17:17:37 +08:00
c9s	8acada76a9	replace sliceorderbook with orderbook interface	2021-05-22 16:32:29 +08:00
c9s	fd710d533f	implement tree copy method	2021-05-22 12:18:08 +08:00
c9s	56b2c8845b	fix preorder, postorder and inorder	2021-05-22 11:36:58 +08:00
c9s	4fde442722	Add position Reset function	2021-05-21 00:08:04 +08:00
c9s	d737ab678f	support removing filled orders from the order store	2021-05-21 00:07:43 +08:00
c9s	422e85e3a3	twap: fix stop price check	2021-05-18 13:53:51 +08:00
c9s	896518f5c2	check if restQuantity is less than 0	2021-05-18 13:44:57 +08:00
c9s	21f7fa7846	twap: fix tick spread calculation	2021-05-18 13:38:23 +08:00
c9s	f6f1226bd0	integrate bollband indicator into xmaker	2021-05-17 20:04:13 +08:00
c9s	e7c718ee15	assign fee rate to position	2021-05-16 17:58:51 +08:00
c9s	187a9c795b	use exchange fee rate as a reference for profit	2021-05-16 17:50:08 +08:00
c9s	d0e4a5e65c	move addTrade lock section	2021-05-16 17:05:12 +08:00
c9s	e636a5008d	replace Exchange field type with ExchangeName	2021-05-16 17:02:23 +08:00
c9s	0a016cba75	split maker fee and taker fee	2021-05-16 16:50:26 +08:00
c9s	a4381a54a3	add fee rate field	2021-05-16 15:03:36 +08:00
c9s	c9cdf31df1	add pnl emoji	2021-05-16 01:16:03 +08:00
c9s	942eaac659	improve message formatting	2021-05-16 00:45:08 +08:00
c9s	1f449eca7f	implement SlackAttachment interface on Position	2021-05-15 23:50:03 +08:00
c9s	c85456b8e8	lock position for fetching base quantity	2021-05-15 10:06:48 +08:00
c9s	531799bdfb	use mutex composition since we may lock from out side	2021-05-15 10:05:39 +08:00
c9s	8071559f99	position: use pointer receiver	2021-05-15 10:02:04 +08:00
c9s	a636cdaec9	add mutex to Position since position could be changed from 2 goroutine	2021-05-15 10:01:41 +08:00
c9s	aa340f0db3	always check restQuantity	2021-05-15 10:00:32 +08:00
c9s	236df245a2	adjust quantity bases on the balances	2021-05-15 09:46:07 +08:00
c9s	f9cb414832	twap: add update-interval option	2021-05-15 09:29:44 +08:00
c9s	ae256ce9d3	add more quantity adjustment fix	2021-05-15 09:23:41 +08:00
c9s	356a8b77ac	adjust updateLimiter to 3 seconds one time	2021-05-15 09:20:46 +08:00
c9s	445feb016a	support price ticks option	2021-05-14 15:35:11 +08:00
c9s	bb34b1002a	improve order execution graceful shutdown	2021-05-14 14:53:26 +08:00
c9s	dc040bb82b	improving logs	2021-05-14 14:53:26 +08:00
c9s	f69cbe9c31	add basic TwapExecution	2021-05-14 14:53:26 +08:00