Merge 9d581adc04 into 1b40118bba

Merge pull request #1731 from longhutianjie/main
bug: fix json tag
2024-09-20 08:11:08 +00:00 · 2024-09-05 15:57:34 +08:00 · 2024-09-05 13:57:31 +08:00 · 2024-09-04 17:58:27 +08:00 · 2024-09-04 16:27:42 +08:00 · 2024-09-04 16:09:58 +08:00
42 changed files with 320 additions and 118 deletions
--- a/doc/commands/bbgo.md
+++ b/doc/commands/bbgo.md
@ -58,4 +58,4 @@ bbgo [flags]
 * [bbgo userdatastream](bbgo_userdatastream.md)	 - Listen to session events (orderUpdate, tradeUpdate, balanceUpdate, balanceSnapshot)
 * [bbgo version](bbgo_version.md)	 - show version name

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_account.md
+++ b/doc/commands/bbgo_account.md
@ -41,4 +41,4 @@ bbgo account [--session SESSION] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_backtest.md
+++ b/doc/commands/bbgo_backtest.md
@ -50,4 +50,4 @@ bbgo backtest [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_balances.md
+++ b/doc/commands/bbgo_balances.md
@ -40,4 +40,4 @@ bbgo balances [--session SESSION] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_build.md
+++ b/doc/commands/bbgo_build.md
@ -39,4 +39,4 @@ bbgo build [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_cancel-order.md
+++ b/doc/commands/bbgo_cancel-order.md
@ -49,4 +49,4 @@ bbgo cancel-order [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_deposits.md
+++ b/doc/commands/bbgo_deposits.md
@ -41,4 +41,4 @@ bbgo deposits [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_execute-order.md
+++ b/doc/commands/bbgo_execute-order.md
@ -9,16 +9,18 @@ bbgo execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quanti
 ### Options

 ```
-      --deadline duration          deadline of the order execution
-  -h, --help                       help for execute-order
-      --price-ticks int            the number of price tick for the jump spread, default to 0
-      --session string             the exchange session name for sync
-      --side string                the trading side: buy or sell
-      --slice-quantity string      slice quantity
-      --stop-price string          stop price (default "0")
-      --symbol string              the trading pair, like btcusdt
-      --target-quantity string     target quantity
-      --update-interval duration   order update time (default 10s)
+      --deadline duration                deadline duration of the order execution, e.g. 1h
+      --delay-interval duration          order delay time after filled (default 3s)
+  -h, --help                             help for execute-order
+      --order-update-rate-limit string   order update rate limit, syntax: 1+1/1m (default "1s")
+      --price-ticks int                  the number of price tick for the jump spread, default to 0
+      --session string                   the exchange session name for sync
+      --side string                      the trading side: buy or sell
+      --slice-quantity string            slice quantity
+      --stop-price string                stop price (default "0")
+      --symbol string                    the trading pair, like btcusdt
+      --target-quantity string           target quantity
+      --update-interval duration         order update time (default 10s)
 ```

 ### Options inherited from parent commands
@ -48,4 +50,4 @@ bbgo execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quanti

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_get-order.md
+++ b/doc/commands/bbgo_get-order.md
@ -42,4 +42,4 @@ bbgo get-order --session SESSION --order-id ORDER_ID [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_hoptimize.md
+++ b/doc/commands/bbgo_hoptimize.md
@ -45,4 +45,4 @@ bbgo hoptimize [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_kline.md
+++ b/doc/commands/bbgo_kline.md
@ -42,4 +42,4 @@ bbgo kline [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_list-orders.md
+++ b/doc/commands/bbgo_list-orders.md
@ -41,4 +41,4 @@ bbgo list-orders open|closed --session SESSION --symbol SYMBOL [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_margin.md
+++ b/doc/commands/bbgo_margin.md
@ -38,4 +38,4 @@ margin related history
 * [bbgo margin loans](bbgo_margin_loans.md)	 - query loans history
 * [bbgo margin repays](bbgo_margin_repays.md)	 - query repay history

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_margin_interests.md
+++ b/doc/commands/bbgo_margin_interests.md
@ -41,4 +41,4 @@ bbgo margin interests --session=SESSION_NAME --asset=ASSET [flags]

