mirror of
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1 Commits
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b167e57960
| Author | SHA1 | Date | |
|---|---|---|---|
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b167e57960 |
2
.github/workflows/go.yml
vendored
2
.github/workflows/go.yml
vendored
|
|
@ -90,7 +90,7 @@ jobs:
|
|||
sed -i -e '/_requestgen.go/d' coverage_dnum.txt
|
||||
|
||||
- name: Revive Check
|
||||
uses: morphy2k/revive-action@v2.5.10 # https://github.com/mgechev/revive/issues/956
|
||||
uses: morphy2k/revive-action@v2.5.9 # https://github.com/mgechev/revive/issues/956
|
||||
with:
|
||||
reporter: github-pr-review
|
||||
fail_on_error: true
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -41,4 +41,4 @@ bbgo account [--session SESSION] [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -50,4 +50,4 @@ bbgo backtest [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -40,4 +40,4 @@ bbgo balances [--session SESSION] [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -39,4 +39,4 @@ bbgo build [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -49,4 +49,4 @@ bbgo cancel-order [flags]
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|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -41,4 +41,4 @@ bbgo deposits [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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
|
||||
--delay-interval duration order delay time after filled (default 3s)
|
||||
-h, --help help for execute-order
|
||||
--order-update-rate-limit string order update rate limit, syntax: 1+1/1m (default "1s")
|
||||
--price-ticks int the number of price tick for the jump spread, default to 0
|
||||
--session string the exchange session name for sync
|
||||
--side string the trading side: buy or sell
|
||||
--slice-quantity string slice quantity
|
||||
--stop-price string stop price (default "0")
|
||||
--symbol string the trading pair, like btcusdt
|
||||
--target-quantity string target quantity
|
||||
--update-interval duration order update time (default 10s)
|
||||
--deadline duration deadline of the order execution
|
||||
-h, --help help for execute-order
|
||||
--price-ticks int the number of price tick for the jump spread, default to 0
|
||||
--session string the exchange session name for sync
|
||||
--side string the trading side: buy or sell
|
||||
--slice-quantity string slice quantity
|
||||
--stop-price string stop price (default "0")
|
||||
--symbol string the trading pair, like btcusdt
|
||||
--target-quantity string target quantity
|
||||
--update-interval duration order update time (default 10s)
|
||||
```
|
||||
|
||||
### 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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -45,4 +45,4 @@ bbgo hoptimize [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -42,4 +42,4 @@ bbgo kline [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -40,4 +40,4 @@ bbgo market [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -44,4 +44,4 @@ bbgo optimize [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -40,4 +40,4 @@ bbgo orderupdate [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -49,4 +49,4 @@ bbgo pnl [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -51,4 +51,4 @@ bbgo run [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -42,4 +42,4 @@ bbgo transfer-history [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -40,4 +40,4 @@ bbgo userdatastream [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -39,4 +39,4 @@ bbgo version [flags]
|
|||
|
||||
* [bbgo](bbgo.md) - bbgo is a crypto trading bot
|
||||
|
||||
###### Auto generated by spf13/cobra on 16-Sep-2024
|
||||
###### Auto generated by spf13/cobra on 21-Aug-2024
|
||||
|
|
|
|||
|
|
@ -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_BOT_AUTH_TOKEN` in the `.env.local` file, e.g.,
|
||||
you can set `TELEGRAM_AUTH_TOKEN` in the `.env.local` file, e.g.,
|
||||
|
||||
```sh
|
||||
TELEGRAM_BOT_AUTH_TOKEN=itsme55667788
|
||||
|
|
|
|||
|
|
@ -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
|
||||
|
|
