types

package
v0.0.0-...-cb4139d Latest Latest
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 Go to latest Published: Jul 15, 2023 License: AGPL-3.0 Imports: 32 Imported by: 0

Documentation

Index

Constants

View Source 
const (
	AccountTypeFutures        = AccountType("futures")
	AccountTypeMargin         = AccountType("margin")
	AccountTypeIsolatedMargin = AccountType("isolated_margin")
	AccountTypeSpot           = AccountType("spot")
)
View Source 
const (
	BookChannel        = Channel("book")
	KLineChannel       = Channel("kline")
	BookTickerChannel  = Channel("bookTicker")
	MarketTradeChannel = Channel("trade")
	AggTradeChannel    = Channel("aggTrade")

	// channels for futures
	MarkPriceChannel = Channel("markPrice")

	LiquidationOrderChannel = Channel("liquidationOrder")

	// ContractInfoChannel is the contract info provided by the exchange
	ContractInfoChannel = Channel("contractInfo")
)
View Source 
const (
	DepositPending = DepositStatus("pending")

	DepositRejected = DepositStatus("rejected")

	DepositSuccess = DepositStatus("success")

	DepositCancelled = DepositStatus("canceled")

	// created but can not withdraw
	DepositCredited = DepositStatus("credited")
)
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const (
	PositionShort  = PositionType("Short")
	PositionLong   = PositionType("Long")
	PositionClosed = PositionType("Closed")
)
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const (
	Red   = Color(false)
	Black = Color(true)
)
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const (
	RewardAirdrop          = RewardType("airdrop")
	RewardCommission       = RewardType("commission")
	RewardReferralKickback = RewardType("referral_kickback")
	RewardHolding          = RewardType("holding")
	RewardMining           = RewardType("mining")
	RewardTrading          = RewardType("trading")
	RewardVipRebate        = RewardType("vip_rebate")
)
View Source 
const (
	SideTypeBuy  = SideType("BUY")
	SideTypeSell = SideType("SELL")
	SideTypeSelf = SideType("SELF")

	// SideTypeBoth is only used for the configuration context
	SideTypeBoth = SideType("BOTH")
)
View Source 
const DateFormat = "2006-01-02"
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const DirectionDown = -1
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const DirectionNone = 0
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const DirectionUp = 1
View Source 
const NoClientOrderID = "0"

Variables

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var BNB = wrapper{accounting.Accounting{Symbol: "BNB ", Precision: 4}}
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var BTC = wrapper{accounting.Accounting{Symbol: "BTC ", Precision: 8}}
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var ErrInvalidSideType = errors.New("invalid side type")
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var ErrNotSimpleDuration = errors.New("the given input is not simple duration format, valid format: [1-9][0-9]*[hdw]")
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var FiatCurrencies = []string{"USDC", "USDT", "USD", "TWD", "EUR", "GBP", "BUSD"}
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var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
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var Interval12h = Interval("12h")
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var Interval15m = Interval("15m")
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var Interval1d = Interval("1d")
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var Interval1h = Interval("1h")
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var Interval1m = Interval("1m")
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var Interval1mo = Interval("1mo")
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var Interval1s = Interval("1s")
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var Interval1w = Interval("1w")
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var Interval2h = Interval("2h")
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var Interval2w = Interval("2w")
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var Interval30m = Interval("30m")
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var Interval3d = Interval("3d")
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var Interval3m = Interval("3m")
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var Interval4h = Interval("4h")
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var Interval5m = Interval("5m")
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var Interval6h = Interval("6h")
View Source 
var QuantityDelta = fixedpoint.MustNewFromString("0.00000000001")
View Source 
var SupportedExchanges = []ExchangeName{
	ExchangeMax,
	ExchangeBinance,
	ExchangeOKEx,
	ExchangeKucoin,
	ExchangeBitget,
}
View Source 
var SupportedIntervals = IntervalMap{
	Interval1s:  1,
	Interval1m:  1 * 60,
	Interval3m:  3 * 60,
	Interval5m:  5 * 60,
	Interval15m: 15 * 60,
	Interval30m: 30 * 60,
	Interval1h:  60 * 60,
	Interval2h:  60 * 60 * 2,
	Interval4h:  60 * 60 * 4,
	Interval6h:  60 * 60 * 6,
	Interval12h: 60 * 60 * 12,
	Interval1d:  60 * 60 * 24,
	Interval3d:  60 * 60 * 24 * 3,
	Interval1w:  60 * 60 * 24 * 7,
	Interval2w:  60 * 60 * 24 * 14,
	Interval1mo: 60 * 60 * 24 * 30,
}
View Source 
var Two = fixedpoint.NewFromInt(2)
View Source 
var USD = wrapper{accounting.Accounting{Symbol: "$ ", Precision: 2}}
View Source 
var USDFiatCurrencies = []string{"USDT", "USDC", "USD", "BUSD"}

Functions

func Array 

func Array(a Series, limit ...int) (result []float64)

Array extracts elements from the Series to a float64 array, following the order of Index(0..limit) if limit is given, will only take the first limit numbers (a.Index[0..limit]) otherwise will operate on all elements

func AutoCorrelation 

func AutoCorrelation(a Series, length int, lags ...int) float64

similar to pandas.Series.autocorr() function.

The method computes the Pearson correlation between Series and shifted itself

func BeginningOfTheDay 

func BeginningOfTheDay(t time.Time) time.Time

func Correlation 

func Correlation(a Series, b Series, length int, method ...CorrFunc) float64

similar to pandas.Series.corr() function.

method could either be `types.Pearson`, `types.Spearman` or `types.Kendall`

func Covariance 

func Covariance(a Series, b Series, length int) float64

similar to pandas.Series.cov() function with ddof=0

Compute covariance with Series

func CrossEntropy 

func CrossEntropy(a, b Series, window int) (e float64)

CrossEntropy computes the cross-entropy between the two distributions

func Dot 

func Dot(a interface{}, b interface{}, limit ...int) float64

Calculate (a dot b). if limit is given, will only calculate the first limit numbers (a.Index[0..limit]) otherwise will operate on all elements

func Entropy 

func Entropy(a Series, window int) (e float64)

Entropy computes the Shannon entropy of a distribution or the distance between two distributions. The natural logarithm is used. - sum(v * ln(v))

func ExchangeFooterIcon 

func ExchangeFooterIcon(exName ExchangeName) string

func FormatPrice 

func FormatPrice(price fixedpoint.Value, tickSize fixedpoint.Value) string

func Highest 

func Highest(a Series, lookback int) float64

func IsActiveOrder 

func IsActiveOrder(o Order) bool

func IsFiatCurrency 

func IsFiatCurrency(currency string) bool

func IsUSDFiatCurrency 

func IsUSDFiatCurrency(currency string) bool

func Kendall 

func Kendall(a, b Series, length int) float64

func LinearRegression 

func LinearRegression(a Series, lookback int) (alpha float64, beta float64)

func Lowest 

func Lowest(a Series, lookback int) float64

func Mean 

func Mean(a Series, limit ...int) (mean float64)

Calculate the average value of the series if limit is given, will only calculate the average of first limit numbers (a.Index[0..limit]) otherwise will operate on all elements

func MustParseUnixTimestamp 

func MustParseUnixTimestamp(a string) time.Time

func NewOrderError 

func NewOrderError(e error, o Order) error

func NextCross 

func NextCross(a Series, b Series, lookback int) (int, float64, bool)

This will make prediction using Linear Regression to get the next cross point Return (offset from latest, crossed value, could cross) offset from latest should always be positive lookback param is to use at most `lookback` points to determine linear regression functions

You may also refer to excel's FORECAST function

func Omega 

func Omega(returns Series, returnThresholds ...float64) float64

Determines the Omega ratio of a strategy See https://en.wikipedia.org/wiki/Omega_ratio for more details

@param returns (Series): Series of profit/loss percentage every specific interval @param returnThresholds(float64): threshold for returns filtering @return Omega ratio for give return series and threshold

func OrdersAll 

func OrdersAll(orders []Order, f func(o Order) bool) bool

func OrdersAny 

func OrdersAny(orders []Order, f func(o Order) bool) bool

func Over24Hours 

func Over24Hours(since time.Time) bool

func ParseInterval 

func ParseInterval(input Interval) int

func ParseTimeWithFormats 

func ParseTimeWithFormats(strTime string, formats []string) (time.Time, error)

func Pearson 

func Pearson(a, b Series, length int) float64

func Predict 

func Predict(a Series, lookback int, offset ...int) float64

func Reverse 

func Reverse(a Series, limit ...int) (result floats.Slice)

Similar to Array but in reverse order. Useful when you want to cache series' calculated result as float64 array the then reuse the result in multiple places (so that no recalculation will be triggered)

notice that the return type is a Float64Slice, which implements the Series interface

func Sharpe 

func Sharpe(returns Series, periods int, annualize bool, smart bool) float64

Sharpe: Calcluates the sharpe ratio of access returns

@param returns (Series): Series of profit/loss percentage every specific interval @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy, 1 for annually) @param annualize (bool): return annualize sharpe? @param smart (bool): return smart sharpe ratio

func SideToColorName 

func SideToColorName(side SideType) string

func Skew 

func Skew(a Series, length int) float64

similar to pandas.Series.skew() function.

Return unbiased skew over input series

func Sortino 

func Sortino(returns Series, riskFreeReturns float64, periods int, annualize bool, smart bool) float64

Sortino: Calcluates the sotino ratio of access returns 

ROI_excess   E[ROI] - ROI_risk_free

sortino = ---------- = ----------------------- 

risk      sqrt(E[ROI_drawdown^2])

@param returns (Series): Series of profit/loss percentage every specific interval @param riskFreeReturns (float): risk-free return rate of year @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy, 1 for annually) @param annualize (bool): return annualize sortino? @param smart (bool): return smart sharpe ratio

func Spearman 

func Spearman(a, b Series, length int) float64

func Stdev 

func Stdev(a Series, params ...int) float64

func Sum 

func Sum(a Series, limit ...int) (sum float64)

Calculate sum of the series if limit is given, will only sum first limit numbers (a.Index[0..limit]) otherwise will sum all elements

func TradeWith 

func TradeWith(symbol string, f func(trade Trade)) func(trade Trade)

func Variance 

func Variance(a Series, length int) float64

Types

type AbsResult 

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

func (*AbsResult) Index 

func (a *AbsResult) Index(i int) float64

func (*AbsResult) Last 

func (a *AbsResult) Last(i int) float64

func (*AbsResult) Length 

func (a *AbsResult) Length() int

type Acc 

type Acc = accounting.Accounting

type Account 

type Account struct {
	sync.Mutex `json:"-"`

	AccountType        AccountType `json:"accountType,omitempty"`
	FuturesInfo        *FuturesAccountInfo
	MarginInfo         *MarginAccountInfo
	IsolatedMarginInfo *IsolatedMarginAccountInfo

	// Margin related common field
	// From binance:
	// Margin Level = Total Asset Value / (Total Borrowed + Total Accrued Interest)
	// If your margin level drops to 1.3, you will receive a Margin Call, which is a reminder that you should either increase your collateral (by depositing more funds) or reduce your loan (by repaying what you’ve borrowed).
	// If your margin level drops to 1.1, your assets will be automatically liquidated, meaning that Binance will sell your funds at market price to repay the loan.
	MarginLevel     fixedpoint.Value `json:"marginLevel,omitempty"`
	MarginTolerance fixedpoint.Value `json:"marginTolerance,omitempty"`

	BorrowEnabled   bool `json:"borrowEnabled,omitempty"`
	TransferEnabled bool `json:"transferEnabled,omitempty"`

	// isolated margin related fields
	// LiquidationPrice is only used when account is in the isolated margin mode
	MarginRatio      fixedpoint.Value `json:"marginRatio,omitempty"`
	LiquidationPrice fixedpoint.Value `json:"liquidationPrice,omitempty"`
	LiquidationRate  fixedpoint.Value `json:"liquidationRate,omitempty"`

	MakerFeeRate fixedpoint.Value `json:"makerFeeRate,omitempty"`
	TakerFeeRate fixedpoint.Value `json:"takerFeeRate,omitempty"`

	TotalAccountValue fixedpoint.Value `json:"totalAccountValue,omitempty"`

	CanDeposit  bool `json:"canDeposit"`
	CanTrade    bool `json:"canTrade"`
	CanWithdraw bool `json:"canWithdraw"`
	// contains filtered or unexported fields
}

func NewAccount 

func NewAccount() *Account

func (*Account) AddBalance 

func (a *Account) AddBalance(currency string, fund fixedpoint.Value)

func (*Account) Balance 

func (a *Account) Balance(currency string) (balance Balance, ok bool)

func (*Account) Balances 

func (a *Account) Balances() (d BalanceMap)

Balances lock the balances and returned the copied balances

func (*Account) LockBalance 

func (a *Account) LockBalance(currency string, locked fixedpoint.Value) error

func (*Account) Print 

func (a *Account) Print()

func (*Account) UnlockBalance 

func (a *Account) UnlockBalance(currency string, unlocked fixedpoint.Value) error

func (*Account) UpdateBalances 

func (a *Account) UpdateBalances(balances BalanceMap)

func (*Account) UseLockedBalance 

func (a *Account) UseLockedBalance(currency string, fund fixedpoint.Value) error

type AccountType 

type AccountType string

type AddSeriesResult 

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

func (*AddSeriesResult) Index 

func (a *AddSeriesResult) Index(i int) float64

func (*AddSeriesResult) Last 

func (a *AddSeriesResult) Last(i int) float64

func (*AddSeriesResult) Length 

func (a *AddSeriesResult) Length() int

type Asset 

type Asset struct {
	Currency string `json:"currency" db:"currency"`

	Total fixedpoint.Value `json:"total" db:"total"`

	NetAsset fixedpoint.Value `json:"netAsset" db:"net_asset"`

	Interest fixedpoint.Value `json:"interest" db:"interest"`

	// InUSD is net asset in USD
	InUSD fixedpoint.Value `json:"inUSD" db:"net_asset_in_usd"`

	// InBTC is net asset in BTC
	InBTC fixedpoint.Value `json:"inBTC" db:"net_asset_in_btc"`

	Time       time.Time        `json:"time" db:"time"`
	Locked     fixedpoint.Value `json:"lock" db:"lock" `
	Available  fixedpoint.Value `json:"available"  db:"available"`
	Borrowed   fixedpoint.Value `json:"borrowed" db:"borrowed"`
	PriceInUSD fixedpoint.Value `json:"priceInUSD" db:"price_in_usd"`
}

type AssetMap 

type AssetMap map[string]Asset

func (AssetMap) InUSD 

func (m AssetMap) InUSD() (total fixedpoint.Value)

func (AssetMap) PlainText 

func (m AssetMap) PlainText() (o string)

func (AssetMap) SlackAttachment 

func (m AssetMap) SlackAttachment() slack.Attachment

func (AssetMap) Slice 

func (m AssetMap) Slice() (assets []Asset)

type BacktestStream 

type BacktestStream struct {
	StandardStreamEmitter
}

func (*BacktestStream) Close 

func (s *BacktestStream) Close() error

func (*BacktestStream) Connect 

func (s *BacktestStream) Connect(ctx context.Context) error

type Balance 

type Balance struct {
	Currency  string           `json:"currency"`
	Available fixedpoint.Value `json:"available"`
	Locked    fixedpoint.Value `json:"locked,omitempty"`

