bbgo

package
v1.19.4 Latest Latest
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 Go to latest Published: Dec 8, 2021 License: MIT Imports: 41 Imported by: 97

Documentation

Index

Constants

View Source 
const MaxNumOfKLines = 5_000
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const MaxNumOfKLinesTruncate = 100
View Source 
const TemplateOrderReport = `:handshake: {{ .Symbol }} {{ .Side }} Order Update @ {{ .Price  }}`

Variables

View Source 
var (
	ErrQuoteBalanceLevelTooLow  = errors.New("quote balance level is too low")
	ErrInsufficientQuoteBalance = errors.New("insufficient quote balance")

	ErrAssetBalanceLevelTooLow  = errors.New("asset balance level too low")
	ErrInsufficientAssetBalance = errors.New("insufficient asset balance")
	ErrAssetBalanceLevelTooHigh = errors.New("asset balance level too high")
)
View Source 
var ErrSessionAlreadyInitialized = errors.New("session is already initialized")
View Source 
var IsWrapperBinary = false
View Source 
var LoadedCrossExchangeStrategies = make(map[string]CrossExchangeStrategy)
View Source 
var LoadedExchangeStrategies = make(map[string]SingleExchangeStrategy)
View Source 
var LocalTimeZone *time.Location

Functions

func AdjustFloatQuantityByMaxAmount added in v1.17.0 

func AdjustFloatQuantityByMaxAmount(quantity float64, price float64, maxAmount float64) float64

func AdjustFloatQuantityByMinAmount added in v1.17.0 

func AdjustFloatQuantityByMinAmount(quantity, currentPrice, minAmount float64) float64

AdjustFloatQuantityByMinAmount adjusts the quantity to make the amount greater than the given minAmount

func AdjustQuantityByMaxAmount added in v1.16.0 

func AdjustQuantityByMaxAmount(quantity, currentPrice, maxAmount fixedpoint.Value) fixedpoint.Value

AdjustQuantityByMaxAmount adjusts the quantity to make the amount greater than the given minAmount

func AdjustQuantityByMinAmount added in v1.16.0 

func AdjustQuantityByMinAmount(quantity, currentPrice, minAmount fixedpoint.Value) fixedpoint.Value

AdjustQuantityByMinAmount adjusts the quantity to make the amount greater than the given minAmount

func Build added in v1.9.0 

func Build(ctx context.Context, userConfig *Config, targetConfig BuildTargetConfig) (string, error)

func BuildTarget added in v1.9.0 

func BuildTarget(ctx context.Context, userConfig *Config, target BuildTargetConfig) (string, error)

func CacheDir 

func CacheDir() string

func HomeDir 

func HomeDir() string

func InitExchangeSession added in v1.16.0 

func InitExchangeSession(name string, session *ExchangeSession) error

func LoadExchangeMarketsWithCache 

func LoadExchangeMarketsWithCache(ctx context.Context, ex types.Exchange) (markets types.MarketMap, err error)

func RegisterStrategy 

func RegisterStrategy(key string, s interface{})

func SetWrapperBinary added in v1.9.0 

func SetWrapperBinary()

func WithCache 

func WithCache(key string, obj interface{}, fetcher DataFetcher) error

WithCache let you use the cache with the given cache key, variable reference and your data fetcher, The key must be an unique ID. obj is the pointer of your local variable fetcher is the closure that will fetch your remote data or some slow operation.

Types

type AverageCostPnLReporter 

type AverageCostPnLReporter struct {
	Sessions []string
	Symbols  []string
	// contains filtered or unexported fields
}

func (*AverageCostPnLReporter) Of 

func (reporter *AverageCostPnLReporter) Of(sessions ...string) *AverageCostPnLReporter

func (*AverageCostPnLReporter) Run 

func (reporter *AverageCostPnLReporter) Run()

func (*AverageCostPnLReporter) When 

func (reporter *AverageCostPnLReporter) When(specs ...string) *AverageCostPnLReporter

type Backtest 

type Backtest struct {
	StartTime string `json:"startTime" yaml:"startTime"`
	EndTime   string `json:"endTime" yaml:"endTime"`

	// RecordTrades is an option, if set to true, back-testing should record the trades into database
	RecordTrades bool            `json:"recordTrades,omitempty" yaml:"recordTrades,omitempty"`
	Account      BacktestAccount `json:"account" yaml:"account"`
	Symbols      []string        `json:"symbols" yaml:"symbols"`
}

func (Backtest) ParseEndTime 

func (t Backtest) ParseEndTime() (time.Time, error)

func (Backtest) ParseStartTime 

func (t Backtest) ParseStartTime() (time.Time, error)

type BacktestAccount 

type BacktestAccount struct {
	// TODO: MakerFeeRate should replace the commission fields
	MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
	TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`

	MakerCommission  fixedpoint.Value          `json:"makerCommission"`
	TakerCommission  fixedpoint.Value          `json:"takerCommission"`
	BuyerCommission  int                       `json:"buyerCommission"`
	SellerCommission int                       `json:"sellerCommission"`
	Balances         BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
}

type BacktestAccountBalanceMap 

type BacktestAccountBalanceMap map[string]fixedpoint.Value

func (BacktestAccountBalanceMap) BalanceMap 

func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap

type BasicRiskController 

type BasicRiskController struct {
	Logger *log.Logger

	MaxOrderAmount      fixedpoint.Value `json:"maxOrderAmount,omitempty" yaml:"maxOrderAmount,omitempty"`
	MinQuoteBalance     fixedpoint.Value `json:"minQuoteBalance,omitempty" yaml:"minQuoteBalance,omitempty"`
	MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance,omitempty" yaml:"maxBaseAssetBalance,omitempty"`
	MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance,omitempty" yaml:"minBaseAssetBalance,omitempty"`
}

func (*BasicRiskController) ProcessOrders 

func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...types.SubmitOrder) (outOrders []types.SubmitOrder, errs []error)

ProcessOrders filters and modifies the submit order objects by: 1. Increase the quantity by the minimal requirement 2. Decrease the quantity by risk controls 3. If the quantity does not meet minimal requirement, we should ignore the submit order.

type BuildConfig added in v1.9.0 

type BuildConfig struct {
	BuildDir string              `json:"buildDir,omitempty" yaml:"buildDir,omitempty"`
	Imports  []string            `json:"imports,omitempty" yaml:"imports,omitempty"`
	Targets  []BuildTargetConfig `json:"targets,omitempty" yaml:"targets,omitempty"`
}

type BuildTargetConfig added in v1.9.0 

type BuildTargetConfig struct {
	Name    string               `json:"name" yaml:"name"`
	Arch    string               `json:"arch" yaml:"arch"`
	OS      string               `json:"os" yaml:"os"`
	LDFlags datatype.StringSlice `json:"ldflags,omitempty" yaml:"ldflags,omitempty"`
	GCFlags datatype.StringSlice `json:"gcflags,omitempty" yaml:"gcflags,omitempty"`
	Imports []string             `json:"imports,omitempty" yaml:"imports,omitempty"`
}

func GetNativeBuildTargetConfig added in v1.9.0 

func GetNativeBuildTargetConfig() BuildTargetConfig

type Config 

type Config struct {
	Build *BuildConfig `json:"build,omitempty" yaml:"build,omitempty"`