@ -1,18 +0,0 @@
|
|||
[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
|
||||
|
|
@ -1,4 +0,0 @@
|
|||
[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
|
||||
8
go.mod
8
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 v1.4.3
|
||||
github.com/c9s/requestgen v1.3.6
|
||||
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 v1.14.23 // indirect
|
||||
github.com/mattn/go-sqlite3 v1.14.22 // 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 v0.20.0 // indirect
|
||||
golang.org/x/mod v0.17.0 // 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 v0.24.0 // indirect
|
||||
golang.org/x/tools v0.21.1-0.20240508182429-e35e4ccd0d2d // 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
|
||||
|
|
|
|||
16
go.sum
16
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 v1.4.3 h1:0QZ27RVBLb9QuBKfiSBTOB5zSUuasrJm2p6/GZZHZZw=
|
||||
github.com/c9s/requestgen v1.4.3/go.mod h1:3gk1M2ihvNU2wWl7WLUc09myp7XpHMP33Dx96+Vr8A0=
|
||||
github.com/c9s/requestgen v1.3.6 h1:ul7dZ2uwGYjNBjreooRfSY10WTXvQmQSjZsHebz6QfE=
|
||||
github.com/c9s/requestgen v1.3.6/go.mod h1:QwkZudcv84kJ8g9+E0RDTj+13btFXbTvv2aI+zbuLbc=
|
||||
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 v1.14.23 h1:gbShiuAP1W5j9UOksQ06aiiqPMxYecovVGwmTxWtuw0=
|
||||
github.com/mattn/go-sqlite3 v1.14.23/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
|
||||
github.com/mattn/go-sqlite3 v1.14.22 h1:2gZY6PC6kBnID23Tichd1K+Z0oS6nE/XwU+Vz/5o4kU=
|
||||
github.com/mattn/go-sqlite3 v1.14.22/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 v0.20.0 h1:utOm6MM3R3dnawAiJgn0y+xvuYRsm1RKM/4giyfDgV0=
|
||||
golang.org/x/mod v0.20.0/go.mod h1:hTbmBsO62+eylJbnUtE2MGJUyE7QWk4xUqPFrRgJ+7c=
|
||||
golang.org/x/mod v0.17.0 h1:zY54UmvipHiNd+pm+m0x9KhZ9hl1/7QNMyxXbc6ICqA=
|
||||
golang.org/x/mod v0.17.0/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 v0.24.0 h1:J1shsA93PJUEVaUSaay7UXAyE8aimq3GW0pjlolpa24=
|
||||
golang.org/x/tools v0.24.0/go.mod h1:YhNqVBIfWHdzvTLs0d8LCuMhkKUgSUKldakyV7W/WDQ=
|
||||
golang.org/x/tools v0.21.1-0.20240508182429-e35e4ccd0d2d h1:vU5i/LfpvrRCpgM/VPfJLg5KjxD3E+hfT1SH+d9zLwg=
|
||||
golang.org/x/tools v0.21.1-0.20240508182429-e35e4ccd0d2d/go.mod h1:aiJjzUbINMkxbQROHiO6hDPo2LHcIPhhQsa9DLh0yGk=
|
||||
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=
|
||||
|
|
|
|||
|
|
@ -1,10 +0,0 @@
|
|||
-- +up
|
||||
-- +begin
|
||||
CREATE INDEX positions_traded_at ON positions (traded_at, profit);
|
||||
-- +end
|
||||
|
||||
-- +down
|
||||
|
||||
-- +begin
|
||||
DROP INDEX positions_traded_at ON positions;
|
||||
-- +end
|
||||
|
|
@ -1,10 +0,0 @@
|
|||
-- +up
|
||||
-- +begin
|
||||
CREATE INDEX positions_traded_at ON positions (traded_at, profit);
|
||||
-- +end
|
||||
|
||||
-- +down
|
||||
|
||||
-- +begin
|
||||
DROP INDEX positions_traded_at;
|
||||
-- +end
|
||||
|
|
@ -359,7 +359,6 @@ func (b *ActiveOrderBook) Add(orders ...types.Order) {
|
|||
}
|
||||
|
||||
b.add(order)
|
||||
b.EmitNew(order)
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -467,12 +466,6 @@ 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)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -5,8 +5,6 @@ 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 {
|
||||
|
|
@ -59,20 +57,10 @@ func (store *MarketDataStore) AddKLine(k types.KLine) {
|
|||
}
|
||||
window.Add(k)
|
||||
|
||||
truncateKLineWindowIfNeeded(window)
|
||||
if len(*window) > MaxNumOfKLines {
|
||||
*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]
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1,45 +0,0 @@
|
|||
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++
|
||||
}
|
||||
}
|
||||
|
|
@ -12,16 +12,12 @@ 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
|
||||
|
|
@ -35,15 +31,12 @@ 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)
|
||||
|
|
@ -51,21 +44,12 @@ 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()
|
||||
|
|
@ -74,7 +58,6 @@ func (m *QuotaTransaction) Commit() bool {
|
|||
return true
|
||||
}
|
||||
|
||||
// Rollback rolls back the transaction
|
||||
func (m *QuotaTransaction) Rollback() bool {
|
||||
m.mu.Lock()
|