	// margin related fields
	Borrowed fixedpoint.Value `json:"borrowed,omitempty"`
	Interest fixedpoint.Value `json:"interest,omitempty"`

	// NetAsset = (Available + Locked) - Borrowed - Interest
	NetAsset fixedpoint.Value `json:"net,omitempty"`

	MaxWithdrawAmount fixedpoint.Value `json:"maxWithdrawAmount,omitempty"`
}

func (Balance) Add 

func (b Balance) Add(b2 Balance) Balance

func (Balance) Debt 

func (b Balance) Debt() fixedpoint.Value

func (Balance) Net 

func (b Balance) Net() fixedpoint.Value

Net returns the net asset value (total - debt)

func (Balance) String 

func (b Balance) String() (o string)

func (Balance) Total 

func (b Balance) Total() fixedpoint.Value

func (Balance) ValueString 

func (b Balance) ValueString() (o string)

type BalanceMap 

type BalanceMap map[string]Balance

func (BalanceMap) Add 

func (m BalanceMap) Add(bm BalanceMap) BalanceMap

func (BalanceMap) Assets 

func (m BalanceMap) Assets(prices PriceMap, priceTime time.Time) AssetMap

Assets converts balances into assets with the given prices

func (BalanceMap) Copy 

func (m BalanceMap) Copy() (d BalanceMap)

func (BalanceMap) Currencies 

func (m BalanceMap) Currencies() (currencies []string)

func (BalanceMap) Debts 

func (m BalanceMap) Debts() BalanceMap

func (BalanceMap) Print 

func (m BalanceMap) Print()

func (BalanceMap) SlackAttachment 

func (m BalanceMap) SlackAttachment() slack.Attachment

func (BalanceMap) String 

func (m BalanceMap) String() string

type BalanceSnapshot 

type BalanceSnapshot struct {
	Balances BalanceMap `json:"balances"`
	Session  string     `json:"session"`
	Time     time.Time  `json:"time"`
}

func (BalanceSnapshot) CsvHeader 

func (m BalanceSnapshot) CsvHeader() []string

func (BalanceSnapshot) CsvRecords 

func (m BalanceSnapshot) CsvRecords() [][]string

type BollingerSetting 

type BollingerSetting struct {
	IntervalWindow
	BandWidth float64 `json:"bandWidth"`
}

BollingerSetting contains the bollinger indicator setting propers Interval, Window and BandWidth

type BookTicker 

type BookTicker struct {
	//Time     time.Time
	Symbol   string
	Buy      fixedpoint.Value // `buy` from Max, `bidPrice` from binance
	BuySize  fixedpoint.Value
	Sell     fixedpoint.Value // `sell` from Max, `askPrice` from binance
	SellSize fixedpoint.Value
}

BookTicker time exists in ftx, not in binance last exists in ftx, not in binance

func (BookTicker) String 

func (b BookTicker) String() string

type BoolSeries 

type BoolSeries interface {
	Last() bool
	Index(int) bool
	Length() int
}

The interface maps to pinescript basic type `series` for bool type Access the internal historical data from the latest to the oldest Index(0) always maps to Last()

func CrossOver 

func CrossOver(a Series, b Series) BoolSeries

a series cross above b series. If in current KLine, a is higher than b, and in previous KLine, a is lower than b, then return true. Otherwise return false. If accessing index <= length, will always return false

func CrossUnder 

func CrossUnder(a Series, b Series) BoolSeries

a series cross under b series. If in current KLine, a is lower than b, and in previous KLine, a is higher than b, then return true. Otherwise return false. If accessing index <= length, will always return false

type CancelReplaceModeType 

type CancelReplaceModeType string
var (
	StopOnFailure CancelReplaceModeType = "STOP_ON_FAILURE"
	AllowFailure  CancelReplaceModeType = "ALLOW_FAILURE"
)

type Canvas 

type Canvas struct {
	chart.Chart
	Interval Interval
}

func NewCanvas 

func NewCanvas(title string, intervals ...Interval) *Canvas

func (*Canvas) Plot 

func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int, intervals ...Interval)

func (*Canvas) PlotRaw 

func (canvas *Canvas) PlotRaw(tag string, a Series, length int)

type ChangeResult 

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

func (*ChangeResult) Index 

func (c *ChangeResult) Index(i int) float64

func (*ChangeResult) Last 

func (c *ChangeResult) Last(i int) float64

func (*ChangeResult) Length 

func (c *ChangeResult) Length() int

type Channel 

type Channel string

type Color 

type Color bool

Color is the RB Tree color

type CorrFunc 

type CorrFunc func(Series, Series, int) float64

type CrossResult 

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

The result structure that maps to the crossing result of `CrossOver` and `CrossUnder` Accessible through BoolSeries interface

func (*CrossResult) Index 

func (c *CrossResult) Index(i int) bool

func (*CrossResult) Last 

func (c *CrossResult) Last() bool

func (*CrossResult) Length 

func (c *CrossResult) Length() int

type CsvFormatter 

type CsvFormatter interface {
	CsvHeader() []string
	CsvRecords() [][]string
}

CsvFormatter is an interface used for dumping object into csv file

type CustomIntervalProvider 

type CustomIntervalProvider interface {
	SupportedInterval() map[Interval]int
	IsSupportedInterval(interval Interval) bool
}

type Deposit 

type Deposit struct {
	GID           int64            `json:"gid" db:"gid"`
	Exchange      ExchangeName     `json:"exchange" db:"exchange"`
	Time          Time             `json:"time" db:"time"`
	Amount        fixedpoint.Value `json:"amount" db:"amount"`
	Asset         string           `json:"asset" db:"asset"`
	Address       string           `json:"address" db:"address"`
	AddressTag    string           `json:"addressTag"`
	TransactionID string           `json:"transactionID" db:"txn_id"`
	Status        DepositStatus    `json:"status"`
}

func (Deposit) EffectiveTime 

func (d Deposit) EffectiveTime() time.Time

func (Deposit) String 

func (d Deposit) String() (o string)

type DepositStatus 

type DepositStatus string

type Depth 

type Depth string
const (
	DepthLevelFull   Depth = "FULL"
	DepthLevelMedium Depth = "MEDIUM"
	DepthLevel1      Depth = "1"
	DepthLevel5      Depth = "5"
	DepthLevel20     Depth = "20"
)

type Direction 

type Direction int

type Dispatcher 

type Dispatcher func(e interface{})

type DivSeriesResult 

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

func (*DivSeriesResult) Index 

func (a *DivSeriesResult) Index(i int) float64

func (*DivSeriesResult) Last 

func (a *DivSeriesResult) Last(i int) float64

func (*DivSeriesResult) Length 

func (a *DivSeriesResult) Length() int

type Duration 

type Duration time.Duration

func (*Duration) Duration 

func (d *Duration) Duration() time.Duration

func (*Duration) UnmarshalJSON 

func (d *Duration) UnmarshalJSON(data []byte) error

type EndpointCreator 

type EndpointCreator func(ctx context.Context) (string, error)

type Exchange 

type Exchange interface {
	ExchangeMinimal
	ExchangeMarketDataService
	ExchangeAccountService
	ExchangeTradeService
}

type ExchangeAccountService 

type ExchangeAccountService interface {
	QueryAccount(ctx context.Context) (*Account, error)

	QueryAccountBalances(ctx context.Context) (BalanceMap, error)
}

type ExchangeAmountFeeProtect 

type ExchangeAmountFeeProtect interface {
	SetModifyOrderAmountForFee(ExchangeFee)
}

type ExchangeBasic 

type ExchangeBasic = Exchange

ExchangeBasic is the new type for replacing the original Exchange interface

type ExchangeDefaultFeeRates 

type ExchangeDefaultFeeRates interface {
	DefaultFeeRates() ExchangeFee
}

type ExchangeFee 

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

type ExchangeMarketDataService 

type ExchangeMarketDataService interface {
	NewStream() Stream

	QueryMarkets(ctx context.Context) (MarketMap, error)

	QueryTicker(ctx context.Context, symbol string) (*Ticker, error)

	QueryTickers(ctx context.Context, symbol ...string) (map[string]Ticker, error)

	QueryKLines(ctx context.Context, symbol string, interval Interval, options KLineQueryOptions) ([]KLine, error)
}

type ExchangeMinimal 

type ExchangeMinimal interface {
	Name() ExchangeName
	PlatformFeeCurrency() string
}

type ExchangeName 

type ExchangeName string
const (
	ExchangeMax      ExchangeName = "max"
	ExchangeBinance  ExchangeName = "binance"
	ExchangeOKEx     ExchangeName = "okex"
	ExchangeKucoin   ExchangeName = "kucoin"
	ExchangeBitget   ExchangeName = "bitget"
	ExchangeBacktest ExchangeName = "backtest"
)

func ValidExchangeName 

func ValidExchangeName(a string) (ExchangeName, error)

func (ExchangeName) String 

func (n ExchangeName) String() string

func (*ExchangeName) UnmarshalJSON 

func (n *ExchangeName) UnmarshalJSON(data []byte) error

func (*ExchangeName) Value 

func (n *ExchangeName) Value() (driver.Value, error)

type ExchangeOrderQueryService 

type ExchangeOrderQueryService interface {
	QueryOrder(ctx context.Context, q OrderQuery) (*Order, error)
	QueryOrderTrades(ctx context.Context, q OrderQuery) ([]Trade, error)
}

ExchangeOrderQueryService provides an interface for querying the order status via order ID or client order ID

type ExchangeRewardService 

type ExchangeRewardService interface {
	QueryRewards(ctx context.Context, startTime time.Time) ([]Reward, error)
}

type ExchangeTradeHistoryService 

type ExchangeTradeHistoryService interface {
	QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
	QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []Order, err error)
}

type ExchangeTradeService 

type ExchangeTradeService interface {
	SubmitOrder(ctx context.Context, order SubmitOrder) (createdOrder *Order, err error)

	QueryOpenOrders(ctx context.Context, symbol string) (orders []Order, err error)

	CancelOrders(ctx context.Context, orders ...Order) error
}

type ExchangeTransferService 

type ExchangeTransferService interface {
	QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []Deposit, err error)
	QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []Withdraw, err error)
}

type ExchangeWithdrawalService 

type ExchangeWithdrawalService interface {
	Withdraw(ctx context.Context, asset string, amount fixedpoint.Value, address string, options *WithdrawalOptions) error
}

type FilterResult 

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

func (*FilterResult) Index 

func (f *FilterResult) Index(j int) float64

func (*FilterResult) Last 

func (f *FilterResult) Last(j int) float64

func (*FilterResult) Length 

func (f *FilterResult) Length() int

type Float64Indicator 

type Float64Indicator interface {
	Last(i int) float64
}

Float64Indicator is the indicators (SMA and EWMA) that we want to use are returning float64 data.

type FundingRate 

type FundingRate struct {
	FundingRate fixedpoint.Value
	FundingTime time.Time
	Time        time.Time
}

type FuturesAccountInfo 

type FuturesAccountInfo struct {
	// Futures fields
	Assets                      FuturesAssetMap    `json:"assets"`
	Positions                   FuturesPositionMap `json:"positions"`
	TotalInitialMargin          fixedpoint.Value   `json:"totalInitialMargin"`
	TotalMaintMargin            fixedpoint.Value   `json:"totalMaintMargin"`
	TotalMarginBalance          fixedpoint.Value   `json:"totalMarginBalance"`
	TotalOpenOrderInitialMargin fixedpoint.Value   `json:"totalOpenOrderInitialMargin"`
	TotalPositionInitialMargin  fixedpoint.Value   `json:"totalPositionInitialMargin"`
	TotalUnrealizedProfit       fixedpoint.Value   `json:"totalUnrealizedProfit"`
	TotalWalletBalance          fixedpoint.Value   `json:"totalWalletBalance"`
	UpdateTime                  int64              `json:"updateTime"`
}

type FuturesAssetMap 

type FuturesAssetMap map[string]FuturesUserAsset

type FuturesExchange 

type FuturesExchange interface {
	UseFutures()
	UseIsolatedFutures(symbol string)
	GetFuturesSettings() FuturesSettings
}

type FuturesPosition 

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

	Market Market `json:"market"`

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

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

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

	// Futures data fields
	Isolated     bool  `json:"isolated"`
	UpdateTime   int64 `json:"updateTime"`
	PositionRisk *PositionRisk
}

type FuturesPositionMap 

type FuturesPositionMap map[string]FuturesPosition

type FuturesSettings 

type FuturesSettings struct {
	IsFutures             bool
	IsIsolatedFutures     bool
	IsolatedFuturesSymbol string
}

func (FuturesSettings) GetFuturesSettings 

func (s FuturesSettings) GetFuturesSettings() FuturesSettings

func (*FuturesSettings) UseFutures 

func (s *FuturesSettings) UseFutures()

func (*FuturesSettings) UseIsolatedFutures 

func (s *FuturesSettings) UseIsolatedFutures(symbol string)

type FuturesUserAsset 

type FuturesUserAsset struct {
	Asset                  string           `json:"asset"`
	InitialMargin          fixedpoint.Value `json:"initialMargin"`
	MaintMargin            fixedpoint.Value `json:"maintMargin"`
	MarginBalance          fixedpoint.Value `json:"marginBalance"`
	MaxWithdrawAmount      fixedpoint.Value `json:"maxWithdrawAmount"`
	OpenOrderInitialMargin fixedpoint.Value `json:"openOrderInitialMargin"`
	PositionInitialMargin  fixedpoint.Value `json:"positionInitialMargin"`
	UnrealizedProfit       fixedpoint.Value `json:"unrealizedProfit"`
	WalletBalance          fixedpoint.Value `json:"walletBalance"`
}

FuturesUserAsset define cross/isolated futures account asset

type HeikinAshiStream 

type HeikinAshiStream struct {
	StandardStreamEmitter

	LastOrigin map[string]map[Interval]*KLine
	// contains filtered or unexported fields
}

func (*HeikinAshiStream) EmitKLine 

func (s *HeikinAshiStream) EmitKLine(kline KLine)

