bbgo

package
v1.60.3 Latest Latest
Warning

This package is not in the latest version of its module.

 Go to latest Published: Sep 15, 2024 License: AGPL-3.0 Imports: 58 Imported by: 97

Documentation

Index

Constants

View Source 
const CapacityOfKLineWindowLimit = 5_000
View Source 
const DefaultCancelOrderWaitTime = 20 * time.Millisecond
View Source 
const IsolationContextKey = "bbgo"
View Source 
const MaxNumOfKLines = 5_000
View Source 
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 BackTestService *service.BacktestService
View Source 
var DefaultBacktestAccount = BacktestAccount{
	MakerFeeRate: fixedpoint.MustNewFromString("0.050%"),
	TakerFeeRate: fixedpoint.MustNewFromString("0.075%"),
	Balances: BacktestAccountBalanceMap{
		"USDT": fixedpoint.NewFromFloat(10000),
	},
}
View Source 
var DefaultFeeRate = fixedpoint.NewFromFloat(0.075 * 0.01)

DefaultFeeRate set the fee rate for most cases BINANCE uses 0.1% for both maker and taker 

for BNB holders, it's 0.075% for both maker and taker

MAX uses 0.050% for maker and 0.15% for taker

View Source 
var DefaultSubmitOrderRetryTimeout = 5 * time.Minute
View Source 
var ErrEmptyMarketInfo = errors.New("market info should not be empty, 0 markets loaded")
View Source 
var ErrExceededSubmitOrderRetryLimit = errors.New("exceeded submit order retry limit")
View Source 
var ErrPositionAlreadyClosing = errors.New("position is already in closing process")
View Source 
var ErrSessionAlreadyInitialized = errors.New("session is already initialized")
View Source 
var IsBackTesting = false

IsBackTesting is a global variable that indicates the current environment is back-test or not.

View Source 
var IsWrapperBinary = false
View Source 
var KLinePreloadLimit int64 = 1000
View Source 
var LoadedCrossExchangeStrategies = make(map[string]CrossExchangeStrategy)
View Source 
var LoadedExchangeStrategies = make(map[string]SingleExchangeStrategy)
View Source 
var LocalTimeZone *time.Location
View Source 
var Notification = &Notifiability{
	SymbolChannelRouter:  NewPatternChannelRouter(nil),
	SessionChannelRouter: NewPatternChannelRouter(nil),
	ObjectChannelRouter:  NewObjectChannelRouter(),
}

Functions

func AdjustFloatQuantityByMaxAmount added in v1.17.0 

func AdjustFloatQuantityByMaxAmount(quantity fixedpoint.Value, price fixedpoint.Value, maxAmount fixedpoint.Value) fixedpoint.Value

func AdjustFloatQuantityByMinAmount added in v1.17.0 

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

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 less than the given maxAmount

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 BacktestFeeModeStrings added in v1.40.0 

func BacktestFeeModeStrings() []string

BacktestFeeModeStrings returns a slice of all String values of the enum

func BatchPlaceOrder added in v1.40.3 

func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, orderCallback OrderCallback, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error)

BatchPlaceOrder

func BatchRetryPlaceOrder added in v1.40.3 

func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx []int, orderCallback OrderCallback, logger log.FieldLogger, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error)

BatchRetryPlaceOrder places the orders and retries the failed orders

func BootstrapBacktestEnvironment added in v1.40.2 

func BootstrapBacktestEnvironment(ctx context.Context, environ *Environment) error

func BootstrapEnvironment added in v1.40.2 

func BootstrapEnvironment(ctx context.Context, environ *Environment, userConfig *Config) error

func BootstrapEnvironmentLightweight added in v1.41.0 

func BootstrapEnvironmentLightweight(ctx context.Context, environ *Environment, userConfig *Config) error

BootstrapEnvironmentLightweight bootstrap the environment in lightweight mode - no database configuration - no notification

func Build added in v1.9.0 

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

Build builds the bbgo wrapper binary with the given build target config

func BuildTarget added in v1.9.0 

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

BuildTarget builds the one of the targets.

func CalculateBaseQuantity added in v1.40.3 

func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error)

func CalculateQuoteQuantity added in v1.40.3 

func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error)

func ConfigurePersistence added in v1.42.0 

func ConfigurePersistence(ctx context.Context, environ *Environment, conf *PersistenceConfig) error

func GetCurrentEnv added in v1.55.0 

func GetCurrentEnv() string

func NewContextWithDefaultIsolation added in v1.42.0 

func NewContextWithDefaultIsolation(parent context.Context) context.Context

NewContextWithDefaultIsolation creates a new context from the parent context with a default isolation

func NewContextWithIsolation added in v1.42.0 

func NewContextWithIsolation(parent context.Context, isolation *Isolation) context.Context

NewContextWithIsolation creates a new context from the parent context with a custom isolation

func NewLogFormatter added in v1.55.0 

func NewLogFormatter(logFormatter LogFormatterType) log.Formatter

func NewLogFormatterWithEnv added in v1.55.0 

func NewLogFormatterWithEnv(env string) log.Formatter

func NewPersistenceServiceFacade added in v1.42.0 

func NewPersistenceServiceFacade(conf *PersistenceConfig) (*service.PersistenceServiceFacade, error)

func NewTodoContextWithExistingIsolation added in v1.42.0 

func NewTodoContextWithExistingIsolation(parent context.Context) context.Context

NewTodoContextWithExistingIsolation creates a new context object with the existing isolation of the parent context.

func Notify added in v1.36.0 

func Notify(obj interface{}, args ...interface{})

func NotifyTo added in v1.36.0 

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

func OnShutdown added in v1.36.0 

func OnShutdown(ctx context.Context, f ShutdownHandler)

OnShutdown helps you register your shutdown handler the first context object is where you want to register your shutdown handler, where the context has the isolated storage. in your handler, you will get another context for the timeout context.

func RegisterCommand added in v1.39.0 

func RegisterCommand(command, desc string, f interface{}) *interact.Command

func RegisterModifier added in v1.41.0 

func RegisterModifier(s interface{})

func RegisterStrategy 

func RegisterStrategy(key string, s interface{})

func SendPhoto added in v1.39.0 

func SendPhoto(buffer *bytes.Buffer)

func SendPhotoTo added in v1.39.0 

func SendPhotoTo(channel string, buffer *bytes.Buffer)

func SetBackTesting added in v1.36.0 

func SetBackTesting(s *service.BacktestService)

func SetWrapperBinary added in v1.9.0 

func SetWrapperBinary()

func Shutdown added in v1.36.0 

func Shutdown(shutdownCtx context.Context)

func Sync added in v1.36.0 

func Sync(ctx context.Context, obj interface{})

Sync syncs the object properties into the persistence layer

Types

type AccountValueCalculator added in v1.40.3 

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

func NewAccountValueCalculator added in v1.40.3 

func NewAccountValueCalculator(session *ExchangeSession, quoteCurrency string) *AccountValueCalculator

func (*AccountValueCalculator) AvailableQuote added in v1.40.3 

func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error)

func (*AccountValueCalculator) DebtValue added in v1.40.3 

func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Value, error)

func (*AccountValueCalculator) MarginLevel added in v1.40.3 

func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Value, error)

MarginLevel calculates the margin level from the asset market value and the debt value See https://www.binance.com/en/support/faq/360030493931

func (*AccountValueCalculator) MarketValue added in v1.40.3 

func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Value, error)

func (*AccountValueCalculator) NetValue added in v1.40.3 

func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error)

func (*AccountValueCalculator) UpdatePrices added in v1.40.3 

func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error

type ActiveOrderBook added in v1.33.0 

type ActiveOrderBook struct {
	Symbol string

	// sig is the order update signal
	// this signal will be emitted when a new order is added or removed.
	C sigchan.Chan
	// contains filtered or unexported fields
}

ActiveOrderBook manages the local active order books.