 * [bbgo margin](bbgo_margin.md)	 - margin related history

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_margin_loans.md
+++ b/doc/commands/bbgo_margin_loans.md
@ -41,4 +41,4 @@ bbgo margin loans --session=SESSION_NAME --asset=ASSET [flags]

 * [bbgo margin](bbgo_margin.md)	 - margin related history

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_margin_repays.md
+++ b/doc/commands/bbgo_margin_repays.md
@ -41,4 +41,4 @@ bbgo margin repays --session=SESSION_NAME --asset=ASSET [flags]

 * [bbgo margin](bbgo_margin.md)	 - margin related history

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_market.md
+++ b/doc/commands/bbgo_market.md
@ -40,4 +40,4 @@ bbgo market [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_optimize.md
+++ b/doc/commands/bbgo_optimize.md
@ -44,4 +44,4 @@ bbgo optimize [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_orderbook.md
+++ b/doc/commands/bbgo_orderbook.md
@ -42,4 +42,4 @@ bbgo orderbook --session=[exchange_name] --symbol=[pair_name] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_orderupdate.md
+++ b/doc/commands/bbgo_orderupdate.md
@ -40,4 +40,4 @@ bbgo orderupdate [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_pnl.md
+++ b/doc/commands/bbgo_pnl.md
@ -49,4 +49,4 @@ bbgo pnl [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_run.md
+++ b/doc/commands/bbgo_run.md
@ -51,4 +51,4 @@ bbgo run [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_submit-order.md
+++ b/doc/commands/bbgo_submit-order.md
@ -46,4 +46,4 @@ bbgo submit-order --session SESSION --symbol SYMBOL --side SIDE --quantity QUANT

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_sync.md
+++ b/doc/commands/bbgo_sync.md
@ -42,4 +42,4 @@ bbgo sync [--session=[exchange_name]] [--symbol=[pair_name]] [[--since=yyyy/mm/d