No writeback to lastAshi

func (*HeikinAshiStream) EmitKLineClosed 

func (s *HeikinAshiStream) EmitKLineClosed(kline KLine)

type InstanceIDProvider 

type InstanceIDProvider interface {
	InstanceID() string
}

type Interval 

type Interval string

func (Interval) Duration 

func (i Interval) Duration() time.Duration

func (Interval) Milliseconds 

func (i Interval) Milliseconds() int

Milliseconds is specially handled, for better precision for ms level interval, calling Seconds and Minutes directly might trigger panic error

func (Interval) Minutes 

func (i Interval) Minutes() int

func (Interval) Seconds 

func (i Interval) Seconds() int

func (Interval) String 

func (i Interval) String() string

func (*Interval) UnmarshalJSON 

func (i *Interval) UnmarshalJSON(b []byte) (err error)

type IntervalMap 

type IntervalMap map[Interval]int

func (IntervalMap) Slice 

func (m IntervalMap) Slice() (slice IntervalSlice)

type IntervalProfitCollector 

type IntervalProfitCollector struct {
	Interval  Interval      `json:"interval"`
	Profits   *floats.Slice `json:"profits"`
	Timestamp *floats.Slice `json:"timestamp"`
	// contains filtered or unexported fields
}

func NewIntervalProfitCollector 

func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector

func (*IntervalProfitCollector) GetNonProfitableIntervals 

func (s *IntervalProfitCollector) GetNonProfitableIntervals() (result []ProfitReport)

Get all none-profitable intervals

func (*IntervalProfitCollector) GetNumOfNonProfitableIntervals 

func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit int)

Get number of non-profitable traded intervals (no trade within the interval or pnl = 0 will be also included here)

func (*IntervalProfitCollector) GetNumOfProfitableIntervals 

func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int)

Get number of profitable traded intervals

func (*IntervalProfitCollector) GetOmega 

func (s *IntervalProfitCollector) GetOmega() float64

func (*IntervalProfitCollector) GetProfitableIntervals 

func (s *IntervalProfitCollector) GetProfitableIntervals() (result []ProfitReport)

Get all profitable intervals

func (*IntervalProfitCollector) GetSharpe 

func (s *IntervalProfitCollector) GetSharpe() float64

Get sharpe value with the interval of profit collected. no smart sharpe ON for the calculated result

func (*IntervalProfitCollector) GetSortino 

func (s *IntervalProfitCollector) GetSortino() float64

Get sortino value with the interval of profit collected. No risk-free return rate and smart sortino OFF for the calculated result.

func (IntervalProfitCollector) MarshalYAML 

func (s IntervalProfitCollector) MarshalYAML() (interface{}, error)

func (*IntervalProfitCollector) Update 

func (s *IntervalProfitCollector) Update(profit *Profit)

Update the collector by every traded profit

type IntervalSlice 

type IntervalSlice []Interval

func (IntervalSlice) Sort 

func (s IntervalSlice) Sort()

func (IntervalSlice) StringSlice 

func (s IntervalSlice) StringSlice() (slice []string)

type IntervalWindow 

type IntervalWindow struct {
	// The interval of kline
	Interval Interval `json:"interval"`

	// The windows size of the indicator (for example, EWMA and SMA)
	Window int `json:"window"`

	// RightWindow is used by the pivot indicator
	RightWindow int `json:"rightWindow"`
}

IntervalWindow is used by the indicators

func (IntervalWindow) String 

func (iw IntervalWindow) String() string

type IntervalWindowBandWidth 

type IntervalWindowBandWidth struct {
	IntervalWindow
	BandWidth float64 `json:"bandWidth"`
}

type IsolatedMarginAccount 

type IsolatedMarginAccount struct {
	TotalAssetOfBTC     fixedpoint.Value       `json:"totalAssetOfBtc"`
	TotalLiabilityOfBTC fixedpoint.Value       `json:"totalLiabilityOfBtc"`
	TotalNetAssetOfBTC  fixedpoint.Value       `json:"totalNetAssetOfBtc"`
	Assets              IsolatedMarginAssetMap `json:"assets"`
}

IsolatedMarginAccount defines isolated user assets of margin account

type IsolatedMarginAccountInfo 

type IsolatedMarginAccountInfo struct {
	TotalAssetOfBTC     fixedpoint.Value       `json:"totalAssetOfBtc"`
	TotalLiabilityOfBTC fixedpoint.Value       `json:"totalLiabilityOfBtc"`
	TotalNetAssetOfBTC  fixedpoint.Value       `json:"totalNetAssetOfBtc"`
	Assets              IsolatedMarginAssetMap `json:"userAssets"`
}

type IsolatedMarginAsset 

type IsolatedMarginAsset struct {
	Symbol     string            `json:"symbol"`
	QuoteAsset IsolatedUserAsset `json:"quoteAsset"`
	BaseAsset  IsolatedUserAsset `json:"baseAsset"`

	IsolatedCreated   bool             `json:"isolatedCreated"`
	MarginLevel       fixedpoint.Value `json:"marginLevel"`
	MarginLevelStatus string           `json:"marginLevelStatus"`

	MarginRatio    fixedpoint.Value `json:"marginRatio"`
	IndexPrice     fixedpoint.Value `json:"indexPrice"`
	LiquidatePrice fixedpoint.Value `json:"liquidatePrice"`
	LiquidateRate  fixedpoint.Value `json:"liquidateRate"`

	TradeEnabled bool `json:"tradeEnabled"`
}

IsolatedMarginAsset defines isolated margin asset information, like margin level, liquidation price... etc

type IsolatedMarginAssetMap 

type IsolatedMarginAssetMap map[string]IsolatedMarginAsset

type IsolatedUserAsset 

type IsolatedUserAsset struct {
	Asset         string           `json:"asset"`
	Borrowed      fixedpoint.Value `json:"borrowed"`
	Free          fixedpoint.Value `json:"free"`
	Interest      fixedpoint.Value `json:"interest"`
	Locked        fixedpoint.Value `json:"locked"`
	NetAsset      fixedpoint.Value `json:"netAsset"`
	NetAssetOfBtc fixedpoint.Value `json:"netAssetOfBtc"`

	BorrowEnabled bool             `json:"borrowEnabled"`
	RepayEnabled  bool             `json:"repayEnabled"`
	TotalAsset    fixedpoint.Value `json:"totalAsset"`
}

IsolatedUserAsset defines isolated user assets of the margin account

type JsonArr 

type JsonArr []JsonStruct

func (JsonArr) Len 

func (a JsonArr) Len() int

func (JsonArr) Less 

func (a JsonArr) Less(i, j int) bool

func (JsonArr) Swap 

func (a JsonArr) Swap(i, j int)

type JsonStruct 

type JsonStruct struct {
	Key   string
	Json  string
	Type  string
	Value interface{}
}

type KLine 

type KLine struct {
	GID      uint64       `json:"gid" db:"gid"`
	Exchange ExchangeName `json:"exchange" db:"exchange"`

	Symbol string `json:"symbol" db:"symbol"`

	StartTime Time `json:"startTime" db:"start_time"`
	EndTime   Time `json:"endTime" db:"end_time"`

	Interval Interval `json:"interval" db:"interval"`

	Open                     fixedpoint.Value `json:"open" db:"open"`
	Close                    fixedpoint.Value `json:"close" db:"close"`
	High                     fixedpoint.Value `json:"high" db:"high"`
	Low                      fixedpoint.Value `json:"low" db:"low"`
	Volume                   fixedpoint.Value `json:"volume" db:"volume"`
	QuoteVolume              fixedpoint.Value `json:"quoteVolume" db:"quote_volume"`
	TakerBuyBaseAssetVolume  fixedpoint.Value `json:"takerBuyBaseAssetVolume" db:"taker_buy_base_volume"`
	TakerBuyQuoteAssetVolume fixedpoint.Value `json:"takerBuyQuoteAssetVolume" db:"taker_buy_quote_volume"`

	LastTradeID    uint64 `json:"lastTradeID" db:"last_trade_id"`
	NumberOfTrades uint64 `json:"numberOfTrades" db:"num_trades"`
	Closed         bool   `json:"closed" db:"closed"`
}

KLine uses binance's kline as the standard structure

func SortKLinesAscending 

func SortKLinesAscending(klines []KLine) []KLine

func (*KLine) BounceDown 

func (k *KLine) BounceDown() bool

red candle with open and close near low price

func (*KLine) BounceUp 

func (k *KLine) BounceUp() bool

green candle with open and close near high price

func (*KLine) Color 

func (k *KLine) Color() string

func (*KLine) Direction 

func (k *KLine) Direction() Direction

func (*KLine) GetAmplification 

func (k *KLine) GetAmplification() fixedpoint.Value

func (*KLine) GetBody 

func (k *KLine) GetBody() fixedpoint.Value

GetBody returns the height of the candle real body

func (*KLine) GetChange 

func (k *KLine) GetChange() fixedpoint.Value

GetChange returns Close price - Open price.

func (*KLine) GetClose 

func (k *KLine) GetClose() fixedpoint.Value

func (*KLine) GetEndTime 

func (k *KLine) GetEndTime() Time

func (*KLine) GetHigh 

func (k *KLine) GetHigh() fixedpoint.Value

func (*KLine) GetInterval 

func (k *KLine) GetInterval() Interval

func (*KLine) GetLow 

func (k *KLine) GetLow() fixedpoint.Value

func (*KLine) GetLowerShadowHeight 

func (k *KLine) GetLowerShadowHeight() fixedpoint.Value

func (*KLine) GetLowerShadowRatio 

func (k *KLine) GetLowerShadowRatio() fixedpoint.Value

func (*KLine) GetMaxChange 

func (k *KLine) GetMaxChange() fixedpoint.Value

func (*KLine) GetOpen 

func (k *KLine) GetOpen() fixedpoint.Value

func (*KLine) GetStartTime 

func (k *KLine) GetStartTime() Time

func (*KLine) GetThickness 

func (k *KLine) GetThickness() fixedpoint.Value

GetThickness returns the thickness of the kline. 1 => thick, 0.1 => thin

func (*KLine) GetUpperShadowHeight 

func (k *KLine) GetUpperShadowHeight() fixedpoint.Value

func (*KLine) GetUpperShadowRatio 

func (k *KLine) GetUpperShadowRatio() fixedpoint.Value

func (*KLine) Merge 

func (k *KLine) Merge(o *KLine)

func (*KLine) Mid 

func (k *KLine) Mid() fixedpoint.Value

func (*KLine) PlainText 

func (k *KLine) PlainText() string

func (*KLine) Set 

func (k *KLine) Set(o *KLine)

func (*KLine) SlackAttachment 

func (k *KLine) SlackAttachment() slack.Attachment

func (*KLine) String 

func (k *KLine) String() string

type KLineCallback 

type KLineCallback func(k KLine)

func KLineWith 

func KLineWith(symbol string, interval Interval, callback KLineCallback) KLineCallback

type KLineOrWindow 

type KLineOrWindow interface {
	GetInterval() string
	Direction() Direction
	GetChange() fixedpoint.Value
	GetMaxChange() fixedpoint.Value
	GetThickness() fixedpoint.Value

	Mid() fixedpoint.Value
	GetOpen() fixedpoint.Value
	GetClose() fixedpoint.Value
	GetHigh() fixedpoint.Value
	GetLow() fixedpoint.Value

	BounceUp() bool
	BounceDown() bool
	GetUpperShadowRatio() fixedpoint.Value
	GetLowerShadowRatio() fixedpoint.Value

	SlackAttachment() slack.Attachment
}

type KLineQueryOptions 

type KLineQueryOptions struct {
	Limit     int
	StartTime *time.Time
	EndTime   *time.Time
}

type KLineSeries 

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

func (*KLineSeries) Index 

func (k *KLineSeries) Index(i int) float64

func (*KLineSeries) Last 

func (k *KLineSeries) Last(i int) float64

func (*KLineSeries) Length 

func (k *KLineSeries) Length() int

type KLineWindow 

type KLineWindow []KLine

func (*KLineWindow) Add 

func (k *KLineWindow) Add(line KLine)

func (KLineWindow) AllDrop 

func (k KLineWindow) AllDrop() bool

func (KLineWindow) AllRise 

func (k KLineWindow) AllRise() bool

func (KLineWindow) BounceDown 

func (k KLineWindow) BounceDown() bool

BounceDown returns true red candle with open and close near low price

func (KLineWindow) BounceUp 

func (k KLineWindow) BounceUp() bool

BounceUp returns true if it's green candle with open and close near high price

func (*KLineWindow) Close 

func (k *KLineWindow) Close() Series

func (KLineWindow) Color 

func (k KLineWindow) Color() string

func (KLineWindow) First 

func (k KLineWindow) First() KLine

func (KLineWindow) GetAmplification 

func (k KLineWindow) GetAmplification() fixedpoint.Value

func (KLineWindow) GetBody 

func (k KLineWindow) GetBody() fixedpoint.Value

func (KLineWindow) GetChange 

func (k KLineWindow) GetChange() fixedpoint.Value

func (KLineWindow) GetClose 

func (k KLineWindow) GetClose() fixedpoint.Value

func (KLineWindow) GetHigh 

func (k KLineWindow) GetHigh() fixedpoint.Value

func (KLineWindow) GetInterval 

func (k KLineWindow) GetInterval() Interval

func (KLineWindow) GetLow 

func (k KLineWindow) GetLow() fixedpoint.Value

func (KLineWindow) GetLowerShadowHeight 

func (k KLineWindow) GetLowerShadowHeight() fixedpoint.Value

func (KLineWindow) GetLowerShadowRatio 

func (k KLineWindow) GetLowerShadowRatio() fixedpoint.Value

func (KLineWindow) GetMaxChange 

func (k KLineWindow) GetMaxChange() fixedpoint.Value

func (KLineWindow) GetOpen 

func (k KLineWindow) GetOpen() fixedpoint.Value

func (KLineWindow) GetThickness 

func (k KLineWindow) GetThickness() fixedpoint.Value

func (KLineWindow) GetTrend 

func (k KLineWindow) GetTrend() int

func (KLineWindow) GetUpperShadowHeight 

func (k KLineWindow) GetUpperShadowHeight() fixedpoint.Value

func (KLineWindow) GetUpperShadowRatio 

func (k KLineWindow) GetUpperShadowRatio() fixedpoint.Value

func (*KLineWindow) High 

func (k *KLineWindow) High() Series

func (KLineWindow) Last 

func (k KLineWindow) Last() KLine

func (KLineWindow) Len 

func (k KLineWindow) Len() int

func (*KLineWindow) Low 

func (k *KLineWindow) Low() Series

func (KLineWindow) Mid 

func (k KLineWindow) Mid() fixedpoint.Value

Mid price

func (*KLineWindow) Open 

func (k *KLineWindow) Open() Series

func (KLineWindow) ReduceClose 

func (k KLineWindow) ReduceClose() fixedpoint.Value

ReduceClose reduces the closed prices

func (KLineWindow) SlackAttachment 

func (k KLineWindow) SlackAttachment() slack.Attachment

func (KLineWindow) Tail 

func (k KLineWindow) Tail(size int) KLineWindow

func (KLineWindow) Take 

func (k KLineWindow) Take(size int) KLineWindow

func (*KLineWindow) Truncate 

func (k *KLineWindow) Truncate(size int)

Truncate removes the old klines from the window

func (*KLineWindow) Volume 

func (k *KLineWindow) Volume() Series

type KValueType 

type KValueType int

type LogisticRegressionModel 

type LogisticRegressionModel struct {
	Weight       []float64
	Gradient     float64
	LearningRate float64
}

func LogisticRegression 

func LogisticRegression(x []Series, y Series, lookback, iterations int, learningRate float64) *LogisticRegressionModel

func (*LogisticRegressionModel) Predict 

func (l *LogisticRegressionModel) Predict(x []float64) float64

type LooseFormatTime 

type LooseFormatTime time.Time

LooseFormatTime parses date time string with a wide range of formats.

