Merge 9d581adc04 into 7d034d1ba8

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

doc/commands/bbgo_execute-order.md

@@ -9,18 +9,16 @@ bbgo execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quanti
 ### Options
 
 ```
-      --deadline duration                deadline duration of the order execution, e.g. 1h
+      --deadline duration          deadline of the order execution
-      --delay-interval duration          order delay time after filled (default 3s)
+  -h, --help                       help for execute-order
-  -h, --help                             help for execute-order
+      --price-ticks int            the number of price tick for the jump spread, default to 0
-      --order-update-rate-limit string   order update rate limit, syntax: 1+1/1m (default "1s")
+      --session string             the exchange session name for sync
-      --price-ticks int                  the number of price tick for the jump spread, default to 0
+      --side string                the trading side: buy or sell
-      --session string                   the exchange session name for sync
+      --slice-quantity string      slice quantity
-      --side string                      the trading side: buy or sell
+      --stop-price string          stop price (default "0")
-      --slice-quantity string            slice quantity
+      --symbol string              the trading pair, like btcusdt
-      --stop-price string                stop price (default "0")
+      --target-quantity string     target quantity
-      --symbol string                    the trading pair, like btcusdt
+      --update-interval duration   order update time (default 10s)
-      --target-quantity string           target quantity
-      --update-interval duration         order update time (default 10s)
 ```
 
 ### Options inherited from parent commands
@@ -50,4 +48,4 @@ 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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

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 4-Sep-2024
+###### Auto generated by spf13/cobra on 21-Aug-2024

doc/release/v1.60.1.md

@@ -1,35 +0,0 @@
-## 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

pkg/exchange/binance/exchange.go

@@ -1005,13 +1005,16 @@ func (e *Exchange) submitMarginOrder(ctx context.Context, order types.SubmitOrde
 		}
 	}
 
-	if len(order.TimeInForce) > 0 {
+	// could be IOC or FOK
-		// TODO: check the TimeInForce value
+	switch order.Type {
-		req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
+	case types.OrderTypeLimit, types.OrderTypeStopLimit:
-	} else {
+		req.TimeInForce(binance.TimeInForceTypeGTC)
-		switch order.Type {
+	case types.OrderTypeLimitMaker:
-		case types.OrderTypeLimit, types.OrderTypeStopLimit:
+		// do not set TimeInForce for LimitMaker
-			req.TimeInForce(binance.TimeInForceTypeGTC)
+	default:
+		if len(order.TimeInForce) > 0 {
+			// TODO: check the TimeInForce value
+			req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
 		}
 	}
 

pkg/exchange/max/convert.go

@@ -247,6 +247,29 @@ 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 {
 
@@ -261,21 +284,11 @@ 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.Errorf("unsupported deposit state %q from max exchange", a)
+	log.Warnf("unsupported deposit state %q from max exchange", a)
 	return types.DepositStatus(a)
 }
 

pkg/exchange/max/maxapi/account.go

@@ -116,11 +116,6 @@ const (
 	DepositStateSuspended  DepositState = "suspended"
 	DepositStateAccepted   DepositState = "accepted"
 	DepositStateChecking   DepositState = "checking"
-
-	// v3 states
-	DepositStateProcessing DepositState = "processing"
-	DepositStateFailed     DepositState = "failed"
-	DepositStateDone       DepositState = "done"
 )
 
 type Deposit struct {

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 {

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 deposits that are already in success status
+					// ignore all initial deposit history that are already success
 					logger.Infof("ignored succeess deposit: %s %+v", deposit.TransactionID, deposit)
 				}
 

pkg/strategy/xmaker/signal_trade.go

@@ -1,111 +0,0 @@
-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
-}

pkg/strategy/xmaker/signal_trade_test.go

@@ -1,55 +0,0 @@
-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)
-}

pkg/strategy/xmaker/strategy.go

@@ -65,7 +65,6 @@ 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() {
@@ -206,14 +205,7 @@ 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) {
@@ -371,35 +363,44 @@ 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)
+			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++
+			}
+
 		} else if signal.BollingerBandTrendSignal != nil {
-			sig, err = signal.BollingerBandTrendSignal.CalculateSignal(ctx)
+			sig, err := signal.BollingerBandTrendSignal.CalculateSignal(ctx)
-		} else if signal.TradeVolumeWindowSignal != nil {
+			if err != nil {
-			sig, err = signal.TradeVolumeWindowSignal.CalculateSignal(ctx)
+				return 0, err
-		}
+			}
 
-		if err != nil {
+			if sig == 0.0 {
-			return 0, err
+				continue
-		} else if sig == 0.0 {
+			}
-			continue
-		}
 
-		if signal.Weight > 0.0 {
+			if signal.Weight > 0.0 {
-			sum += sig * signal.Weight
+				sum += sig * signal.Weight
-			voters += signal.Weight
+				voters += signal.Weight
-		} else {
+			} else {
-			sum += sig
+				sum += sig
-			voters++
+				voters++
+			}
 		}
 	}
 
-	if sum == 0.0 {
-		return 0.0, nil
-	}
-
 	return sum / voters, nil
 }
 
@@ -1373,10 +1374,6 @@ 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
-			}
 		}
 	}
 

pkg/types/price_volume_slice.go

@@ -13,13 +13,6 @@ 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)
 }

pkg/version/dev.go

@@ -3,6 +3,6 @@
 
 package version
 
-const Version = "v1.60.1-ec68e3c5f-dev"
+const Version = "v1.60.0-3a2e4dfd2-dev"
 
-const VersionGitRef = "ec68e3c5f"
+const VersionGitRef = "3a2e4dfd2"

pkg/version/version.go

@@ -3,6 +3,6 @@
 
 package version
 
-const Version = "v1.60.1-ec68e3c5f"
+const Version = "v1.60.0-3a2e4dfd2"
 
-const VersionGitRef = "ec68e3c5f"
+const VersionGitRef = "3a2e4dfd2"