func NewActiveOrderBook added in v1.33.0 

func NewActiveOrderBook(symbol string) *ActiveOrderBook

func (*ActiveOrderBook) Add added in v1.33.0 

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

func (*ActiveOrderBook) Backup added in v1.33.0 

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

func (*ActiveOrderBook) BindStream added in v1.33.0 

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

func (*ActiveOrderBook) EmitCanceled added in v1.43.0 

func (b *ActiveOrderBook) EmitCanceled(o types.Order)

func (*ActiveOrderBook) EmitFilled added in v1.33.0 

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

func (*ActiveOrderBook) EmitNew added in v1.44.0 

func (b *ActiveOrderBook) EmitNew(o types.Order)

func (*ActiveOrderBook) Exists added in v1.33.0 

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

func (*ActiveOrderBook) FastCancel added in v1.43.0 

func (b *ActiveOrderBook) FastCancel(ctx context.Context, ex types.Exchange, orders ...types.Order) error

FastCancel cancels the orders without verification It calls the exchange cancel order api and then remove the orders from the active orderbook directly.

func (*ActiveOrderBook) Get added in v1.44.0 

func (b *ActiveOrderBook) Get(orderID uint64) (types.Order, bool)

func (*ActiveOrderBook) GracefulCancel added in v1.33.0 

func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange, specifiedOrders ...types.Order) error

GracefulCancel cancels the active orders gracefully

func (*ActiveOrderBook) Lookup added in v1.43.0 

func (b *ActiveOrderBook) Lookup(f func(o types.Order) bool) *types.Order

func (*ActiveOrderBook) MarshalJSON added in v1.33.0 

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

func (*ActiveOrderBook) NumOfOrders added in v1.33.0 

func (b *ActiveOrderBook) NumOfOrders() int

func (*ActiveOrderBook) OnCanceled added in v1.43.0 

func (b *ActiveOrderBook) OnCanceled(cb func(o types.Order))

func (*ActiveOrderBook) OnFilled added in v1.33.0 

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

func (*ActiveOrderBook) OnNew added in v1.44.0 

func (b *ActiveOrderBook) OnNew(cb func(o types.Order))

func (*ActiveOrderBook) Orders added in v1.33.0 

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

func (*ActiveOrderBook) Print added in v1.33.0 

func (b *ActiveOrderBook) Print()

func (*ActiveOrderBook) Remove added in v1.33.0 

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

func (*ActiveOrderBook) SetCancelOrderWaitTime added in v1.55.0 

func (b *ActiveOrderBook) SetCancelOrderWaitTime(duration time.Duration)

func (*ActiveOrderBook) Update added in v1.33.0 

func (b *ActiveOrderBook) Update(order types.Order)

Update updates the order by the order status and emit the related events. When order is filled, the order will be removed from the internal order storage. When order is New or PartiallyFilled, the internal order will be updated according to the latest order update. When the order is cancelled, it will be removed from the internal order storage.

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 BA added in v1.30.3 

type BA BacktestAccount

type Backtest 

type Backtest struct {
	StartTime types.LooseFormatTime  `json:"startTime,omitempty" yaml:"startTime,omitempty"`
	EndTime   *types.LooseFormatTime `json:"endTime,omitempty" yaml:"endTime,omitempty"`

	// RecordTrades is an option, if set to true, back-testing should record the trades into database
	RecordTrades bool `json:"recordTrades,omitempty" yaml:"recordTrades,omitempty"`

	// Deprecated:
	// Account is deprecated, use Accounts instead
	Account map[string]BacktestAccount `json:"account" yaml:"account"`

	FeeMode BacktestFeeMode `json:"feeMode" yaml:"feeMode"`

	Accounts map[string]BacktestAccount `json:"accounts" yaml:"accounts"`
	Symbols  []string                   `json:"symbols" yaml:"symbols"`
	Sessions []string                   `json:"sessions" yaml:"sessions"`

	// sync 1 second interval KLines
	SyncSecKLines bool `json:"syncSecKLines,omitempty" yaml:"syncSecKLines,omitempty"`
}

func (*Backtest) GetAccount added in v1.33.0 

func (b *Backtest) GetAccount(n string) BacktestAccount

type BacktestAccount 

type BacktestAccount struct {
	MakerFeeRate fixedpoint.Value `json:"makerFeeRate,omitempty" yaml:"makerFeeRate,omitempty"`
	TakerFeeRate fixedpoint.Value `json:"takerFeeRate,omitempty" yaml:"takerFeeRate,omitempty"`

	Balances BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
}

func (*BacktestAccount) UnmarshalJSON added in v1.30.3 

func (b *BacktestAccount) UnmarshalJSON(input []byte) error

func (*BacktestAccount) UnmarshalYAML added in v1.30.3 

func (b *BacktestAccount) UnmarshalYAML(value *yaml.Node) error

type BacktestAccountBalanceMap 

type BacktestAccountBalanceMap map[string]fixedpoint.Value

func (BacktestAccountBalanceMap) BalanceMap 

func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap

type BacktestFeeMode added in v1.40.0 

type BacktestFeeMode int
const (
	// BackTestFeeModeQuoteFee is designed for clean position but which also counts the fee in the quote balance.
	// buy order = quote currency fee
	// sell order = quote currency fee
	BacktestFeeModeQuote BacktestFeeMode = iota // quote

	// BackTestFeeModeNativeFee is the default crypto exchange fee mode.
	// buy order = base currency fee
	// sell order = quote currency fee
	BacktestFeeModeNative // BackTestFeeMode = "native"

	// BackTestFeeModeFeeToken is the mode which calculates fee from the outside of the balances.
	// the fee will not be included in the balances nor the profit.
	BacktestFeeModeToken // BackTestFeeMode = "token"
)

func BacktestFeeModeString added in v1.40.0 

func BacktestFeeModeString(s string) (BacktestFeeMode, error)

BacktestFeeModeString retrieves an enum value from the enum constants string name. Throws an error if the param is not part of the enum.

func BacktestFeeModeValues added in v1.40.0 

func BacktestFeeModeValues() []BacktestFeeMode

BacktestFeeModeValues returns all values of the enum

func (BacktestFeeMode) IsABacktestFeeMode added in v1.40.0 

func (i BacktestFeeMode) IsABacktestFeeMode() bool

IsABacktestFeeMode returns "true" if the value is listed in the enum definition. "false" otherwise

func (BacktestFeeMode) MarshalJSON added in v1.40.0 

func (i BacktestFeeMode) MarshalJSON() ([]byte, error)

MarshalJSON implements the json.Marshaler interface for BacktestFeeMode

func (BacktestFeeMode) MarshalYAML added in v1.40.0 

func (i BacktestFeeMode) MarshalYAML() (interface{}, error)

MarshalYAML implements a YAML Marshaler for BacktestFeeMode

func (BacktestFeeMode) String added in v1.40.0 

func (i BacktestFeeMode) String() string

func (*BacktestFeeMode) UnmarshalJSON added in v1.40.0 

func (i *BacktestFeeMode) UnmarshalJSON(data []byte) error

UnmarshalJSON implements the json.Unmarshaler interface for BacktestFeeMode

func (*BacktestFeeMode) UnmarshalYAML added in v1.40.0 

func (i *BacktestFeeMode) UnmarshalYAML(unmarshal func(interface{}) error) error

UnmarshalYAML implements a YAML Unmarshaler for BacktestFeeMode

type BaseOrderExecutor added in v1.52.0 

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

BaseOrderExecutor provides the common accessors for order executor

func (*BaseOrderExecutor) ActiveMakerOrders added in v1.52.0 

func (e *BaseOrderExecutor) ActiveMakerOrders() *ActiveOrderBook

func (*BaseOrderExecutor) GracefulCancel added in v1.52.0 

func (e *BaseOrderExecutor) GracefulCancel(ctx context.Context, orders ...types.Order) error

GracefulCancel cancels all active maker orders if orders are not given, otherwise cancel all the given orders

func (*BaseOrderExecutor) OrderStore added in v1.52.0 

func (e *BaseOrderExecutor) OrderStore() *core.OrderStore

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"`

	Sync *SyncConfig `json:"sync,omitempty" yaml:"sync,omitempty"`

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

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

	Service *ServiceConfig `json:"services,omitempty" yaml:"services,omitempty"`

	DatabaseConfig *DatabaseConfig `json:"database,omitempty" yaml:"database,omitempty"`

	Environment *EnvironmentConfig `json:"environment,omitempty" yaml:"environment,omitempty"`

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

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

	Logging *LoggingConfig `json:"logging,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) GetSignature added in v1.33.0 

func (c *Config) GetSignature() string

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 CoreInteraction added in v1.26.0 

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

func NewCoreInteraction added in v1.26.0 

func NewCoreInteraction(environment *Environment, trader *Trader) *CoreInteraction

func (*CoreInteraction) Commands added in v1.26.0 

func (it *CoreInteraction) Commands(i *interact.Interact)

func (*CoreInteraction) Initialize added in v1.26.0 

func (it *CoreInteraction) Initialize() error

type CrossExchangeSessionSubscriber added in v1.2.0 

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

type CrossExchangeStrategy 

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

type CumulatedVolumeTakeProfit added in v1.36.0 

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

	types.IntervalWindow

	Ratio          fixedpoint.Value `json:"ratio"`
	MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
	// contains filtered or unexported fields
}

CumulatedVolumeTakeProfit This exit method cumulate the volume by N bars, if the cumulated volume exceeded a threshold, then we take profit.