func ParseLooseFormatTime 

func ParseLooseFormatTime(s string) (LooseFormatTime, error)

func (LooseFormatTime) MarshalJSON 

func (t LooseFormatTime) MarshalJSON() ([]byte, error)

func (LooseFormatTime) Time 

func (t LooseFormatTime) Time() time.Time

func (*LooseFormatTime) UnmarshalJSON 

func (t *LooseFormatTime) UnmarshalJSON(data []byte) error

func (*LooseFormatTime) UnmarshalYAML 

func (t *LooseFormatTime) UnmarshalYAML(unmarshal func(interface{}) error) error

type MarginAccount 

type MarginAccount struct {
	BorrowEnabled       bool              `json:"borrowEnabled"`
	MarginLevel         fixedpoint.Value  `json:"marginLevel"`
	TotalAssetOfBTC     fixedpoint.Value  `json:"totalAssetOfBtc"`
	TotalLiabilityOfBTC fixedpoint.Value  `json:"totalLiabilityOfBtc"`
	TotalNetAssetOfBTC  fixedpoint.Value  `json:"totalNetAssetOfBtc"`
	TradeEnabled        bool              `json:"tradeEnabled"`
	TransferEnabled     bool              `json:"transferEnabled"`
	UserAssets          []MarginUserAsset `json:"userAssets"`
}

MarginAccount is for the cross margin account

type MarginAccountInfo 

type MarginAccountInfo struct {
	// Margin fields
	BorrowEnabled       bool             `json:"borrowEnabled"`
	MarginLevel         fixedpoint.Value `json:"marginLevel"`
	TotalAssetOfBTC     fixedpoint.Value `json:"totalAssetOfBtc"`
	TotalLiabilityOfBTC fixedpoint.Value `json:"totalLiabilityOfBtc"`
	TotalNetAssetOfBTC  fixedpoint.Value `json:"totalNetAssetOfBtc"`
	TradeEnabled        bool             `json:"tradeEnabled"`
	TransferEnabled     bool             `json:"transferEnabled"`
	Assets              MarginAssetMap   `json:"userAssets"`
}

type MarginAssetMap 

type MarginAssetMap map[string]MarginUserAsset

type MarginBorrowRepayService 

type MarginBorrowRepayService interface {
	RepayMarginAsset(ctx context.Context, asset string, amount fixedpoint.Value) error
	BorrowMarginAsset(ctx context.Context, asset string, amount fixedpoint.Value) error
	QueryMarginAssetMaxBorrowable(ctx context.Context, asset string) (amount fixedpoint.Value, err error)
}

MarginBorrowRepayService provides repay and borrow actions of an crypto exchange

type MarginExchange 

type MarginExchange interface {
	UseMargin()
	UseIsolatedMargin(symbol string)
	GetMarginSettings() MarginSettings
}

type MarginHistoryService 

type MarginHistoryService interface {
	QueryLoanHistory(ctx context.Context, asset string, startTime, endTime *time.Time) ([]MarginLoan, error)
	QueryRepayHistory(ctx context.Context, asset string, startTime, endTime *time.Time) ([]MarginRepay, error)
	QueryLiquidationHistory(ctx context.Context, startTime, endTime *time.Time) ([]MarginLiquidation, error)
	QueryInterestHistory(ctx context.Context, asset string, startTime, endTime *time.Time) ([]MarginInterest, error)
}

MarginHistoryService provides the service of querying loan history and repay history

type MarginInterest 

type MarginInterest struct {
	GID            uint64           `json:"gid" db:"gid"`
	Exchange       ExchangeName     `json:"exchange" db:"exchange"`
	Asset          string           `json:"asset" db:"asset"`
	Principle      fixedpoint.Value `json:"principle" db:"principle"`
	Interest       fixedpoint.Value `json:"interest" db:"interest"`
	InterestRate   fixedpoint.Value `json:"interestRate" db:"interest_rate"`
	IsolatedSymbol string           `json:"isolatedSymbol" db:"isolated_symbol"`
	Time           Time             `json:"time" db:"time"`
}

type MarginLiquidation 

type MarginLiquidation struct {
	GID              uint64           `json:"gid" db:"gid"`
	Exchange         ExchangeName     `json:"exchange" db:"exchange"`
	AveragePrice     fixedpoint.Value `json:"averagePrice" db:"average_price"`
	ExecutedQuantity fixedpoint.Value `json:"executedQuantity" db:"executed_quantity"`
	OrderID          uint64           `json:"orderID" db:"order_id"`
	Price            fixedpoint.Value `json:"price" db:"price"`
	Quantity         fixedpoint.Value `json:"quantity" db:"quantity"`
	Side             SideType         `json:"side" db:"side"`
	Symbol           string           `json:"symbol" db:"symbol"`
	TimeInForce      TimeInForce      `json:"timeInForce" db:"time_in_force"`
	IsIsolated       bool             `json:"isIsolated" db:"is_isolated"`
	UpdatedTime      Time             `json:"updatedTime" db:"time"`
}

type MarginLoan 

type MarginLoan struct {
	GID            uint64           `json:"gid" db:"gid"`
	Exchange       ExchangeName     `json:"exchange" db:"exchange"`
	TransactionID  uint64           `json:"transactionID" db:"transaction_id"`
	Asset          string           `json:"asset" db:"asset"`
	Principle      fixedpoint.Value `json:"principle" db:"principle"`
	Time           Time             `json:"time" db:"time"`
	IsolatedSymbol string           `json:"isolatedSymbol" db:"isolated_symbol"`
}

type MarginOrderSideEffectType 

type MarginOrderSideEffectType string

MarginOrderSideEffectType define side effect type for orders 

var (
	SideEffectTypeNoSideEffect MarginOrderSideEffectType = "NO_SIDE_EFFECT"
	SideEffectTypeMarginBuy    MarginOrderSideEffectType = "MARGIN_BUY"
	SideEffectTypeAutoRepay    MarginOrderSideEffectType = "AUTO_REPAY"
)

func (*MarginOrderSideEffectType) UnmarshalJSON 

func (t *MarginOrderSideEffectType) UnmarshalJSON(data []byte) error

type MarginRepay 

type MarginRepay struct {
	GID            uint64           `json:"gid" db:"gid"`
	Exchange       ExchangeName     `json:"exchange" db:"exchange"`
	TransactionID  uint64           `json:"transactionID" db:"transaction_id"`
	Asset          string           `json:"asset" db:"asset"`
	Principle      fixedpoint.Value `json:"principle" db:"principle"`
	Time           Time             `json:"time" db:"time"`
	IsolatedSymbol string           `json:"isolatedSymbol" db:"isolated_symbol"`
}

type MarginSettings 

type MarginSettings struct {
	IsMargin             bool
	IsIsolatedMargin     bool
	IsolatedMarginSymbol string
}

func (MarginSettings) GetMarginSettings 

func (e MarginSettings) GetMarginSettings() MarginSettings

func (*MarginSettings) UseIsolatedMargin 

func (e *MarginSettings) UseIsolatedMargin(symbol string)

func (*MarginSettings) UseMargin 

func (e *MarginSettings) UseMargin()

type MarginUserAsset 

type MarginUserAsset struct {
	Asset    string           `json:"asset"`
	Borrowed fixedpoint.Value `json:"borrowed"`
	Free     fixedpoint.Value `json:"free"`
	Interest fixedpoint.Value `json:"interest"`
	Locked   fixedpoint.Value `json:"locked"`
	NetAsset fixedpoint.Value `json:"netAsset"`
}

MarginUserAsset define user assets of margin account

type Market 

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

	// LocalSymbol is used for exchange's API (exchange package internal)
	LocalSymbol string `json:"localSymbol,omitempty"`

	// PricePrecision is the precision used for formatting price, 8 = 8 decimals
	// can be converted from price tick step size, e.g.
	//    int(math.Log10(price step size))
	PricePrecision int `json:"pricePrecision"`

	// VolumePrecision is the precision used for formatting quantity and volume, 8 = 8 decimals
	// can be converted from step size, e.g.
	//    int(math.Log10(quantity step size))
	VolumePrecision int `json:"volumePrecision"`

	// QuoteCurrency is the currency name for quote, e.g. USDT in BTC/USDT, USDC in BTC/USDC
	QuoteCurrency string `json:"quoteCurrency"`

	// BaseCurrency is the current name for base, e.g. BTC in BTC/USDT, ETH in ETH/USDC
	BaseCurrency string `json:"baseCurrency"`

	// The MIN_NOTIONAL filter defines the minimum notional value allowed for an order on a symbol.
	// An order's notional value is the price * quantity
	MinNotional fixedpoint.Value `json:"minNotional,omitempty"`
	MinAmount   fixedpoint.Value `json:"minAmount,omitempty"`

	// The LOT_SIZE filter defines the quantity
	MinQuantity fixedpoint.Value `json:"minQuantity,omitempty"`

	// MaxQuantity is currently not used in the code
	MaxQuantity fixedpoint.Value `json:"maxQuantity,omitempty"`

	// StepSize is the step size of quantity
	// can be converted from precision, e.g.
	//    1.0 / math.Pow10(m.BaseUnitPrecision)
	StepSize fixedpoint.Value `json:"stepSize,omitempty"`

	MinPrice fixedpoint.Value `json:"minPrice,omitempty"`
	MaxPrice fixedpoint.Value `json:"maxPrice,omitempty"`

	// TickSize is the step size of price
	TickSize fixedpoint.Value `json:"tickSize,omitempty"`

	CtVal fixedpoint.Value `json:"ctVal,omitempty"`
}

func (Market) AdjustQuantityByMinNotional 

func (m Market) AdjustQuantityByMinNotional(quantity, currentPrice fixedpoint.Value) fixedpoint.Value

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

func (Market) BaseCurrencyFormatter 

func (m Market) BaseCurrencyFormatter() *accounting.Accounting

func (Market) CanonicalizeVolume 

func (m Market) CanonicalizeVolume(val fixedpoint.Value) float64

func (Market) FormatPrice 

func (m Market) FormatPrice(val fixedpoint.Value) string

func (Market) FormatPriceCurrency 

func (m Market) FormatPriceCurrency(val fixedpoint.Value) string

func (Market) FormatQuantity 

func (m Market) FormatQuantity(val fixedpoint.Value) string

func (Market) FormatVolume 

func (m Market) FormatVolume(val fixedpoint.Value) string

func (Market) IsDustQuantity 

func (m Market) IsDustQuantity(quantity, price fixedpoint.Value) bool

func (Market) QuoteCurrencyFormatter 

func (m Market) QuoteCurrencyFormatter() *accounting.Accounting

func (Market) RoundDownQuantityByPrecision 

func (m Market) RoundDownQuantityByPrecision(quantity fixedpoint.Value) fixedpoint.Value

RoundDownQuantityByPrecision uses the volume precision to round down the quantity This is different from the TruncateQuantity, which uses StepSize (it uses fewer fractions to truncate)

func (Market) RoundUpQuantityByPrecision 

func (m Market) RoundUpQuantityByPrecision(quantity fixedpoint.Value) fixedpoint.Value

RoundUpQuantityByPrecision uses the volume precision to round up the quantity

func (Market) TruncatePrice 

func (m Market) TruncatePrice(price fixedpoint.Value) fixedpoint.Value

func (Market) TruncateQuantity 

func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value

TruncateQuantity uses the step size to truncate floating number, in order to avoid the rounding issue

type MarketMap 

type MarketMap map[string]Market

func (MarketMap) Add 

func (m MarketMap) Add(market Market)

type MillisecondTimestamp 

type MillisecondTimestamp time.Time

func MustParseMillisecondTimestamp 

func MustParseMillisecondTimestamp(a string) MillisecondTimestamp

func NewMillisecondTimestampFromInt 

func NewMillisecondTimestampFromInt(i int64) MillisecondTimestamp

func (MillisecondTimestamp) String 

func (t MillisecondTimestamp) String() string

func (MillisecondTimestamp) Time 

func (t MillisecondTimestamp) Time() time.Time

func (*MillisecondTimestamp) UnmarshalJSON 

func (t *MillisecondTimestamp) UnmarshalJSON(data []byte) error

type MinusSeriesResult 

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

func (*MinusSeriesResult) Index 

func (a *MinusSeriesResult) Index(i int) float64

func (*MinusSeriesResult) Last 

func (a *MinusSeriesResult) Last(i int) float64

func (*MinusSeriesResult) Length 

func (a *MinusSeriesResult) Length() int

type MulSeriesResult 

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

func (*MulSeriesResult) Index 

func (a *MulSeriesResult) Index(i int) float64

func (*MulSeriesResult) Last 

func (a *MulSeriesResult) Last(i int) float64

func (*MulSeriesResult) Length 

func (a *MulSeriesResult) Length() int

type MutexOrderBook 

type MutexOrderBook struct {
	sync.Mutex

	Symbol    string
	OrderBook OrderBook
}

func NewMutexOrderBook 

func NewMutexOrderBook(symbol string) *MutexOrderBook

func (*MutexOrderBook) BestAsk 

func (b *MutexOrderBook) BestAsk() (pv PriceVolume, ok bool)

func (*MutexOrderBook) BestBid 

func (b *MutexOrderBook) BestBid() (pv PriceVolume, ok bool)

func (*MutexOrderBook) BestBidAndAsk 

func (b *MutexOrderBook) BestBidAndAsk() (bid, ask PriceVolume, ok bool)

func (*MutexOrderBook) Copy 

func (b *MutexOrderBook) Copy() OrderBook

func (*MutexOrderBook) CopyDepth 

func (b *MutexOrderBook) CopyDepth(depth int) OrderBook

func (*MutexOrderBook) IsValid 

func (b *MutexOrderBook) IsValid() (ok bool, err error)

func (*MutexOrderBook) LastUpdateTime 

func (b *MutexOrderBook) LastUpdateTime() time.Time

func (*MutexOrderBook) Load 

func (b *MutexOrderBook) Load(book SliceOrderBook)

func (*MutexOrderBook) Reset 

func (b *MutexOrderBook) Reset()

func (*MutexOrderBook) Update 

func (b *MutexOrderBook) Update(update SliceOrderBook)

type NanosecondTimestamp 

type NanosecondTimestamp time.Time

func (NanosecondTimestamp) Time 

func (t NanosecondTimestamp) Time() time.Time

func (*NanosecondTimestamp) UnmarshalJSON 

func (t *NanosecondTimestamp) UnmarshalJSON(data []byte) error

type NumberSeries 

type NumberSeries float64

func (NumberSeries) Clone 

func (a NumberSeries) Clone() NumberSeries

func (NumberSeries) Index 

func (a NumberSeries) Index(_ int) float64

func (NumberSeries) Last 

func (a NumberSeries) Last(_ int) float64

func (NumberSeries) Length 

func (a NumberSeries) Length() int

type Order 

type Order struct {
	SubmitOrder

	Exchange ExchangeName `json:"exchange" db:"exchange"`

	// GID is used for relational database storage, it's an incremental ID
	GID     uint64 `json:"gid,omitempty" db:"gid"`
	OrderID uint64 `json:"orderID" db:"order_id"` // order id
	UUID    string `json:"uuid,omitempty"`