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_trades.md
+++ b/doc/commands/bbgo_trades.md
@ -42,4 +42,4 @@ bbgo trades --session=[exchange_name] --symbol=[pair_name] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_tradeupdate.md
+++ b/doc/commands/bbgo_tradeupdate.md
@ -40,4 +40,4 @@ bbgo tradeupdate --session=[exchange_name] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_transfer-history.md
+++ b/doc/commands/bbgo_transfer-history.md
@ -42,4 +42,4 @@ bbgo transfer-history [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_userdatastream.md
+++ b/doc/commands/bbgo_userdatastream.md
@ -40,4 +40,4 @@ bbgo userdatastream [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/commands/bbgo_version.md
+++ b/doc/commands/bbgo_version.md
@ -39,4 +39,4 @@ bbgo version [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 21-Aug-2024
+###### Auto generated by spf13/cobra on 4-Sep-2024
--- a/doc/release/v1.60.1.md
+++ b/doc/release/v1.60.1.md
@ -0,0 +1,35 @@
+## Fixes
+
+- fixed xmaker bugs
+- updated helm chart for sync cronjob
+- fixed max deposits api
+
+[Full Changelog](https://github.com/c9s/bbgo/compare/v1.60.0...main)
+
+ - [#1727](https://github.com/c9s/bbgo/pull/1727): FIX: update timeInForce for binance margin order
+ - [#1729](https://github.com/c9s/bbgo/pull/1729): FIX: [max] fix v3 deposit state conversion
+ - [#1723](https://github.com/c9s/bbgo/pull/1723): FIX: [xmaker] avoid calculate margin from 0.0 signal
+ - [#1721](https://github.com/c9s/bbgo/pull/1721): FIX: [xmaker] fix aggregatePrice method
+ - [#1725](https://github.com/c9s/bbgo/pull/1725): IMPROVE: [xmaker] improve hedge margin account leverage calculation
+ - [#1722](https://github.com/c9s/bbgo/pull/1722): FEATURE: [xmaker] add signals
+ - [#1720](https://github.com/c9s/bbgo/pull/1720): FEATURE: [xmaker] margin credit improvement
+ - [#1718](https://github.com/c9s/bbgo/pull/1718): FEATURE: [xmaker] add more config metrics
+ - [#1719](https://github.com/c9s/bbgo/pull/1719): IMPROVE: [xmaker] fix bollinger band price calculation
+ - [#1709](https://github.com/c9s/bbgo/pull/1709): IMPROVE: [xmaker] improve profit stats ticker and integrate rate limiter
+ - [#1708](https://github.com/c9s/bbgo/pull/1708): FEATURE: [xmaker] integrate circuit breaker
+ - [#1712](https://github.com/c9s/bbgo/pull/1712): FEATURE: [xmaker] add profit fixer
+ - [#1710](https://github.com/c9s/bbgo/pull/1710): IMPROVE: [xmaker] improve stability 
+ - [#1717](https://github.com/c9s/bbgo/pull/1717): REFACTOR: [xmaker] refactor hedge worker and quote worker
+ - [#1716](https://github.com/c9s/bbgo/pull/1716): FIX: [xmaker] profit object can be nil
+ - [#1707](https://github.com/c9s/bbgo/pull/1707): FIX: [xmaker] position metrics missing label
+ - [#1715](https://github.com/c9s/bbgo/pull/1715): UPGRADE: [go] upgrade packages that are too old
+ - [#1713](https://github.com/c9s/bbgo/pull/1713): FEATURE: [chart] add env vars section
+ - [#1711](https://github.com/c9s/bbgo/pull/1711): FEATURE: [binance] add new margin order side effect AUTO_BORROW_REPAY
+ - [#1705](https://github.com/c9s/bbgo/pull/1705): FIX: [k8s] fix sync.enabled option
+ - [#1704](https://github.com/c9s/bbgo/pull/1704): FEATURE: [k8s] add cronjob for sync
+ - [#1700](https://github.com/c9s/bbgo/pull/1700): Fix: [autobuy] fix error when bollinger settings is not set
+ - [#1703](https://github.com/c9s/bbgo/pull/1703): FEATURE: [core] add position metrics 
+ - [#1702](https://github.com/c9s/bbgo/pull/1702): IMPROVE: improve balance related metrics
+ - [#1699](https://github.com/c9s/bbgo/pull/1699): REFACTOR: [twap] upgrade twap command and add optional order update rate limiter
+ - [#1701](https://github.com/c9s/bbgo/pull/1701): RELEASE: v1.60.0
+ - [#1714](https://github.com/c9s/bbgo/pull/1714): dep: bump actions/setup-node from 2 to 4
--- a/pkg/exchange/binance/exchange.go
+++ b/pkg/exchange/binance/exchange.go
@ -1005,16 +1005,13 @@ func (e *Exchange) submitMarginOrder(ctx context.Context, order types.SubmitOrde
 		}
 	}

-	// could be IOC or FOK
-	switch order.Type {
-	case types.OrderTypeLimit, types.OrderTypeStopLimit:
-		req.TimeInForce(binance.TimeInForceTypeGTC)
-	case types.OrderTypeLimitMaker:
-		// do not set TimeInForce for LimitMaker
-	default:
-		if len(order.TimeInForce) > 0 {
-			// TODO: check the TimeInForce value
-			req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
+	if len(order.TimeInForce) > 0 {
+		// TODO: check the TimeInForce value
+		req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
+	} else {
+		switch order.Type {
+		case types.OrderTypeLimit, types.OrderTypeStopLimit:
+			req.TimeInForce(binance.TimeInForceTypeGTC)
 		}
 	}

--- a/pkg/exchange/max/convert.go
+++ b/pkg/exchange/max/convert.go
@ -247,29 +247,6 @@ func toGlobalTradeV3(t v3.Trade) ([]types.Trade, error) {
 	return trades, nil
 }

-func toGlobalTradeV2(t max.Trade) (*types.Trade, error) {
-	isMargin := t.WalletType == max.WalletTypeMargin
-	side := toGlobalSideType(t.Side)
-	return &types.Trade{
-		ID:            t.ID,
-		OrderID:       t.OrderID,
-		Price:         t.Price,
-		Symbol:        toGlobalSymbol(t.Market),
-		Exchange:      types.ExchangeMax,
-		Quantity:      t.Volume,
-		Side:          side,
-		IsBuyer:       t.IsBuyer(),
-		IsMaker:       t.IsMaker(),
-		Fee:           t.Fee,
-		FeeCurrency:   toGlobalCurrency(t.FeeCurrency),
-		QuoteQuantity: t.Funds,
-		Time:          types.Time(t.CreatedAt),
-		IsMargin:      isMargin,
-		IsIsolated:    false,
-		IsFutures:     false,
-	}, nil
-}
-
 func toGlobalDepositStatus(a max.DepositState) types.DepositStatus {
 	switch a {