	// Imports is deprecated
	// Deprecated: use BuildConfig instead
	Imports []string `json:"imports,omitempty" yaml:"imports,omitempty"`

	Backtest *Backtest `json:"backtest,omitempty" yaml:"backtest,omitempty"`

	Notifications *NotificationConfig `json:"notifications,omitempty" yaml:"notifications,omitempty"`

	Persistence *PersistenceConfig `json:"persistence,omitempty" yaml:"persistence,omitempty"`

	Sessions map[string]*ExchangeSession `json:"sessions,omitempty" yaml:"sessions,omitempty"`

	RiskControls *RiskControls `json:"riskControls,omitempty" yaml:"riskControls,omitempty"`

	ExchangeStrategies      []ExchangeStrategyMount `json:"-" yaml:"-"`
	CrossExchangeStrategies []CrossExchangeStrategy `json:"-" yaml:"-"`

	PnLReporters []PnLReporterConfig `json:"reportPnL,omitempty" yaml:"reportPnL,omitempty"`
}

func Load 

func Load(configFile string, loadStrategies bool) (*Config, error)

Load parses the config

func LoadBuildConfig added in v1.3.1 

func LoadBuildConfig(configFile string) (*Config, error)

func (*Config) Map added in v1.11.0 

func (c *Config) Map() (map[string]interface{}, error)

func (*Config) YAML added in v1.11.0 

func (c *Config) YAML() ([]byte, error)

type Context 

type Context struct {
	sync.Mutex
}

deprecated: legacy context struct

type CrossExchangeSessionSubscriber added in v1.2.0 

type CrossExchangeSessionSubscriber interface {
	CrossSubscribe(sessions map[string]*ExchangeSession)
}

type CrossExchangeStrategy 

type CrossExchangeStrategy interface {
	ID() string
	CrossRun(ctx context.Context, orderExecutionRouter OrderExecutionRouter, sessions map[string]*ExchangeSession) error
}

type DataFetcher 

type DataFetcher func() (interface{}, error)

type Environment 

type Environment struct {
	// Notifiability here for environment is for the streaming data notification
	// note that, for back tests, we don't need notification.
	Notifiability

	PersistenceServiceFacade *service.PersistenceServiceFacade
	DatabaseService          *service.DatabaseService
	OrderService             *service.OrderService
	TradeService             *service.TradeService
	BacktestService          *service.BacktestService
	RewardService            *service.RewardService
	SyncService              *service.SyncService
	// contains filtered or unexported fields
}

Environment presents the real exchange data layer

func NewEnvironment 

func NewEnvironment() *Environment

func (*Environment) AddExchange 

func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession)

AddExchange adds the given exchange with the session name, this is the default

func (*Environment) AddExchangeSession added in v1.8.0 

func (environ *Environment) AddExchangeSession(name string, session *ExchangeSession) *ExchangeSession

AddExchangeSession adds the existing exchange session or pre-created exchange session

func (*Environment) AddExchangesByViperKeys added in v1.5.0 

func (environ *Environment) AddExchangesByViperKeys() error

func (*Environment) AddExchangesFromSessionConfig added in v1.5.0 

func (environ *Environment) AddExchangesFromSessionConfig(sessions map[string]*ExchangeSession) error

func (*Environment) ConfigureDatabase added in v1.7.0 

func (environ *Environment) ConfigureDatabase(ctx context.Context) error

func (*Environment) ConfigureDatabaseDriver added in v1.12.0 

func (environ *Environment) ConfigureDatabaseDriver(ctx context.Context, driver string, dsn string) error

func (*Environment) ConfigureExchangeSessions added in v1.12.0 

func (environ *Environment) ConfigureExchangeSessions(userConfig *Config) error

func (*Environment) ConfigureNotificationRouting added in v1.12.0 

func (environ *Environment) ConfigureNotificationRouting(conf *NotificationConfig) error

ConfigureNotificationRouting configures the notification rules for symbol-based routes, we should register the same symbol rules for each session. for session-based routes, we should set the fixed callbacks for each session

func (*Environment) ConfigureNotificationSystem added in v1.12.0 

func (environ *Environment) ConfigureNotificationSystem(userConfig *Config) error

func (*Environment) ConfigurePersistence added in v1.3.1 

func (environ *Environment) ConfigurePersistence(conf *PersistenceConfig) error

func (*Environment) Connect 

func (environ *Environment) Connect(ctx context.Context) error

func (*Environment) Init 

func (environ *Environment) Init(ctx context.Context) (err error)

Init prepares the data that will be used by the strategies

func (*Environment) IsSyncing added in v1.12.0 

func (environ *Environment) IsSyncing() (status SyncStatus)

func (*Environment) SelectSessions added in v1.11.1 

func (environ *Environment) SelectSessions(names ...string) map[string]*ExchangeSession

func (*Environment) Session added in v1.8.0 

func (environ *Environment) Session(name string) (*ExchangeSession, bool)

func (*Environment) Sessions 

func (environ *Environment) Sessions() map[string]*ExchangeSession

func (*Environment) SetStartTime 

func (environ *Environment) SetStartTime(t time.Time) *Environment

func (*Environment) SetSyncStartTime added in v1.12.0 

func (environ *Environment) SetSyncStartTime(t time.Time) *Environment

SetSyncStartTime overrides the default trade scan time (-7 days)

func (*Environment) Start added in v1.15.5 

func (environ *Environment) Start(ctx context.Context) (err error)

func (*Environment) Sync added in v1.12.0 

func (environ *Environment) Sync(ctx context.Context) error

Sync syncs all registered exchange sessions

func (*Environment) SyncSession added in v1.11.1 

func (environ *Environment) SyncSession(ctx context.Context, session *ExchangeSession, defaultSymbols ...string) error

type ExchangeFee added in v1.17.0 

type ExchangeFee struct {
	MakerFeeRate fixedpoint.Value
	TakerFeeRate fixedpoint.Value
}

type ExchangeOrderExecutionRouter 

type ExchangeOrderExecutionRouter struct {
	Notifiability
	// contains filtered or unexported fields
}

func (*ExchangeOrderExecutionRouter) SubmitOrdersTo 

func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (types.OrderSlice, error)

type ExchangeOrderExecutor 

type ExchangeOrderExecutor struct {
	Notifiability `json:"-" yaml:"-"`

	Session *ExchangeSession `json:"-" yaml:"-"`
	// contains filtered or unexported fields
}

ExchangeOrderExecutor is an order executor wrapper for single exchange instance.

