Merge 5316bc5e3a into 37106c35b7

IMPROVE: [db] add index on positions table

.github/workflows/go.yml

@@ -90,7 +90,7 @@ jobs:
         sed -i -e '/_requestgen.go/d' coverage_dnum.txt
 
     - name: Revive Check
-      uses: morphy2k/revive-action@v2.5.9 # https://github.com/mgechev/revive/issues/956
+      uses: morphy2k/revive-action@v2.5.10 # https://github.com/mgechev/revive/issues/956
       with:
         reporter: github-pr-review
         fail_on_error: true

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 16-Sep-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 21-Aug-2024
+###### Auto generated by spf13/cobra on 16-Sep-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 21-Aug-2024
+###### Auto generated by spf13/cobra on 16-Sep-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 21-Aug-2024
+###### Auto generated by spf13/cobra on 16-Sep-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 21-Aug-2024
+###### Auto generated by spf13/cobra on 16-Sep-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 21-Aug-2024
+###### Auto generated by spf13/cobra on 16-Sep-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 21-Aug-2024
+###### Auto generated by spf13/cobra on 16-Sep-2024

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

doc/configuration/telegram.md

@@ -17,7 +17,7 @@ TELEGRAM_BOT_TOKEN=347374838:ABFTjfiweajfiawoejfiaojfeijoaef
 ```
 
 For the telegram chat authentication (your bot needs to verify it's you), if you only need a fixed authentication token,
-you can set `TELEGRAM_AUTH_TOKEN` in the `.env.local` file, e.g.,
+you can set `TELEGRAM_BOT_AUTH_TOKEN` in the `.env.local` file, e.g.,
 
 ```sh
 TELEGRAM_BOT_AUTH_TOKEN=itsme55667788

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

doc/release/v1.60.2.md

@@ -0,0 +1,18 @@
+[Full Changelog](https://github.com/c9s/bbgo/compare/v1.60.1...main)
+
+ - [#1739](https://github.com/c9s/bbgo/pull/1739): FEATURE: [dca2] set exchange fee rate for round position
+ - [#1738](https://github.com/c9s/bbgo/pull/1738): FEATURE: [okx] update symbols to latest
+ - [#1737](https://github.com/c9s/bbgo/pull/1737): FEATURE: [xmaker] implement tryArbitrage
+ - [#1730](https://github.com/c9s/bbgo/pull/1730): FEATURE: [xmaker] add market trade signal
+ - [#1734](https://github.com/c9s/bbgo/pull/1734): REFACTOR: [xmaker] refactor for supporting ioc arb [part1]
+ - [#1736](https://github.com/c9s/bbgo/pull/1736): MINOR: [session] remove environment nil validation log
+ - [#1742](https://github.com/c9s/bbgo/pull/1742): FIX: types/stream: change errorf to warnf
+ - [#1741](https://github.com/c9s/bbgo/pull/1741): FIX: upgrade github.com/c9s/requestgen to 1.4.3
+ - [#1740](https://github.com/c9s/bbgo/pull/1740): FIX: upgrade requestgen and re-generate max cancel order request files
+ - [#1726](https://github.com/c9s/bbgo/pull/1726): dep: bump morphy2k/revive-action from 2.5.9 to 2.5.10
+ - [#1735](https://github.com/c9s/bbgo/pull/1735): FIX: configure environment
+ - [#1724](https://github.com/c9s/bbgo/pull/1724): FIX: fix slice init length
+ - [#1733](https://github.com/c9s/bbgo/pull/1733): FIX: [bbgo] fix the defaults / initialize steps
+ - [#1732](https://github.com/c9s/bbgo/pull/1732): FIX: fix env name
+ - [#1728](https://github.com/c9s/bbgo/pull/1728): FIX: [core] fix memory leak
+ - [#1731](https://github.com/c9s/bbgo/pull/1731): FIX: fix json tag

doc/release/v1.60.3.md

@@ -0,0 +1,4 @@
+[Full Changelog](https://github.com/c9s/bbgo/compare/v1.60.2...main)
+
+ - FIX: fix xmaker default price
+ - [#1744](https://github.com/c9s/bbgo/pull/1744): call b.EmitNew() when new order is added into activeorderbook

go.mod

@@ -11,7 +11,7 @@ require (
 	github.com/Masterminds/squirrel v1.5.3
 	github.com/adshao/go-binance/v2 v2.6.0
 	github.com/c-bata/goptuna v0.8.1
-	github.com/c9s/requestgen v1.3.6
+	github.com/c9s/requestgen v1.4.3
 	github.com/c9s/rockhopper/v2 v2.0.4
 	github.com/cenkalti/backoff/v4 v4.2.0
 	github.com/cheggaaa/pb/v3 v3.0.8
@@ -119,7 +119,7 @@ require (
 	github.com/mattn/go-colorable v0.1.13 // indirect
 	github.com/mattn/go-isatty v0.0.20 // indirect
 	github.com/mattn/go-runewidth v0.0.15 // indirect
-	github.com/mattn/go-sqlite3 v1.14.22 // indirect
+	github.com/mattn/go-sqlite3 v1.14.23 // indirect
 	github.com/matttproud/golang_protobuf_extensions v1.0.1 // indirect
 	github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d // indirect
 	github.com/mitchellh/mapstructure v1.5.0 // indirect
@@ -153,12 +153,12 @@ require (
 	golang.org/x/crypto v0.26.0 // indirect
 	golang.org/x/exp v0.0.0-20240404231335-c0f41cb1a7a0 // indirect
 	golang.org/x/image v0.5.0 // indirect
-	golang.org/x/mod v0.17.0 // indirect
+	golang.org/x/mod v0.20.0 // indirect
 	golang.org/x/net v0.28.0 // indirect
 	golang.org/x/sys v0.24.0 // indirect
 	golang.org/x/term v0.23.0 // indirect
 	golang.org/x/text v0.17.0 // indirect
-	golang.org/x/tools v0.21.1-0.20240508182429-e35e4ccd0d2d // indirect
+	golang.org/x/tools v0.24.0 // indirect
 	google.golang.org/genproto/googleapis/api v0.0.0-20240814211410-ddb44dafa142 // indirect
 	google.golang.org/genproto/googleapis/rpc v0.0.0-20240814211410-ddb44dafa142 // indirect
 	gopkg.in/ini.v1 v1.67.0 // indirect