@ -284,11 +261,21 @@ func toGlobalDepositStatus(a max.DepositState) types.DepositStatus {

 	case max.DepositStateAccepted:
 		return types.DepositSuccess
+
+	case max.DepositStateFailed: // v3 state
+		return types.DepositRejected
+
+	case max.DepositStateProcessing: // v3 states
+		return types.DepositPending
+
+	case max.DepositStateDone: // v3 states
+		return types.DepositSuccess
+
 	}

 	// other states goes to this
 	// max.DepositStateSuspect, max.DepositStateSuspended
-	log.Warnf("unsupported deposit state %q from max exchange", a)
+	log.Errorf("unsupported deposit state %q from max exchange", a)
 	return types.DepositStatus(a)
 }

--- a/pkg/exchange/max/maxapi/account.go
+++ b/pkg/exchange/max/maxapi/account.go
@ -116,6 +116,11 @@ const (
 	DepositStateSuspended  DepositState = "suspended"
 	DepositStateAccepted   DepositState = "accepted"
 	DepositStateChecking   DepositState = "checking"
+
+	// v3 states
+	DepositStateProcessing DepositState = "processing"
+	DepositStateFailed     DepositState = "failed"
+	DepositStateDone       DepositState = "done"
 )

 type Deposit struct {
--- a/pkg/strategy/bollgrid/strategy.go
+++ b/pkg/strategy/bollgrid/strategy.go
@ -77,7 +77,7 @@ type Strategy struct {
 	// boll is the BOLLINGER indicator we used for predicting the price.
 	boll *indicator.BOLL

-	CancelProfitOrdersOnShutdown bool `json: "shutdownCancelProfitOrders"`
+	CancelProfitOrdersOnShutdown bool `json:"shutdownCancelProfitOrders"`
 }

 func (s *Strategy) ID() string {
--- a/pkg/strategy/deposit2transfer/strategy.go
+++ b/pkg/strategy/deposit2transfer/strategy.go
@ -236,7 +236,7 @@ func (s *Strategy) scanDepositHistory(ctx context.Context, asset string, duratio
 						s.watchingDeposits[deposit.TransactionID] = deposit
 					}
 				} else {
-					// ignore all initial deposit history that are already success
+					// ignore all initial deposits that are already in success status
 					logger.Infof("ignored succeess deposit: %s %+v", deposit.TransactionID, deposit)
 				}