To query the historical quote volume, use the following query:

> SELECT start_time, `interval`, quote_volume, open, close FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' ORDER BY quote_volume DESC LIMIT 20;

func (*CumulatedVolumeTakeProfit) Bind added in v1.36.0 

func (s *CumulatedVolumeTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

type DatabaseConfig added in v1.56.0 

type DatabaseConfig struct {
	Driver string `json:"driver" yaml:"driver"`
	DSN    string `json:"dsn" yaml:"dsn"`

	ExtraMigrationPackages []string `json:"extraMigrationPackages" yaml:"extraMigrationPackages"`
}

type EmergencyStopper added in v1.29.0 

type EmergencyStopper interface {
	EmergencyStop() error
}

type Environment 

type Environment struct {
	// built-in service
	DatabaseService   *service.DatabaseService
	OrderService      *service.OrderService
	TradeService      *service.TradeService
	ProfitService     *service.ProfitService
	PositionService   *service.PositionService
	BacktestService   *service.BacktestService
	RewardService     *service.RewardService
	MarginService     *service.MarginService
	SyncService       *service.SyncService
	AccountService    *service.AccountService
	WithdrawService   *service.WithdrawService
	DepositService    *service.DepositService
	PersistentService *service.PersistenceServiceFacade

	// external services
	GoogleSpreadSheetService *googleservice.SpreadSheetService
	// 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) BindSync added in v1.28.0 

func (environ *Environment) BindSync(config *SyncConfig)

func (*Environment) ConfigureDatabase added in v1.7.0 

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

func (*Environment) ConfigureDatabaseDriver added in v1.12.0 

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

func (*Environment) ConfigureExchangeSessions added in v1.12.0 

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

func (*Environment) ConfigureNotification 

func (environ *Environment) ConfigureNotification(config *NotificationConfig) error

func (*Environment) ConfigureNotificationSystem added in v1.12.0 

func (environ *Environment) ConfigureNotificationSystem(ctx context.Context, userConfig *Config) error

func (*Environment) ConfigureService added in v1.51.0 

func (environ *Environment) ConfigureService(ctx context.Context, srvConfig *ServiceConfig) 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) IsBackTesting added in v1.33.0 

func (environ *Environment) IsBackTesting() bool

func (*Environment) IsSyncing added in v1.12.0 

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

func (*Environment) Logger added in v1.52.0 

func (environ *Environment) Logger() log.FieldLogger

func (*Environment) RecordAsset added in v1.32.0 

func (environ *Environment) RecordAsset(t time.Time, session *ExchangeSession, assets types.AssetMap)

func (*Environment) RecordPosition added in v1.28.0 

func (environ *Environment) RecordPosition(position *types.Position, trade types.Trade, profit *types.Profit)

func (*Environment) RecordProfit added in v1.28.0 

func (environ *Environment) RecordProfit(profit types.Profit)

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) SetLogging added in v1.44.0 

func (environ *Environment) SetLogging(config *LoggingConfig)

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)

Start initializes the symbols data streams

func (*Environment) StartTime added in v1.38.0 

func (environ *Environment) StartTime() time.Time

func (*Environment) Sync added in v1.12.0 

func (environ *Environment) Sync(ctx context.Context, userConfig ...*Config) 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 EnvironmentConfig added in v1.54.0 

type EnvironmentConfig struct {
	DisableDefaultKLineSubscription bool `json:"disableDefaultKLineSubscription"`
	DisableHistoryKLinePreload      bool `json:"disableHistoryKLinePreload"`

	// DisableStartUpBalanceQuery disables the balance query in the startup process
	// which initializes the session.Account with the QueryAccount method.
	DisableStartupBalanceQuery bool `json:"disableStartupBalanceQuery"`

	DisableSessionTradeBuffer bool `json:"disableSessionTradeBuffer"`

	DisableMarketDataStore bool `json:"disableMarketDataStore"`

	MaxSessionTradeBufferSize int `json:"maxSessionTradeBufferSize"`

	SyncBufferPeriod *types.Duration `json:"syncBufferPeriod"`
}

type ExchangeOrderExecutionRouter 

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

func (*ExchangeOrderExecutionRouter) CancelOrdersTo added in v1.29.0 

func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error

func (*ExchangeOrderExecutionRouter) SubmitOrdersTo 

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

type ExchangeOrderExecutor 

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

ExchangeOrderExecutor is an order executor wrapper for single exchange instance.

func (*ExchangeOrderExecutor) CancelOrders added in v1.29.0 

func (e *ExchangeOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error

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 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"`
	Passphrase   string             `json:"passphrase,omitempty" yaml:"passphrase,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" yaml:"makerFeeRate"`
	TakerFeeRate            fixedpoint.Value `json:"takerFeeRate" yaml:"takerFeeRate"`
	ModifyOrderAmountForFee bool             `json:"modifyOrderAmountForFee" yaml:"modifyOrderAmountForFee"`

	// PublicOnly is used for setting the session to public only (without authentication, no private user data)
	PublicOnly bool `json:"publicOnly,omitempty" yaml:"publicOnly"`

	// PrivateChannels is used for filtering the private user data channel, .e.g, orders, trades, balances.. etc
	// This option is exchange-specific, currently only MAX exchange reads this option
	PrivateChannels []string `json:"privateChannels,omitempty" yaml:"privateChannels,omitempty"`

	// PrivateChannelSymbols is used for filtering the private user data channel, .e.g, order symbol subscription.
	// This option is exchange-specific, currently only Bitget exchange reads this option
	PrivateChannelSymbols []string `json:"privateChannelSymbols,omitempty" yaml:"privateChannelSymbols,omitempty"`

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

	Futures               bool   `json:"futures,omitempty" yaml:"futures"`
	IsolatedFutures       bool   `json:"isolatedFutures,omitempty" yaml:"isolatedFutures,omitempty"`
	IsolatedFuturesSymbol string `json:"isolatedFuturesSymbol,omitempty" yaml:"isolatedFuturesSymbol,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
	// this is a read-only field when running strategy
	Subscriptions map[types.Subscription]types.Subscription `json:"-" yaml:"-"`

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

	UseHeikinAshi bool `json:"heikinAshi,omitempty" yaml:"heikinAshi,omitempty"`

	// 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) AllLastPrices added in v1.33.0 

func (session *ExchangeSession) AllLastPrices() map[string]fixedpoint.Value

func (*ExchangeSession) FindPossibleAssetSymbols added in v1.55.3 

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

func (*ExchangeSession) FormatOrder added in v1.5.0 

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

func (*ExchangeSession) FormatOrders added in v1.36.0 

func (session *ExchangeSession) FormatOrders(orders []types.SubmitOrder) (formattedOrders []types.SubmitOrder, err error)

func (*ExchangeSession) GetAccount added in v1.31.0 

func (session *ExchangeSession) GetAccount() (a *types.Account)

func (*ExchangeSession) Indicators added in v1.50.0 

func (session *ExchangeSession) Indicators(symbol string) *IndicatorSet

Indicators returns the IndicatorSet struct that maintains the kLines stream cache and price stream cache It also provides helper methods

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) InitExchange added in v1.21.0 

func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) error

InitExchange initialize the exchange instance and allocate memory for fields In this stage, the session var could be loaded from the JSON config, so the pointer fields are still nil The Init method will be called after this stage, environment.Init will call the session.Init method later.