go.sum

@@ -86,8 +86,8 @@ github.com/bytedance/sonic/loader v0.2.0 h1:zNprn+lsIP06C/IqCHs3gPQIvnvpKbbxyXQP
 github.com/bytedance/sonic/loader v0.2.0/go.mod h1:ncP89zfokxS5LZrJxl5z0UJcsk4M4yY2JpfqGeCtNLU=
 github.com/c-bata/goptuna v0.8.1 h1:25+n1MLv0yvCsD56xv4nqIus3oLHL9GuPAZDLIqmX1U=
 github.com/c-bata/goptuna v0.8.1/go.mod h1:knmS8+Iyq5PPy1YUeIEq0pMFR4Y6x7z/CySc9HlZTCY=
-github.com/c9s/requestgen v1.3.6 h1:ul7dZ2uwGYjNBjreooRfSY10WTXvQmQSjZsHebz6QfE=
+github.com/c9s/requestgen v1.4.3 h1:0QZ27RVBLb9QuBKfiSBTOB5zSUuasrJm2p6/GZZHZZw=
-github.com/c9s/requestgen v1.3.6/go.mod h1:QwkZudcv84kJ8g9+E0RDTj+13btFXbTvv2aI+zbuLbc=
+github.com/c9s/requestgen v1.4.3/go.mod h1:3gk1M2ihvNU2wWl7WLUc09myp7XpHMP33Dx96+Vr8A0=
 github.com/c9s/rockhopper/v2 v2.0.4 h1:1cQEzU7rzCSz09B2RYdyPWwBW9gZ/DoFqD1b2xLLmAk=
 github.com/c9s/rockhopper/v2 v2.0.4/go.mod h1:x0XuYI2Su3kS/74UYu/3Cqc9m5Dtzqh7j7JZarczfss=
 github.com/cenkalti/backoff/v4 v4.2.0 h1:HN5dHm3WBOgndBH6E8V0q2jIYIR3s9yglV8k/+MN3u4=
@@ -472,8 +472,8 @@ github.com/mattn/go-shellwords v1.0.12/go.mod h1:EZzvwXDESEeg03EKmM+RmDnNOPKG4lL
 github.com/mattn/go-sqlite3 v1.14.0/go.mod h1:JIl7NbARA7phWnGvh0LKTyg7S9BA+6gx71ShQilpsus=
 github.com/mattn/go-sqlite3 v1.14.5/go.mod h1:WVKg1VTActs4Qso6iwGbiFih2UIHo0ENGwNd0Lj+XmI=
 github.com/mattn/go-sqlite3 v1.14.6/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
-github.com/mattn/go-sqlite3 v1.14.22 h1:2gZY6PC6kBnID23Tichd1K+Z0oS6nE/XwU+Vz/5o4kU=
+github.com/mattn/go-sqlite3 v1.14.23 h1:gbShiuAP1W5j9UOksQ06aiiqPMxYecovVGwmTxWtuw0=
-github.com/mattn/go-sqlite3 v1.14.22/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
+github.com/mattn/go-sqlite3 v1.14.23/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
 github.com/matttproud/golang_protobuf_extensions v1.0.1 h1:4hp9jkHxhMHkqkrB3Ix0jegS5sx/RkqARlsWZ6pIwiU=
 github.com/matttproud/golang_protobuf_extensions v1.0.1/go.mod h1:D8He9yQNgCq6Z5Ld7szi9bcBfOoFv/3dc6xSMkL2PC0=
 github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d h1:5PJl274Y63IEHC+7izoQE9x6ikvDFZS2mDVS3drnohI=
@@ -759,8 +759,8 @@ golang.org/x/mod v0.1.1-0.20191107180719-034126e5016b/go.mod h1:QqPTAvyqsEbceGzB
 golang.org/x/mod v0.2.0/go.mod h1:s0Qsj1ACt9ePp/hMypM3fl4fZqREWJwdYDEqhRiZZUA=
 golang.org/x/mod v0.3.0/go.mod h1:s0Qsj1ACt9ePp/hMypM3fl4fZqREWJwdYDEqhRiZZUA=
 golang.org/x/mod v0.6.0-dev.0.20220419223038-86c51ed26bb4/go.mod h1:jJ57K6gSWd91VN4djpZkiMVwK6gcyfeH4XE8wZrZaV4=
-golang.org/x/mod v0.17.0 h1:zY54UmvipHiNd+pm+m0x9KhZ9hl1/7QNMyxXbc6ICqA=
+golang.org/x/mod v0.20.0 h1:utOm6MM3R3dnawAiJgn0y+xvuYRsm1RKM/4giyfDgV0=
-golang.org/x/mod v0.17.0/go.mod h1:hTbmBsO62+eylJbnUtE2MGJUyE7QWk4xUqPFrRgJ+7c=
+golang.org/x/mod v0.20.0/go.mod h1:hTbmBsO62+eylJbnUtE2MGJUyE7QWk4xUqPFrRgJ+7c=
 golang.org/x/net v0.0.0-20180218175443-cbe0f9307d01/go.mod h1:mL1N/T3taQHkDXs73rZJwtUhF3w3ftmwwsq0BUmARs4=
 golang.org/x/net v0.0.0-20180724234803-3673e40ba225/go.mod h1:mL1N/T3taQHkDXs73rZJwtUhF3w3ftmwwsq0BUmARs4=
 golang.org/x/net v0.0.0-20180826012351-8a410e7b638d/go.mod h1:mL1N/T3taQHkDXs73rZJwtUhF3w3ftmwwsq0BUmARs4=
@@ -951,8 +951,8 @@ golang.org/x/tools v0.0.0-20200729194436-6467de6f59a7/go.mod h1:njjCfa9FT2d7l9Bc
 golang.org/x/tools v0.0.0-20200804011535-6c149bb5ef0d/go.mod h1:njjCfa9FT2d7l9Bc6FUM5FLjQPp3cFF28FI3qnDFljA=
 golang.org/x/tools v0.0.0-20200825202427-b303f430e36d/go.mod h1:njjCfa9FT2d7l9Bc6FUM5FLjQPp3cFF28FI3qnDFljA=
 golang.org/x/tools v0.1.12/go.mod h1:hNGJHUnrk76NpqgfD5Aqm5Crs+Hm0VOH/i9J2+nxYbc=
-golang.org/x/tools v0.21.1-0.20240508182429-e35e4ccd0d2d h1:vU5i/LfpvrRCpgM/VPfJLg5KjxD3E+hfT1SH+d9zLwg=
+golang.org/x/tools v0.24.0 h1:J1shsA93PJUEVaUSaay7UXAyE8aimq3GW0pjlolpa24=
-golang.org/x/tools v0.21.1-0.20240508182429-e35e4ccd0d2d/go.mod h1:aiJjzUbINMkxbQROHiO6hDPo2LHcIPhhQsa9DLh0yGk=
+golang.org/x/tools v0.24.0/go.mod h1:YhNqVBIfWHdzvTLs0d8LCuMhkKUgSUKldakyV7W/WDQ=
 golang.org/x/xerrors v0.0.0-20190410155217-1f06c39b4373/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
 golang.org/x/xerrors v0.0.0-20190513163551-3ee3066db522/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
 golang.org/x/xerrors v0.0.0-20190717185122-a985d3407aa7/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=

migrations/mysql/20240918132534_add_position_index.sql

@@ -0,0 +1,10 @@
+-- +up
+-- +begin
+CREATE INDEX positions_traded_at ON positions (traded_at, profit);
+-- +end
+
+-- +down
+
+-- +begin
+DROP INDEX positions_traded_at ON positions;
+-- +end

migrations/sqlite3/20240918132534_add_position_index.sql

@@ -0,0 +1,10 @@
+-- +up
+-- +begin
+CREATE INDEX positions_traded_at ON positions (traded_at, profit);
+-- +end
+
+-- +down
+
+-- +begin
+DROP INDEX positions_traded_at;
+-- +end

pkg/backtest/report.go

@@ -68,21 +68,49 @@ func ReadSummaryReport(filename string) (*SummaryReport, error) {
 // SessionSymbolReport is the report per exchange session
 // trades are merged, collected and re-calculated
 type SessionSymbolReport struct {
-	Exchange        types.ExchangeName        `json:"exchange"`
+	Exchange                 types.ExchangeName        `json:"exchange"`
-	Symbol          string                    `json:"symbol,omitempty"`
+	Symbol                   string                    `json:"symbol,omitempty"`
-	Intervals       []types.Interval          `json:"intervals,omitempty"`
+	Intervals                []types.Interval          `json:"intervals,omitempty"`
-	Subscriptions   []types.Subscription      `json:"subscriptions"`
+	Subscriptions            []types.Subscription      `json:"subscriptions"`
-	Market          types.Market              `json:"market"`
+	Market                   types.Market              `json:"market"`
-	LastPrice       fixedpoint.Value          `json:"lastPrice,omitempty"`
+	LastPrice                fixedpoint.Value          `json:"lastPrice,omitempty"`
-	StartPrice      fixedpoint.Value          `json:"startPrice,omitempty"`
+	StartPrice               fixedpoint.Value          `json:"startPrice,omitempty"`
-	PnL             *pnl.AverageCostPnLReport `json:"pnl,omitempty"`
+	PnL                      *pnl.AverageCostPnLReport `json:"pnl,omitempty"`
-	InitialBalances types.BalanceMap          `json:"initialBalances,omitempty"`
+	InitialBalances          types.BalanceMap          `json:"initialBalances,omitempty"`
-	FinalBalances   types.BalanceMap          `json:"finalBalances,omitempty"`
+	FinalBalances            types.BalanceMap          `json:"finalBalances,omitempty"`
-	Manifests       Manifests                 `json:"manifests,omitempty"`
+	Manifests                Manifests                 `json:"manifests,omitempty"`
-	Sharpe          fixedpoint.Value          `json:"sharpeRatio"`
+	TradeCount               fixedpoint.Value          `json:"tradeCount,omitempty"`
-	Sortino         fixedpoint.Value          `json:"sortinoRatio"`
+	RoundTurnCount           fixedpoint.Value          `json:"roundTurnCount,omitempty"`
-	ProfitFactor    fixedpoint.Value          `json:"profitFactor"`
+	TotalNetProfit           fixedpoint.Value          `json:"totalNetProfit,omitempty"`
-	WinningRatio    fixedpoint.Value          `json:"winningRatio"`
+	AvgNetProfit             fixedpoint.Value          `json:"avgNetProfit,omitempty"`
+	GrossProfit              fixedpoint.Value          `json:"grossProfit,omitempty"`
+	GrossLoss                fixedpoint.Value          `json:"grossLoss,omitempty"`
+	PRR                      fixedpoint.Value          `json:"prr,omitempty"`
+	PercentProfitable        fixedpoint.Value          `json:"percentProfitable,omitempty"`
+	MaxDrawdown              fixedpoint.Value          `json:"maxDrawdown,omitempty"`
+	AverageDrawdown          fixedpoint.Value          `json:"avgDrawdown,omitempty"`
+	MaxProfit                fixedpoint.Value          `json:"maxProfit,omitempty"`
+	MaxLoss                  fixedpoint.Value          `json:"maxLoss,omitempty"`
+	AvgProfit                fixedpoint.Value          `json:"avgProfit,omitempty"`
+	AvgLoss                  fixedpoint.Value          `json:"avgLoss,omitempty"`
+	TotalTimeInMarketSec     int64                     `json:"totalTimeInMarketSec,omitempty"`
+	AvgHoldSec               int64                     `json:"avgHoldSec,omitempty"`
+	WinningCount             int                       `json:"winningCount,omitempty"`
+	LosingCount              int                       `json:"losingCount,omitempty"`
+	MaxLossStreak            int                       `json:"maxLossStreak,omitempty"`
+	Sharpe                   fixedpoint.Value          `json:"sharpeRatio"`
+	AnnualHistoricVolatility fixedpoint.Value          `json:"annualHistoricVolatility,omitempty"`
+	CAGR                     fixedpoint.Value          `json:"cagr,omitempty"`
+	Calmar                   fixedpoint.Value          `json:"calmar,omitempty"`
+	Sterling                 fixedpoint.Value          `json:"sterling,omitempty"`
+	Burke                    fixedpoint.Value          `json:"burke,omitempty"`
+	Kelly                    fixedpoint.Value          `json:"kelly,omitempty"`
+	OptimalF                 fixedpoint.Value          `json:"optimalF,omitempty"`
+	StatN                    fixedpoint.Value          `json:"statN,omitempty"`
+	StdErr                   fixedpoint.Value          `json:"statNStdErr,omitempty"`
+	Sortino                  fixedpoint.Value          `json:"sortinoRatio"`
+	ProfitFactor             fixedpoint.Value          `json:"profitFactor"`
+	WinningRatio             fixedpoint.Value          `json:"winningRatio"`
 }
 
 func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {

pkg/bbgo/activeorderbook.go

@@ -359,6 +359,7 @@ func (b *ActiveOrderBook) Add(orders ...types.Order) {
 		}
 
 		b.add(order)
+		b.EmitNew(order)
 	}
 }
 
@@ -466,6 +467,12 @@ func (b *ActiveOrderBook) Lookup(f func(o types.Order) bool) *types.Order {
 
 func (b *ActiveOrderBook) filterExistingOrders(orders []types.Order) (existingOrders types.OrderSlice) {
 	for _, o := range orders {
+		// skip market order
+		// this prevents if someone added a market order to the active order book
+		if o.Type == types.OrderTypeMarket {
+			continue
+		}
+
 		if b.Exists(o) {
 			existingOrders.Add(o)
 		}

pkg/bbgo/marketdatastore.go

@@ -5,6 +5,8 @@ import "github.com/c9s/bbgo/pkg/types"
 const MaxNumOfKLines = 5_000
 const MaxNumOfKLinesTruncate = 100
 