||||
m.BaseAsset.Rollback()
|
||||
|
|
|
|||
|
|
@ -405,8 +405,6 @@ 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
|
||||
|
|
|
|||
|
|
@ -16,18 +16,8 @@ import (
|
|||
)
|
||||
|
||||
// Strategy method calls:
|
||||
// -> Defaults() (optional method)
|
||||
//
|
||||
// setup default static values from constants
|
||||
//
|
||||
// -> Initialize() (optional method)
|
||||
//
|
||||
// initialize dynamic runtime objects
|
||||
//
|
||||
// -> Subscribe()
|
||||
//
|
||||
// register the subscriptions
|
||||
//
|
||||
// -> Defaults() (optional method)
|
||||
// -> Validate() (optional method)
|
||||
// -> Run() (optional method)
|
||||
// -> Shutdown(shutdownCtx context.Context, wg *sync.WaitGroup)
|
||||
|
|
@ -122,12 +112,6 @@ 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)
|
||||
}
|
||||
|
|
@ -187,6 +171,12 @@ 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)
|
||||
}
|
||||
|
|
@ -248,6 +238,12 @@ 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 {
|
||||
|
|
@ -308,6 +304,12 @@ 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 {
|
||||
|
|
@ -354,23 +356,8 @@ 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()
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1005,13 +1005,16 @@ func (e *Exchange) submitMarginOrder(ctx context.Context, order types.SubmitOrde
|
|||
}
|
||||
}
|
||||
|
||||
if len(order.TimeInForce) > 0 {
|
||||
// TODO: check the TimeInForce value
|
||||
req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
|
||||
} else {
|
||||
switch order.Type {
|
||||
case types.OrderTypeLimit, types.OrderTypeStopLimit:
|
||||
req.TimeInForce(binance.TimeInForceTypeGTC)
|
||||
// could be IOC or FOK
|
||||
switch order.Type {
|
||||
case types.OrderTypeLimit, types.OrderTypeStopLimit:
|
||||
req.TimeInForce(binance.TimeInForceTypeGTC)
|
||||
case types.OrderTypeLimitMaker:
|
||||
// do not set TimeInForce for LimitMaker
|
||||
default:
|
||||
if len(order.TimeInForce) > 0 {
|
||||
// TODO: check the TimeInForce value
|
||||
req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
|
||||
}
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -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)
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -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 {
|
||||
|
|
|
|||
|
|
@ -136,12 +136,6 @@ 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()
|
||||
|
|
@ -150,9 +144,7 @@ func (c *CancelOrderRequest) Do(ctx context.Context) (*max.Order, error) {
|
|||
}
|
||||
query := url.Values{}
|
||||
|
||||
var apiURL string
|
||||
|
||||
apiURL = c.GetPath()
|
||||
apiURL := "/api/v3/order"
|
||||
|
||||
req, err := c.client.NewAuthenticatedRequest(ctx, "DELETE", apiURL, query, params)
|
||||
if err != nil {
|
||||
|
|
@ -165,32 +157,8 @@ func (c *CancelOrderRequest) Do(ctx context.Context) (*max.Order, error) {
|
|||
}
|
||||
|
||||
var apiResponse max.Order
|
||||
|
||||
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
|
||||
}
|
||||
if err := response.DecodeJSON(&apiResponse); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
return &apiResponse, nil
|
||||
}
|
||||
|
|
|
|||
|
|
@ -6,10 +6,11 @@ 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 {
|
||||
|
|
@ -165,12 +166,6 @@ 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()
|
||||
|
|
@ -179,9 +174,7 @@ func (c *CancelWalletOrderAllRequest) Do(ctx context.Context) ([]OrderCancelResp
|
|||
}
|
||||
query := url.Values{}
|
||||
|
||||
var apiURL string
|
||||
|
||||
apiURL = c.GetPath()
|
||||
apiURL := "/api/v3/wallet/:walletType/orders"
|
||||
slugs, err := c.GetSlugsMap()
|
||||
if err != nil {
|
||||
return nil, err
|
||||
|
|
@ -200,32 +193,8 @@ func (c *CancelWalletOrderAllRequest) Do(ctx context.Context) ([]OrderCancelResp
|
|||
}
|
||||
|
||||
var apiResponse []OrderCancelResponse
|
||||
|
||||
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
|
||||
}
|
||||
if err := response.DecodeJSON(&apiResponse); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
return apiResponse, nil
|
||||
}
|
||||
|
|
|
|||
|
|