--- a/pkg/strategy/harmonic/strategy.go
+++ b/pkg/strategy/harmonic/strategy.go
@ -440,9 +440,9 @@ for t in 1 .. n:
 return argmax(alpha[t,si] over si)
 */
 func hmm(y_t []float64, x_t []float64, l int) float64 {
-	al := make([]float64, l)
-	an := make([]float64, l)
-	as := make([]float64, l)
+	al := make([]float64, 0, l)
+	an := make([]float64, 0, l)
+	as := make([]float64, 0, l)
 	long := 0.
 	neut := 0.
 	short := 0.
@ -453,9 +453,9 @@ func hmm(y_t []float64, x_t []float64, l int) float64 {
 			sin := make([]float64, 3)
 			sis := make([]float64, 3)
 			for i := -1; i <= 1; i++ {
-				sil = append(sil, x_t[n-1-1]*transitProbability(i, j))
-				sin = append(sin, x_t[n-1-1]*transitProbability(i, j))
-				sis = append(sis, x_t[n-1-1]*transitProbability(i, j))
+				sil = append(sil, 0, x_t[n-1-1]*transitProbability(i, j))
+				sin = append(sin, 0, x_t[n-1-1]*transitProbability(i, j))
+				sis = append(sis, 0, x_t[n-1-1]*transitProbability(i, j))
 			}
 			if j > 0 {
 				_, longArr := floats.MinMax(sil, 3)
--- a/pkg/strategy/xmaker/signal_trade.go
+++ b/pkg/strategy/xmaker/signal_trade.go
@ -0,0 +1,111 @@
+package xmaker
+
+import (
+	"context"
+	"sync"
+	"time"
+
+	"github.com/prometheus/client_golang/prometheus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+var tradeVolumeWindowSignalMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_trade_volume_window_signal",
+		Help: "",
+	}, []string{"symbol"})
+
+func init() {
+	prometheus.MustRegister(tradeVolumeWindowSignalMetrics)
+}
+
+type TradeVolumeWindowSignal struct {
+	Threshold fixedpoint.Value `json:"threshold"`
+	Window    types.Duration   `json:"window"`
+
+	trades []types.Trade
+	symbol string
+
+	mu sync.Mutex
+}
+
+func (s *TradeVolumeWindowSignal) handleTrade(trade types.Trade) {
+	s.mu.Lock()
+	s.trades = append(s.trades, trade)
+	s.mu.Unlock()
+}
+
+func (s *TradeVolumeWindowSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
+	s.symbol = symbol
+
+	if s.Window == 0 {
+		s.Window = types.Duration(time.Minute)
+	}
+
+	if s.Threshold.IsZero() {
+		s.Threshold = fixedpoint.NewFromFloat(0.7)
+	}
+
+	session.MarketDataStream.OnMarketTrade(s.handleTrade)
+	return nil
+}
+
+func (s *TradeVolumeWindowSignal) filterTrades(now time.Time) []types.Trade {
+	startTime := now.Add(-time.Duration(s.Window))
+	startIdx := 0
+
+	s.mu.Lock()
+	defer s.mu.Unlock()
+
+	for idx, td := range s.trades {
+		// skip trades before the start time
+		if td.Time.Before(startTime) {
+			continue
+		}
+
+		startIdx = idx
+		break
+	}
+
+	trades := s.trades[startIdx:]
+	s.trades = trades
+	return trades
+}
+
+func (s *TradeVolumeWindowSignal) aggTradeVolume(trades []types.Trade) (buyVolume, sellVolume float64) {
+	for _, td := range trades {
+		if td.IsBuyer {
+			buyVolume += td.Quantity.Float64()
+		} else {
+			sellVolume += td.Quantity.Float64()
+		}
+	}
+
+	return buyVolume, sellVolume
+}
+
+func (s *TradeVolumeWindowSignal) CalculateSignal(_ context.Context) (float64, error) {
+	now := time.Now()
+	trades := s.filterTrades(now)
+	buyVolume, sellVolume := s.aggTradeVolume(trades)
+	totalVolume := buyVolume + sellVolume
+
+	threshold := s.Threshold.Float64()
+	buyRatio := buyVolume / totalVolume
+	sellRatio := sellVolume / totalVolume
+
+	sig := 0.0
+	if buyRatio > threshold {
+		sig = (buyRatio - threshold) / 2.0
+	} else if sellRatio > threshold {
+		sig = -(sellRatio - threshold) / 2.0
+	}
+
+	log.Infof("[TradeVolumeWindowSignal] %f buy/sell = %f/%f", sig, buyVolume, sellVolume)
+
+	tradeVolumeWindowSignalMetrics.WithLabelValues(s.symbol).Set(sig)
+	return sig, nil
+}
--- a/pkg/strategy/xmaker/signal_trade_test.go
+++ b/pkg/strategy/xmaker/signal_trade_test.go
@ -0,0 +1,55 @@
+package xmaker
+
+import (
+	"context"
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+)
+
+var tradeId = 0
+
+func Trade(symbol string, side types.SideType, price, quantity fixedpoint.Value, t time.Time) types.Trade {
+	tradeId++
+	return types.Trade{
+		ID:       uint64(tradeId),
+		Symbol:   symbol,
+		Side:     side,
+		Price:    price,
+		IsBuyer:  side == types.SideTypeBuy,
+		Quantity: quantity,
+		Time:     types.Time(t),
+	}
+}
+
+func TestMarketTradeWindowSignal(t *testing.T) {
+	now := time.Now()
+	symbol := "BTCUSDT"
+	sig := &TradeVolumeWindowSignal{
+		symbol:    symbol,
+		Threshold: fixedpoint.NewFromFloat(0.65),
+		Window:    types.Duration(time.Minute),
+	}
+
+	sig.trades = []types.Trade{
+		Trade(symbol, types.SideTypeBuy, Number(18000.0), Number(1.0), now.Add(-2*time.Minute)),
+		Trade(symbol, types.SideTypeSell, Number(18000.0), Number(0.5), now.Add(-2*time.Second)),
+		Trade(symbol, types.SideTypeBuy, Number(18000.0), Number(1.0), now.Add(-1*time.Second)),
+	}
+
+	ctx := context.Background()
+	sigNum, err := sig.CalculateSignal(ctx)
+	if assert.NoError(t, err) {
+		// buy ratio: 1/1.5 = 0.6666666666666666
+		// sell ratio: 0.5/1.5 = 0.3333333333333333
+		assert.InDelta(t, 0.0083333, sigNum, 0.0001)
+	}
+
+	assert.Len(t, sig.trades, 2)
+}
--- a/pkg/strategy/xmaker/strategy.go
+++ b/pkg/strategy/xmaker/strategy.go
@ -65,6 +65,7 @@ type SignalConfig struct {
 	BollingerBandTrendSignal *BollingerBandTrendSignal       `json:"bollingerBandTrend,omitempty"`
 	OrderBookBestPriceSignal *OrderBookBestPriceVolumeSignal `json:"orderBookBestPrice,omitempty"`
 	KLineShapeSignal         *KLineShapeSignal               `json:"klineShape,omitempty"`
+	TradeVolumeWindowSignal  *TradeVolumeWindowSignal        `json:"tradeVolumeWindow,omitempty"`
 }