func (*ExchangeOrderExecutor) EmitOrderUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) EmitOrderUpdate(order types.Order)

func (*ExchangeOrderExecutor) EmitTradeUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) EmitTradeUpdate(trade types.Trade)

func (*ExchangeOrderExecutor) OnOrderUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) OnOrderUpdate(cb func(order types.Order))

func (*ExchangeOrderExecutor) OnTradeUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) OnTradeUpdate(cb func(trade types.Trade))

func (*ExchangeOrderExecutor) SubmitOrders 

func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error)

type ExchangeSession 

type ExchangeSession struct {
	// exchange Session based notification system
	// we make it as a value field so that we can configure it separately
	Notifiability `json:"-" yaml:"-"`

	// Exchange Session name
	Name         string             `json:"name,omitempty" yaml:"name,omitempty"`
	ExchangeName types.ExchangeName `json:"exchange" yaml:"exchange"`
	EnvVarPrefix string             `json:"envVarPrefix" yaml:"envVarPrefix"`
	Key          string             `json:"key,omitempty" yaml:"key,omitempty"`
	Secret       string             `json:"secret,omitempty" yaml:"secret,omitempty"`
	SubAccount   string             `json:"subAccount,omitempty" yaml:"subAccount,omitempty"`

	// Withdrawal is used for enabling withdrawal functions
	Withdrawal   bool             `json:"withdrawal,omitempty" yaml:"withdrawal,omitempty"`
	MakerFeeRate fixedpoint.Value `json:"makerFeeRate,omitempty" yaml:"makerFeeRate,omitempty"`
	TakerFeeRate fixedpoint.Value `json:"takerFeeRate,omitempty" yaml:"takerFeeRate,omitempty"`

	PublicOnly           bool   `json:"publicOnly,omitempty" yaml:"publicOnly"`
	Margin               bool   `json:"margin,omitempty" yaml:"margin"`
	IsolatedMargin       bool   `json:"isolatedMargin,omitempty" yaml:"isolatedMargin,omitempty"`
	IsolatedMarginSymbol string `json:"isolatedMarginSymbol,omitempty" yaml:"isolatedMarginSymbol,omitempty"`

	// The exchange account states
	Account *types.Account `json:"-" yaml:"-"`

	IsInitialized bool `json:"-" yaml:"-"`

	OrderExecutor *ExchangeOrderExecutor `json:"orderExecutor,omitempty" yaml:"orderExecutor,omitempty"`

	// UserDataStream is the connection stream of the exchange
	UserDataStream   types.Stream `json:"-" yaml:"-"`
	MarketDataStream types.Stream `json:"-" yaml:"-"`

	Subscriptions map[types.Subscription]types.Subscription `json:"-" yaml:"-"`

	Exchange types.Exchange `json:"-" yaml:"-"`

	// Trades collects the executed trades from the exchange
	// map: symbol -> []trade
	Trades map[string]*types.TradeSlice `json:"-" yaml:"-"`
	// contains filtered or unexported fields
}

ExchangeSession presents the exchange connection Session It also maintains and collects the data returned from the stream.

func NewExchangeSession 

func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession

func (*ExchangeSession) FindPossibleSymbols added in v1.11.1 

func (session *ExchangeSession) FindPossibleSymbols() (symbols []string, err error)

func (*ExchangeSession) FormatOrder added in v1.5.0 

func (session *ExchangeSession) FormatOrder(order types.SubmitOrder) (types.SubmitOrder, error)

func (*ExchangeSession) Init added in v1.11.0 

func (session *ExchangeSession) Init(ctx context.Context, environ *Environment) error

Init initializes the basic data structure and market information by its exchange. Note that the subscribed symbols are not loaded in this stage.

func (*ExchangeSession) InitSymbols added in v1.11.0 

func (session *ExchangeSession) InitSymbols(ctx context.Context, environ *Environment) error

func (*ExchangeSession) LastPrice 

func (session *ExchangeSession) LastPrice(symbol string) (price float64, ok bool)

func (*ExchangeSession) LastPrices added in v1.11.0 

func (session *ExchangeSession) LastPrices() map[string]float64

func (*ExchangeSession) Market 

func (session *ExchangeSession) Market(symbol string) (market types.Market, ok bool)

func (*ExchangeSession) MarketDataStore 

func (session *ExchangeSession) MarketDataStore(symbol string) (s *MarketDataStore, ok bool)

MarketDataStore returns the market data store of a symbol

func (*ExchangeSession) Markets added in v1.11.0 

func (session *ExchangeSession) Markets() map[string]types.Market

func (*ExchangeSession) OrderBook added in v1.17.0 

func (session *ExchangeSession) OrderBook(symbol string) (s *types.StreamOrderBook, ok bool)

MarketDataStore returns the market data store of a symbol

func (*ExchangeSession) OrderStore added in v1.11.0 

func (session *ExchangeSession) OrderStore(symbol string) (store *OrderStore, ok bool)

func (*ExchangeSession) OrderStores added in v1.11.0 

func (session *ExchangeSession) OrderStores() map[string]*OrderStore

func (*ExchangeSession) Position added in v1.9.0 

func (session *ExchangeSession) Position(symbol string) (pos *Position, ok bool)

func (*ExchangeSession) Positions added in v1.11.0 

func (session *ExchangeSession) Positions() map[string]*Position

func (*ExchangeSession) StandardIndicatorSet 

func (session *ExchangeSession) StandardIndicatorSet(symbol string) (*StandardIndicatorSet, bool)

func (*ExchangeSession) StartPrice 

func (session *ExchangeSession) StartPrice(symbol string) (price float64, ok bool)

func (*ExchangeSession) Subscribe 

func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession

Subscribe save the subscription info, later it will be assigned to the stream

func (*ExchangeSession) UpdatePrices added in v1.11.0 

func (session *ExchangeSession) UpdatePrices(ctx context.Context) (err error)

type ExchangeSessionSubscriber 

type ExchangeSessionSubscriber interface {
	Subscribe(session *ExchangeSession)
}

ExchangeSessionSubscriber provides an interface for collecting subscriptions from different strategies Subscribe method will be called before the user data stream connection is created.

type ExchangeStrategyMount 

type ExchangeStrategyMount struct {
	// Mounts contains the ExchangeSession name to mount
	Mounts []string `json:"mounts"`

	// Strategy is the strategy we loaded from config
	Strategy SingleExchangeStrategy `json:"strategy"`
}