@ -236,12 +236,6 @@ 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()
|
||||
|
|
@ -250,9 +244,7 @@ func (c *CreateWalletOrderRequest) Do(ctx context.Context) (*max.Order, error) {
|
|||
}
|
||||
query := url.Values{}
|
||||
|
||||
var apiURL string
|
||||
|
||||
apiURL = c.GetPath()
|
||||
apiURL := "/api/v3/wallet/:walletType/order"
|
||||
slugs, err := c.GetSlugsMap()
|
||||
if err != nil {
|
||||
return nil, err
|
||||
|
|
@ -271,32 +263,8 @@ func (c *CreateWalletOrderRequest) Do(ctx context.Context) (*max.Order, error) {
|
|||
}
|
||||
|
||||
var apiResponse max.Order
|
||||
|
||||
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
|
||||
}
|
||||
if err := response.DecodeJSON(&apiResponse); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
return &apiResponse, nil
|
||||
}
|
||||
|
|
|
|||
|
|
@ -109,21 +109,13 @@ 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{}
|
||||
|
||||
var apiURL string
|
||||
|
||||
apiURL = g.GetPath()
|
||||
apiURL := "/api/v3/wallet/m/ad_ratio"
|
||||
|
||||
req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
|
||||
if err != nil {
|
||||
|
|
@ -136,32 +128,8 @@ func (g *GetMarginADRatioRequest) Do(ctx context.Context) (*ADRatio, error) {
|
|||
}
|
||||
|
||||
var apiResponse ADRatio
|
||||
|
||||
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
|
||||
}
|
||||
if err := response.DecodeJSON(&apiResponse); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
return &apiResponse, nil
|
||||
}
|
||||
|
|
|
|||
|
|
@ -136,12 +136,6 @@ 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
|
||||
|
|
@ -151,9 +145,7 @@ func (g *GetOrderRequest) Do(ctx context.Context) (*max.Order, error) {
|
|||
return nil, err
|
||||
}
|
||||
|
||||
var apiURL string
|
||||
|
||||
apiURL = g.GetPath()
|
||||
apiURL := "/api/v3/order"
|
||||
|
||||
req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
|
||||
if err != nil {
|
||||
|
|
@ -166,32 +158,8 @@ func (g *GetOrderRequest) Do(ctx context.Context) (*max.Order, error) {
|
|||
}
|
||||
|
||||
var apiResponse max.Order
|
||||
|
||||
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
|
||||
}
|
||||
if err := response.DecodeJSON(&apiResponse); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
return &apiResponse, nil
|
||||
}
|
||||
|
|
|
|||
|
|
@ -135,12 +135,6 @@ 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
|
||||
|
|
@ -150,9 +144,7 @@ func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]Trade, error) {
|
|||
return nil, err
|
||||
}
|
||||
|
||||
var apiURL string
|
||||
|
||||
apiURL = g.GetPath()
|
||||
apiURL := "/api/v3/order/trades"
|
||||
|
||||
req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
|
||||
if err != nil {
|
||||
|
|
@ -165,32 +157,8 @@ func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]Trade, error) {
|
|||
}
|
||||
|
||||
var apiResponse []Trade
|
||||
|
||||
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
|
||||
}
|
||||
if err := response.DecodeJSON(&apiResponse); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
return apiResponse, nil
|
||||
}
|
||||
|
|
|
|||
File diff suppressed because it is too large
Load Diff
|
|
@ -1,29 +0,0 @@
|
|||
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
|
||||
}
|
||||
|
|
@ -1,29 +0,0 @@
|
|||
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
|
||||
}
|
||||
|
|
@ -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 {
|
||||
|
|
|
|||
|
|
@ -27,10 +27,6 @@ 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())
|
||||
|
|
|
|||
|
|
@ -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)
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -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, 0, l)
|
||||
an := make([]float64, 0, l)
|
||||
as := make([]float64, 0, l)
|
||||
al := make([]float64, l)
|
||||
an := make([]float64, l)
|
||||
as := make([]float64, 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, 0, x_t[n-1-1]*transitProbability(i, j))
|
||||
sin = append(sin, 0, x_t[n-1-1]*transitProbability(i, j))
|
||||
sis = append(sis, 0, x_t[n-1-1]*transitProbability(i, j))
|
||||
sil = append(sil, x_t[n-1-1]*transitProbability(i, j))