 func init() {
@ -205,7 +206,14 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
 	if !ok {
 		panic(fmt.Errorf("maker session %s is not defined", s.MakerExchange))
 	}
+
 	makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
+
+	for _, sig := range s.SignalConfigList {
+		if sig.TradeVolumeWindowSignal != nil {
+			sourceSession.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
+		}
+	}
 }

 func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
@ -363,42 +371,33 @@ func (s *Strategy) calculateSignal(ctx context.Context) (float64, error) {
 	sum := 0.0
 	voters := 0.0
 	for _, signal := range s.SignalConfigList {
+		var sig float64
+		var err error
 		if signal.OrderBookBestPriceSignal != nil {
-			sig, err := signal.OrderBookBestPriceSignal.CalculateSignal(ctx)
-			if err != nil {
-				return 0, err
-			}
-
-			if sig == 0.0 {
-				continue
-			}
-
-			if signal.Weight > 0.0 {
-				sum += sig * signal.Weight
-				voters += signal.Weight
-			} else {
-				sum += sig
-				voters++
-			}
-
+			sig, err = signal.OrderBookBestPriceSignal.CalculateSignal(ctx)
 		} else if signal.BollingerBandTrendSignal != nil {
-			sig, err := signal.BollingerBandTrendSignal.CalculateSignal(ctx)
-			if err != nil {
-				return 0, err
-			}
-
-			if sig == 0.0 {
-				continue
-			}
-
-			if signal.Weight > 0.0 {
-				sum += sig * signal.Weight
-				voters += signal.Weight
-			} else {
-				sum += sig
-				voters++
-			}
+			sig, err = signal.BollingerBandTrendSignal.CalculateSignal(ctx)
+		} else if signal.TradeVolumeWindowSignal != nil {
+			sig, err = signal.TradeVolumeWindowSignal.CalculateSignal(ctx)
 		}
+
+		if err != nil {
+			return 0, err
+		} else if sig == 0.0 {
+			continue
+		}
+
+		if signal.Weight > 0.0 {
+			sum += sig * signal.Weight
+			voters += signal.Weight
+		} else {
+			sum += sig
+			voters++
+		}
+	}
+
+	if sum == 0.0 {
+		return 0.0, nil
 	}

 	return sum / voters, nil
@ -1374,6 +1373,10 @@ func (s *Strategy) CrossRun(
 			if err := signalConfig.BollingerBandTrendSignal.Bind(ctx, s.sourceSession, s.Symbol); err != nil {
 				return err
 			}
+		} else if signalConfig.TradeVolumeWindowSignal != nil {
+			if err := signalConfig.TradeVolumeWindowSignal.Bind(ctx, s.sourceSession, s.Symbol); err != nil {
+				return err
+			}
 		}
 	}