+const CapacityOfKLineWindowLimit = 5_000
+
 // MarketDataStore receives and maintain the public market data of a single symbol
 //go:generate callbackgen -type MarketDataStore
 type MarketDataStore struct {
@@ -57,10 +59,20 @@ func (store *MarketDataStore) AddKLine(k types.KLine) {
 	}
 	window.Add(k)
 
-	if len(*window) > MaxNumOfKLines {
+	truncateKLineWindowIfNeeded(window)
-		*window = (*window)[MaxNumOfKLinesTruncate-1:]
-	}
 
 	store.EmitKLineClosed(k)
 	store.EmitKLineWindowUpdate(k.Interval, *window)
 }
+
+func truncateKLineWindowIfNeeded(window *types.KLineWindow) {
+	lenOfWindow := len(*window)
+	capOfWindow := cap(*window)
+
+	if lenOfWindow == capOfWindow && capOfWindow > CapacityOfKLineWindowLimit {
+		size := CapacityOfKLineWindowLimit / 2
+		start := lenOfWindow - size
+		copy(*window, (*window)[start:])
+		*window = (*window)[:size]
+	}
+}

pkg/bbgo/marketdatastore_test.go

@@ -0,0 +1,45 @@
+package bbgo
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+func TestMarketDataStore_AddKLineAndTruncateWindow(t *testing.T) {
+	store := NewMarketDataStore("BTCUSD")
+
+	interval := types.Interval1s
+
+	var maxCap int = 0
+	capFixed := false
+
+	var gid uint64 = 0
+	// insert 1.5 * CapacityOfKLineWindowLimit KLine into window
+	for ; gid < CapacityOfKLineWindowLimit+(CapacityOfKLineWindowLimit/2); gid++ {
+		store.AddKLine(types.KLine{
+			Interval: interval,
+			GID:      gid,
+		})
+
+		// if the capacity is > CapacityOfKLineWindowLimit, the capacity should be fixed. We use this if expression to verify it then.
+		if !capFixed && cap(*store.KLineWindows[interval]) > CapacityOfKLineWindowLimit {
+			maxCap = cap(*store.KLineWindows[interval])
+			capFixed = true
+		}
+	}
+
+	window := store.KLineWindows[interval]
+
+	// make sure the capacity is fixed
+	assert.Equal(t, maxCap, cap(*window))
+
+	// after truncate, it will remain (CapacityOfKLineWindowLimit / 2) KLine in the window
+	// so the first GIC will be the maxCap - (CapacityOfKLineWindowLimit / 2)
+	truncatedGID := uint64(maxCap - (CapacityOfKLineWindowLimit / 2))
+	for _, kline := range *window {
+		assert.Equal(t, truncatedGID, kline.GID)
+		truncatedGID++
+	}
+}

pkg/bbgo/quota.go

@@ -12,12 +12,16 @@ type Quota struct {
 	Locked    fixedpoint.Value
 }
 
+// Add adds the fund to the available quota
 func (q *Quota) Add(fund fixedpoint.Value) {
 	q.mu.Lock()
 	q.Available = q.Available.Add(fund)
 	q.mu.Unlock()
 }
 
+// Lock locks the fund from the available quota
+// returns true if the fund is locked successfully
+// returns false if the fund is not enough
 func (q *Quota) Lock(fund fixedpoint.Value) bool {
 	if fund.Compare(q.Available) > 0 {
 		return false
@@ -31,12 +35,15 @@ func (q *Quota) Lock(fund fixedpoint.Value) bool {
 	return true
 }
 
+// Commit commits the locked fund
 func (q *Quota) Commit() {
 	q.mu.Lock()
 	q.Locked = fixedpoint.Zero
 	q.mu.Unlock()
 }
 
+// Rollback rolls back the locked fund
+// this will move the locked fund to the available quota
 func (q *Quota) Rollback() {
 	q.mu.Lock()
 	q.Available = q.Available.Add(q.Locked)
@@ -44,12 +51,21 @@ func (q *Quota) Rollback() {
 	q.mu.Unlock()
 }
 
+func (q *Quota) String() string {
+	q.mu.Lock()
+	defer q.mu.Unlock()
+
+	return q.Locked.String() + "/" + q.Available.String()
+}
+
+// QuotaTransaction is a transactional quota manager
 type QuotaTransaction struct {
 	mu         sync.Mutex
 	BaseAsset  Quota
 	QuoteAsset Quota
 }
 
+// Commit commits the transaction
 func (m *QuotaTransaction) Commit() bool {
 	m.mu.Lock()
 	m.BaseAsset.Commit()
@@ -58,6 +74,7 @@ func (m *QuotaTransaction) Commit() bool {
 	return true
 }
 
+// Rollback rolls back the transaction
 func (m *QuotaTransaction) Rollback() bool {
 	m.mu.Lock()
 	m.BaseAsset.Rollback()

pkg/bbgo/session.go

@@ -405,6 +405,8 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 		return fmt.Errorf("market %s is not defined", symbol)
 	}
 
+	session.logger.Infof("environment config: %+v", environ.environmentConfig)
+
 	disableMarketDataStore := environ.environmentConfig != nil && environ.environmentConfig.DisableMarketDataStore
 	disableSessionTradeBuffer := environ.environmentConfig != nil && environ.environmentConfig.DisableSessionTradeBuffer
 	maxSessionTradeBufferSize := 0

pkg/bbgo/trader.go

@@ -16,8 +16,18 @@ import (
 )
 
 // Strategy method calls:
-// -> Initialize()   (optional method)
 // -> Defaults()     (optional method)
+//
+//	setup default static values from constants
+//
+// -> Initialize()   (optional method)
+//
+//	initialize dynamic runtime objects
+//
+// -> Subscribe()
+//
+//	register the subscriptions
+//
 // -> Validate()     (optional method)
 // -> Run()          (optional method)
 // -> Shutdown(shutdownCtx context.Context, wg *sync.WaitGroup)
@@ -112,6 +122,12 @@ func (trader *Trader) DisableLogging() {
 }
 
 func (trader *Trader) Configure(userConfig *Config) error {
+	// config environment
+	if userConfig.Environment != nil && trader.environment != nil {
+		trader.environment.environmentConfig = userConfig.Environment
+	}
+
+	// config risk control
 	if userConfig.RiskControls != nil {
 		trader.SetRiskControls(userConfig.RiskControls)
 	}
@@ -171,12 +187,6 @@ func (trader *Trader) SetRiskControls(riskControls *RiskControls) {
 func (trader *Trader) RunSingleExchangeStrategy(
 	ctx context.Context, strategy SingleExchangeStrategy, session *ExchangeSession, orderExecutor OrderExecutor,
 ) error {
-	if v, ok := strategy.(StrategyValidator); ok {
-		if err := v.Validate(); err != nil {
-			return fmt.Errorf("failed to validate the config: %w", err)
-		}
-	}
-
 	if shutdown, ok := strategy.(StrategyShutdown); ok {
 		trader.gracefulShutdown.OnShutdown(shutdown.Shutdown)
 	}
@@ -238,12 +248,6 @@ func (trader *Trader) injectFieldsAndSubscribe(ctx context.Context) error {
 				return err
 			}
 
-			if defaulter, ok := strategy.(StrategyDefaulter); ok {
-				if err := defaulter.Defaults(); err != nil {
-					panic(err)
-				}
-			}
-
 			if subscriber, ok := strategy.(ExchangeSessionSubscriber); ok {
 				subscriber.Subscribe(session)
 			} else {
@@ -304,12 +308,6 @@ func (trader *Trader) injectFieldsAndSubscribe(ctx context.Context) error {
 			}
 		}
 
-		if initializer, ok := strategy.(StrategyInitializer); ok {
-			if err := initializer.Initialize(); err != nil {
-				return err
-			}
-		}
-
 		if subscriber, ok := strategy.(CrossExchangeSessionSubscriber); ok {
 			subscriber.CrossSubscribe(trader.environment.sessions)
 		} else {
@@ -356,8 +354,23 @@ func (trader *Trader) Run(ctx context.Context) error {
 	return trader.environment.Connect(ctx)
 }
 