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 fixedpoint.Value, ok bool)

func (*ExchangeSession) LastPrices added in v1.11.0 

func (session *ExchangeSession) LastPrices() map[string]fixedpoint.Value

func (*ExchangeSession) MarginType added in v1.21.0 

func (session *ExchangeSession) MarginType() types.MarginType

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() types.MarketMap

func (*ExchangeSession) OrderBook added in v1.17.0 

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

OrderBook returns the personal orderbook of a symbol

func (*ExchangeSession) OrderStore added in v1.11.0 

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

func (*ExchangeSession) OrderStores added in v1.11.0 

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

func (*ExchangeSession) Position added in v1.9.0 

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

func (*ExchangeSession) Positions added in v1.11.0 

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

func (*ExchangeSession) SerialMarketDataStore added in v1.40.3 

func (session *ExchangeSession) SerialMarketDataStore(
	ctx context.Context, symbol string, intervals []types.Interval, useAggTrade ...bool,
) (store *SerialMarketDataStore, ok bool)

KLine updates will be received in the order listend in intervals array

func (*ExchangeSession) SetMarkets added in v1.58.0 

func (session *ExchangeSession) SetMarkets(markets types.MarketMap)

func (*ExchangeSession) SlackAttachment added in v1.32.0 

func (session *ExchangeSession) SlackAttachment() slack.Attachment

func (*ExchangeSession) StandardIndicatorSet 

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

func (*ExchangeSession) StartPrice 

func (session *ExchangeSession) StartPrice(symbol string) (price fixedpoint.Value, 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) UpdateAccount added in v1.31.0 

func (session *ExchangeSession) UpdateAccount(ctx context.Context) (*types.Account, error)

UpdateAccount locks the account mutex and update the account object

func (*ExchangeSession) UpdatePrices added in v1.11.0 

func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []string, fiat string) (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 ExitMethod added in v1.36.0 

type ExitMethod struct {
	RoiStopLoss            *RoiStopLoss            `json:"roiStopLoss"`
	ProtectiveStopLoss     *ProtectiveStopLoss     `json:"protectiveStopLoss"`
	RoiTakeProfit          *RoiTakeProfit          `json:"roiTakeProfit"`
	TrailingStop           *TrailingStop2          `json:"trailingStop"`
	HigherHighLowerLowStop *HigherHighLowerLowStop `json:"higherHighLowerLowStopLoss"`

	// Exit methods for short positions
	// =================================================
	LowerShadowTakeProfit     *LowerShadowTakeProfit     `json:"lowerShadowTakeProfit"`
	CumulatedVolumeTakeProfit *CumulatedVolumeTakeProfit `json:"cumulatedVolumeTakeProfit"`
	SupportTakeProfit         *SupportTakeProfit         `json:"supportTakeProfit"`
}

func (*ExitMethod) Bind added in v1.36.0 

func (m *ExitMethod) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*ExitMethod) Inherit added in v1.36.0 

func (m *ExitMethod) Inherit(parent interface{})

Inherit is used for inheriting properties from the given strategy struct for example, some exit method requires the default interval and symbol name from the strategy param object

func (ExitMethod) String added in v1.39.2 

func (e ExitMethod) String() string

func (*ExitMethod) Subscribe added in v1.36.0 

func (m *ExitMethod) Subscribe(session *ExchangeSession)

type ExitMethodSet added in v1.36.0 

type ExitMethodSet []ExitMethod

func (*ExitMethodSet) Bind added in v1.37.0 

func (s *ExitMethodSet) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*ExitMethodSet) SetAndSubscribe added in v1.36.0 

func (s *ExitMethodSet) SetAndSubscribe(session *ExchangeSession, parent interface{})

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
}

f(x) := ab^x 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

func (*ExponentialScale) Sum added in v1.48.0 

func (s *ExponentialScale) Sum(step float64) float64

type FastOrderExecutor added in v1.48.0 

type FastOrderExecutor struct {
	*GeneralOrderExecutor
}

FastOrderExecutor provides shorter submit order / cancel order round-trip time for strategies that need to response more faster, e.g. 1s kline or market trades related strategies.

func NewFastOrderExecutor added in v1.48.0 

func NewFastOrderExecutor(session *ExchangeSession, symbol, strategy, strategyInstanceID string, position *types.Position) *FastOrderExecutor

func (*FastOrderExecutor) Cancel added in v1.48.0 

func (e *FastOrderExecutor) Cancel(ctx context.Context, orders ...types.Order) error

Cancel cancels all active maker orders if orders is not given, otherwise cancel the given orders

func (*FastOrderExecutor) SubmitOrders added in v1.48.0 

func (e *FastOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error)

SubmitOrders sends []types.SubmitOrder directly to the exchange without blocking wait on the status update. This is a faster version of GeneralOrderExecutor.SubmitOrders(). Created orders will be consumed in newly created goroutine (in non-backteset session). @param ctx: golang context type. @param submitOrders: Lists of types.SubmitOrder to be sent to the exchange. @return *types.SubmitOrder: SubmitOrder with calculated quantity and price. @return error: Error message.

type GeneralOrderExecutor added in v1.36.0 

type GeneralOrderExecutor struct {
	BaseOrderExecutor
	// contains filtered or unexported fields
}

GeneralOrderExecutor implements the general order executor for strategy

func NewGeneralOrderExecutor added in v1.36.0 

func NewGeneralOrderExecutor(
	session *ExchangeSession,
	symbol, strategy, strategyInstanceID string,
	position *types.Position,
) *GeneralOrderExecutor

NewGeneralOrderExecutor allocates a GeneralOrderExecutor which has its own order store, trade collector

func (*GeneralOrderExecutor) Bind added in v1.36.0 

func (e *GeneralOrderExecutor) Bind()

func (*GeneralOrderExecutor) BindEnvironment added in v1.36.0 

func (e *GeneralOrderExecutor) BindEnvironment(environ *Environment)

func (*GeneralOrderExecutor) BindProfitStats added in v1.36.0 

func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats)

func (*GeneralOrderExecutor) BindTradeStats added in v1.36.0 

func (e *GeneralOrderExecutor) BindTradeStats(tradeStats *types.TradeStats)

func (*GeneralOrderExecutor) CancelOrders added in v1.36.0 

func (e *GeneralOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error

CancelOrders cancels the given order objects directly

func (*GeneralOrderExecutor) ClosePosition added in v1.36.0 

func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value, tags ...string) error

ClosePosition closes the current position by a percentage. percentage 0.1 means close 10% position tag is the order tag you want to attach, you may pass multiple tags, the tags will be combined into one tag string by commas.

func (*GeneralOrderExecutor) CurrentPosition added in v1.41.0 

func (e *GeneralOrderExecutor) CurrentPosition() *types.Position

This implements PositionReader interface

func (*GeneralOrderExecutor) DisableNotify added in v1.43.0 

func (e *GeneralOrderExecutor) DisableNotify()

func (*GeneralOrderExecutor) GracefulCancel added in v1.36.0 

func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context, orders ...types.Order) error

GracefulCancel cancels all active maker orders if orders are not given, otherwise cancel all the given orders

func (*GeneralOrderExecutor) GracefulCancelActiveOrderBook added in v1.36.0 

func (e *GeneralOrderExecutor) GracefulCancelActiveOrderBook(ctx context.Context, activeOrders *ActiveOrderBook) error

GracefulCancelActiveOrderBook cancels the orders from the active orderbook.

func (*GeneralOrderExecutor) NewOrderFromOpenPosition added in v1.43.0 

func (e *GeneralOrderExecutor) NewOrderFromOpenPosition(
	ctx context.Context, options *OpenPositionOptions,
) (*types.SubmitOrder, error)

Create new submitOrder from OpenPositionOptions. @param ctx: golang context type. @param options: OpenPositionOptions to control the generated SubmitOrder in a higher level way. Notice that the Price in options will be updated as the submitOrder price. @return *types.SubmitOrder: SubmitOrder with calculated quantity and price. @return error: Error message.

func (*GeneralOrderExecutor) OpenPosition added in v1.40.3 

func (e *GeneralOrderExecutor) OpenPosition(
	ctx context.Context, options OpenPositionOptions,
) (types.OrderSlice, error)

OpenPosition sends the orders generated from OpenPositionOptions to the exchange by calling SubmitOrders or reduceQuantityAndSubmitOrder. @param ctx: golang context type. @param options: OpenPositionOptions to control the generated SubmitOrder in a higher level way. Notice that the Price in options will be updated as the submitOrder price. @return types.OrderSlice: Created orders with information from exchange. @return error: Error message.