ExchangeStrategyMount wraps the SingleExchangeStrategy with the ExchangeSession name for mounting

func (*ExchangeStrategyMount) Map added in v1.11.0 

func (m *ExchangeStrategyMount) Map() (map[string]interface{}, error)

type ExponentialScale added in v1.13.0 

type ExponentialScale struct {
	Domain [2]float64 `json:"domain"`
	Range  [2]float64 `json:"range"`
	// contains filtered or unexported fields
}

y := ab^x shift xs[0] to 0 (x - h) a = y1

y := ab^(x-h) y2/a = b^(x2-h) y2/y1 = b^(x2-h)

also posted at https://play.golang.org/p/JlWlwZjoebE

func (*ExponentialScale) Call added in v1.13.0 

func (s *ExponentialScale) Call(x float64) (y float64)

func (*ExponentialScale) Formula added in v1.13.0 

func (s *ExponentialScale) Formula() string

func (*ExponentialScale) FormulaOf added in v1.13.0 

func (s *ExponentialScale) FormulaOf(x float64) string

func (*ExponentialScale) Solve added in v1.13.0 

func (s *ExponentialScale) Solve() error

func (*ExponentialScale) String added in v1.13.0 

func (s *ExponentialScale) String() string

type Graceful added in v1.1.0 

type Graceful struct {
	// contains filtered or unexported fields
}

func (*Graceful) EmitShutdown added in v1.1.0 

func (g *Graceful) EmitShutdown(ctx context.Context, wg *sync.WaitGroup)

func (*Graceful) OnShutdown added in v1.1.0 

func (g *Graceful) OnShutdown(cb func(ctx context.Context, wg *sync.WaitGroup))

func (*Graceful) Shutdown added in v1.1.0 

func (g *Graceful) Shutdown(ctx context.Context)

type LayerScale added in v1.16.0 

type LayerScale struct {
	LayerRule *SlideRule `json:"byLayer"`
}

LayerScale defines the scale DSL for maker layers, e.g.,

quantityScale: 

byLayer:
  exp:
    domain: [1, 5]
    range: [0.01, 1.0]

and

quantityScale: 

byLayer:
  linear:
    domain: [1, 3]
    range: [0.01, 1.0]

func (*LayerScale) Scale added in v1.16.0 

func (s *LayerScale) Scale(layer int) (quantity float64, err error)

type LinearScale added in v1.13.0 

type LinearScale struct {
	Domain [2]float64 `json:"domain"`
	Range  [2]float64 `json:"range"`
	// contains filtered or unexported fields
}

func (*LinearScale) Call added in v1.13.0 

func (s *LinearScale) Call(x float64) (y float64)

func (*LinearScale) Formula added in v1.13.0 

func (s *LinearScale) Formula() string

func (*LinearScale) FormulaOf added in v1.13.0 

func (s *LinearScale) FormulaOf(x float64) string

func (*LinearScale) Solve added in v1.13.0 

func (s *LinearScale) Solve() error

func (*LinearScale) String added in v1.13.0 

func (s *LinearScale) String() string

type LocalActiveOrderBook 

type LocalActiveOrderBook struct {
	Bids *types.SyncOrderMap
	Asks *types.SyncOrderMap
	// contains filtered or unexported fields
}

LocalActiveOrderBook manages the local active order books.

func NewLocalActiveOrderBook 

func NewLocalActiveOrderBook() *LocalActiveOrderBook

func (*LocalActiveOrderBook) Add 

func (b *LocalActiveOrderBook) Add(orders ...types.Order)

func (*LocalActiveOrderBook) Backup added in v1.14.0 

func (b *LocalActiveOrderBook) Backup() []types.SubmitOrder

func (*LocalActiveOrderBook) BindStream added in v1.1.0 

func (b *LocalActiveOrderBook) BindStream(stream types.Stream)

func (*LocalActiveOrderBook) EmitFilled added in v1.1.0 

func (b *LocalActiveOrderBook) EmitFilled(o types.Order)

func (*LocalActiveOrderBook) Exists added in v1.17.0 

func (b *LocalActiveOrderBook) Exists(order types.Order) bool

func (*LocalActiveOrderBook) MarshalJSON added in v1.14.0 

func (b *LocalActiveOrderBook) MarshalJSON() ([]byte, error)

func (*LocalActiveOrderBook) NumOfAsks 

func (b *LocalActiveOrderBook) NumOfAsks() int

func (*LocalActiveOrderBook) NumOfBids 

func (b *LocalActiveOrderBook) NumOfBids() int

func (*LocalActiveOrderBook) NumOfOrders added in v1.17.0 

func (b *LocalActiveOrderBook) NumOfOrders() int

func (*LocalActiveOrderBook) OnFilled added in v1.1.0 

func (b *LocalActiveOrderBook) OnFilled(cb func(o types.Order))

func (*LocalActiveOrderBook) Orders 

func (b *LocalActiveOrderBook) Orders() types.OrderSlice

func (*LocalActiveOrderBook) Print 

func (b *LocalActiveOrderBook) Print()

func (*LocalActiveOrderBook) Remove added in v1.1.0 

func (b *LocalActiveOrderBook) Remove(order types.Order) bool

func (*LocalActiveOrderBook) Update 

func (b *LocalActiveOrderBook) Update(orders ...types.Order)

func (*LocalActiveOrderBook) WriteOff 

func (b *LocalActiveOrderBook) WriteOff(order types.Order) bool

WriteOff writes off the filled order on the opposite side. This method does not write off order by order amount or order quantity.

type LogarithmicScale added in v1.13.0 

type LogarithmicScale struct {
	Domain [2]float64 `json:"domain"`
	Range  [2]float64 `json:"range"`
	// contains filtered or unexported fields
}

func (*LogarithmicScale) Call added in v1.13.0 

func (s *LogarithmicScale) Call(x float64) (y float64)

func (*LogarithmicScale) Formula added in v1.13.0 

func (s *LogarithmicScale) Formula() string

func (*LogarithmicScale) FormulaOf added in v1.13.0 

func (s *LogarithmicScale) FormulaOf(x float64) string

func (*LogarithmicScale) Solve added in v1.13.0 

func (s *LogarithmicScale) Solve() error

func (*LogarithmicScale) String added in v1.13.0 

func (s *LogarithmicScale) String() string

type Logger 

type Logger interface {
	Warnf(message string, args ...interface{})
	Errorf(message string, args ...interface{})
	Infof(message string, args ...interface{})
}

type Logging 

type Logging interface {
	EnableLogging()
	DisableLogging()
}

type MarketDataStore 

type MarketDataStore struct {
	Symbol string

	// KLineWindows stores all loaded klines per interval
	KLineWindows map[types.Interval]types.KLineWindow `json:"-"`
	// contains filtered or unexported fields
}

MarketDataStore receives and maintain the public market data

func NewMarketDataStore 

func NewMarketDataStore(symbol string) *MarketDataStore

func (*MarketDataStore) AddKLine 

func (store *MarketDataStore) AddKLine(kline types.KLine)

func (*MarketDataStore) BindStream 

func (store *MarketDataStore) BindStream(stream types.Stream)

func (*MarketDataStore) EmitKLineWindowUpdate 

func (store *MarketDataStore) EmitKLineWindowUpdate(interval types.Interval, kline types.KLineWindow)

func (*MarketDataStore) KLinesOfInterval 

func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines types.KLineWindow, ok bool)

KLinesOfInterval returns the kline window of the given interval

func (*MarketDataStore) OnKLineWindowUpdate 

func (store *MarketDataStore) OnKLineWindowUpdate(cb func(interval types.Interval, kline types.KLineWindow))

func (*MarketDataStore) SetKLineWindows 

func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]types.KLineWindow)

type MovingAverageSettings added in v1.17.1 

type MovingAverageSettings struct {
	Type     string         `json:"type"`
	Interval types.Interval `json:"interval"`
	Window   int            `json:"window"`