+// Initialize initializes the strategies, this method is called before the Run method.
+// It sets the default values and validates the strategy configurations.
+// And calls the Initialize method if the strategy implements the Initialize method.
 func (trader *Trader) Initialize(ctx context.Context) error {
 	return trader.IterateStrategies(func(strategy StrategyID) error {
+		if defaulter, ok := strategy.(StrategyDefaulter); ok {
+			if err := defaulter.Defaults(); err != nil {
+				return err
+			}
+		}
+
+		if v, ok := strategy.(StrategyValidator); ok {
+			if err := v.Validate(); err != nil {
+				return fmt.Errorf("found invalid strategy config: %w", err)
+			}
+		}
+
 		if initializer, ok := strategy.(StrategyInitializer); ok {
 			return initializer.Initialize()
 		}

pkg/cmd/backtest.go

@@ -12,12 +12,6 @@ import (
 
 	"github.com/fatih/color"
 	"github.com/google/uuid"
-
-	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
-	"github.com/c9s/bbgo/pkg/core"
-	"github.com/c9s/bbgo/pkg/data/tsv"
-	"github.com/c9s/bbgo/pkg/util"
-
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 	"github.com/spf13/cobra"
@@ -26,10 +20,14 @@ import (
 	"github.com/c9s/bbgo/pkg/accounting/pnl"
 	"github.com/c9s/bbgo/pkg/backtest"
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
+	"github.com/c9s/bbgo/pkg/core"
+	"github.com/c9s/bbgo/pkg/data/tsv"
 	"github.com/c9s/bbgo/pkg/exchange"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/service"
 	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/util"
 )
 
 func init() {
@@ -547,12 +545,9 @@ var BacktestCmd = &cobra.Command{
 					continue
 				}
 
-				tradeState := sessionTradeStats[session.Name][symbol]
+				tradeStats := sessionTradeStats[session.Name][symbol]
-				profitFactor := tradeState.ProfitFactor
-				winningRatio := tradeState.WinningRatio
-				intervalProfits := tradeState.IntervalProfits[types.Interval1d]
 
-				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Copy(), intervalProfits, profitFactor, winningRatio)
+				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Copy(), tradeStats)
 				if err != nil {
 					return err
 				}
@@ -563,8 +558,8 @@ var BacktestCmd = &cobra.Command{
 				summaryReport.TotalUnrealizedProfit = symbolReport.PnL.UnrealizedProfit
 				summaryReport.InitialEquityValue = summaryReport.InitialEquityValue.Add(symbolReport.InitialEquityValue())
 				summaryReport.FinalEquityValue = summaryReport.FinalEquityValue.Add(symbolReport.FinalEquityValue())
-				summaryReport.TotalGrossProfit.Add(symbolReport.PnL.GrossProfit)
+				summaryReport.TotalGrossProfit = summaryReport.TotalGrossProfit.Add(symbolReport.PnL.GrossProfit)
-				summaryReport.TotalGrossLoss.Add(symbolReport.PnL.GrossLoss)
+				summaryReport.TotalGrossLoss = summaryReport.TotalGrossLoss.Add(symbolReport.PnL.GrossLoss)
 
 				// write report to a file
 				if generatingReport {
@@ -617,14 +612,12 @@ var BacktestCmd = &cobra.Command{
 	},
 }
 
-func createSymbolReport(
+func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade, tradeStats *types.TradeStats) (
-	userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade,
-	intervalProfit *types.IntervalProfitCollector,
-	profitFactor, winningRatio fixedpoint.Value,
-) (
 	*backtest.SessionSymbolReport,
 	error,
 ) {
+	intervalProfit := tradeStats.IntervalProfits[types.Interval1d]
+
 	backtestExchange, ok := session.Exchange.(*backtest.Exchange)
 	if !ok {
 		return nil, fmt.Errorf("unexpected error, exchange instance is not a backtest exchange")
@@ -634,6 +627,11 @@ func createSymbolReport(
 	if !ok {
 		return nil, fmt.Errorf("market not found: %s, %s", symbol, session.Exchange.Name())
 	}
+	tStart, tEnd := trades[0].Time, trades[len(trades)-1].Time
+
+	periodStart := tStart.Time()
+	periodEnd := tEnd.Time()
+	period := periodEnd.Sub(periodStart)
 
 	startPrice, ok := session.StartPrice(symbol)
 	if !ok {
@@ -650,29 +648,81 @@ func createSymbolReport(
 		Market:             market,
 	}
 
-	sharpeRatio := fixedpoint.NewFromFloat(intervalProfit.GetSharpe())
-	sortinoRatio := fixedpoint.NewFromFloat(intervalProfit.GetSortino())
-
 	report := calculator.Calculate(symbol, trades, lastPrice)
 	accountConfig := userConfig.Backtest.GetAccount(session.Exchange.Name().String())
 	initBalances := accountConfig.Balances.BalanceMap()
 	finalBalances := session.GetAccount().Balances()
+	maxProfit := n(intervalProfit.Profits.Max())
+	maxLoss := n(intervalProfit.Profits.Min())
+	drawdown := types.Drawdown(intervalProfit.Profits)
+	maxDrawdown := drawdown.Max()
+	avgDrawdown := drawdown.Average()
+	roundTurnCount := n(float64(tradeStats.NumOfProfitTrade + tradeStats.NumOfLossTrade))
+	roundTurnLength := n(float64(intervalProfit.Profits.Length()))
+	winningCount := n(float64(tradeStats.NumOfProfitTrade))
+	loosingCount := n(float64(tradeStats.NumOfLossTrade))
+	avgProfit := tradeStats.GrossProfit.Div(n(types.NNZ(float64(tradeStats.NumOfProfitTrade), 1)))
+	avgLoss := tradeStats.GrossLoss.Div(n(types.NNZ(float64(tradeStats.NumOfLossTrade), 1)))
+
+	winningPct := winningCount.Div(roundTurnCount)
+	// losingPct := fixedpoint.One.Sub(winningPct)
+
+	sharpeRatio := n(intervalProfit.GetSharpe())
+	sortinoRatio := n(intervalProfit.GetSortino())
+	annVolHis := n(types.AnnualHistoricVolatility(intervalProfit.Profits))
+	totalTimeInMarketSec, avgHoldSec := intervalProfit.GetTimeInMarket()
+	statn, stdErr := types.StatN(intervalProfit.Profits)
 	symbolReport := backtest.SessionSymbolReport{
-		Exchange:        session.Exchange.Name(),
+		Exchange:                 session.Exchange.Name(),
-		Symbol:          symbol,
+		Symbol:                   symbol,
-		Market:          market,
+		Market:                   market,
-		LastPrice:       lastPrice,
+		LastPrice:                lastPrice,
-		StartPrice:      startPrice,
+		StartPrice:               startPrice,
-		PnL:             report,
+		InitialBalances:          initBalances,
-		InitialBalances: initBalances,
+		FinalBalances:            finalBalances,
-		FinalBalances:   finalBalances,
+		TradeCount:               fixedpoint.NewFromInt(int64(len(trades))),
-		// Manifests:       manifests,
+		GrossLoss:                tradeStats.GrossLoss,
-		Sharpe:       sharpeRatio,
+		GrossProfit:              tradeStats.GrossProfit,
-		Sortino:      sortinoRatio,
+		WinningCount:             tradeStats.NumOfProfitTrade,
-		ProfitFactor: profitFactor,
+		LosingCount:              tradeStats.NumOfLossTrade,
-		WinningRatio: winningRatio,
+		RoundTurnCount:           roundTurnCount,
+		WinningRatio:             tradeStats.WinningRatio,
+		PercentProfitable:        winningPct,
+		ProfitFactor:             tradeStats.ProfitFactor,
+		MaxDrawdown:              n(maxDrawdown),
+		AverageDrawdown:          n(avgDrawdown),
+		MaxProfit:                maxProfit,
+		MaxLoss:                  maxLoss,
+		MaxLossStreak:            tradeStats.MaximumConsecutiveLosses,
+		TotalTimeInMarketSec:     totalTimeInMarketSec,
+		AvgHoldSec:               avgHoldSec,
+		AvgProfit:                avgProfit,
+		AvgLoss:                  avgLoss,
+		AvgNetProfit:             tradeStats.TotalNetProfit.Div(roundTurnLength),
+		TotalNetProfit:           tradeStats.TotalNetProfit,
+		AnnualHistoricVolatility: annVolHis,
+		PnL:                      report,
+		PRR:                      types.PRR(tradeStats.GrossProfit, tradeStats.GrossLoss, winningCount, loosingCount),
+		Kelly:                    types.KellyCriterion(tradeStats.ProfitFactor, winningPct),
+		OptimalF:                 types.OptimalF(intervalProfit.Profits),
+		StatN:                    statn,
+		StdErr:                   stdErr,
+		Sharpe:                   sharpeRatio,
+		Sortino:                  sortinoRatio,
 	}
 
+	cagr := types.NN(
+		types.CAGR(
+			symbolReport.InitialEquityValue().Float64(),
+			symbolReport.FinalEquityValue().Float64(),
+			int(period.Hours())/24,
+		), 0)
+
+	symbolReport.CAGR = n(cagr)
+	symbolReport.Calmar = n(types.CalmarRatio(cagr, maxDrawdown))
+	symbolReport.Sterling = n(types.SterlingRatio(cagr, avgDrawdown))
+	symbolReport.Burke = n(types.BurkeRatio(cagr, drawdown.AverageSquared()))
+
 	for _, s := range session.Subscriptions {
 		symbolReport.Subscriptions = append(symbolReport.Subscriptions, s)
 	}
@@ -691,6 +741,10 @@ func createSymbolReport(
 	return &symbolReport, nil
 }
 