func (*GeneralOrderExecutor) Position added in v1.36.0 

func (e *GeneralOrderExecutor) Position() *types.Position

func (*GeneralOrderExecutor) ResetPosition added in v1.41.0 

func (e *GeneralOrderExecutor) ResetPosition() error

This implements PositionResetter interface

func (*GeneralOrderExecutor) Session added in v1.36.0 

func (e *GeneralOrderExecutor) Session() *ExchangeSession

func (*GeneralOrderExecutor) SetLogger added in v1.44.0 

func (e *GeneralOrderExecutor) SetLogger(logger log.FieldLogger)

func (*GeneralOrderExecutor) SetMaxRetries added in v1.45.0 

func (e *GeneralOrderExecutor) SetMaxRetries(maxRetries uint)

func (*GeneralOrderExecutor) SubmitOrders added in v1.36.0 

func (e *GeneralOrderExecutor) SubmitOrders(
	ctx context.Context, submitOrders ...types.SubmitOrder,
) (types.OrderSlice, error)

func (*GeneralOrderExecutor) TradeCollector added in v1.36.0 

func (e *GeneralOrderExecutor) TradeCollector() *core.TradeCollector

type GoogleSpreadSheetServiceConfig added in v1.51.0 

type GoogleSpreadSheetServiceConfig struct {
	JsonTokenFile string `json:"jsonTokenFile" yaml:"jsonTokenFile"`
	SpreadSheetID string `json:"spreadSheetId" yaml:"spreadSheetId"`
}

type GracefulShutdown added in v1.42.0 

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

func (*GracefulShutdown) EmitShutdown added in v1.42.0 

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

func (*GracefulShutdown) OnShutdown added in v1.42.0 

func (g *GracefulShutdown) OnShutdown(cb ShutdownHandler)

func (*GracefulShutdown) Shutdown added in v1.42.0 

func (g *GracefulShutdown) Shutdown(shutdownCtx context.Context)

Shutdown is a blocking call to emit all shutdown callbacks at the same time. The context object here should not be canceled context, you need to create a todo context.

type HigherHighLowerLowStop added in v1.46.0 

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

	// Interval is the kline interval used by this exit. Window is used as the range to determining higher highs and
	// lower lows
	types.IntervalWindow

	// HighLowWindow is the range to calculate the number of higher highs and lower lows
	HighLowWindow int `json:"highLowWindow"`

	// If the number of higher highs or lower lows with in HighLowWindow is more than MaxHighLow, the exit is triggered.
	// 0 disables this parameter. Either one of MaxHighLow and MinHighLow must be larger than 0
	MaxHighLow int `json:"maxHighLow"`

	// If the number of higher highs or lower lows with in HighLowWindow is less than MinHighLow, the exit is triggered.
	// 0 disables this parameter. Either one of MaxHighLow and MinHighLow must be larger than 0
	MinHighLow int `json:"minHighLow"`

	// ActivationRatio is the trigger condition
	// When the price goes higher (lower for short position) than this ratio, the stop will be activated.
	// You can use this to combine several exits
	ActivationRatio fixedpoint.Value `json:"activationRatio"`

	// DeactivationRatio is the kill condition
	// When the price goes higher (lower for short position) than this ratio, the stop will be deactivated.
	// You can use this to combine several exits
	DeactivationRatio fixedpoint.Value `json:"deactivationRatio"`

	// If true, looking for lower lows in long position and higher highs in short position. If false, looking for higher
	// highs in long position and lower lows in short position
	OppositeDirectionAsPosition bool `json:"oppositeDirectionAsPosition"`
	// contains filtered or unexported fields
}

func (*HigherHighLowerLowStop) Bind added in v1.46.0 

func (s *HigherHighLowerLowStop) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*HigherHighLowerLowStop) Subscribe added in v1.46.0 

func (s *HigherHighLowerLowStop) Subscribe(session *ExchangeSession)

Subscribe required k-line stream

type IndicatorSet added in v1.50.0 

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

IndicatorSet is the v2 standard indicator set This will replace StandardIndicator in the future

func NewIndicatorSet added in v1.50.0 

func NewIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *IndicatorSet

func (*IndicatorSet) ADX added in v1.59.0 

func (i *IndicatorSet) ADX(interval types.Interval, window int) *indicatorv2.ADXStream

func (*IndicatorSet) ATR added in v1.50.0 

func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicatorv2.ATRStream

func (*IndicatorSet) ATRP added in v1.50.0 

func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicatorv2.ATRPStream

func (*IndicatorSet) BOLL added in v1.50.0 

func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicatorv2.BOLLStream

func (*IndicatorSet) CLOSE added in v1.50.0 

func (i *IndicatorSet) CLOSE(interval types.Interval) *indicatorv2.PriceStream

func (*IndicatorSet) EMA added in v1.50.0 

func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicatorv2.EWMAStream

func (*IndicatorSet) EWMA added in v1.50.0 

func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicatorv2.EWMAStream

func (*IndicatorSet) HIGH added in v1.50.0 

func (i *IndicatorSet) HIGH(interval types.Interval) *indicatorv2.PriceStream

func (*IndicatorSet) KLines added in v1.50.0 

func (i *IndicatorSet) KLines(interval types.Interval) *indicatorv2.KLineStream

func (*IndicatorSet) Keltner added in v1.57.0 

func (i *IndicatorSet) Keltner(iw types.IntervalWindow, atrLength int) *indicatorv2.KeltnerStream

func (*IndicatorSet) LOW added in v1.50.0 

func (i *IndicatorSet) LOW(interval types.Interval) *indicatorv2.PriceStream

func (*IndicatorSet) MACD added in v1.50.0 

func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicatorv2.MACDStream

func (*IndicatorSet) OPEN added in v1.50.0 

func (i *IndicatorSet) OPEN(interval types.Interval) *indicatorv2.PriceStream

func (*IndicatorSet) RSI added in v1.50.0 

func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicatorv2.RSIStream

func (*IndicatorSet) STOCH added in v1.50.0 

func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicatorv2.StochStream

func (*IndicatorSet) VOLUME added in v1.50.0 

func (i *IndicatorSet) VOLUME(interval types.Interval) *indicatorv2.PriceStream

type Isolation added in v1.42.0 

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

func GetIsolationFromContext added in v1.42.0 

func GetIsolationFromContext(ctx context.Context) *Isolation

func NewDefaultIsolation added in v1.42.0 

func NewDefaultIsolation() *Isolation

func NewIsolation added in v1.42.0 

func NewIsolation(persistenceFacade *service.PersistenceServiceFacade) *Isolation

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)

func (*LayerScale) UnmarshalJSON added in v1.55.0 

func (s *LayerScale) UnmarshalJSON(data []byte) 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

func (*LinearScale) Sum added in v1.48.0 

func (s *LinearScale) Sum(step float64) float64

type LogFormatterType added in v1.55.0 

type LogFormatterType string
const (
	LogFormatterTypePrefixed LogFormatterType = "prefixed"
	LogFormatterTypeText     LogFormatterType = "text"
	LogFormatterTypeJson     LogFormatterType = "json"
)

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

func (*LogarithmicScale) Sum added in v1.48.0 

func (s *LogarithmicScale) Sum(step float64) float64

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 LoggingConfig added in v1.44.0 

type LoggingConfig struct {
	Trade           bool                   `json:"trade,omitempty"`
	Order           bool                   `json:"order,omitempty"`
	Balance         bool                   `json:"balance,omitempty"`
	FilledOrderOnly bool                   `json:"filledOrder,omitempty"`
	Fields          map[string]interface{} `json:"fields,omitempty"`
}

type LowerShadowTakeProfit added in v1.36.0 

type LowerShadowTakeProfit struct {
	// inherit from the strategy
	types.IntervalWindow