	Side     *types.SideType   `json:"side"`
	Quantity *fixedpoint.Value `json:"quantity"`
	Amount   *fixedpoint.Value `json:"amount"`
}

func (*MovingAverageSettings) Indicator added in v1.17.1 

func (settings *MovingAverageSettings) Indicator(indicatorSet *StandardIndicatorSet) (inc types.Float64Indicator, err error)

func (MovingAverageSettings) IntervalWindow added in v1.17.1 

func (settings MovingAverageSettings) IntervalWindow() types.IntervalWindow

type Notifiability 

type Notifiability struct {
	SessionChannelRouter *PatternChannelRouter `json:"-"`
	SymbolChannelRouter  *PatternChannelRouter `json:"-"`
	ObjectChannelRouter  *ObjectChannelRouter  `json:"-"`
	// contains filtered or unexported fields
}

func (*Notifiability) AddNotifier 

func (m *Notifiability) AddNotifier(notifier Notifier)

AddNotifier adds the notifier that implements the Notifier interface.

func (*Notifiability) Notify 

func (m *Notifiability) Notify(obj interface{}, args ...interface{})

func (*Notifiability) NotifyTo 

func (m *Notifiability) NotifyTo(channel string, obj interface{}, args ...interface{})

func (*Notifiability) RouteObject 

func (m *Notifiability) RouteObject(obj interface{}) (channel string, ok bool)

RouteObject routes object to channel

func (*Notifiability) RouteSession 

func (m *Notifiability) RouteSession(session string) (channel string, ok bool)

RouteSession routes Session name to channel

func (*Notifiability) RouteSymbol 

func (m *Notifiability) RouteSymbol(symbol string) (channel string, ok bool)

RouteSymbol routes symbol name to channel

type NotificationConfig 

type NotificationConfig struct {
	Slack *SlackNotification `json:"slack,omitempty" yaml:"slack,omitempty"`

	Telegram *TelegramNotification `json:"telegram,omitempty" yaml:"telegram,omitempty"`

	SymbolChannels  map[string]string `json:"symbolChannels,omitempty" yaml:"symbolChannels,omitempty"`
	SessionChannels map[string]string `json:"sessionChannels,omitempty" yaml:"sessionChannels,omitempty"`

	Routing *SlackNotificationRouting `json:"routing,omitempty" yaml:"routing,omitempty"`
}

type Notifier 

type Notifier interface {
	NotifyTo(channel string, obj interface{}, args ...interface{})
	Notify(obj interface{}, args ...interface{})
}

type NullNotifier 

type NullNotifier struct{}

func (*NullNotifier) Notify 

func (n *NullNotifier) Notify(obj interface{}, args ...interface{})

func (*NullNotifier) NotifyTo 

func (n *NullNotifier) NotifyTo(channel string, obj interface{}, args ...interface{})

type ObjectChannelHandler 

type ObjectChannelHandler func(obj interface{}) (channel string, ok bool)

type ObjectChannelRouter 

type ObjectChannelRouter struct {
	// contains filtered or unexported fields
}

func NewObjectChannelRouter 

func NewObjectChannelRouter() *ObjectChannelRouter

func (*ObjectChannelRouter) AddRoute 

func (router *ObjectChannelRouter) AddRoute(f ObjectChannelHandler)

func (*ObjectChannelRouter) Route 

func (router *ObjectChannelRouter) Route(obj interface{}) (channel string, ok bool)

type OrderExecutionRouter 

type OrderExecutionRouter interface {
	// SubmitOrdersTo submit order to a specific exchange Session
	SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
}

type OrderExecutor 

type OrderExecutor interface {
	SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)

	OnTradeUpdate(cb func(trade types.Trade))
	OnOrderUpdate(cb func(order types.Order))
	EmitTradeUpdate(trade types.Trade)
	EmitOrderUpdate(order types.Order)
}

type OrderStore added in v1.1.0 

type OrderStore struct {
	Symbol          string
	RemoveCancelled bool
	RemoveFilled    bool
	AddOrderUpdate  bool
	// contains filtered or unexported fields
}

func NewOrderStore added in v1.1.0 

func NewOrderStore(symbol string) *OrderStore

func (*OrderStore) Add added in v1.1.0 

func (s *OrderStore) Add(orders ...types.Order)

func (*OrderStore) AllFilled added in v1.18.0 

func (s *OrderStore) AllFilled() bool

func (*OrderStore) BindStream added in v1.1.0 

func (s *OrderStore) BindStream(stream types.Stream)

func (*OrderStore) Exists added in v1.1.0 

func (s *OrderStore) Exists(oID uint64) (ok bool)

func (*OrderStore) NumOfOrders added in v1.17.0 

func (s *OrderStore) NumOfOrders() (num int)

func (*OrderStore) Orders added in v1.11.0 

func (s *OrderStore) Orders() (orders []types.Order)

func (*OrderStore) Remove added in v1.1.0 

func (s *OrderStore) Remove(o types.Order)

func (*OrderStore) Update added in v1.1.0 

func (s *OrderStore) Update(o types.Order) bool

type PatternChannelRouter 

type PatternChannelRouter struct {
	// contains filtered or unexported fields
}

func NewPatternChannelRouter 

func NewPatternChannelRouter(routes map[string]string) *PatternChannelRouter

func (*PatternChannelRouter) AddRoute 

func (router *PatternChannelRouter) AddRoute(routes map[string]string)

func (*PatternChannelRouter) Route 

func (router *PatternChannelRouter) Route(text string) (channel string, ok bool)

type Persistence added in v1.3.1 

type Persistence struct {
	PersistenceSelector *PersistenceSelector `json:"persistence,omitempty" yaml:"persistence,omitempty"`

	Facade *service.PersistenceServiceFacade `json:"-" yaml:"-"`
}

Persistence is used for strategy to inject the persistence.

func (*Persistence) Load added in v1.3.1 

func (p *Persistence) Load(val interface{}, subIDs ...string) error

func (*Persistence) Save added in v1.3.1 

func (p *Persistence) Save(val interface{}, subIDs ...string) error

type PersistenceConfig added in v1.3.1 

type PersistenceConfig struct {
	Redis *service.RedisPersistenceConfig `json:"redis,omitempty" yaml:"redis,omitempty"`
	Json  *service.JsonPersistenceConfig  `json:"json,omitempty" yaml:"json,omitempty"`
}

type PersistenceSelector added in v1.3.1 

type PersistenceSelector struct {
	// StoreID is the store you want to use.
	StoreID string `json:"store" yaml:"store"`