+func n(v float64) fixedpoint.Value {
+	return fixedpoint.NewFromFloat(v)
+}
+
 func verify(
 	userConfig *bbgo.Config, backtestService *service.BacktestService,
 	sourceExchanges map[types.ExchangeName]types.Exchange, startTime, endTime time.Time,

pkg/datatype/floats/slice.go

@@ -112,6 +112,18 @@ func (s Slice) Average() float64 {
 	return total / float64(len(s))
 }
 
+func (s Slice) AverageSquared() float64 {
+	if len(s) == 0 {
+		return 0.0
+	}
+
+	total := 0.0
+	for _, value := range s {
+		total += math.Pow(value, 2)
+	}
+	return total / float64(len(s))
+}
+
 func (s Slice) Diff() (values Slice) {
 	for i, v := range s {
 		if i == 0 {

pkg/exchange/binance/exchange.go

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

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)
 }
 

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 {

pkg/exchange/max/maxapi/v3/cancel_order_request_requestgen.go

@@ -136,6 +136,12 @@ func (c *CancelOrderRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
+// GetPath returns the request path of the API
+func (c *CancelOrderRequest) GetPath() string {
+	return "/api/v3/order"
+}
+
+// Do generates the request object and send the request object to the API endpoint
 func (c *CancelOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 
 	params, err := c.GetParameters()
@@ -144,7 +150,9 @@ func (c *CancelOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 	}
 	query := url.Values{}
 
-	apiURL := "/api/v3/order"
+	var apiURL string
+
+	apiURL = c.GetPath()
 
 	req, err := c.client.NewAuthenticatedRequest(ctx, "DELETE", apiURL, query, params)
 	if err != nil {
@@ -157,8 +165,32 @@ func (c *CancelOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 	}
 
 	var apiResponse max.Order
-	if err := response.DecodeJSON(&apiResponse); err != nil {
+
-		return nil, err
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
 	}
 	return &apiResponse, nil
 }

pkg/exchange/max/maxapi/v3/cancel_wallet_order_all_request_requestgen.go

@@ -6,11 +6,10 @@ import (
 	"context"
 	"encoding/json"
 	"fmt"
+	"github.com/c9s/bbgo/pkg/exchange/max/maxapi"
 	"net/url"
 	"reflect"
 	"regexp"
-
-	max "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
 )
 
 func (c *CancelWalletOrderAllRequest) Side(side string) *CancelWalletOrderAllRequest {
@@ -166,6 +165,12 @@ func (c *CancelWalletOrderAllRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
+// GetPath returns the request path of the API
+func (c *CancelWalletOrderAllRequest) GetPath() string {
+	return "/api/v3/wallet/:walletType/orders"
+}
+
+// Do generates the request object and send the request object to the API endpoint
 func (c *CancelWalletOrderAllRequest) Do(ctx context.Context) ([]OrderCancelResponse, error) {
 
 	params, err := c.GetParameters()
@@ -174,7 +179,9 @@ func (c *CancelWalletOrderAllRequest) Do(ctx context.Context) ([]OrderCancelResp
 	}
 	query := url.Values{}
 
-	apiURL := "/api/v3/wallet/:walletType/orders"
+	var apiURL string
+
+	apiURL = c.GetPath()
 	slugs, err := c.GetSlugsMap()
 	if err != nil {
 		return nil, err
@@ -193,8 +200,32 @@ func (c *CancelWalletOrderAllRequest) Do(ctx context.Context) ([]OrderCancelResp
 	}
 
 	var apiResponse []OrderCancelResponse
-	if err := response.DecodeJSON(&apiResponse); err != nil {
+
-		return nil, err
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
 	}
 	return apiResponse, nil
 }

pkg/exchange/max/maxapi/v3/create_wallet_order_request_requestgen.go

@@ -236,6 +236,12 @@ func (c *CreateWalletOrderRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
+// GetPath returns the request path of the API
+func (c *CreateWalletOrderRequest) GetPath() string {
+	return "/api/v3/wallet/:walletType/order"
+}
+
+// Do generates the request object and send the request object to the API endpoint
 func (c *CreateWalletOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 
 	params, err := c.GetParameters()
@@ -244,7 +250,9 @@ func (c *CreateWalletOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 	}
 	query := url.Values{}
 
-	apiURL := "/api/v3/wallet/:walletType/order"
+	var apiURL string
+
+	apiURL = c.GetPath()
 	slugs, err := c.GetSlugsMap()
 	if err != nil {
 		return nil, err
@@ -263,8 +271,32 @@ func (c *CreateWalletOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 	}
 
 	var apiResponse max.Order
-	if err := response.DecodeJSON(&apiResponse); err != nil {
+
-		return nil, err
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
 	}
 	return &apiResponse, nil
 }

pkg/exchange/max/maxapi/v3/get_margin_ad_ratio_request_requestgen.go

@@ -109,13 +109,21 @@ func (g *GetMarginADRatioRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
+// GetPath returns the request path of the API
+func (g *GetMarginADRatioRequest) GetPath() string {
+	return "/api/v3/wallet/m/ad_ratio"
+}
+
+// Do generates the request object and send the request object to the API endpoint
 func (g *GetMarginADRatioRequest) Do(ctx context.Context) (*ADRatio, error) {
 
 	// no body params
 	var params interface{}
 	query := url.Values{}
 
-	apiURL := "/api/v3/wallet/m/ad_ratio"
+	var apiURL string
+
+	apiURL = g.GetPath()
 
 	req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
 	if err != nil {
@@ -128,8 +136,32 @@ func (g *GetMarginADRatioRequest) Do(ctx context.Context) (*ADRatio, error) {
 	}
 
 	var apiResponse ADRatio
-	if err := response.DecodeJSON(&apiResponse); err != nil {
+
-		return nil, err
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
 	}
 	return &apiResponse, nil
 }

pkg/exchange/max/maxapi/v3/get_order_request_requestgen.go

@@ -136,6 +136,12 @@ func (g *GetOrderRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
+// GetPath returns the request path of the API
+func (g *GetOrderRequest) GetPath() string {
+	return "/api/v3/order"
+}
+
+// Do generates the request object and send the request object to the API endpoint
 func (g *GetOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 
 	// empty params for GET operation
@@ -145,7 +151,9 @@ func (g *GetOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 		return nil, err
 	}
 
-	apiURL := "/api/v3/order"
+	var apiURL string
+
+	apiURL = g.GetPath()
 
 	req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
 	if err != nil {
@@ -158,8 +166,32 @@ func (g *GetOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 	}
 
 	var apiResponse max.Order
-	if err := response.DecodeJSON(&apiResponse); err != nil {
+
-		return nil, err
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
 	}
 	return &apiResponse, nil
 }

pkg/exchange/max/maxapi/v3/get_order_trades_request_requestgen.go

@@ -135,6 +135,12 @@ func (g *GetOrderTradesRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
+// GetPath returns the request path of the API
+func (g *GetOrderTradesRequest) GetPath() string {
+	return "/api/v3/order/trades"
+}
+
+// Do generates the request object and send the request object to the API endpoint
 func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]Trade, error) {
 
 	// empty params for GET operation
@@ -144,7 +150,9 @@ func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]Trade, error) {
 		return nil, err
 	}
 
-	apiURL := "/api/v3/order/trades"
+	var apiURL string
+
+	apiURL = g.GetPath()
 
 	req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
 	if err != nil {
@@ -157,8 +165,32 @@ func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]Trade, error) {
 	}
 
 	var apiResponse []Trade
-	if err := response.DecodeJSON(&apiResponse); err != nil {
+
-		return nil, err
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
 	}
 	return apiResponse, nil
 }

pkg/migrations/mysql/main_20240918132534_add_position_index.go

@@ -0,0 +1,29 @@
+package mysql
+
+import (
+	"context"
+
+	"github.com/c9s/rockhopper/v2"
+)
+
+func init() {
+	AddMigration("main", up_main_addPositionIndex, down_main_addPositionIndex)
+}
+
+func up_main_addPositionIndex(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
+	// This code is executed when the migration is applied.
+	_, err = tx.ExecContext(ctx, "CREATE INDEX positions_traded_at ON positions (traded_at, profit);")
+	if err != nil {
+		return err
+	}
+	return err
+}
+
+func down_main_addPositionIndex(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
+	// This code is executed when the migration is rolled back.
+	_, err = tx.ExecContext(ctx, "DROP INDEX positions_traded_at ON positions;")
+	if err != nil {
+		return err
+	}
+	return err
+}

pkg/migrations/sqlite3/main_20240918132534_add_position_index.go

@@ -0,0 +1,29 @@
+package sqlite3
+
+import (
+	"context"
+
+	"github.com/c9s/rockhopper/v2"
+)
+
+func init() {
+	AddMigration("main", up_main_addPositionIndex, down_main_addPositionIndex)
+}
+
+func up_main_addPositionIndex(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
+	// This code is executed when the migration is applied.
+	_, err = tx.ExecContext(ctx, "CREATE INDEX positions_traded_at ON positions (traded_at, profit);")
+	if err != nil {
+		return err
+	}
+	return err
+}
+
+func down_main_addPositionIndex(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
+	// This code is executed when the migration is rolled back.
+	_, err = tx.ExecContext(ctx, "DROP INDEX positions_traded_at;")
+	if err != nil {
+		return err
+	}
+	return err
+}

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/dca2/take_profit.go

@@ -27,6 +27,10 @@ func (s *Strategy) placeTakeProfitOrders(ctx context.Context) error {
 	}
 
 	roundPosition := types.NewPositionFromMarket(s.Market)
+	roundPosition.SetExchangeFeeRate(s.ExchangeSession.ExchangeName, types.ExchangeFee{
+		MakerFeeRate: s.ExchangeSession.MakerFeeRate,
+		TakerFeeRate: s.ExchangeSession.TakerFeeRate,
+	})
 
 	for _, trade := range trades {
 		s.logger.Infof("add trade into the position of this round %s", trade.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 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)
 				}
 