	// inherit from the strategy
	Symbol string `json:"symbol"`

	Ratio fixedpoint.Value `json:"ratio"`
	// contains filtered or unexported fields
}

func (*LowerShadowTakeProfit) Bind added in v1.36.0 

func (s *LowerShadowTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*LowerShadowTakeProfit) Subscribe added in v1.36.0 

func (s *LowerShadowTakeProfit) Subscribe(session *ExchangeSession)

type MACDConfig added in v1.41.0 

type MACDConfig struct {
	types.IntervalWindow
}

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 of a single symbol

func NewMarketDataStore 

func NewMarketDataStore(symbol string) *MarketDataStore

func (*MarketDataStore) AddKLine 

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

func (*MarketDataStore) BindStream 

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

func (*MarketDataStore) EmitKLineClosed added in v1.38.0 

func (store *MarketDataStore) EmitKLineClosed(k types.KLine)

func (*MarketDataStore) EmitKLineWindowUpdate 

func (store *MarketDataStore) EmitKLineWindowUpdate(interval types.Interval, klines 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) OnKLineClosed added in v1.38.0 

func (store *MarketDataStore) OnKLineClosed(cb func(k types.KLine))

func (*MarketDataStore) OnKLineWindowUpdate 

func (store *MarketDataStore) OnKLineWindowUpdate(cb func(interval types.Interval, klines 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"`

	QuantityOrAmount
}

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

func (*Notifiability) SendPhoto added in v1.39.0 

func (m *Notifiability) SendPhoto(buffer *bytes.Buffer)

func (*Notifiability) SendPhotoTo added in v1.39.0 

func (m *Notifiability) SendPhotoTo(channel string, buffer *bytes.Buffer)

type NotificationConfig 

type NotificationConfig struct {
	Slack    *SlackNotification    `json:"slack,omitempty" yaml:"slack,omitempty"`
	Telegram *TelegramNotification `json:"telegram,omitempty" yaml:"telegram,omitempty"`
	Switches *NotificationSwitches `json:"switches" yaml:"switches"`
}

type NotificationSwitches added in v1.41.0 

type NotificationSwitches struct {
	Trade       bool `json:"trade" yaml:"trade"`
	Position    bool `json:"position" yaml:"position"`
	OrderUpdate bool `json:"orderUpdate" yaml:"orderUpdate"`
	SubmitOrder bool `json:"submitOrder" yaml:"submitOrder"`
}

type Notifier 

type Notifier interface {
	NotifyTo(channel string, obj interface{}, args ...interface{})
	Notify(obj interface{}, args ...interface{})
	SendPhotoTo(channel string, buffer *bytes.Buffer)
	SendPhoto(buffer *bytes.Buffer)
}

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{})

func (*NullNotifier) SendPhoto added in v1.39.0 

func (n *NullNotifier) SendPhoto(buffer *bytes.Buffer)

func (*NullNotifier) SendPhotoTo added in v1.39.0 

func (n *NullNotifier) SendPhotoTo(channel string, buffer *bytes.Buffer)

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 OpenPositionOptions added in v1.40.3 

type OpenPositionOptions struct {
	// Long is for open a long position
	// Long or Short must be set, avoid loading it from the config file
	// it should be set from the strategy code
	Long bool `json:"-" yaml:"-"`

	// Short is for open a short position
	// Long or Short must be set
	Short bool `json:"-" yaml:"-"`

	// Leverage is used for leveraged position and account
	// Leverage is not effected when using non-leverage spot account
	Leverage fixedpoint.Value `json:"leverage,omitempty" modifiable:"true"`

	// Quantity will be used first, it will override the leverage if it's given
	Quantity fixedpoint.Value `json:"quantity,omitempty" modifiable:"true"`

	// LimitOrder set to true to open a position with a limit order
	// default is false, and will send MarketOrder
	LimitOrder bool `json:"limitOrder,omitempty" modifiable:"true"`

	// LimitOrderTakerRatio is used when LimitOrder = true, it adjusts the price of the limit order with a ratio.
	// So you can ensure that the limit order can be a taker order. Higher the ratio, higher the chance it could be a taker order.
	//
	// limitOrderTakerRatio is the price ratio to adjust your limit order as a taker order. e.g., 0.1%
	// for sell order, 0.1% ratio means your final price = price * (1 - 0.1%)
	// for buy order, 0.1% ratio means your final price = price * (1 + 0.1%)
	// this is only enabled when the limitOrder option set to true
	LimitOrderTakerRatio fixedpoint.Value `json:"limitOrderTakerRatio,omitempty"`

	Price fixedpoint.Value `json:"-" yaml:"-"`
	Tags  []string         `json:"-" yaml:"-"`
}

type OrderCallback added in v1.44.0 

type OrderCallback func(order types.Order)

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)
	CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error
}

type OrderExecutor 

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

type OrderExecutorExtended added in v1.51.0 

type OrderExecutorExtended interface {
	SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
	CancelOrders(ctx context.Context, orders ...types.Order) error
	TradeCollector() *core.TradeCollector
	Position() *types.Position
}

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 PercentageScale added in v1.28.0 

type PercentageScale struct {
	ByPercentage *SlideRule `json:"byPercentage"`
}

func (*PercentageScale) Scale added in v1.28.0 

func (s *PercentageScale) Scale(percentage float64) (float64, 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 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 PositionCloser added in v1.26.0 

type PositionCloser interface {
	ClosePosition(ctx context.Context, percentage fixedpoint.Value) error
}

type PositionReader added in v1.26.0 

type PositionReader interface {
	CurrentPosition() *types.Position
}

type PositionResetter added in v1.40.3 

type PositionResetter interface {
	ResetPosition() error
}

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 ProtectiveStopLoss added in v1.36.0 

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

	// ActivationRatio is the trigger condition of this ROI protection stop loss
	// When the price goes lower (for short position) with the ratio, the protection stop will be activated.
	// This number should be positive to protect the profit
	ActivationRatio fixedpoint.Value `json:"activationRatio"`

	// StopLossRatio is the ratio for stop loss. This number should be positive to protect the profit.
	// negative ratio will cause loss.
	StopLossRatio fixedpoint.Value `json:"stopLossRatio"`

	// PlaceStopOrder places the stop order on exchange and lock the balance
	PlaceStopOrder bool `json:"placeStopOrder"`

	// Interval is the time resolution to update the stop order
	// KLine per Interval will be used for updating the stop order
	Interval types.Interval `json:"interval,omitempty"`
	// contains filtered or unexported fields
}

ProtectiveStopLoss provides a way to protect your profit but also keep a room for the price volatility Set ActivationRatio to 1% means if the price is away from your average cost by 1%, we will activate the protective stop loss and the StopLossRatio is the minimal profit ratio you want to keep for your position. If you set StopLossRatio to 0.1% and ActivationRatio to 1%, when the price goes away from your average cost by 1% and then goes back to below your (average_cost * (1 - 0.1%)) The stop will trigger.

func (*ProtectiveStopLoss) Bind added in v1.36.0 

func (s *ProtectiveStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*ProtectiveStopLoss) Subscribe added in v1.37.0 

func (s *ProtectiveStopLoss) Subscribe(session *ExchangeSession)

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

func (*QuadraticScale) Sum added in v1.48.0 

func (s *QuadraticScale) Sum(step float64) float64

type QuantityOrAmount added in v1.28.0 

type QuantityOrAmount struct {
	// Quantity is the base order quantity for your buy/sell order.
	// when quantity is set, the amount option will be not used.
	Quantity fixedpoint.Value `json:"quantity"`

	// Amount is the order quote amount for your buy/sell order.
	Amount fixedpoint.Value `json:"amount,omitempty"`
}

QuantityOrAmount is a setting structure used for quantity/amount settings You can embed this struct into your strategy to share the setting methods

func (*QuantityOrAmount) CalculateQuantity added in v1.28.0 

func (qa *QuantityOrAmount) CalculateQuantity(currentPrice fixedpoint.Value) fixedpoint.Value

CalculateQuantity calculates the equivalent quantity of the given price when amount is set it returns the quantity if the quantity is set

func (*QuantityOrAmount) IsSet added in v1.28.0 

func (qa *QuantityOrAmount) IsSet() bool

func (*QuantityOrAmount) Validate added in v1.28.0 

func (qa *QuantityOrAmount) Validate() error

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)

Add adds the fund to the available quota

func (*Quota) Commit added in v1.2.0 

func (q *Quota) Commit()

Commit commits the locked fund

func (*Quota) Lock added in v1.2.0 

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

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 (*Quota) Rollback added in v1.2.0 

func (q *Quota) Rollback()