	// Type is the persistence type
	Type string `json:"type" yaml:"type"`
}

type PnLReporter 

type PnLReporter interface {
	Run()
}

type PnLReporterConfig 

type PnLReporterConfig struct {
	AverageCostBySymbols datatype.StringSlice `json:"averageCostBySymbols" yaml:"averageCostBySymbols"`
	Of                   datatype.StringSlice `json:"of" yaml:"of"`
	When                 datatype.StringSlice `json:"when" yaml:"when"`
}

type PnLReporterManager 

type PnLReporterManager struct {
	// contains filtered or unexported fields
}

func NewPnLReporter 

func NewPnLReporter(notifier Notifier) *PnLReporterManager

func (*PnLReporterManager) AverageCostBySymbols 

func (manager *PnLReporterManager) AverageCostBySymbols(symbols ...string) *AverageCostPnLReporter

type Position added in v1.9.0 

type Position struct {
	Symbol        string `json:"symbol"`
	BaseCurrency  string `json:"baseCurrency"`
	QuoteCurrency string `json:"quoteCurrency"`

	Market types.Market `json:"market"`

	Base        fixedpoint.Value `json:"base"`
	Quote       fixedpoint.Value `json:"quote"`
	AverageCost fixedpoint.Value `json:"averageCost"`

	// ApproximateAverageCost adds the computed fee in quote in the average cost
	// This is used for calculating net profit
	ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`

	FeeRate          *ExchangeFee                       `json:"feeRate,omitempty"`
	ExchangeFeeRates map[types.ExchangeName]ExchangeFee `json:"exchangeFeeRates"`

	sync.Mutex
}

func NewPosition added in v1.17.0 

func NewPosition(symbol, base, quote string) *Position

func NewPositionFromMarket added in v1.17.0 

func NewPositionFromMarket(market types.Market) *Position

func (*Position) AddTrade added in v1.9.0 

func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit fixedpoint.Value, madeProfit bool)

func (*Position) AddTrades added in v1.9.0 

func (p *Position) AddTrades(trades []types.Trade) (fixedpoint.Value, fixedpoint.Value, bool)

func (*Position) BindStream added in v1.9.0 

func (p *Position) BindStream(stream types.Stream)

func (*Position) PlainText added in v1.17.0 

func (p *Position) PlainText() string

func (*Position) Reset added in v1.17.0 

func (p *Position) Reset()

func (*Position) SetExchangeFeeRate added in v1.17.0 

func (p *Position) SetExchangeFeeRate(ex types.ExchangeName, exchangeFee ExchangeFee)

func (*Position) SetFeeRate added in v1.18.1 

func (p *Position) SetFeeRate(exchangeFee ExchangeFee)

func (*Position) SlackAttachment added in v1.17.0 

func (p *Position) SlackAttachment() slack.Attachment

func (*Position) String added in v1.11.1 

func (p *Position) String() string

type PriceVolumeScale added in v1.13.0 

type PriceVolumeScale struct {
	ByPriceRule  *SlideRule `json:"byPrice"`
	ByVolumeRule *SlideRule `json:"byVolume"`
}

PriceVolumeScale defines the scale DSL for strategy, e.g.,

quantityScale: 

byPrice:
  exp:
    domain: [10_000, 50_000]
    range: [0.01, 1.0]

and

quantityScale: 

byVolume:
  linear:
    domain: [10_000, 50_000]
    range: [0.01, 1.0]

func (*PriceVolumeScale) Scale added in v1.13.0 

func (s *PriceVolumeScale) Scale(price float64, volume float64) (quantity float64, err error)

func (*PriceVolumeScale) ScaleByPrice added in v1.13.0 

func (s *PriceVolumeScale) ScaleByPrice(price float64) (float64, error)

ScaleByPrice scale quantity by the given price

func (*PriceVolumeScale) ScaleByVolume added in v1.13.0 

func (s *PriceVolumeScale) ScaleByVolume(volume float64) (float64, error)

ScaleByVolume scale quantity by the given volume

type Profit added in v1.18.0 

type Profit struct {
	Symbol string `json:"symbol"`

	// Profit is the profit of this trade made. negative profit means loss.
	Profit fixedpoint.Value `json:"profit" db:"profit"`

	// NetProfit is (profit - trading fee)
	NetProfit   fixedpoint.Value `json:"netProfit" db:"net_profit"`
	AverageCost fixedpoint.Value `json:"averageCost" db:"average_ost"`

	TradeAmount fixedpoint.Value `json:"tradeAmount" db:"trade_amount"`

	// ProfitMargin is a percentage of the profit and the capital amount
	ProfitMargin fixedpoint.Value `json:"profitMargin" db:"profit_margin"`

	// NetProfitMargin is a percentage of the net profit and the capital amount
	NetProfitMargin fixedpoint.Value `json:"netProfitMargin" db:"net_profit_margin"`

	QuoteCurrency string `json:"quoteCurrency" db:"quote_currency"`
	BaseCurrency  string `json:"baseCurrency" db:"base_currency"`

	// FeeInUSD is the summed fee of this profit,
	// you will need to convert the trade fee into USD since the fee currencies can be different.
	FeeInUSD           fixedpoint.Value `json:"feeInUSD" db:"fee_in_usd"`
	Time               time.Time        `json:"time" db:"time"`
	Strategy           string           `json:"strategy" db:"strategy"`
	StrategyInstanceID string           `json:"strategyInstanceID" db:"strategy_instance_id"`
}

Profit struct stores the PnL information

func (*Profit) PlainText added in v1.18.0 

func (p *Profit) PlainText() string

func (*Profit) SlackAttachment added in v1.18.0 

func (p *Profit) SlackAttachment() slack.Attachment

type ProfitStats added in v1.18.0 

type ProfitStats struct {
	Symbol        string `json:"symbol"`
	QuoteCurrency string `json:"quoteCurrency"`
	BaseCurrency  string `json:"baseCurrency"`

	AccumulatedPnL       fixedpoint.Value `json:"accumulatedPnL,omitempty"`
	AccumulatedNetProfit fixedpoint.Value `json:"accumulatedNetProfit,omitempty"`
	AccumulatedProfit    fixedpoint.Value `json:"accumulatedProfit,omitempty"`
	AccumulatedLoss      fixedpoint.Value `json:"accumulatedLoss,omitempty"`
	AccumulatedVolume    fixedpoint.Value `json:"accumulatedVolume,omitempty"`
	AccumulatedSince     int64            `json:"accumulatedSince,omitempty"`