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)
+	al := make([]float64, 0, l)
-	an := make([]float64, l)
+	an := make([]float64, 0, l)
-	as := make([]float64, 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))
+				sil = append(sil, 0, x_t[n-1-1]*transitProbability(i, j))
-				sin = append(sin, x_t[n-1-1]*transitProbability(i, j))
+				sin = append(sin, 0, x_t[n-1-1]*transitProbability(i, j))
-				sis = append(sis, 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)

pkg/strategy/xmaker/metrics.go

@@ -38,6 +38,12 @@ var askMarginMetrics = prometheus.NewGaugeVec(
 		Help: "the current ask margin (dynamic)",
 	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
 
+var aggregatedSignalMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_aggregated_signal",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
 var configNumOfLayersMetrics = prometheus.NewGaugeVec(
 	prometheus.GaugeOpts{
 		Name: "xmaker_config_num_of_layers",
@@ -70,6 +76,7 @@ func init() {
 		makerBestAskPriceMetrics,
 		bidMarginMetrics,
 		askMarginMetrics,
+		aggregatedSignalMetrics,
 		configNumOfLayersMetrics,
 		configMaxExposureMetrics,
 		configBidMarginMetrics,

pkg/strategy/xmaker/signal_boll.go

@@ -0,0 +1,87 @@
+package xmaker
+
+import (
+	"context"
+
+	"github.com/prometheus/client_golang/prometheus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/indicator/v2"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+var bollingerBandSignalMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_bollinger_band_signal",
+		Help: "",
+	}, []string{"symbol"})
+
+func init() {
+	prometheus.MustRegister(bollingerBandSignalMetrics)
+}
+
+type BollingerBandTrendSignal struct {
+	types.IntervalWindow
+	MinBandWidth float64 `json:"minBandWidth"`
+	MaxBandWidth float64 `json:"maxBandWidth"`
+
+	indicator *indicatorv2.BOLLStream
+	symbol    string
+	lastK     *types.KLine
+}
+
+func (s *BollingerBandTrendSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
+	if s.MaxBandWidth == 0.0 {
+		s.MaxBandWidth = 2.0
+	}
+
+	if s.MinBandWidth == 0.0 {
+		s.MinBandWidth = 1.0
+	}
+
+	s.symbol = symbol
+	s.indicator = session.Indicators(symbol).BOLL(s.IntervalWindow, s.MinBandWidth)
+
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.symbol, s.IntervalWindow.Interval, func(kline types.KLine) {
+		s.lastK = &kline
+	}))
+
+	bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
+	return nil
+}
+
+func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64, error) {
+	if s.lastK == nil {
+		return 0, nil
+	}
+
+	closePrice := s.lastK.Close
+
+	// when bid price is lower than the down band, then it's in the downtrend
+	// when ask price is higher than the up band, then it's in the uptrend
+	lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0))
+	lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0))
+
+	maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth
+
+	signal := 0.0
+
+	// if the price is inside the band, do not vote
+	if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
+		signal = 0.0
+	} else if closePrice.Compare(lastDownBand) < 0 {
+		signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0
+	} else if closePrice.Compare(lastUpBand) > 0 {
+		signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0
+	}
+
+	log.Infof("[BollingerBandTrendSignal] %f up/down = %f/%f, close price = %f",
+		signal,
+		lastUpBand.Float64(),
+		lastDownBand.Float64(),
+		closePrice.Float64())
+
+	bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(signal)
+	return signal, nil
+}

pkg/strategy/xmaker/signal_book.go

@@ -0,0 +1,68 @@
+package xmaker
+
+import (
+	"context"
+
+	"github.com/pkg/errors"
+	"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 orderBookSignalMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_order_book_signal",
+		Help: "",
+	}, []string{"symbol"})
+
+func init() {
+	prometheus.MustRegister(orderBookSignalMetrics)
+}
+
+type OrderBookBestPriceVolumeSignal struct {
+	RatioThreshold fixedpoint.Value `json:"ratioThreshold"`
+	MinVolume      fixedpoint.Value `json:"minVolume"`
+
+	symbol string
+	book   *types.StreamOrderBook
+}
+
+func (s *OrderBookBestPriceVolumeSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
+	if s.book == nil {
+		return errors.New("s.book can not be nil")
+	}
+
+	s.symbol = symbol
+	orderBookSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
+	return nil
+}
+
+func (s *OrderBookBestPriceVolumeSignal) CalculateSignal(ctx context.Context) (float64, error) {
+	bid, ask, ok := s.book.BestBidAndAsk()
+	if !ok {
+		return 0.0, nil
+	}
+
+	// TODO: may use scale to define this
+	sumVol := bid.Volume.Add(ask.Volume)
+	bidRatio := bid.Volume.Div(sumVol)
+	askRatio := ask.Volume.Div(sumVol)
+	denominator := fixedpoint.One.Sub(s.RatioThreshold)
+	signal := 0.0
+	if bid.Volume.Compare(s.MinVolume) < 0 && ask.Volume.Compare(s.MinVolume) < 0 {
+		signal = 0.0
+	} else if bidRatio.Compare(s.RatioThreshold) >= 0 {
+		numerator := bidRatio.Sub(s.RatioThreshold)
+		signal = numerator.Div(denominator).Float64()
+	} else if askRatio.Compare(s.RatioThreshold) >= 0 {
+		numerator := askRatio.Sub(s.RatioThreshold)
+		signal = -numerator.Div(denominator).Float64()
+	}
+
+	log.Infof("[OrderBookBestPriceVolumeSignal] %f bid/ask = %f/%f", signal, bid.Volume.Float64(), ask.Volume.Float64())
+
+	orderBookSignalMetrics.WithLabelValues(s.symbol).Set(signal)
+	return signal, nil
+}

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
+}

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)
+}

pkg/strategy/xmaker/strategy_test.go

@@ -2,28 +2,89 @@ package xmaker
 
 import (
 	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
+
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
 )
 
-func Test_aggregatePrice(t *testing.T) {
+func TestStrategy_getLayerPrice(t *testing.T) {
-	bids := types.PriceVolumeSlice{
+	symbol := "BTCUSDT"
-		{
+	market := Market(symbol)
-			Price:  fixedpoint.NewFromFloat(1000.0),
+
-			Volume: fixedpoint.NewFromFloat(1.0),
+	s := &Strategy{
-		},
+		UseDepthPrice: true,
-		{
+		DepthQuantity: Number(3.0),
-			Price:  fixedpoint.NewFromFloat(1200.0),
+		makerMarket:   market,
-			Volume: fixedpoint.NewFromFloat(1.0),
-		},
-		{
-			Price:  fixedpoint.NewFromFloat(1400.0),
-			Volume: fixedpoint.NewFromFloat(1.0),
-		},
 	}
 
+	sourceBook := types.NewStreamBook(symbol, types.ExchangeBinance)
+	sourceBook.Load(types.SliceOrderBook{
+		Symbol: symbol,
+		Bids: PriceVolumeSlice(
+			Number(1300.0), Number(1.0),
+			Number(1200.0), Number(2.0),
+			Number(1100.0), Number(3.0),
+		),
+		Asks: PriceVolumeSlice(
+			Number(1301.0), Number(1.0),
+			Number(1400.0), Number(2.0),
+			Number(1500.0), Number(3.0),
+		),
+		Time:         time.Time{},
+		LastUpdateId: 1,
+	})
+
+	quote := &Quote{
+		BestBidPrice: Number(1300.0),
+		BestAskPrice: Number(1301.0),
+		BidMargin:    Number(0.001),
+		AskMargin:    Number(0.001),
+		BidLayerPips: Number(100.0),
+		AskLayerPips: Number(100.0),
+	}
+
+	t.Run("depthPrice bid price at 0", func(t *testing.T) {
+		price := s.getLayerPrice(0, types.SideTypeBuy, sourceBook, quote, s.DepthQuantity)
+
+		// (1300 + 1200*2)/3 * (1 - 0.001)
+		assert.InDelta(t, 1232.10, price.Float64(), 0.01)
+	})
+
+	t.Run("depthPrice bid price at 1", func(t *testing.T) {
+		price := s.getLayerPrice(1, types.SideTypeBuy, sourceBook, quote, s.DepthQuantity)
+
+		// (1300 + 1200*2)/3 * (1 - 0.001) - 100 * 0.01
+		assert.InDelta(t, 1231.10, price.Float64(), 0.01)
+	})
+
+	t.Run("depthPrice ask price at 0", func(t *testing.T) {
+		price := s.getLayerPrice(0, types.SideTypeSell, sourceBook, quote, s.DepthQuantity)
+
+		// (1301 + 1400*2)/3 * (1 + 0.001)
+		assert.InDelta(t, 1368.367, price.Float64(), 0.01)
+	})
+
+	t.Run("depthPrice ask price at 1", func(t *testing.T) {
+		price := s.getLayerPrice(1, types.SideTypeSell, sourceBook, quote, s.DepthQuantity)
+
+		// (1301 + 1400*2)/3 * (1 + 0.001) + 100 * 0.01
+		assert.InDelta(t, 1369.367, price.Float64(), 0.01)
+	})
+
+}
+
+func Test_aggregatePrice(t *testing.T) {
+	bids := PriceVolumeSliceFromText(`
+	1000.0, 1.0
+	1200.0, 1.0
+	1400.0, 1.0
+`)
+
 	aggregatedPrice1 := aggregatePrice(bids, fixedpoint.NewFromFloat(0.5))
 	assert.Equal(t, fixedpoint.NewFromFloat(1000.0), aggregatedPrice1)
 