	Status           OrderStatus      `json:"status" db:"status"`
	ExecutedQuantity fixedpoint.Value `json:"executedQuantity" db:"executed_quantity"`
	IsWorking        bool             `json:"isWorking" db:"is_working"`
	CreationTime     Time             `json:"creationTime" db:"created_at"`
	UpdateTime       Time             `json:"updateTime" db:"updated_at"`

	IsFutures  bool `json:"isFutures,omitempty" db:"is_futures"`
	IsMargin   bool `json:"isMargin,omitempty" db:"is_margin"`
	IsIsolated bool `json:"isIsolated,omitempty" db:"is_isolated"`
}

func OrdersActive 

func OrdersActive(in []Order) []Order

func OrdersFilled 

func OrdersFilled(in []Order) (out []Order)

func OrdersFilter 

func OrdersFilter(in []Order, f func(o Order) bool) (out []Order)

func SortOrdersAscending 

func SortOrdersAscending(orders []Order) []Order

SortOrdersAscending sorts by creation time ascending-ly

func SortOrdersUpdateTimeAscending 

func SortOrdersUpdateTimeAscending(orders []Order) []Order

SortOrdersAscending sorts by update time ascending-ly

func (Order) Backup 

func (o Order) Backup() SubmitOrder

Backup backs up the current order quantity to a SubmitOrder object so that we can post the order later when we want to restore the orders.

func (Order) CsvHeader 

func (o Order) CsvHeader() []string

func (Order) CsvRecords 

func (o Order) CsvRecords() [][]string

func (Order) PlainText 

func (o Order) PlainText() string

PlainText is used for telegram-styled messages

func (Order) SlackAttachment 

func (o Order) SlackAttachment() slack.Attachment

func (Order) String 

func (o Order) String() string

type OrderBook 

type OrderBook interface {
	Spread() (fixedpoint.Value, bool)
	BestAsk() (PriceVolume, bool)
	BestBid() (PriceVolume, bool)
	LastUpdateTime() time.Time
	Reset()
	Load(book SliceOrderBook)
	Update(book SliceOrderBook)
	Copy() OrderBook
	SideBook(sideType SideType) PriceVolumeSlice
	CopyDepth(depth int) OrderBook
	IsValid() (bool, error)
}

type OrderError 

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

func (*OrderError) Error 

func (e *OrderError) Error() string

func (*OrderError) Order 

func (e *OrderError) Order() Order

type OrderMap 

type OrderMap map[uint64]Order

OrderMap is used for storing orders by their order id

func (OrderMap) Add 

func (m OrderMap) Add(o Order)

Add the order the the map

func (OrderMap) Backup 

func (m OrderMap) Backup() (orderForms []SubmitOrder)

func (OrderMap) Canceled 

func (m OrderMap) Canceled() OrderSlice

func (OrderMap) Exists 

func (m OrderMap) Exists(orderID uint64) bool

func (OrderMap) Filled 

func (m OrderMap) Filled() OrderSlice

func (OrderMap) FindByStatus 

func (m OrderMap) FindByStatus(status OrderStatus) (orders OrderSlice)

func (OrderMap) Get 

func (m OrderMap) Get(orderID uint64) (Order, bool)

func (OrderMap) IDs 

func (m OrderMap) IDs() (ids []uint64)

func (OrderMap) Lookup 

func (m OrderMap) Lookup(f func(o Order) bool) *Order

func (OrderMap) Orders 

func (m OrderMap) Orders() (orders OrderSlice)

func (OrderMap) Remove 

func (m OrderMap) Remove(orderID uint64)

func (OrderMap) Update 

func (m OrderMap) Update(o Order)

Update only updates the order when the order ID exists in the map

type OrderQuery 

type OrderQuery struct {
	Symbol        string
	OrderID       string
	ClientOrderID string
}

type OrderSlice 

type OrderSlice []Order

type OrderStatus 

type OrderStatus string
const (
	// OrderStatusNew means the order is active on the orderbook without any filling.
	OrderStatusNew OrderStatus = "NEW"

	// OrderStatusFilled means the order is fully-filled, it's an end state.
	OrderStatusFilled OrderStatus = "FILLED"

	// OrderStatusPartiallyFilled means the order is partially-filled, it's an end state, the order might be canceled in the end.
	OrderStatusPartiallyFilled OrderStatus = "PARTIALLY_FILLED"

	// OrderStatusCanceled means the order is canceled without partially filled or filled.
	OrderStatusCanceled OrderStatus = "CANCELED"

	// OrderStatusRejected means the order is not placed successfully, it's rejected by the api
	OrderStatusRejected OrderStatus = "REJECTED"
)

type OrderType 

type OrderType string

OrderType define order type 

const (
	OrderTypeLimit            OrderType = "LIMIT"
	OrderTypeLimitMaker       OrderType = "LIMIT_MAKER"
	OrderTypeMarket           OrderType = "MARKET"
	OrderTypeStopLimit        OrderType = "STOP_LIMIT"
	OrderTypeStopMarket       OrderType = "STOP_MARKET"
	OrderTypeTakeProfitLimit  OrderType = "TAKE_PROFIT_LIMIT"
	OrderTypeTakeProfitMarket OrderType = "TAKE_PROFIT_MARKET"
)

type PCA 

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

func (*PCA) Fit 

func (pca *PCA) Fit(x []SeriesExtend, lookback int) error

func (*PCA) FitTransform 

func (pca *PCA) FitTransform(x []SeriesExtend, lookback, feature int) ([]SeriesExtend, error)

func (*PCA) Transform 

func (pca *PCA) Transform(x []SeriesExtend, lookback int, features int) (result []SeriesExtend)

type Parser 

type Parser func(message []byte) (interface{}, error)

type PercentageChangeResult 

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

func (*PercentageChangeResult) Index 

func (c *PercentageChangeResult) Index(i int) float64

func (*PercentageChangeResult) Last 

func (c *PercentageChangeResult) Last(i int) float64

func (*PercentageChangeResult) Length 

func (c *PercentageChangeResult) Length() int

type PlainText 

type PlainText interface {
	PlainText() string
}

type Position 

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

	Market Market `json:"market,omitempty"`

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

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

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

	// TotalFee stores the fee currency -> total fee quantity
	TotalFee map[string]fixedpoint.Value `json:"totalFee" db:"-"`

	OpenedAt  time.Time `json:"openedAt,omitempty" db:"-"`
	ChangedAt time.Time `json:"changedAt,omitempty" db:"changed_at"`

	Strategy           string `json:"strategy,omitempty" db:"strategy"`
	StrategyInstanceID string `json:"strategyInstanceID,omitempty" db:"strategy_instance_id"`

	AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty" db:"accumulated_profit"`

	sync.Mutex
	// contains filtered or unexported fields
}

func NewPosition 

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

func NewPositionFromMarket 

func NewPositionFromMarket(market Market) *Position

func (*Position) AddTrade 

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

func (*Position) AddTrades 

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

func (*Position) BindStream 

func (p *Position) BindStream(stream Stream)

func (*Position) CsvHeader 

func (p *Position) CsvHeader() []string

func (*Position) CsvRecords 

func (p *Position) CsvRecords() [][]string

func (*Position) EmitModify 

func (p *Position) EmitModify(baseQty fixedpoint.Value, quoteQty fixedpoint.Value, price fixedpoint.Value)

func (*Position) GetBase 

func (p *Position) GetBase() (base fixedpoint.Value)

GetBase locks the mutex and return the base quantity The base quantity can be negative

func (*Position) GetQuantity 

func (p *Position) GetQuantity() fixedpoint.Value

func (*Position) IsClosed 

func (p *Position) IsClosed() bool

func (*Position) IsClosing 

func (p *Position) IsClosing() (c bool)

func (*Position) IsDust 

func (p *Position) IsDust(a ...fixedpoint.Value) bool

func (*Position) IsLong 

func (p *Position) IsLong() bool

func (*Position) IsOpened 

func (p *Position) IsOpened(currentPrice fixedpoint.Value) bool

func (*Position) IsShort 

func (p *Position) IsShort() bool

func (*Position) ModifyAverageCost 

func (p *Position) ModifyAverageCost(price fixedpoint.Value) error

ModifyAverageCost modifies position average cost with `price`

func (*Position) ModifyBase 

func (p *Position) ModifyBase(qty fixedpoint.Value) error

ModifyBase modifies position base quantity with `qty`

func (*Position) ModifyQuote 

func (p *Position) ModifyQuote(qty fixedpoint.Value) error

ModifyQuote modifies position quote quantity with `qty`

func (*Position) NewMarketCloseOrder 

func (p *Position) NewMarketCloseOrder(percentage fixedpoint.Value) *SubmitOrder

func (*Position) NewProfit 

func (p *Position) NewProfit(trade Trade, profit, netProfit fixedpoint.Value) Profit

NewProfit generates the profit object from the current position

func (*Position) OnModify 

func (p *Position) OnModify(cb func(baseQty fixedpoint.Value, quoteQty fixedpoint.Value, price fixedpoint.Value))

func (*Position) PlainText 

func (p *Position) PlainText() (msg string)

func (*Position) ROI 

func (p *Position) ROI(price fixedpoint.Value) fixedpoint.Value

ROI -- Return on investment (ROI) is a performance measure used to evaluate the efficiency or profitability of an investment or compare the efficiency of a number of different investments. ROI tries to directly measure the amount of return on a particular investment, relative to the investment's cost.

func (*Position) Reset 

func (p *Position) Reset()

func (*Position) SetClosing 

func (p *Position) SetClosing(c bool) bool

func (*Position) SetExchangeFeeRate 

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

func (*Position) SetFeeRate 

func (p *Position) SetFeeRate(exchangeFee ExchangeFee)

func (*Position) SlackAttachment 

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

func (*Position) String 

func (p *Position) String() string

func (*Position) Type 

func (p *Position) Type() PositionType

func (*Position) UnrealizedProfit 

func (p *Position) UnrealizedProfit(price fixedpoint.Value) fixedpoint.Value

type PositionMap 

type PositionMap map[string]Position

type PositionRisk 

type PositionRisk struct {
	Leverage         fixedpoint.Value `json:"leverage"`
	LiquidationPrice fixedpoint.Value `json:"liquidationPrice"`
}

type PositionType 

type PositionType string

type Positions 

type Positions struct {
	Id               int    `json:"id"`
	Symbol           string `json:"symbol"`
	PositionAmt      string `json:"positionAmt"`
	EntryPrice       string `json:"entryPrice"`
	MarkPrice        string `json:"markPrice"`
	UnRealizedProfit string `json:"unRealizedProfit"`
	LiquidationPrice string `json:"liquidationPrice"`
	Leverage         string `json:"leverage"`
	MaxNotionalValue string `json:"maxNotionalValue"`
	MarginType       string `json:"marginType"`
	IsolatedMargin   string `json:"isolatedMargin"`
	IsAutoAddMargin  string `json:"isAutoAddMargin"`
	PositionSide     string `json:"positionSide"`
	Notional         string `json:"notional"`
	IsolatedWallet   string `json:"isolatedWallet"`
	UpdateTime       int64  `json:"updateTime"`
}

type PremiumIndex 

type PremiumIndex struct {
	Symbol          string           `json:"symbol"`
	MarkPrice       fixedpoint.Value `json:"markPrice"`
	LastFundingRate fixedpoint.Value `json:"lastFundingRate"`
	NextFundingTime time.Time        `json:"nextFundingTime"`
	Time            time.Time        `json:"time"`
}

func (*PremiumIndex) String 

func (i *PremiumIndex) String() string

type PriceHeartBeat 

type PriceHeartBeat struct {
	PriceVolume PriceVolume
	LastTime    time.Time
}

PriceHeartBeat is used for monitoring the price volume update.

func (*PriceHeartBeat) Update 

func (b *PriceHeartBeat) Update(pv PriceVolume, timeout time.Duration) (bool, error)

Update updates the price volume object and the last update time It returns (bool, error), when the price is successfully updated, it returns true. If the price is not updated (same price) and the last time exceeded the timeout, Then false, and an error will be returned

type PriceMap 

type PriceMap map[string]fixedpoint.Value

type PriceVolume 

type PriceVolume struct {
	Price, Volume fixedpoint.Value
}

func (PriceVolume) String 

func (p PriceVolume) String() string

type PriceVolumeSlice 

type PriceVolumeSlice []PriceVolume

func ParsePriceVolumeSliceJSON 

func ParsePriceVolumeSliceJSON(b []byte) (slice PriceVolumeSlice, err error)

ParsePriceVolumeSliceJSON tries to parse a 2 dimensional string array into a PriceVolumeSlice 

[["9000", "10"], ["9900", "10"], ... ]

func (PriceVolumeSlice) Copy 

func (slice PriceVolumeSlice) Copy() PriceVolumeSlice

func (PriceVolumeSlice) CopyDepth 

func (slice PriceVolumeSlice) CopyDepth(depth int) PriceVolumeSlice

func (PriceVolumeSlice) Find 

func (slice PriceVolumeSlice) Find(price fixedpoint.Value, descending bool) (pv PriceVolume, idx int)

Find finds the pair by the given price, this function is a read-only operation, so we use the value receiver to avoid copy value from the pointer If the price is not found, it will return the index where the price can be inserted at. true for descending (bid orders), false for ascending (ask orders)

func (PriceVolumeSlice) First 

func (slice PriceVolumeSlice) First() (PriceVolume, bool)

func (PriceVolumeSlice) IndexByVolumeDepth 

func (slice PriceVolumeSlice) IndexByVolumeDepth(requiredVolume fixedpoint.Value) int

func (PriceVolumeSlice) InsertAt 

func (slice PriceVolumeSlice) InsertAt(idx int, pv PriceVolume) PriceVolumeSlice

func (PriceVolumeSlice) Len 

func (slice PriceVolumeSlice) Len() int

func (PriceVolumeSlice) Less 

func (slice PriceVolumeSlice) Less(i, j int) bool

func (PriceVolumeSlice) Remove 

func (slice PriceVolumeSlice) Remove(price fixedpoint.Value, descending bool) PriceVolumeSlice

func (PriceVolumeSlice) Second 

func (slice PriceVolumeSlice) Second() (PriceVolume, bool)

func (PriceVolumeSlice) Swap 

func (slice PriceVolumeSlice) Swap(i, j int)

func (PriceVolumeSlice) Trim 

func (slice PriceVolumeSlice) Trim() (pvs PriceVolumeSlice)

Trim removes the pairs that volume = 0

func (*PriceVolumeSlice) UnmarshalJSON 

func (slice *PriceVolumeSlice) UnmarshalJSON(b []byte) error

func (PriceVolumeSlice) Upsert 

func (slice PriceVolumeSlice) Upsert(pv PriceVolume, descending bool) PriceVolumeSlice

type Profit 

type Profit struct {
	// --- position related fields
	// -------------------------------------------
	// Symbol is the symbol of the position
	Symbol        string           `json:"symbol"`
	QuoteCurrency string           `json:"quoteCurrency" db:"quote_currency"`
	BaseCurrency  string           `json:"baseCurrency" db:"base_currency"`
	AverageCost   fixedpoint.Value `json:"averageCost" db:"average_cost"`