	TodayPnL       fixedpoint.Value `json:"todayPnL,omitempty"`
	TodayNetProfit fixedpoint.Value `json:"todayNetProfit,omitempty"`
	TodayProfit    fixedpoint.Value `json:"todayProfit,omitempty"`
	TodayLoss      fixedpoint.Value `json:"todayLoss,omitempty"`
	TodaySince     int64            `json:"todaySince,omitempty"`
}

func (*ProfitStats) AddProfit added in v1.18.0 

func (s *ProfitStats) AddProfit(profit Profit)

func (*ProfitStats) AddTrade added in v1.18.0 

func (s *ProfitStats) AddTrade(trade types.Trade)

func (*ProfitStats) Init added in v1.18.1 

func (s *ProfitStats) Init(market types.Market)

func (*ProfitStats) IsOver24Hours added in v1.18.0 

func (s *ProfitStats) IsOver24Hours() bool

func (*ProfitStats) PlainText added in v1.18.0 

func (s *ProfitStats) PlainText() string

func (*ProfitStats) ResetToday added in v1.18.0 

func (s *ProfitStats) ResetToday()

func (*ProfitStats) SlackAttachment added in v1.18.0 

func (s *ProfitStats) SlackAttachment() slack.Attachment

type QuadraticScale added in v1.13.0 

type QuadraticScale struct {
	Domain [3]float64 `json:"domain"`
	Range  [3]float64 `json:"range"`
	// contains filtered or unexported fields
}

see also: http://www.vb-helper.com/howto_find_quadratic_curve.html

func (*QuadraticScale) Call added in v1.13.0 

func (s *QuadraticScale) Call(x float64) (y float64)

func (*QuadraticScale) Formula added in v1.13.0 

func (s *QuadraticScale) Formula() string

func (*QuadraticScale) FormulaOf added in v1.13.0 

func (s *QuadraticScale) FormulaOf(x float64) string

func (*QuadraticScale) Solve added in v1.13.0 

func (s *QuadraticScale) Solve() error

func (*QuadraticScale) String added in v1.13.0 

func (s *QuadraticScale) String() string

type Quota added in v1.2.0 

type Quota struct {
	Available fixedpoint.Value
	Locked    fixedpoint.Value
	// contains filtered or unexported fields
}

func (*Quota) Add added in v1.2.0 

func (q *Quota) Add(fund fixedpoint.Value)

func (*Quota) Commit added in v1.2.0 

func (q *Quota) Commit()

func (*Quota) Lock added in v1.2.0 

func (q *Quota) Lock(fund fixedpoint.Value) bool

func (*Quota) Rollback added in v1.2.0 

func (q *Quota) Rollback()

type QuotaTransaction added in v1.2.0 

type QuotaTransaction struct {
	BaseAsset  Quota
	QuoteAsset Quota
	// contains filtered or unexported fields
}

func (*QuotaTransaction) Commit added in v1.2.0 

func (m *QuotaTransaction) Commit() bool

func (*QuotaTransaction) Rollback added in v1.2.0 

func (m *QuotaTransaction) Rollback() bool

type RiskControlOrderExecutor 

type RiskControlOrderExecutor struct {
	*ExchangeOrderExecutor

	// Symbol => Executor config
	BySymbol map[string]*SymbolBasedRiskController `json:"bySymbol,omitempty" yaml:"bySymbol,omitempty"`
}

func (*RiskControlOrderExecutor) SubmitOrders 

func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (retOrders types.OrderSlice, err error)

type RiskControls 

type RiskControls struct {
	SessionBasedRiskControl map[string]*SessionBasedRiskControl `json:"sessionBased,omitempty" yaml:"sessionBased,omitempty"`
}

type Scale added in v1.13.0 

type Scale interface {
	Solve() error
	Formula() string
	FormulaOf(x float64) string
	Call(x float64) (y float64)
}

type Session 

type Session struct {
	Name         string `json:"name,omitempty" yaml:"name,omitempty"`
	ExchangeName string `json:"exchange" yaml:"exchange"`
	EnvVarPrefix string `json:"envVarPrefix" yaml:"envVarPrefix"`

	Key    string `json:"key,omitempty" yaml:"key,omitempty"`
	Secret string `json:"secret,omitempty" yaml:"secret,omitempty"`

	PublicOnly           bool   `json:"publicOnly,omitempty" yaml:"publicOnly"`
	Margin               bool   `json:"margin,omitempty" yaml:"margin,omitempty"`
	IsolatedMargin       bool   `json:"isolatedMargin,omitempty" yaml:"isolatedMargin,omitempty"`
	IsolatedMarginSymbol string `json:"isolatedMarginSymbol,omitempty" yaml:"isolatedMarginSymbol,omitempty"`
}

type SessionBasedRiskControl 

type SessionBasedRiskControl struct {
	OrderExecutor *RiskControlOrderExecutor `json:"orderExecutor,omitempty" yaml:"orderExecutor"`
}

func (*SessionBasedRiskControl) SetBaseOrderExecutor 

func (control *SessionBasedRiskControl) SetBaseOrderExecutor(executor *ExchangeOrderExecutor)

type SilentLogger 

type SilentLogger struct{}

func (*SilentLogger) Errorf 

func (logger *SilentLogger) Errorf(string, ...interface{})

func (*SilentLogger) Infof 

func (logger *SilentLogger) Infof(string, ...interface{})

func (*SilentLogger) Warnf 

func (logger *SilentLogger) Warnf(string, ...interface{})

type SingleExchangeStrategy 

type SingleExchangeStrategy interface {
	ID() string
	Run(ctx context.Context, orderExecutor OrderExecutor, session *ExchangeSession) error
}

SingleExchangeStrategy represents the single Exchange strategy

func NewStrategyFromMap added in v1.11.0 

func NewStrategyFromMap(id string, conf interface{}) (SingleExchangeStrategy, error)

type SlackNotification 

type SlackNotification struct {
	DefaultChannel string `json:"defaultChannel,omitempty"  yaml:"defaultChannel,omitempty"`
	ErrorChannel   string `json:"errorChannel,omitempty"  yaml:"errorChannel,omitempty"`
}

type SlackNotificationRouting added in v1.12.0 

type SlackNotificationRouting struct {
	Trade       string `json:"trade,omitempty" yaml:"trade,omitempty"`
	Order       string `json:"order,omitempty" yaml:"order,omitempty"`
	SubmitOrder string `json:"submitOrder,omitempty" yaml:"submitOrder,omitempty"`
	PnL         string `json:"pnL,omitempty" yaml:"pnL,omitempty"`
}

type SlideRule added in v1.13.0 

type SlideRule struct {
	// Scale type could be one of "log", "exp", "linear", "quadratic"
	// this is similar to the d3.scale
	LinearScale    *LinearScale      `json:"linear"`
	LogScale       *LogarithmicScale `json:"log"`
	ExpScale       *ExponentialScale `json:"exp"`
	QuadraticScale *QuadraticScale   `json:"quadratic"`
}

func (*SlideRule) Range added in v1.17.0 

func (rule *SlideRule) Range() ([2]float64, error)

func (*SlideRule) Scale added in v1.13.0 

func (rule *SlideRule) Scale() (Scale, error)

type StandardIndicatorSet 

type StandardIndicatorSet struct {
	Symbol string
	// contains filtered or unexported fields
}

func NewStandardIndicatorSet 

func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardIndicatorSet

func (*StandardIndicatorSet) BOLL 

func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL

BOLL returns the bollinger band indicator of the given interval and the window, Please note that the K for std dev is fixed and defaults to 2.0

func (*StandardIndicatorSet) EWMA 

func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA

EWMA returns the exponential weighed moving average indicator of the given interval and the window size.