Rollback rolls back the locked fund this will move the locked fund to the available quota

func (*Quota) String added in v1.60.1 

func (q *Quota) String() string

type QuotaTransaction added in v1.2.0 

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

QuotaTransaction is a transactional quota manager

func (*QuotaTransaction) Commit added in v1.2.0 

func (m *QuotaTransaction) Commit() bool

Commit commits the transaction

func (*QuotaTransaction) Rollback added in v1.2.0 

func (m *QuotaTransaction) Rollback() bool

Rollback rolls back the transaction

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 RoiStopLoss added in v1.36.0 

type RoiStopLoss struct {
	Symbol             string
	Percentage         fixedpoint.Value `json:"percentage"`
	CancelActiveOrders bool             `json:"cancelActiveOrders"`
	// Interval is the time resolution to update the stop order
	// KLine per Interval will be used for updating the stop order
	Interval types.Interval `json:"interval,omitempty"`
	// contains filtered or unexported fields
}

func (*RoiStopLoss) Bind added in v1.36.0 

func (s *RoiStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*RoiStopLoss) Subscribe added in v1.36.0 

func (s *RoiStopLoss) Subscribe(session *ExchangeSession)

type RoiTakeProfit added in v1.36.0 

type RoiTakeProfit struct {
	Symbol             string           `json:"symbol"`
	Percentage         fixedpoint.Value `json:"percentage"`
	CancelActiveOrders bool             `json:"cancelActiveOrders"`

	// Interval is the time resolution to update the stop order
	// KLine per Interval will be used for updating the stop order
	Interval types.Interval `json:"interval,omitempty"`
	// contains filtered or unexported fields
}

RoiTakeProfit force takes the profit by the given ROI percentage.

func (*RoiTakeProfit) Bind added in v1.36.0 

func (s *RoiTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*RoiTakeProfit) Subscribe added in v1.38.0 

func (s *RoiTakeProfit) Subscribe(session *ExchangeSession)

type Scale added in v1.13.0 

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

type SerialMarketDataStore added in v1.40.3 

type SerialMarketDataStore struct {
	*MarketDataStore
	UseMarketTrade bool
	KLines         map[types.Interval]*types.KLine
	MinInterval    types.Interval
	Subscription   []types.Interval
	// contains filtered or unexported fields
}

func NewSerialMarketDataStore added in v1.40.3 

func NewSerialMarketDataStore(symbol string, minInterval types.Interval, useMarketTrade ...bool) *SerialMarketDataStore

@param symbol: symbol to trace on @param minInterval: unit interval, related to your signal timeframe @param useMarketTrade: if not assigned, default to false. if assigned to true, will use MarketTrade signal to generate klines

func (*SerialMarketDataStore) AddKLine added in v1.40.3 

func (store *SerialMarketDataStore) AddKLine(kline types.KLine, async ...bool)

func (*SerialMarketDataStore) BindStream added in v1.40.3 

func (store *SerialMarketDataStore) BindStream(ctx context.Context, stream types.Stream)

func (*SerialMarketDataStore) Subscribe added in v1.40.3 

func (store *SerialMarketDataStore) Subscribe(interval types.Interval)

type ServiceConfig added in v1.51.0 

type ServiceConfig struct {
	GoogleSpreadSheetService *GoogleSpreadSheetServiceConfig `json:"googleSpreadSheet" yaml:"googleSpreadSheet"`
}

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 ShutdownHandler added in v1.38.0 

type ShutdownHandler func(ctx context.Context, wg *sync.WaitGroup)

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 SimpleInteraction added in v1.39.0 

type SimpleInteraction struct {
	Command     string
	Description string
	F           interface{}
	Cmd         *interact.Command
}

func (*SimpleInteraction) Commands added in v1.39.0 

func (it *SimpleInteraction) Commands(i *interact.Interact)

type SimpleOrderExecutor added in v1.52.0 

type SimpleOrderExecutor struct {
	BaseOrderExecutor
	// contains filtered or unexported fields
}

SimpleOrderExecutor implements the minimal order executor This order executor does not handle position and profit stats update

func NewSimpleOrderExecutor added in v1.52.0 

func NewSimpleOrderExecutor(session *ExchangeSession) *SimpleOrderExecutor

func (*SimpleOrderExecutor) Bind added in v1.52.0 

func (e *SimpleOrderExecutor) Bind()

func (*SimpleOrderExecutor) CancelOrders added in v1.52.0 

func (e *SimpleOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error

CancelOrders cancels the given order objects directly

func (*SimpleOrderExecutor) SubmitOrders added in v1.52.0 

func (e *SimpleOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error)

type SingleExchangeStrategy 

type SingleExchangeStrategy interface {
	StrategyID
	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 SourceFunc added in v1.40.3 

type SourceFunc func(*types.KLine) fixedpoint.Value

type SourceSelector added in v1.40.3 

type SourceSelector struct {
	Source selectorInternal `json:"source,omitempty"`
}

func (*SourceSelector) GetSource added in v1.40.3 

func (s *SourceSelector) GetSource(kline *types.KLine) fixedpoint.Value

lazy init if empty struct is passed in

type StandardIndicatorSet 

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

func NewStandardIndicatorSet 

func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet

func (*StandardIndicatorSet) ATR added in v1.38.0 

func (s *StandardIndicatorSet) ATR(iw types.IntervalWindow) *indicator.ATR

func (*StandardIndicatorSet) ATRP added in v1.38.0 

func (s *StandardIndicatorSet) ATRP(iw types.IntervalWindow) *indicator.ATRP

func (*StandardIndicatorSet) BOLL 

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

BOLL returns the bollinger band indicator of the given interval, the window and bandwidth

func (*StandardIndicatorSet) CCI added in v1.38.0 

func (s *StandardIndicatorSet) CCI(iw types.IntervalWindow) *indicator.CCI

func (*StandardIndicatorSet) EMV added in v1.38.0 

func (s *StandardIndicatorSet) EMV(iw types.IntervalWindow) *indicator.EMV

func (*StandardIndicatorSet) EWMA 

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

EWMA is a helper function that returns the exponential weighed moving average indicator of the given interval and the window size.

func (*StandardIndicatorSet) GHFilter added in v1.40.2 

func (s *StandardIndicatorSet) GHFilter(iw types.IntervalWindow) *indicator.GHFilter

GHFilter is a helper function that returns the G-H (alpha beta) digital filter of the given interval and the window size.

func (*StandardIndicatorSet) HULL added in v1.38.0 

func (s *StandardIndicatorSet) HULL(iw types.IntervalWindow) *indicator.HULL

func (*StandardIndicatorSet) KalmanFilter added in v1.40.2 

func (s *StandardIndicatorSet) KalmanFilter(iw types.IntervalWindow) *indicator.KalmanFilter

KalmanFilter is a helper function that returns the Kalman digital filter of the given interval and the window size. Note that the additional smooth window is set to zero in standard indicator set. Users have to create their own instance and push K-lines if a smoother filter is needed.

func (*StandardIndicatorSet) MACD added in v1.41.0 

func (s *StandardIndicatorSet) MACD(iw types.IntervalWindow, shortPeriod, longPeriod int) *indicator.MACDLegacy

func (*StandardIndicatorSet) PivotHigh added in v1.40.0 

func (s *StandardIndicatorSet) PivotHigh(iw types.IntervalWindow) *indicator.PivotHigh

func (*StandardIndicatorSet) PivotLow added in v1.38.0 

func (s *StandardIndicatorSet) PivotLow(iw types.IntervalWindow) *indicator.PivotLow

func (*StandardIndicatorSet) RSI added in v1.44.0 

func (s *StandardIndicatorSet) RSI(iw types.IntervalWindow) *indicator.RSI

func (*StandardIndicatorSet) SMA 

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

SMA is a helper function that returns the simple moving average indicator of the given interval and the window size.