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

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

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

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

	// trade related fields
	// --------------------------------------------
	// TradeID is the exchange trade id of that trade
	Trade         *Trade           `json:"trade,omitempty" db:"-"`
	TradeID       uint64           `json:"tradeID" db:"trade_id"`
	OrderID       uint64           `json:"orderID,omitempty"`
	Side          SideType         `json:"side" db:"side"`
	IsBuyer       bool             `json:"isBuyer" db:"is_buyer"`
	IsMaker       bool             `json:"isMaker" db:"is_maker"`
	Price         fixedpoint.Value `json:"price" db:"price"`
	Quantity      fixedpoint.Value `json:"quantity" db:"quantity"`
	QuoteQuantity fixedpoint.Value `json:"quoteQuantity" db:"quote_quantity"`

	// FeeInUSD is the summed fee of this profit,
	// you will need to convert the trade fee into USD since the fee currencies can be different.
	FeeInUSD    fixedpoint.Value `json:"feeInUSD" db:"fee_in_usd"`
	Fee         fixedpoint.Value `json:"fee" db:"fee"`
	FeeCurrency string           `json:"feeCurrency" db:"fee_currency"`
	Exchange    ExchangeName     `json:"exchange" db:"exchange"`
	IsMargin    bool             `json:"isMargin" db:"is_margin"`
	IsFutures   bool             `json:"isFutures" db:"is_futures"`
	IsIsolated  bool             `json:"isIsolated" db:"is_isolated"`
	TradedAt    time.Time        `json:"tradedAt" db:"traded_at"`

	PositionOpenedAt time.Time `json:"positionOpenedAt" db:"-"`

	// strategy related fields
	Strategy           string `json:"strategy" db:"strategy"`
	StrategyInstanceID string `json:"strategyInstanceID" db:"strategy_instance_id"`
}

Profit struct stores the PnL information

func (*Profit) PlainText 

func (p *Profit) PlainText() string

func (*Profit) SlackAttachment 

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

type ProfitReport 

type ProfitReport struct {
	StartTime time.Time `json:"startTime"`
	Profit    float64   `json:"profit"`
	Interval  Interval  `json:"interval"`
}

func (ProfitReport) String 

func (s ProfitReport) String() string

type ProfitStats 

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

	AccumulatedPnL         fixedpoint.Value `json:"accumulatedPnL,omitempty"`
	AccumulatedNetProfit   fixedpoint.Value `json:"accumulatedNetProfit,omitempty"`
	AccumulatedGrossProfit fixedpoint.Value `json:"accumulatedGrossProfit,omitempty"`
	AccumulatedGrossLoss   fixedpoint.Value `json:"accumulatedGrossLoss,omitempty"`
	AccumulatedVolume      fixedpoint.Value `json:"accumulatedVolume,omitempty"`
	AccumulatedSince       int64            `json:"accumulatedSince,omitempty"`

	TodayPnL         fixedpoint.Value `json:"todayPnL,omitempty"`
	TodayNetProfit   fixedpoint.Value `json:"todayNetProfit,omitempty"`
	TodayGrossProfit fixedpoint.Value `json:"todayGrossProfit,omitempty"`
	TodayGrossLoss   fixedpoint.Value `json:"todayGrossLoss,omitempty"`
	TodaySince       int64            `json:"todaySince,omitempty"`
}

func NewProfitStats 

func NewProfitStats(market Market) *ProfitStats

func (*ProfitStats) AddProfit 

func (s *ProfitStats) AddProfit(profit Profit)

func (*ProfitStats) AddTrade 

func (s *ProfitStats) AddTrade(trade Trade)

func (*ProfitStats) Init 

func (s *ProfitStats) Init(market Market)

Init Deprecated: use NewProfitStats instead

func (*ProfitStats) IsOver24Hours 

func (s *ProfitStats) IsOver24Hours() bool

IsOver24Hours checks if the since time is over 24 hours

func (*ProfitStats) PlainText 

func (s *ProfitStats) PlainText() string

func (*ProfitStats) ResetToday 

func (s *ProfitStats) ResetToday(t time.Time)

func (*ProfitStats) SlackAttachment 

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

type Queue 

type Queue struct {
	SeriesBase
	// contains filtered or unexported fields
}

Super basic Series type that simply holds the float64 data with size limit (the only difference compare to float64slice)

func NewQueue 

func NewQueue(size int) *Queue

func (*Queue) Clone 

func (inc *Queue) Clone() *Queue

func (*Queue) Index 

func (inc *Queue) Index(i int) float64

func (*Queue) Last 

func (inc *Queue) Last(i int) float64

func (*Queue) Length 

func (inc *Queue) Length() int

func (*Queue) Update 

func (inc *Queue) Update(v float64)

type RBNode 

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

RBNode A red node always has black children. A black node may have red or black children

func NewNil 

func NewNil() *RBNode

type RBTOrderBook 

type RBTOrderBook struct {
	Symbol string
	Bids   *RBTree
	Asks   *RBTree
	// contains filtered or unexported fields
}

func NewRBOrderBook 

func NewRBOrderBook(symbol string) *RBTOrderBook

func (*RBTOrderBook) BestAsk 

func (b *RBTOrderBook) BestAsk() (PriceVolume, bool)

func (*RBTOrderBook) BestBid 

func (b *RBTOrderBook) BestBid() (PriceVolume, bool)

func (*RBTOrderBook) Copy 

func (b *RBTOrderBook) Copy() OrderBook

func (*RBTOrderBook) CopyDepth 

func (b *RBTOrderBook) CopyDepth(limit int) OrderBook

func (*RBTOrderBook) EmitLoad 

func (b *RBTOrderBook) EmitLoad(book *RBTOrderBook)

func (*RBTOrderBook) EmitUpdate 

func (b *RBTOrderBook) EmitUpdate(book *RBTOrderBook)

func (*RBTOrderBook) IsValid 

func (b *RBTOrderBook) IsValid() (bool, error)

func (*RBTOrderBook) LastUpdateTime 

func (b *RBTOrderBook) LastUpdateTime() time.Time

func (*RBTOrderBook) Load 

func (b *RBTOrderBook) Load(book SliceOrderBook)

func (*RBTOrderBook) OnLoad 

func (b *RBTOrderBook) OnLoad(cb func(book *RBTOrderBook))

func (*RBTOrderBook) OnUpdate 

func (b *RBTOrderBook) OnUpdate(cb func(book *RBTOrderBook))

func (*RBTOrderBook) Print 

func (b *RBTOrderBook) Print()

func (*RBTOrderBook) Reset 

func (b *RBTOrderBook) Reset()

func (*RBTOrderBook) SideBook 

func (b *RBTOrderBook) SideBook(sideType SideType) PriceVolumeSlice

func (*RBTOrderBook) Spread 

func (b *RBTOrderBook) Spread() (fixedpoint.Value, bool)

func (*RBTOrderBook) Update 

func (b *RBTOrderBook) Update(book SliceOrderBook)

type RBTree 

type RBTree struct {
	Root *RBNode
	// contains filtered or unexported fields
}

func NewRBTree 

func NewRBTree() *RBTree

func (*RBTree) CopyInorder 

func (tree *RBTree) CopyInorder(limit int) *RBTree

func (*RBTree) CopyInorderReverse 

func (tree *RBTree) CopyInorderReverse(limit int) *RBTree

func (*RBTree) Delete 

func (tree *RBTree) Delete(key fixedpoint.Value) bool

func (*RBTree) DeleteFixup 

func (tree *RBTree) DeleteFixup(current *RBNode)

func (*RBTree) Inorder 

func (tree *RBTree) Inorder(cb func(n *RBNode) bool)

Inorder traverses the tree in ascending order

func (*RBTree) InorderOf 

func (tree *RBTree) InorderOf(current *RBNode, cb func(n *RBNode) bool)

func (*RBTree) InorderReverse 

func (tree *RBTree) InorderReverse(cb func(n *RBNode) bool)

InorderReverse traverses the tree in descending order

func (*RBTree) InorderReverseOf 

func (tree *RBTree) InorderReverseOf(current *RBNode, cb func(n *RBNode) bool)

func (*RBTree) Insert 

func (tree *RBTree) Insert(key, val fixedpoint.Value)

func (*RBTree) InsertFixup 

func (tree *RBTree) InsertFixup(current *RBNode)

func (*RBTree) Leftmost 

func (tree *RBTree) Leftmost() *RBNode

func (*RBTree) LeftmostOf 

func (tree *RBTree) LeftmostOf(current *RBNode) *RBNode

func (*RBTree) Postorder 

func (tree *RBTree) Postorder(cb func(n *RBNode) bool)

func (*RBTree) PostorderOf 

func (tree *RBTree) PostorderOf(current *RBNode, cb func(n *RBNode) bool)

func (*RBTree) Preorder 

func (tree *RBTree) Preorder(cb func(n *RBNode))

func (*RBTree) PreorderOf 

func (tree *RBTree) PreorderOf(current *RBNode, cb func(n *RBNode))

func (*RBTree) Print 

func (tree *RBTree) Print()

func (*RBTree) Rightmost 

func (tree *RBTree) Rightmost() *RBNode

func (*RBTree) RightmostOf 

func (tree *RBTree) RightmostOf(current *RBNode) *RBNode

func (*RBTree) RotateLeft 

func (tree *RBTree) RotateLeft(x *RBNode)

RotateLeft x is the axes of rotation, y is the node that will be replace x's position. we need to: 1. move y's left child to the x's right child 2. change y's parent to x's parent 3. change x's parent to y

func (*RBTree) RotateRight 

func (tree *RBTree) RotateRight(y *RBNode)

func (*RBTree) Search 

func (tree *RBTree) Search(key fixedpoint.Value) *RBNode

func (*RBTree) Size 

func (tree *RBTree) Size() int

func (*RBTree) Successor 

func (tree *RBTree) Successor(current *RBNode) *RBNode

func (*RBTree) Upsert 

func (tree *RBTree) Upsert(key, val fixedpoint.Value)

type Reward 

type Reward struct {
	GID       int64            `json:"gid" db:"gid"`
	UUID      string           `json:"uuid" db:"uuid"`
	Exchange  ExchangeName     `json:"exchange" db:"exchange"`
	Type      RewardType       `json:"reward_type" db:"reward_type"`
	Currency  string           `json:"currency" db:"currency"`
	Quantity  fixedpoint.Value `json:"quantity" db:"quantity"`
	State     string           `json:"state" db:"state"`
	Note      string           `json:"note" db:"note"`
	Spent     bool             `json:"spent" db:"spent"`
	CreatedAt Time             `json:"created_at" db:"created_at"`
}

func (Reward) String 

func (r Reward) String() (s string)

type RewardSlice 

type RewardSlice []Reward

func (RewardSlice) Len 

func (s RewardSlice) Len() int

func (RewardSlice) Swap 

func (s RewardSlice) Swap(i, j int)

type RewardSliceByCreationTime 

type RewardSliceByCreationTime RewardSlice

func (RewardSliceByCreationTime) Len 

func (s RewardSliceByCreationTime) Len() int

func (RewardSliceByCreationTime) Less 

func (s RewardSliceByCreationTime) Less(i, j int) bool

Less reports whether x[i] should be ordered before x[j]

func (RewardSliceByCreationTime) Swap 

func (s RewardSliceByCreationTime) Swap(i, j int)

type RewardType 

type RewardType string

type RollingResult 

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

func Rolling 

func Rolling(a Series, window int) *RollingResult

func (*RollingResult) Index 

func (r *RollingResult) Index(i int) SeriesExtend

func (*RollingResult) Last 

func (r *RollingResult) Last() SeriesExtend

func (*RollingResult) Length 

func (r *RollingResult) Length() int

type Series 

type Series interface {
	Last(i int) float64
	Index(i int) float64
	Length() int
}

The interface maps to pinescript basic type `series` Access the internal historical data from the latest to the oldest Index(0) always maps to Last()

type SeriesBase 

type SeriesBase struct {
	Series
}

SeriesBase is a wrapper of the Series interface You can assign a data container that implements the Series interface And this SeriesBase struct provides the implemented methods for manipulating your data

func (*SeriesBase) Abs 

func (s *SeriesBase) Abs() SeriesExtend

func (*SeriesBase) Add 

func (s *SeriesBase) Add(b interface{}) SeriesExtend

func (*SeriesBase) Array 

func (s *SeriesBase) Array(limit ...int) []float64

func (*SeriesBase) AutoCorrelation 

func (s *SeriesBase) AutoCorrelation(length int, lag ...int) float64

func (*SeriesBase) Change 

func (s *SeriesBase) Change(offset ...int) SeriesExtend

func (*SeriesBase) Correlation 

func (s *SeriesBase) Correlation(b Series, length int, method ...CorrFunc) float64

func (*SeriesBase) Covariance 

func (s *SeriesBase) Covariance(b Series, length int) float64

func (*SeriesBase) CrossEntropy 

func (s *SeriesBase) CrossEntropy(b Series, window int) float64

func (*SeriesBase) CrossOver 

func (s *SeriesBase) CrossOver(b Series) BoolSeries

func (*SeriesBase) CrossUnder 

func (s *SeriesBase) CrossUnder(b Series) BoolSeries

func (*SeriesBase) Div 

func (s *SeriesBase) Div(b interface{}) SeriesExtend

func (*SeriesBase) Dot 

func (s *SeriesBase) Dot(b interface{}, limit ...int) float64

func (*SeriesBase) Entropy 

func (s *SeriesBase) Entropy(window int) float64

func (*SeriesBase) Filter 

func (s *SeriesBase) Filter(b func(int, float64) bool, length int) SeriesExtend

func (*SeriesBase) Highest 

func (s *SeriesBase) Highest(lookback int) float64

func (*SeriesBase) Index 

func (s *SeriesBase) Index(i int) float64

func (*SeriesBase) Last 

func (s *SeriesBase) Last(i int) float64

func (*SeriesBase) Length 

func (s *SeriesBase) Length() int

func (*SeriesBase) Lowest 

func (s *SeriesBase) Lowest(lookback int) float64

func (*SeriesBase) Mean 

func (s *SeriesBase) Mean(limit ...int) float64

func (*SeriesBase) Minus 

func (s *SeriesBase) Minus(b interface{}) SeriesExtend

func (*SeriesBase) Mul 

func (s *SeriesBase) Mul(b interface{}) SeriesExtend

func (*SeriesBase) NextCross 

func (s *SeriesBase) NextCross(b Series, lookback int) (int, float64, bool)