--- a/pkg/types/price_volume_slice.go
+++ b/pkg/types/price_volume_slice.go
@ -13,6 +13,13 @@ type PriceVolume struct {
 	Price, Volume fixedpoint.Value
 }

+func NewPriceVolume(p, v fixedpoint.Value) PriceVolume {
+	return PriceVolume{
+		Price:  p,
+		Volume: v,
+	}
+}
+
 func (p PriceVolume) InQuote() fixedpoint.Value {
 	return p.Price.Mul(p.Volume)
 }
--- a/pkg/version/dev.go
+++ b/pkg/version/dev.go
@ -3,6 +3,6 @@

 package version

-const Version = "v1.60.0-3a2e4dfd2-dev"
+const Version = "v1.60.1-ec68e3c5f-dev"

-const VersionGitRef = "3a2e4dfd2"
+const VersionGitRef = "ec68e3c5f"
--- a/pkg/version/version.go
+++ b/pkg/version/version.go
@ -3,6 +3,6 @@

 package version

-const Version = "v1.60.0-3a2e4dfd2"
+const Version = "v1.60.1-ec68e3c5f"

-const VersionGitRef = "3a2e4dfd2"
+const VersionGitRef = "ec68e3c5f"
Author	SHA1	Message	Date
dropbigfish	924a3f613d	Merge `9d581adc04` into `1b40118bba`	2024-09-05 15:57:34 +08:00
c9s	1b40118bba	Merge pull request #1731 from longhutianjie/main Some checks are pending Go / build (1.21, 6.2) (push) Waiting to run Details golang-lint / lint (push) Waiting to run Details bug: fix json tag	2024-09-05 13:57:31 +08:00
longhutianjie	c75a685cc0	bug: fix json tag	2024-09-04 17:58:27 +08:00
c9s	50262f2a84	Merge pull request #1730 from c9s/c9s/xmaker/market-trade-signal Some checks are pending Go / build (1.21, 6.2) (push) Waiting to run Details golang-lint / lint (push) Waiting to run Details FEATURE: [xmaker] add market trade signal	2024-09-04 16:27:42 +08:00
c9s	9fc3a1b44a	xmaker: rename to aggTradeVolume	2024-09-04 16:09:58 +08:00
c9s	656112de45	xmaker: call signalConfig.TradeVolumeWindowSignal.Bind	2024-09-04 16:07:28 +08:00
c9s	ba73eeaad1	xmaker: add TradeVolumeWindowSignal	2024-09-04 15:59:21 +08:00
c9s	2527c0c7b7	max: convert v3 DepositStateFailed into rejected	2024-09-04 15:00:37 +08:00
c9s	a2f8fe5f72	max: add v3 DepositStateFailed state	2024-09-04 14:59:58 +08:00
c9s	ed51eff242	max: drop unused function	2024-09-04 14:59:10 +08:00
c9s	f6865f664c	add v1.60.1 release note Some checks are pending Go / build (1.21, 6.2) (push) Waiting to run Details golang-lint / lint (push) Waiting to run Details	2024-09-04 14:58:07 +08:00
c9s	24de49860f	bump version to v1.60.1	2024-09-04 14:58:07 +08:00
c9s	83dc981c92	update command doc files	2024-09-04 14:58:07 +08:00
c9s	ec68e3c5f6	Merge pull request #1727 from lanphan/ioc FIX: update timeInForce for binance margin order	2024-09-04 14:38:40 +08:00
c9s	699164484b	Merge pull request #1729 from c9s/c9s/max/fix-v3-deposit-state-conversion FIX: [max] fix v3 deposit state conversion	2024-09-04 11:41:22 +08:00
c9s	f27afac77b	max: use error log instead of warning log for convertion	2024-09-04 11:20:30 +08:00
c9s	d404b20bd1	deposit2transfer: fix comments	2024-09-04 11:19:43 +08:00
c9s	1b8d7bd805	max: fix v3 deposit state conversion	2024-09-04 11:17:56 +08:00
Lan Phan	ba913ce4de	update timeInForce for binance margin order	2024-09-03 00:38:17 +07:00
dropbigfish	9d581adc04	fix: fix slice init length Signed-off-by: dropbigfish <fillfish@foxmail.com>	2024-09-01 00:36:43 +08:00