func (*StandardIndicatorSet) SMA 

func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA

SMA returns the simple moving average indicator of the given interval and the window size.

func (*StandardIndicatorSet) STOCH added in v1.17.0 

func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH

type Stash 

type Stash map[string]interface{}

type SymbolBasedRiskController 

type SymbolBasedRiskController struct {
	BasicRiskController *BasicRiskController `json:"basic,omitempty" yaml:"basic,omitempty"`
}

type SyncStatus added in v1.12.0 

type SyncStatus int
const (
	SyncNotStarted SyncStatus = iota
	Syncing
	SyncDone
)

type TelegramNotification added in v1.18.0 

type TelegramNotification struct {
	Broadcast bool `json:"broadcast" yaml:"broadcast"`
}

type TradeCollector added in v1.17.0 

type TradeCollector struct {
	Symbol string
	// contains filtered or unexported fields
}

func NewTradeCollector added in v1.17.0 

func NewTradeCollector(symbol string, position *Position, orderStore *OrderStore) *TradeCollector

func (*TradeCollector) BindStream added in v1.17.0 

func (c *TradeCollector) BindStream(stream types.Stream)

func (*TradeCollector) BindStreamForBackground added in v1.18.0 

func (c *TradeCollector) BindStreamForBackground(stream types.Stream)

BindStreamForBackground bind the stream callback for background processing

func (*TradeCollector) Emit added in v1.17.0 

func (c *TradeCollector) Emit()

Emit triggers the trade processing (position update) If you sent order, and the order store is updated, you can call this method so that trades will be processed in the next round of the goroutine loop

func (*TradeCollector) EmitPositionUpdate added in v1.17.0 

func (c *TradeCollector) EmitPositionUpdate(position *Position)

func (*TradeCollector) EmitProfit added in v1.17.0 

func (c *TradeCollector) EmitProfit(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value)

func (*TradeCollector) EmitTrade added in v1.17.0 

func (c *TradeCollector) EmitTrade(trade types.Trade)

func (*TradeCollector) OnPositionUpdate added in v1.17.0 

func (c *TradeCollector) OnPositionUpdate(cb func(position *Position))

func (*TradeCollector) OnProfit added in v1.17.0 

func (c *TradeCollector) OnProfit(cb func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value))

func (*TradeCollector) OnTrade added in v1.17.0 

func (c *TradeCollector) OnTrade(cb func(trade types.Trade))

func (*TradeCollector) Process added in v1.18.0 

func (c *TradeCollector) Process() bool

Process filters the received trades and see if there are orders matching the trades if we have the order in the order store, then the trade will be considered for the position. profit will also be calculated.

func (*TradeCollector) Run added in v1.17.0 

func (c *TradeCollector) Run(ctx context.Context)

Run is a goroutine executed in the background Do not use this function if you need back-testing

type TradeFilter added in v1.17.0 

type TradeFilter func(trade types.Trade) bool

type TradeReporter 

type TradeReporter struct {
	*Notifiability
}

type TradeStore added in v1.17.0 

type TradeStore struct {
	// any created trades for tracking trades
	sync.Mutex

	Symbol          string
	RemoveCancelled bool
	RemoveFilled    bool
	AddOrderUpdate  bool
	// contains filtered or unexported fields
}

func NewTradeStore added in v1.17.0 

func NewTradeStore(symbol string) *TradeStore

func (*TradeStore) Add added in v1.17.0 

func (s *TradeStore) Add(trades ...types.Trade)

func (*TradeStore) Clear added in v1.17.0 

func (s *TradeStore) Clear()

func (*TradeStore) Exists added in v1.17.0 

func (s *TradeStore) Exists(oID int64) (ok bool)

func (*TradeStore) Filter added in v1.17.0 

func (s *TradeStore) Filter(filter TradeFilter)

func (*TradeStore) GetAndClear added in v1.17.0 

func (s *TradeStore) GetAndClear() (trades []types.Trade)

func (*TradeStore) Num added in v1.17.0 

func (s *TradeStore) Num() (num int)

func (*TradeStore) Trades added in v1.17.0 

func (s *TradeStore) Trades() (trades []types.Trade)

type Trader 

type Trader struct {
	Graceful Graceful
	// contains filtered or unexported fields
}

func NewTrader 

func NewTrader(environ *Environment) *Trader

func (*Trader) AttachCrossExchangeStrategy 

func (trader *Trader) AttachCrossExchangeStrategy(strategy CrossExchangeStrategy) *Trader

AttachCrossExchangeStrategy attaches the cross exchange strategy

func (*Trader) AttachStrategyOn 

func (trader *Trader) AttachStrategyOn(session string, strategies ...SingleExchangeStrategy) error

AttachStrategyOn attaches the single exchange strategy on an exchange Session. Single exchange strategy is the default behavior.

func (*Trader) Configure added in v1.12.0 

func (trader *Trader) Configure(userConfig *Config) error

func (*Trader) DisableLogging 

func (trader *Trader) DisableLogging()

func (*Trader) EnableLogging 

func (trader *Trader) EnableLogging()

func (*Trader) ReportPnL 

func (trader *Trader) ReportPnL() *PnLReporterManager

ReportPnL configure and set the PnLReporter with the given notifier

func (*Trader) Run 

func (trader *Trader) Run(ctx context.Context) error

func (*Trader) RunAllSingleExchangeStrategy added in v1.11.1 

func (trader *Trader) RunAllSingleExchangeStrategy(ctx context.Context) error

func (*Trader) RunSingleExchangeStrategy added in v1.11.1 

func (trader *Trader) RunSingleExchangeStrategy(ctx context.Context, strategy SingleExchangeStrategy, session *ExchangeSession, orderExecutor OrderExecutor) error

func (*Trader) SetRiskControls 

func (trader *Trader) SetRiskControls(riskControls *RiskControls)

SetRiskControls sets the risk controller TODO: provide a more DSL way to configure risk controls

func (*Trader) Subscribe added in v1.11.0 

func (trader *Trader) Subscribe()

type TwapExecution added in v1.17.0 

type TwapExecution struct {
	Session        *ExchangeSession
	Symbol         string
	Side           types.SideType
	TargetQuantity fixedpoint.Value
	SliceQuantity  fixedpoint.Value
	StopPrice      fixedpoint.Value
	NumOfTicks     int
	UpdateInterval time.Duration
	DeadlineTime   time.Time
	// contains filtered or unexported fields
}

func (*TwapExecution) Done added in v1.17.0 

func (e *TwapExecution) Done() (c <-chan struct{})

func (*TwapExecution) Run added in v1.17.0 

func (e *TwapExecution) Run(parentCtx context.Context) error

func (*TwapExecution) Shutdown added in v1.17.0 

func (e *TwapExecution) Shutdown(shutdownCtx context.Context)

Shutdown stops the execution If we call this method, it means the execution is still running, We need to: 1. stop the order updater (by using the execution context) 2. the order updater cancels all open orders and close the user data stream

type Validator added in v1.15.3 

type Validator interface {
	Validate() error
}

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