func (*SeriesBase) PercentageChange 

func (s *SeriesBase) PercentageChange(offset ...int) SeriesExtend

func (*SeriesBase) Predict 

func (s *SeriesBase) Predict(lookback int, offset ...int) float64

func (*SeriesBase) Rank 

func (s *SeriesBase) Rank(length int) SeriesExtend

func (*SeriesBase) Reverse 

func (s *SeriesBase) Reverse(limit ...int) floats.Slice

func (*SeriesBase) Rolling 

func (s *SeriesBase) Rolling(window int) *RollingResult

func (*SeriesBase) Shift 

func (s *SeriesBase) Shift(offset int) SeriesExtend

func (*SeriesBase) Sigmoid 

func (s *SeriesBase) Sigmoid() SeriesExtend

func (*SeriesBase) Skew 

func (s *SeriesBase) Skew(length int) float64

func (*SeriesBase) Softmax 

func (s *SeriesBase) Softmax(window int) SeriesExtend

func (*SeriesBase) Stdev 

func (s *SeriesBase) Stdev(params ...int) float64

func (*SeriesBase) Sum 

func (s *SeriesBase) Sum(limit ...int) float64

func (*SeriesBase) Variance 

func (s *SeriesBase) Variance(length int) float64

type SeriesExtend 

type SeriesExtend interface {
	Series
	Sum(limit ...int) float64
	Mean(limit ...int) float64
	Abs() SeriesExtend
	Predict(lookback int, offset ...int) float64
	NextCross(b Series, lookback int) (int, float64, bool)
	CrossOver(b Series) BoolSeries
	CrossUnder(b Series) BoolSeries
	Highest(lookback int) float64
	Lowest(lookback int) float64
	Add(b interface{}) SeriesExtend
	Minus(b interface{}) SeriesExtend
	Div(b interface{}) SeriesExtend
	Mul(b interface{}) SeriesExtend
	Dot(b interface{}, limit ...int) float64
	Array(limit ...int) (result []float64)
	Reverse(limit ...int) (result floats.Slice)
	Change(offset ...int) SeriesExtend
	PercentageChange(offset ...int) SeriesExtend
	Stdev(params ...int) float64
	Rolling(window int) *RollingResult
	Shift(offset int) SeriesExtend
	Skew(length int) float64
	Variance(length int) float64
	Covariance(b Series, length int) float64
	Correlation(b Series, length int, method ...CorrFunc) float64
	AutoCorrelation(length int, lag ...int) float64
	Rank(length int) SeriesExtend
	Sigmoid() SeriesExtend
	Softmax(window int) SeriesExtend
	Entropy(window int) float64
	CrossEntropy(b Series, window int) float64
	Filter(b func(i int, value float64) bool, length int) SeriesExtend
}

func Abs 

func Abs(a Series) SeriesExtend

Return series that having all the elements positive

func Add 

func Add(a interface{}, b interface{}) SeriesExtend

Add two series, result[i] = a[i] + b[i]

func Change 

func Change(a Series, offset ...int) SeriesExtend

Difference between current value and previous, a - a[offset] offset: if not given, offset is 1.

func Div 

func Div(a interface{}, b interface{}) SeriesExtend

Divid two series, result[i] = a[i] / b[i]

func Filter 

func Filter(a Series, b func(i int, value float64) bool, length int) SeriesExtend

Filter function filters Series by using a boolean function. When the boolean function returns true, the Series value at index i will be included in the returned Series. The returned Series will find at most `length` latest matching elements from the input Series. Query index larger or equal than length from the returned Series will return 0 instead. Notice that any Update on the input Series will make the previously returned Series outdated.

func Mul 

func Mul(a interface{}, b interface{}) SeriesExtend

Multiple two series, result[i] = a[i] * b[i]

func NewSeries 

func NewSeries(a Series) SeriesExtend

func PercentageChange 

func PercentageChange(a Series, offset ...int) SeriesExtend

Percentage change between current and a prior element, a / a[offset] - 1. offset: if not give, offset is 1.

func Rank 

func Rank(a Series, length int) SeriesExtend

func Shift 

func Shift(a Series, offset int) SeriesExtend

func Sigmoid 

func Sigmoid(a Series) SeriesExtend

Sigmoid returns the input values in range of -1 to 1 along the sigmoid or s-shaped curve. Commonly used in machine learning while training neural networks as an activation function.

func Softmax 

func Softmax(a Series, window int) SeriesExtend

SoftMax returns the input value in the range of 0 to 1 with sum of all the probabilities being equal to one. It is commonly used in machine learning neural networks. Will return Softmax SeriesExtend result based in latest [window] numbers from [a] Series

func Sub 

func Sub(a interface{}, b interface{}) SeriesExtend

Sub two series, result[i] = a[i] - b[i]

type ShiftResult 

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

func (*ShiftResult) Index 

func (inc *ShiftResult) Index(i int) float64

func (*ShiftResult) Last 

func (inc *ShiftResult) Last(i int) float64

func (*ShiftResult) Length 

func (inc *ShiftResult) Length() int

type SideType 

type SideType string

SideType define side type of order

func StrToSideType 

func StrToSideType(s string) (side SideType, err error)

func (SideType) Color 

func (side SideType) Color() string

func (SideType) Reverse 

func (side SideType) Reverse() SideType

func (SideType) String 

func (side SideType) String() string

func (*SideType) UnmarshalJSON 

func (side *SideType) UnmarshalJSON(data []byte) error

type SigmoidResult 

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

func (*SigmoidResult) Index 

func (s *SigmoidResult) Index(i int) float64

func (*SigmoidResult) Last 

func (s *SigmoidResult) Last(i int) float64

func (*SigmoidResult) Length 

func (s *SigmoidResult) Length() int

type SimpleDuration 

type SimpleDuration struct {
	Num      int
	Unit     string
	Duration Duration
}

func ParseSimpleDuration 

func ParseSimpleDuration(s string) (*SimpleDuration, error)

func (*SimpleDuration) Interval 

func (d *SimpleDuration) Interval() Interval

func (*SimpleDuration) String 

func (d *SimpleDuration) String() string

func (*SimpleDuration) UnmarshalJSON 

func (d *SimpleDuration) UnmarshalJSON(data []byte) error

type SliceOrderBook 

type SliceOrderBook struct {
	Symbol string
	Bids   PriceVolumeSlice
	Asks   PriceVolumeSlice
	// contains filtered or unexported fields
}

SliceOrderBook is a general order book structure which could be used for RESTful responses and websocket stream parsing

func NewSliceOrderBook 

func NewSliceOrderBook(symbol string) *SliceOrderBook

func (*SliceOrderBook) BestAsk 

func (b *SliceOrderBook) BestAsk() (PriceVolume, bool)

func (*SliceOrderBook) BestBid 

func (b *SliceOrderBook) BestBid() (PriceVolume, bool)

func (*SliceOrderBook) Copy 

func (b *SliceOrderBook) Copy() OrderBook

func (*SliceOrderBook) CopyDepth 

func (b *SliceOrderBook) CopyDepth(limit int) OrderBook

func (*SliceOrderBook) EmitLoad 

func (b *SliceOrderBook) EmitLoad(book *SliceOrderBook)

func (*SliceOrderBook) EmitUpdate 

func (b *SliceOrderBook) EmitUpdate(book *SliceOrderBook)

func (*SliceOrderBook) IsValid 

func (b *SliceOrderBook) IsValid() (bool, error)

func (*SliceOrderBook) LastUpdateTime 

func (b *SliceOrderBook) LastUpdateTime() time.Time

func (*SliceOrderBook) Load 

func (b *SliceOrderBook) Load(book SliceOrderBook)

func (*SliceOrderBook) OnLoad 

func (b *SliceOrderBook) OnLoad(cb func(book *SliceOrderBook))

func (*SliceOrderBook) OnUpdate 

func (b *SliceOrderBook) OnUpdate(cb func(book *SliceOrderBook))

func (*SliceOrderBook) PriceVolumesBySide 

func (b *SliceOrderBook) PriceVolumesBySide(side SideType) PriceVolumeSlice

func (*SliceOrderBook) Print 

func (b *SliceOrderBook) Print()

func (*SliceOrderBook) Reset 

func (b *SliceOrderBook) Reset()

func (*SliceOrderBook) SideBook 

func (b *SliceOrderBook) SideBook(sideType SideType) PriceVolumeSlice

func (*SliceOrderBook) Spread 

func (b *SliceOrderBook) Spread() (fixedpoint.Value, bool)

func (*SliceOrderBook) String 

func (b *SliceOrderBook) String() string

func (*SliceOrderBook) Update 

func (b *SliceOrderBook) Update(book SliceOrderBook)

type SliceView 

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

func (*SliceView) Index 

func (s *SliceView) Index(i int) float64

func (*SliceView) Last 

func (s *SliceView) Last(i int) float64

func (*SliceView) Length 

func (s *SliceView) Length() int

type Speed 

type Speed string
const (
	SpeedHigh   Speed = "HIGH"
	SpeedMedium Speed = "MEDIUM"
	SpeedLow    Speed = "LOW"
)

type StandardStream 

type StandardStream struct {

	// Conn is the websocket connection
	Conn *websocket.Conn

	// ConnCtx is the context of the current websocket connection
	ConnCtx context.Context

	// ConnCancel is the cancel funcion of the current websocket connection
	ConnCancel context.CancelFunc

	// ConnLock is used for locking Conn, ConnCtx and ConnCancel fields.
	// When changing these field values, be sure to call ConnLock
	ConnLock sync.Mutex

	PublicOnly bool

	// ReconnectC is a signal channel for reconnecting
	ReconnectC chan struct{}

	// CloseC is a signal channel for closing stream
	CloseC chan struct{}

	Subscriptions []Subscription

	// Futures
	FuturesPositionUpdateCallbacks []func(futuresPositions FuturesPositionMap)

	FuturesPositionSnapshotCallbacks []func(futuresPositions FuturesPositionMap)
	// contains filtered or unexported fields
}

func NewStandardStream 

func NewStandardStream() StandardStream

func (*StandardStream) Close 

func (s *StandardStream) Close() error

func (*StandardStream) Connect 

func (s *StandardStream) Connect(ctx context.Context) error

Connect starts the stream and create the websocket connection

func (*StandardStream) Dial 

func (s *StandardStream) Dial(ctx context.Context, args ...string) (*websocket.Conn, error)

func (*StandardStream) DialAndConnect 

func (s *StandardStream) DialAndConnect(ctx context.Context) error

func (*StandardStream) EmitAggTrade 

func (s *StandardStream) EmitAggTrade(trade Trade)

func (*StandardStream) EmitBalanceSnapshot 

func (s *StandardStream) EmitBalanceSnapshot(balances BalanceMap)

func (*StandardStream) EmitBalanceUpdate 

func (s *StandardStream) EmitBalanceUpdate(balances BalanceMap)

func (*StandardStream) EmitBookSnapshot 

func (s *StandardStream) EmitBookSnapshot(book SliceOrderBook)

func (*StandardStream) EmitBookTickerUpdate 

func (s *StandardStream) EmitBookTickerUpdate(bookTicker BookTicker)

func (*StandardStream) EmitBookUpdate 

func (s *StandardStream) EmitBookUpdate(book SliceOrderBook)

func (*StandardStream) EmitConnect 

func (s *StandardStream) EmitConnect()

func (*StandardStream) EmitDisconnect 

func (s *StandardStream) EmitDisconnect()

func (*StandardStream) EmitFuturesPositionSnapshot 

func (s *StandardStream) EmitFuturesPositionSnapshot(futuresPositions FuturesPositionMap)

func (*StandardStream) EmitFuturesPositionUpdate 

func (s *StandardStream) EmitFuturesPositionUpdate(futuresPositions FuturesPositionMap)

func (*StandardStream) EmitKLine 

func (s *StandardStream) EmitKLine(kline KLine)

func (*StandardStream) EmitKLineClosed 

func (s *StandardStream) EmitKLineClosed(kline KLine)

func (*StandardStream) EmitMarketTrade 

func (s *StandardStream) EmitMarketTrade(trade Trade)

func (*StandardStream) EmitOrderUpdate 

func (s *StandardStream) EmitOrderUpdate(order Order)

func (*StandardStream) EmitStart 

func (s *StandardStream) EmitStart()

func (*StandardStream) EmitTradeUpdate 

func (s *StandardStream) EmitTradeUpdate(trade Trade)

func (*StandardStream) GetPublicOnly 

func (s *StandardStream) GetPublicOnly() bool

func (*StandardStream) GetSubscriptions 

func (s *StandardStream) GetSubscriptions() []Subscription

func (*StandardStream) OnAggTrade 

func (s *StandardStream) OnAggTrade(cb func(trade Trade))

func (*StandardStream) OnBalanceSnapshot 

func (s *StandardStream) OnBalanceSnapshot(cb func(balances BalanceMap))

func (*StandardStream) OnBalanceUpdate 

func (s *StandardStream) OnBalanceUpdate(cb func(balances BalanceMap))

func (*StandardStream) OnBookSnapshot 

func (s *StandardStream) OnBookSnapshot(cb func(book SliceOrderBook))

func (*StandardStream) OnBookTickerUpdate 

func (s *StandardStream) OnBookTickerUpdate(cb func(bookTicker BookTicker))

func (*StandardStream) OnBookUpdate 

func (s *StandardStream) OnBookUpdate(cb func(book SliceOrderBook))

func (*StandardStream) OnConnect 

func (s *StandardStream) OnConnect(cb func())

func (*StandardStream) OnDisconnect 

func (s *StandardStream) OnDisconnect(cb func())

func (*StandardStream) OnFuturesPositionSnapshot 

func (s *StandardStream) OnFuturesPositionSnapshot(cb func(futuresPositions FuturesPositionMap))

func (*StandardStream) OnFuturesPositionUpdate 

func (s *StandardStream) OnFuturesPositionUpdate(cb func(futuresPositions FuturesPositionMap))

func (*StandardStream) OnKLine 

func (s *StandardStream) OnKLine(cb func(kline KLine))

func (*StandardStream) OnKLineClosed 

func (s *StandardStream) OnKLineClosed(cb func(kline KLine))

func (*StandardStream) OnMarketTrade 

func (s *StandardStream) OnMarketTrade(cb func(trade Trade))

func (*StandardStream) OnOrderUpdate 

func (s *StandardStream) OnOrderUpdate(cb func(order Order))

func (*StandardStream) OnStart 

func (s *StandardStream) OnStart(cb func())

func (*StandardStream) OnTradeUpdate 

func (s *StandardStream) OnTradeUpdate(cb func(trade Trade))

func (*StandardStream) Read 

func (s *StandardStream) Read(ctx context.Context, conn *websocket.Conn, cancel context.CancelFunc)

func (*StandardStream) Reconnect 

func (s *StandardStream) Reconnect()

func (*StandardStream) SetConn 

func (s *StandardStream) SetConn(ctx context.Context, conn *websocket.Conn) (context.Context, context.CancelFunc)

func (*StandardStream) SetDispatcher 

func (s *StandardStream) SetDispatcher(dispatcher Dispatcher)

func (*StandardStream) SetEndpointCreator 

func (s *StandardStream) SetEndpointCreator(creator EndpointCreator)

func (*StandardStream) SetParser 

func (s *StandardStream) SetParser(parser Parser)

func (*StandardStream) SetPublicOnly 

func (s *StandardStream) SetPublicOnly()

func (*StandardStream) Subscribe 

func (s *StandardStream) Subscribe(channel Channel, symbol string, options SubscribeOptions)

type StandardStreamEmitter 

type StandardStreamEmitter interface {
	Stream
	EmitStart()
	EmitConnect()
	EmitDisconnect()
	EmitTradeUpdate(Trade)
	EmitOrderUpdate(Order)
	EmitBalanceSnapshot(BalanceMap)
	EmitBalanceUpdate(BalanceMap)
	EmitKLineClosed(KLine)
	EmitKLine(KLine)
	EmitBookUpdate(SliceOrderBook)
	EmitBookTickerUpdate(BookTicker)
	EmitBookSnapshot(SliceOrderBook)
	EmitMarketTrade(Trade)
	EmitAggTrade(Trade)
	EmitFuturesPositionUpdate(FuturesPositionMap)
	EmitFuturesPositionSnapshot(FuturesPositionMap)
}

type StandardStreamEventHub 

type StandardStreamEventHub interface {
	OnStart(cb func())