pkg/testing/testhelper/market.go

@@ -0,0 +1,43 @@
+package testhelper
+
+import (
+	"fmt"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+var markets = map[string]types.Market{
+	"BTCUSDT": {
+		Symbol:          "BTCUSDT",
+		PricePrecision:  2,
+		VolumePrecision: 8,
+		QuoteCurrency:   "USDT",
+		BaseCurrency:    "BTC",
+		MinNotional:     fixedpoint.MustNewFromString("0.001"),
+		MinAmount:       fixedpoint.MustNewFromString("10.0"),
+		MinQuantity:     fixedpoint.MustNewFromString("0.001"),
+		TickSize:        fixedpoint.MustNewFromString("0.01"),
+	},
+
+	"ETHUSDT": {
+		Symbol:          "ETH",
+		PricePrecision:  2,
+		VolumePrecision: 8,
+		QuoteCurrency:   "USDT",
+		BaseCurrency:    "ETH",
+		MinNotional:     fixedpoint.MustNewFromString("0.005"),
+		MinAmount:       fixedpoint.MustNewFromString("10.0"),
+		MinQuantity:     fixedpoint.MustNewFromString("0.001"),
+		TickSize:        fixedpoint.MustNewFromString("0.01"),
+	},
+}
+
+func Market(symbol string) types.Market {
+	market, ok := markets[symbol]
+	if !ok {
+		panic(fmt.Errorf("%s market not found, valid markets: %+v", symbol, markets))
+	}
+
+	return market
+}

pkg/testing/testhelper/pricevolumeslice.go

@@ -0,0 +1,49 @@
+package testhelper
+
+import (
+	"fmt"
+	"strings"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func PriceVolumeSliceFromText(str string) (slice types.PriceVolumeSlice) {
+	lines := strings.Split(str, "\n")
+	for _, line := range lines {
+		line = strings.TrimSpace(line)
+		if len(line) == 0 {
+			continue
+		}
+
+		cols := strings.SplitN(line, ",", 2)
+		if len(cols) < 2 {
+			panic(fmt.Errorf("column length should be 2, got %d", len(cols)))
+		}
+
+		price := fixedpoint.MustNewFromString(strings.TrimSpace(cols[0]))
+		volume := fixedpoint.MustNewFromString(strings.TrimSpace(cols[1]))
+		slice = append(slice, types.PriceVolume{
+			Price:  price,
+			Volume: volume,
+		})
+	}
+
+	return slice
+}
+
+func PriceVolumeSlice(values ...fixedpoint.Value) (slice types.PriceVolumeSlice) {
+	if len(values)%2 != 0 {
+		panic("values should be paired")
+	}
+
+	for i := 0; i < len(values); i += 2 {
+		slice = append(slice, types.PriceVolume{
+			Price:  values[i],
+			Volume: values[i+1],
+		})
+
+	}
+
+	return slice
+}

pkg/types/kline_test.go

@@ -2,8 +2,9 @@ package types
 
 import (
 	"encoding/json"
-	"github.com/stretchr/testify/assert"
 	"testing"
+
+	"github.com/stretchr/testify/assert"
 )
 
 func TestKLineWindow_Tail(t *testing.T) {

pkg/types/position.go

@@ -656,6 +656,12 @@ func (p *Position) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedp
 	return fixedpoint.Zero, fixedpoint.Zero, false
 }
 
+func (p *Position) UpdateMetrics() {
+	p.Lock()
+	p.updateMetrics()
+	p.Unlock()
+}
+
 func (p *Position) updateMetrics() {
 	// update the position metrics only if the position defines the strategy ID
 	if p.StrategyInstanceID == "" || p.Strategy == "" {

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)
 }

pkg/types/stream.go

@@ -249,7 +249,7 @@ func (s *StandardStream) Read(ctx context.Context, conn *websocket.Conn, cancel
 
 		default:
 			if err := conn.SetReadDeadline(time.Now().Add(readTimeout)); err != nil {
-				log.WithError(err).Errorf("set read deadline error: %s", err.Error())
+				log.WithError(err).Errorf("unable to set read deadline: %v", err)
 			}
 
 			mt, message, err := conn.ReadMessage()
@@ -300,7 +300,7 @@ func (s *StandardStream) Read(ctx context.Context, conn *websocket.Conn, cancel
 			var e interface{}
 			e, err = s.parser(message)
 			if err != nil {
-				log.WithError(err).Errorf("websocket event parse error, message: %s", message)
+				log.WithError(err).Errorf("unable to parse the websocket message. err: %v, message: %s", err, message)
 				// emit raw message even if occurs error, because we want anything can be detected
 				s.EmitRawMessage(message)
 				continue
@@ -352,7 +352,7 @@ func (s *StandardStream) ping(
 			}
 
 			if err := conn.WriteControl(websocket.PingMessage, nil, time.Now().Add(writeTimeout)); err != nil {
-				log.WithError(err).Error("ping error", err)
+				log.WithError(err).Warnf("unable to write ws control message, ping error: %v", err)
 				s.Reconnect()
 				return
 			}
@@ -439,7 +439,7 @@ func (s *StandardStream) reconnector(ctx context.Context) {
 
 			log.Warnf("re-connecting...")
 			if err := s.DialAndConnect(ctx); err != nil {
-				log.WithError(err).Errorf("re-connect error, try to reconnect later")
+				log.WithError(err).Warnf("re-connect error: %v, will reconnect again later...", err)
 
 				// re-emit the re-connect signal if error
 				s.Reconnect()

pkg/types/trade_stat.go

@@ -0,0 +1,151 @@
+package types
+
+import (
+	"math"
+
+	"gonum.org/v1/gonum/stat"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+const (
+	// DailyToAnnualFactor is the factor to scale daily observations to annual.
+	// Commonly defined as the number of public market trading days in a year.
+	DailyToAnnualFactor = 252 // todo does this apply to crypto at all?
+)
+
+// AnnualHistoricVolatility is the historic volatility of the equity curve as annualized std dev.
+func AnnualHistoricVolatility(data Series) float64 {
+	var sd = Stdev(data, data.Length(), 1)
+	return sd * math.Sqrt(DailyToAnnualFactor)
+}
+
+// CAGR is the Compound Annual Growth Rate of the equity curve.
+func CAGR(initial, final float64, days int) float64 {
+	var (
+		growthRate = (final - initial) / initial
+		x          = 1 + growthRate
+		y          = 365.0 / float64(days)
+	)
+	return math.Pow(x, y) - 1
+}
+
+// measures of risk-adjusted return based on drawdown risk
+
+// calmar ratio - discounts expected excess return of a portfolio by the
+// worst expected maximum draw down for that portfolio
+// CR = E(re)/MD1 = (E(r) - rf) / MD1
+func CalmarRatio(cagr, maxDrawdown float64) float64 {
+	return cagr / maxDrawdown
+}
+
+// Sterling ratio
+// discounts the expected excess return of a portfolio by the average of the N worst
+// expected maximum drawdowns for that portfolio
+// CR = E(re) / (1/N)(sum MDi)
+func SterlingRatio(cagr, avgDrawdown float64) float64 {
+	return cagr / avgDrawdown
+}
+
+// Burke Ratio
+// similar to sterling, but less sensitive to outliers
+// discounts the expected excess return of a portfolio by the square root of the average
+// of the N worst expected maximum drawdowns for that portfolio
+// BR = E(re) / ((1/N)(sum MD^2))^0.5            ---> smoothing, can take roots, logs etc
+func BurkeRatio(cagr, avgDrawdownSquared float64) float64 {
+	return cagr / math.Sqrt(avgDrawdownSquared)
+}
+
+// KellyCriterion the famous method for trade sizing.
+func KellyCriterion(profitFactor, winP fixedpoint.Value) fixedpoint.Value {
+	return profitFactor.Mul(winP).Sub(fixedpoint.One.Sub(winP)).Div(profitFactor)
+}
+
+// PRR (Pessimistic Return Ratio) is the profit factor with a penalty for a lower number of roundturns.
+func PRR(profit, loss, winningN, losingN fixedpoint.Value) fixedpoint.Value {
+	var (
+		winF  = 1 / math.Sqrt(1+winningN.Float64())
+		loseF = 1 / math.Sqrt(1+losingN.Float64())
+	)
+	return fixedpoint.NewFromFloat((1 - winF) / (1 + loseF) * (1 + profit.Float64()) / (1 + loss.Float64()))
+}
+
+// StatN returns the statistically significant number of samples required based on the distribution of a series.
+// From: https://www.elitetrader.com/et/threads/minimum-number-of-roundturns-required-for-backtesting-results-to-be-trusted.356588/page-2
+func StatN(xs floats.Slice) (sn, se fixedpoint.Value) {
+	var (
+		sd     = Stdev(xs, xs.Length(), 1)
+		m      = Mean(xs)
+		statn  = math.Pow(4*(sd/m), 2)
+		stdErr = stat.StdErr(sd, float64(xs.Length()))
+	)
+	return fixedpoint.NewFromFloat(statn), fixedpoint.NewFromFloat(stdErr)
+}
+
+// OptimalF is a function that returns the 'OptimalF' for a series of trade returns as defined by Ralph Vince.
+// It is a method for sizing positions to maximize geometric return whilst accounting for biggest trading loss.
+// See: https://www.investopedia.com/terms/o/optimalf.asp
+// Param roundturns is the series of profits (-ve amount for losses) for each trade
+func OptimalF(roundturns floats.Slice) fixedpoint.Value {
+	var (
+		maxTWR, optimalF float64
+		maxLoss          = roundturns.Min()
+	)
+	for i := 1.0; i <= 100.0; i++ {
+		twr := 1.0
+		f := i / 100
+		for j := range roundturns {
+			if roundturns[j] == 0 {
+				continue
+			}
+			hpr := 1 + f*(-roundturns[j]/maxLoss)
+			twr *= hpr
+		}
+		if twr > maxTWR {
+			maxTWR = twr
+			optimalF = f
+		}
+	}
+
+	return fixedpoint.NewFromFloat(optimalF)
+}
+
+// NN (Not Number) returns y if x is NaN or Inf.
+func NN(x, y float64) float64 {
+	if math.IsNaN(x) || math.IsInf(x, 0) {
+		return y
+	}
+	return x
+}
+
+// NNZ (Not Number or Zero) returns y if x is NaN or Inf or Zero.
+func NNZ(x, y float64) float64 {
+	if NN(x, y) == y || x == 0 {
+		return y
+	}
+	return x
+}
+
+// Compute the drawdown function associated to a portfolio equity curve,
+// also called the portfolio underwater equity curve.
+// Portfolio Optimization with Drawdown Constraints, Chekhlov et al., 2000
+// http://papers.ssrn.com/sol3/papers.cfm?abstract_id=223323
+func Drawdown(equityCurve floats.Slice) floats.Slice {
+	// Initialize highWaterMark
+	highWaterMark := math.Inf(-1)
+
+	// Create ddVector with the same length as equityCurve
+	ddVector := make([]float64, len(equityCurve))
+
+	// Loop over all the values to compute the drawdown vector
+	for i := 0; i < len(equityCurve); i++ {
+		if equityCurve[i] > highWaterMark {
+			highWaterMark = equityCurve[i]
+		}
+
+		ddVector[i] = (highWaterMark - equityCurve[i]) / highWaterMark
+	}
+
+	return ddVector
+}