|
||||
sin = append(sin, x_t[n-1-1]*transitProbability(i, j))
|
||||
sis = append(sis, x_t[n-1-1]*transitProbability(i, j))
|
||||
}
|
||||
if j > 0 {
|
||||
_, longArr := floats.MinMax(sil, 3)
|
||||
|
|
|
|||
|
|
@ -38,12 +38,6 @@ 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",
|
||||
|
|
@ -76,7 +70,6 @@ func init() {
|
|||
makerBestAskPriceMetrics,
|
||||
bidMarginMetrics,
|
||||
askMarginMetrics,
|
||||
aggregatedSignalMetrics,
|
||||
configNumOfLayersMetrics,
|
||||
configMaxExposureMetrics,
|
||||
configBidMarginMetrics,
|
||||
|
|
|
|||
|
|
@ -1,87 +0,0 @@
|
|||
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
|
||||
}
|
||||
|
|
@ -1,68 +0,0 @@
|
|||
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
|
||||
}
|
||||
|
|
@ -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
|
||||
}
|
||||
|
|
@ -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)
|
||||
}
|
||||
File diff suppressed because it is too large
Load Diff
|
|
@ -2,88 +2,27 @@ package xmaker
|
|||
|
||||
import (
|
||||
"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"
|
||||
"github.com/stretchr/testify/assert"
|
||||
)
|
||||
|
||||
func TestStrategy_getLayerPrice(t *testing.T) {
|
||||
symbol := "BTCUSDT"
|
||||
market := Market(symbol)
|
||||
|
||||
s := &Strategy{
|
||||
UseDepthPrice: true,
|
||||
DepthQuantity: Number(3.0),
|
||||
makerMarket: market,
|
||||
}
|
||||
|
||||
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
|
||||
`)
|
||||
bids := types.PriceVolumeSlice{
|
||||
{
|
||||
Price: fixedpoint.NewFromFloat(1000.0),
|
||||
Volume: fixedpoint.NewFromFloat(1.0),
|
||||
},
|
||||
{
|
||||
Price: fixedpoint.NewFromFloat(1200.0),
|
||||
Volume: fixedpoint.NewFromFloat(1.0),
|
||||
},
|
||||
{
|
||||
Price: fixedpoint.NewFromFloat(1400.0),
|
||||
Volume: fixedpoint.NewFromFloat(1.0),
|
||||
},
|
||||
}
|
||||
|
||||
aggregatedPrice1 := aggregatePrice(bids, fixedpoint.NewFromFloat(0.5))
|
||||
assert.Equal(t, fixedpoint.NewFromFloat(1000.0), aggregatedPrice1)
|
||||
|
|
|
|||
|
|
@ -1,43 +0,0 @@
|
|||
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
|
||||
}
|
||||
|
|
@ -1,49 +0,0 @@
|
|||
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
|
||||
}
|
||||
|
|
@ -2,9 +2,8 @@ package types
|
|||
|
||||
import (
|
||||
"encoding/json"
|
||||
"testing"
|
||||
|
||||
"github.com/stretchr/testify/assert"
|
||||
"testing"
|
||||
)
|
||||
|
||||
func TestKLineWindow_Tail(t *testing.T) {
|
||||
|
|
|
|||
|
|
@ -656,12 +656,6 @@ 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 == "" {
|
||||
|
|
|
|||
|
|
@ -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)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -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("unable to set read deadline: %v", err)
|
||||
log.WithError(err).Errorf("set read deadline error: %s", err.Error())
|
||||
}
|
||||
|
||||
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("unable to parse the websocket message. err: %v, message: %s", err, message)
|
||||
log.WithError(err).Errorf("websocket event parse error, message: %s", 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).Warnf("unable to write ws control message, ping error: %v", err)
|
||||
log.WithError(err).Error("ping error", 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).Warnf("re-connect error: %v, will reconnect again later...", err)
|
||||
log.WithError(err).Errorf("re-connect error, try to reconnect later")
|
||||
|
||||
// re-emit the re-connect signal if error
|
||||
s.Reconnect()
|
||||
|
|
|
|||
|
|
@ -3,6 +3,6 @@
|
|||
|
||||
package version
|
||||
|
||||
const Version = "v1.60.3-26b1fd2ae-dev"
|
||||
const Version = "v1.60.0-3a2e4dfd2-dev"
|
||||
|
||||
const VersionGitRef = "26b1fd2ae"
|
||||
const VersionGitRef = "3a2e4dfd2"
|
||||
|
|
|
|||
|
|
@ -3,6 +3,6 @@
|
|||
|
||||
package version
|
||||
|
||||
const Version = "v1.60.3-26b1fd2ae"
|
||||
const Version = "v1.60.0-3a2e4dfd2"
|
||||
|
||||
const VersionGitRef = "26b1fd2ae"
|
||||
const VersionGitRef = "3a2e4dfd2"
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user