func (*StandardIndicatorSet) STOCH added in v1.17.0 

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

func (*StandardIndicatorSet) VWMA added in v1.40.0 

func (s *StandardIndicatorSet) VWMA(iw types.IntervalWindow) *indicator.VWMA

VWMA

type Stash 

type Stash map[string]interface{}

type StopEMA added in v1.40.0 

type StopEMA struct {
	types.IntervalWindow
	Range fixedpoint.Value `json:"range"`
	// contains filtered or unexported fields
}

func (*StopEMA) Allowed added in v1.40.0 

func (s *StopEMA) Allowed(closePrice fixedpoint.Value) bool

func (*StopEMA) Bind added in v1.40.0 

func (s *StopEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

type StrategyController added in v1.29.0 

type StrategyController struct {
	Status types.StrategyStatus
	// contains filtered or unexported fields
}

func (*StrategyController) EmergencyStop added in v1.31.0 

func (s *StrategyController) EmergencyStop() error

func (*StrategyController) EmitEmergencyStop added in v1.31.0 

func (s *StrategyController) EmitEmergencyStop()

func (*StrategyController) EmitResume added in v1.31.0 

func (s *StrategyController) EmitResume()

func (*StrategyController) EmitSuspend added in v1.31.0 

func (s *StrategyController) EmitSuspend()

func (*StrategyController) GetStatus added in v1.31.0 

func (s *StrategyController) GetStatus() types.StrategyStatus

func (*StrategyController) OnEmergencyStop added in v1.31.0 

func (s *StrategyController) OnEmergencyStop(cb func())

func (*StrategyController) OnResume added in v1.31.0 

func (s *StrategyController) OnResume(cb func())

func (*StrategyController) OnSuspend added in v1.31.0 

func (s *StrategyController) OnSuspend(cb func())

func (*StrategyController) Resume added in v1.31.0 

func (s *StrategyController) Resume() error

func (*StrategyController) Suspend added in v1.31.0 

func (s *StrategyController) Suspend() error

type StrategyControllerEventHub added in v1.36.0 

type StrategyControllerEventHub interface {
	OnSuspend(cb func())

	OnResume(cb func())

	OnEmergencyStop(cb func())
}

type StrategyDefaulter added in v1.38.0 

type StrategyDefaulter interface {
	Defaults() error
}

type StrategyID added in v1.33.0 

type StrategyID interface {
	ID() string
}

Strategy method calls: -> Defaults() (optional method) 

setup default static values from constants

-> Initialize() (optional method) 

initialize dynamic runtime objects

-> Subscribe() 

register the subscriptions

-> Validate() (optional method) -> Run() (optional method) -> Shutdown(shutdownCtx context.Context, wg *sync.WaitGroup)

type StrategyInitializer added in v1.28.0 

type StrategyInitializer interface {
	Initialize() error
}

StrategyInitializer's Initialize method is called before the Subscribe method call.

type StrategyShutdown added in v1.38.0 

type StrategyShutdown interface {
	Shutdown(ctx context.Context, wg *sync.WaitGroup)
}

type StrategyStatusReader added in v1.31.0 

type StrategyStatusReader interface {
	GetStatus() types.StrategyStatus
}

type StrategyToggler added in v1.31.0 

type StrategyToggler interface {
	StrategyStatusReader
	Suspend() error
	Resume() error
}

type StrategyValidator added in v1.38.0 

type StrategyValidator interface {
	Validate() error
}

type SupportTakeProfit added in v1.40.0 

type SupportTakeProfit struct {
	Symbol string
	types.IntervalWindow

	Ratio fixedpoint.Value `json:"ratio"`
	// contains filtered or unexported fields
}

SupportTakeProfit finds the previous support price and take profit at the previous low.

func (*SupportTakeProfit) Bind added in v1.40.0 

func (s *SupportTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*SupportTakeProfit) Subscribe added in v1.40.0 

func (s *SupportTakeProfit) Subscribe(session *ExchangeSession)

type SymbolBasedRiskController 

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

type SyncConfig added in v1.27.0 

type SyncConfig struct {
	// Sessions to sync, if ignored, all defined sessions will sync
	Sessions []string `json:"sessions,omitempty" yaml:"sessions,omitempty"`

	// Symbols is the list of session:symbol pair to sync, if ignored, symbols wlll be discovered by your existing crypto balances
	// Valid formats are: {session}:{symbol},  {symbol} or in YAML object form {symbol: "BTCUSDT", session:"max" }
	Symbols []SyncSymbol `json:"symbols,omitempty" yaml:"symbols,omitempty"`

	// DepositHistory is for syncing deposit history
	DepositHistory bool `json:"depositHistory" yaml:"depositHistory"`

	// WithdrawHistory is for syncing withdraw history
	WithdrawHistory bool `json:"withdrawHistory" yaml:"withdrawHistory"`

	// RewardHistory is for syncing reward history
	RewardHistory bool `json:"rewardHistory" yaml:"rewardHistory"`

	// MarginHistory is for syncing margin related history: loans, repays, interests and liquidations
	MarginHistory bool `json:"marginHistory" yaml:"marginHistory"`

	MarginAssets []string `json:"marginAssets" yaml:"marginAssets"`

	// Since is the date where you want to start syncing data
	Since *types.LooseFormatTime `json:"since,omitempty"`

	// UserDataStream is for real-time sync with websocket user data stream
	UserDataStream *struct {
		Trades       bool `json:"trades,omitempty" yaml:"trades,omitempty"`
		FilledOrders bool `json:"filledOrders,omitempty" yaml:"filledOrders,omitempty"`
	} `json:"userDataStream,omitempty" yaml:"userDataStream,omitempty"`
}

type SyncStatus added in v1.12.0 

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

type SyncSymbol added in v1.34.0 

type SyncSymbol struct {
	Symbol  string `json:"symbol" yaml:"symbol"`
	Session string `json:"session" yaml:"session"`
}

func (*SyncSymbol) UnmarshalYAML added in v1.34.0 

func (ss *SyncSymbol) UnmarshalYAML(unmarshal func(a interface{}) error) (err error)

type TelegramNotification added in v1.18.0 

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

type TradeReporter 

type TradeReporter struct {
	*Notifiability
}

type Trader 

type Trader struct {
	// 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) Initialize added in v1.55.2 

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

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) IterateStrategies added in v1.33.0 

func (trader *Trader) IterateStrategies(f func(st StrategyID) error) error

func (*Trader) LoadState added in v1.33.0 

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

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) SaveState added in v1.33.0 

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

NOTICE: the ctx here is the trading context, which could already be canceled.

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) Shutdown added in v1.42.0 

func (trader *Trader) Shutdown(ctx context.Context)

type TrailingStop2 added in v1.36.0 

type TrailingStop2 struct {
	Symbol string

	// CallbackRate is the callback rate from the previous high price
	CallbackRate fixedpoint.Value `json:"callbackRate,omitempty"`

	ActivationRatio fixedpoint.Value `json:"activationRatio,omitempty"`

	// ClosePosition is a percentage of the position to be closed
	ClosePosition fixedpoint.Value `json:"closePosition,omitempty"`

	// MinProfit is the percentage of the minimum profit ratio.
	// Stop order will be activated only when the price reaches above this threshold.
	MinProfit fixedpoint.Value `json:"minProfit,omitempty"`

	// Interval is the time resolution to update the stop order
	// KLine per Interval will be used for updating the stop order
	Interval types.Interval `json:"interval,omitempty"`

	Side types.SideType `json:"side,omitempty"`
	// contains filtered or unexported fields
}

func (*TrailingStop2) Bind added in v1.36.0 

func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*TrailingStop2) Subscribe added in v1.36.0 

func (s *TrailingStop2) Subscribe(session *ExchangeSession)

type TrendEMA added in v1.40.0 

type TrendEMA struct {
	types.IntervalWindow

	// MaxGradient is the maximum gradient allowed for the entry.
	MaxGradient float64 `json:"maxGradient"`
	MinGradient float64 `json:"minGradient"`
	// contains filtered or unexported fields
}

func (*TrendEMA) Bind added in v1.40.0 

func (s *TrendEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor)

func (*TrendEMA) Gradient added in v1.40.0 

func (s *TrendEMA) Gradient() float64

func (*TrendEMA) GradientAllowed added in v1.40.0 

func (s *TrendEMA) GradientAllowed() bool

Source Files

View all Source files

Directories

Path Synopsis
Package mocks is a generated GoMock package.
 Package mocks is a generated GoMock package.

Jump to

Keyboard shortcuts

? : This menu
/ : Search site
f or F : Jump to
y or Y : Canonical URL
go.dev uses cookies from Google to deliver and enhance the quality of its services and to analyze traffic. Learn more.