pkg/types/trade_stat_test.go

@@ -0,0 +1,56 @@
+package types
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+func TestCAGR(t *testing.T) {
+	giveInitial := 1000.0
+	giveFinal := 2500.0
+	giveDays := 190
+	want := 4.81
+	act := CAGR(giveInitial, giveFinal, giveDays)
+	assert.InDelta(t, want, act, 0.01)
+}
+
+func TestKellyCriterion(t *testing.T) {
+	var (
+		giveProfitFactor = fixedpoint.NewFromFloat(1.6)
+		giveWinP         = fixedpoint.NewFromFloat(0.7)
+		want             = 0.51
+		act              = KellyCriterion(giveProfitFactor, giveWinP)
+	)
+	assert.InDelta(t, want, act.Float64(), 0.01)
+}
+
+func TestAnnualHistoricVolatility(t *testing.T) {
+	var (
+		give = floats.Slice{0.1, 0.2, -0.15, 0.1, 0.8, -0.3, 0.2}
+		want = 5.51
+		act  = AnnualHistoricVolatility(give)
+	)
+	assert.InDelta(t, want, act, 0.01)
+}
+
+func TestOptimalF(t *testing.T) {
+	roundturns := floats.Slice{10, 20, 50, -10, 40, -40}
+	f := OptimalF(roundturns)
+	assert.EqualValues(t, 0.45, f.Float64())
+}
+
+func TestDrawdown(t *testing.T) {
+	roundturns := floats.Slice{100, 50, 100}
+	expected := []float64{.0, .5, .0}
+	drawdown := Drawdown(roundturns)
+	assert.EqualValues(t, 0.5, drawdown.Max())
+	assert.EqualValues(t, 0.16666666666666666, drawdown.Average())
+	assert.EqualValues(t, 0.08333333333333333, drawdown.AverageSquared())
+	for i, v := range expected {
+		assert.EqualValues(t, v, drawdown[i])
+	}
+}

pkg/types/trade_stats.go

@@ -8,45 +8,16 @@ import (
 	"time"
 
 	log "github.com/sirupsen/logrus"
-
 	"gopkg.in/yaml.v3"
 
 	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
-type IntervalProfitCollector struct {
+const (
-	Interval  Interval      `json:"interval"`
+	ErrStartTimeNotValid = "No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?"
-	Profits   *floats.Slice `json:"profits"`
+	ErrProfitArrEmpty    = "profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?"
-	Timestamp *floats.Slice `json:"timestamp"`
+)
-	tmpTime   time.Time     `json:"tmpTime"`
-}
-
-func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
-	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &floats.Slice{1.}, Timestamp: &floats.Slice{float64(startTime.Unix())}}
-}
-
-// Update the collector by every traded profit
-func (s *IntervalProfitCollector) Update(profit *Profit) {
-	if s.tmpTime.IsZero() {
-		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
-	} else {
-		duration := s.Interval.Duration()
-		if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
-			(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
-		} else {
-			for {
-				s.Profits.Update(1.)
-				s.tmpTime = s.tmpTime.Add(duration)
-				s.Timestamp.Update(float64(s.tmpTime.Unix()))
-				if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
-					(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
-					break
-				}
-			}
-		}
-	}
-}
 
 type ProfitReport struct {
 	StartTime time.Time `json:"startTime"`
@@ -62,6 +33,55 @@ func (s ProfitReport) String() string {
 	return string(b)
 }
 
+type IntervalProfitCollector struct {
+	Interval     Interval        `json:"interval"`
+	Profits      floats.Slice    `json:"profits"`
+	TimeInMarket []time.Duration `json:"timeInMarket"`
+	Timestamp    floats.Slice    `json:"timestamp"`
+	tmpTime      time.Time       `json:"tmpTime"`
+}
+
+func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
+	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: floats.Slice{1.}, Timestamp: floats.Slice{float64(startTime.Unix())}}
+}
+
+// Update the collector by every traded profit
+func (s *IntervalProfitCollector) Update(profit *Profit) {
+	if s.tmpTime.IsZero() {
+		panic(ErrStartTimeNotValid)
+	} else {
+		s.TimeInMarket = append(s.TimeInMarket, profit.TradedAt.Sub(profit.PositionOpenedAt))
+		duration := s.Interval.Duration()
+		if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
+			(s.Profits)[len(s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
+		} else {
+			for {
+				s.Profits.Update(1.)
+				s.tmpTime = s.tmpTime.Add(duration)
+				s.Timestamp.Update(float64(s.tmpTime.Unix()))
+				if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
+					(s.Profits)[len(s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
+					break
+				}
+			}
+		}
+	}
+}
+
+// Determine average and total time spend in market
+func (s *IntervalProfitCollector) GetTimeInMarket() (avgHoldSec, totalTimeInMarketSec int64) {
+	if s.Profits == nil {
+		return 0, 0
+	}
+	l := len(s.TimeInMarket)
+	for i := 0; i < l; i++ {
+		d := s.TimeInMarket[i]
+		totalTimeInMarketSec += int64(d / time.Millisecond)
+	}
+	avgHoldSec = totalTimeInMarketSec / int64(l)
+	return
+}
+
 // Get all none-profitable intervals
 func (s *IntervalProfitCollector) GetNonProfitableIntervals() (result []ProfitReport) {
 	if s.Profits == nil {
@@ -93,9 +113,9 @@ func (s *IntervalProfitCollector) GetProfitableIntervals() (result []ProfitRepor
 // Get number of profitable traded intervals
 func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrProfitArrEmpty)
 	}
-	for _, v := range *s.Profits {
+	for _, v := range s.Profits {
 		if v > 1. {
 			profit += 1
 		}
@@ -107,9 +127,9 @@ func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
 // (no trade within the interval or pnl = 0 will be also included here)
 func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit int) {
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrProfitArrEmpty)
 	}
-	for _, v := range *s.Profits {
+	for _, v := range s.Profits {
 		if v <= 1. {
 			nonprofit += 1
 		}
@@ -121,10 +141,11 @@ func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit in
 // no smart sharpe ON for the calculated result
 func (s *IntervalProfitCollector) GetSharpe() float64 {
 	if s.tmpTime.IsZero() {
-		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrStartTimeNotValid)
 	}
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrStartTimeNotValid)
+
 	}
 	return Sharpe(Sub(s.Profits, 1.), s.Profits.Length(), true, false)
 }
@@ -133,10 +154,10 @@ func (s *IntervalProfitCollector) GetSharpe() float64 {
 // No risk-free return rate and smart sortino OFF for the calculated result.
 func (s *IntervalProfitCollector) GetSortino() float64 {
 	if s.tmpTime.IsZero() {
-		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrStartTimeNotValid)
 	}
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrProfitArrEmpty)
 	}
 	return Sortino(Sub(s.Profits, 1.), 0., s.Profits.Length(), true, false)
 }

pkg/version/dev.go

@@ -3,6 +3,6 @@
 
 package version
 
-const Version = "v1.60.0-3a2e4dfd2-dev"
+const Version = "v1.60.3-26b1fd2ae-dev"
 
-const VersionGitRef = "3a2e4dfd2"
+const VersionGitRef = "26b1fd2ae"

pkg/version/version.go

@@ -3,6 +3,6 @@
 
 package version
 
-const Version = "v1.60.0-3a2e4dfd2"
+const Version = "v1.60.3-26b1fd2ae"
 
-const VersionGitRef = "3a2e4dfd2"
+const VersionGitRef = "26b1fd2ae"