	OnConnect(cb func())

	OnDisconnect(cb func())

	OnTradeUpdate(cb func(trade Trade))

	OnOrderUpdate(cb func(order Order))

	OnBalanceSnapshot(cb func(balances BalanceMap))

	OnBalanceUpdate(cb func(balances BalanceMap))

	OnKLineClosed(cb func(kline KLine))

	OnKLine(cb func(kline KLine))

	OnBookUpdate(cb func(book SliceOrderBook))

	OnBookTickerUpdate(cb func(bookTicker BookTicker))

	OnBookSnapshot(cb func(book SliceOrderBook))

	OnMarketTrade(cb func(trade Trade))

	OnAggTrade(cb func(trade Trade))

	OnFuturesPositionUpdate(cb func(futuresPositions FuturesPositionMap))

	OnFuturesPositionSnapshot(cb func(futuresPositions FuturesPositionMap))
}

type StrInt64 

type StrInt64 int64

func (*StrInt64) MarshalJSON 

func (s *StrInt64) MarshalJSON() ([]byte, error)

func (*StrInt64) UnmarshalJSON 

func (s *StrInt64) UnmarshalJSON(body []byte) error

type StrategyStatus 

type StrategyStatus string

StrategyStatus define strategy status 

const (
	StrategyStatusRunning StrategyStatus = "RUNNING"
	StrategyStatusStopped StrategyStatus = "STOPPED"
	StrategyStatusUnknown StrategyStatus = "UNKNOWN"
)

type Stream 

type Stream interface {
	StandardStreamEventHub

	Subscribe(channel Channel, symbol string, options SubscribeOptions)
	GetSubscriptions() []Subscription
	SetPublicOnly()
	GetPublicOnly() bool
	Connect(ctx context.Context) error
	Close() error
}

type StreamOrderBook 

type StreamOrderBook struct {
	*MutexOrderBook

	C sigchan.Chan
	// contains filtered or unexported fields
}

StreamOrderBook receives streaming data from websocket connection and update the order book with mutex lock, so you can safely access it.

func NewStreamBook 

func NewStreamBook(symbol string) *StreamOrderBook

func (*StreamOrderBook) BindStream 

func (sb *StreamOrderBook) BindStream(stream Stream)

func (*StreamOrderBook) EmitSnapshot 

func (sb *StreamOrderBook) EmitSnapshot(snapshot SliceOrderBook)

func (*StreamOrderBook) EmitUpdate 

func (sb *StreamOrderBook) EmitUpdate(update SliceOrderBook)

func (*StreamOrderBook) OnSnapshot 

func (sb *StreamOrderBook) OnSnapshot(cb func(snapshot SliceOrderBook))

func (*StreamOrderBook) OnUpdate 

func (sb *StreamOrderBook) OnUpdate(cb func(update SliceOrderBook))

type Stringer 

type Stringer interface {
	String() string
}

type SubmitOrder 

type SubmitOrder struct {
	ClientOrderID string `json:"clientOrderID,omitempty" db:"client_order_id"`

	Symbol string    `json:"symbol" db:"symbol"`
	Side   SideType  `json:"side" db:"side"`
	Type   OrderType `json:"orderType" db:"order_type"`

	Quantity fixedpoint.Value `json:"quantity" db:"quantity"`
	Price    fixedpoint.Value `json:"price" db:"price"`

	// AveragePrice is only used in back-test currently
	AveragePrice fixedpoint.Value `json:"averagePrice,omitempty"`

	StopPrice fixedpoint.Value `json:"stopPrice,omitempty" db:"stop_price"`

	Market Market `json:"-" db:"-"`

	TimeInForce TimeInForce `json:"timeInForce,omitempty" db:"time_in_force"` // GTC, IOC, FOK

	GroupID uint32 `json:"groupID,omitempty"`

	MarginSideEffect MarginOrderSideEffectType `json:"marginSideEffect,omitempty"` // AUTO_REPAY = repay, MARGIN_BUY = borrow, defaults to  NO_SIDE_EFFECT

	ReduceOnly    bool `json:"reduceOnly,omitempty" db:"reduce_only"`
	ClosePosition bool `json:"closePosition,omitempty" db:"close_position"`

	Tag    string                 `json:"tag,omitempty" db:"-"`
	Params map[string]interface{} `json:"params"`
}

func (*SubmitOrder) In 

func (o *SubmitOrder) In() (fixedpoint.Value, string)

func (*SubmitOrder) Out 

func (o *SubmitOrder) Out() (fixedpoint.Value, string)

func (*SubmitOrder) PlainText 

func (o *SubmitOrder) PlainText() string

func (*SubmitOrder) SlackAttachment 

func (o *SubmitOrder) SlackAttachment() slack.Attachment

func (*SubmitOrder) String 

func (o *SubmitOrder) String() string

type SubscribeOptions 

type SubscribeOptions struct {
	// TODO: change to Interval type later
	Interval Interval `json:"interval,omitempty"`
	Depth    Depth    `json:"depth,omitempty"`
	Speed    Speed    `json:"speed,omitempty"`
}

SubscribeOptions provides the standard stream options

func (SubscribeOptions) String 

func (o SubscribeOptions) String() string

type Subscription 

type Subscription struct {
	Symbol  string           `json:"symbol"`
	Channel Channel          `json:"channel"`
	Options SubscribeOptions `json:"options"`
}

type SyncOrderMap 

type SyncOrderMap struct {
	sync.RWMutex
	// contains filtered or unexported fields
}

func NewSyncOrderMap 

func NewSyncOrderMap() *SyncOrderMap

func (*SyncOrderMap) Add 

func (m *SyncOrderMap) Add(o Order)

func (*SyncOrderMap) AnyFilled 

func (m *SyncOrderMap) AnyFilled() (order Order, ok bool)

AnyFilled find any order is filled and stop iterating the order map

func (*SyncOrderMap) Backup 

func (m *SyncOrderMap) Backup() (orders []SubmitOrder)

func (*SyncOrderMap) Canceled 

func (m *SyncOrderMap) Canceled() OrderSlice

func (*SyncOrderMap) Exists 

func (m *SyncOrderMap) Exists(orderID uint64) (exists bool)

func (*SyncOrderMap) Filled 

func (m *SyncOrderMap) Filled() OrderSlice

func (*SyncOrderMap) FindByStatus 

func (m *SyncOrderMap) FindByStatus(status OrderStatus) OrderSlice

func (*SyncOrderMap) Get 

func (m *SyncOrderMap) Get(orderID uint64) (Order, bool)

func (*SyncOrderMap) IDs 

func (m *SyncOrderMap) IDs() (ids []uint64)

func (*SyncOrderMap) Iterate 

func (m *SyncOrderMap) Iterate(it func(id uint64, order Order) bool)

func (*SyncOrderMap) Len 

func (m *SyncOrderMap) Len() int

func (*SyncOrderMap) Lookup 

func (m *SyncOrderMap) Lookup(f func(o Order) bool) *Order

func (*SyncOrderMap) Orders 

func (m *SyncOrderMap) Orders() (slice OrderSlice)

func (*SyncOrderMap) Remove 

func (m *SyncOrderMap) Remove(orderID uint64) (exists bool)

func (*SyncOrderMap) Update 

func (m *SyncOrderMap) Update(o Order)

type Ticker 

type Ticker struct {
	Time   time.Time
	Volume fixedpoint.Value // `volume` from Max & binance
	Last   fixedpoint.Value // `last` from Max, `lastPrice` from binance
	Open   fixedpoint.Value // `open` from Max, `openPrice` from binance
	High   fixedpoint.Value // `high` from Max, `highPrice` from binance
	Low    fixedpoint.Value // `low` from Max, `lowPrice` from binance
	Buy    fixedpoint.Value // `buy` from Max, `bidPrice` from binance
	Sell   fixedpoint.Value // `sell` from Max, `askPrice` from binance
}

type Time 

type Time time.Time

Time type implements the driver value for sqlite

func NewTimeFromUnix 

func NewTimeFromUnix(sec int64, nsec int64) Time

func (Time) After 

func (t Time) After(time2 time.Time) bool

func (Time) Before 

func (t Time) Before(time2 time.Time) bool

func (Time) Equal 

func (t Time) Equal(time2 time.Time) bool

func (Time) MarshalJSON 

func (t Time) MarshalJSON() ([]byte, error)

func (*Time) Scan 

func (t *Time) Scan(src interface{}) error

func (Time) String 

func (t Time) String() string

func (Time) Time 

func (t Time) Time() time.Time

func (Time) Unix 

func (t Time) Unix() int64

func (Time) UnixMilli 

func (t Time) UnixMilli() int64

func (*Time) UnmarshalJSON 

func (t *Time) UnmarshalJSON(data []byte) error

func (Time) Value 

func (t Time) Value() (driver.Value, error)

Value implements the driver.Valuer interface see http://jmoiron.net/blog/built-in-interfaces/

type TimeInForce 

type TimeInForce string
var (
	TimeInForceGTC TimeInForce = "GTC"
	TimeInForceIOC TimeInForce = "IOC"
	TimeInForceFOK TimeInForce = "FOK"
)

type Timestamp 

type Timestamp time.Time

Timestamp is used for parsing unix timestamp (seconds)

func (Timestamp) Format 

func (t Timestamp) Format(layout string) string

func (Timestamp) MarshalJSON 

func (t Timestamp) MarshalJSON() ([]byte, error)

func (Timestamp) String 

func (t Timestamp) String() string

func (Timestamp) Time 

func (t Timestamp) Time() time.Time

func (*Timestamp) UnmarshalJSON 

func (t *Timestamp) UnmarshalJSON(o []byte) error

type Trade 

type Trade struct {
	// GID is the global ID
	GID int64 `json:"gid" db:"gid"`

	// ID is the source trade ID
	ID            uint64           `json:"id" db:"id"`
	OrderID       uint64           `json:"orderID" db:"order_id"`
	Exchange      ExchangeName     `json:"exchange" db:"exchange"`
	Price         fixedpoint.Value `json:"price" db:"price"`
	Quantity      fixedpoint.Value `json:"quantity" db:"quantity"`
	QuoteQuantity fixedpoint.Value `json:"quoteQuantity" db:"quote_quantity"`
	Symbol        string           `json:"symbol" db:"symbol"`

	Side        SideType         `json:"side" db:"side"`
	IsBuyer     bool             `json:"isBuyer" db:"is_buyer"`
	IsMaker     bool             `json:"isMaker" db:"is_maker"`
	Time        Time             `json:"tradedAt" db:"traded_at"`
	Fee         fixedpoint.Value `json:"fee" db:"fee"`
	FeeCurrency string           `json:"feeCurrency" db:"fee_currency"`

	IsMargin   bool `json:"isMargin" db:"is_margin"`
	IsFutures  bool `json:"isFutures" db:"is_futures"`
	IsIsolated bool `json:"isIsolated" db:"is_isolated"`

	// StrategyID is the strategy that execute this trade
	StrategyID sql.NullString `json:"strategyID" db:"strategy"`

	// PnL is the profit and loss value of the executed trade
	PnL sql.NullFloat64 `json:"pnl" db:"pnl"`
}

func SortTradesAscending 

func SortTradesAscending(trades []Trade) []Trade

func (Trade) CsvHeader 

func (trade Trade) CsvHeader() []string

func (Trade) CsvRecords 

func (trade Trade) CsvRecords() [][]string

func (Trade) Key 

func (trade Trade) Key() TradeKey

func (Trade) Liquidity 

func (trade Trade) Liquidity() (o string)

func (Trade) PlainText 

func (trade Trade) PlainText() string

PlainText is used for telegram-styled messages

func (Trade) PositionChange 

func (trade Trade) PositionChange() fixedpoint.Value

func (Trade) SlackAttachment 

func (trade Trade) SlackAttachment() slack.Attachment

func (Trade) String 

func (trade Trade) String() string

String is for console output

type TradeKey 

type TradeKey struct {
	Exchange ExchangeName
	ID       uint64
	Side     SideType
}

func (TradeKey) String 

func (k TradeKey) String() string

type TradeQueryOptions 

type TradeQueryOptions struct {
	StartTime   *time.Time
	EndTime     *time.Time
	Limit       int64
	LastTradeID uint64
}

type TradeSlice 

type TradeSlice struct {
	Trades []Trade
	// contains filtered or unexported fields
}

func (*TradeSlice) Append 

func (s *TradeSlice) Append(t Trade)

func (*TradeSlice) Copy 

func (s *TradeSlice) Copy() []Trade

func (*TradeSlice) Reverse 

func (s *TradeSlice) Reverse()

type TradeStats 

type TradeStats struct {
	Symbol string `json:"symbol,omitempty"`

	WinningRatio     fixedpoint.Value `json:"winningRatio" yaml:"winningRatio"`
	NumOfLossTrade   int              `json:"numOfLossTrade" yaml:"numOfLossTrade"`
	NumOfProfitTrade int              `json:"numOfProfitTrade" yaml:"numOfProfitTrade"`

	GrossProfit fixedpoint.Value `json:"grossProfit" yaml:"grossProfit"`
	GrossLoss   fixedpoint.Value `json:"grossLoss" yaml:"grossLoss"`

	Profits []fixedpoint.Value `json:"profits,omitempty" yaml:"profits,omitempty"`
	Losses  []fixedpoint.Value `json:"losses,omitempty" yaml:"losses,omitempty"`

	LargestProfitTrade fixedpoint.Value `json:"largestProfitTrade,omitempty" yaml:"largestProfitTrade"`
	LargestLossTrade   fixedpoint.Value `json:"largestLossTrade,omitempty" yaml:"largestLossTrade"`
	AverageProfitTrade fixedpoint.Value `json:"averageProfitTrade" yaml:"averageProfitTrade"`
	AverageLossTrade   fixedpoint.Value `json:"averageLossTrade" yaml:"averageLossTrade"`

	ProfitFactor    fixedpoint.Value                      `json:"profitFactor" yaml:"profitFactor"`
	TotalNetProfit  fixedpoint.Value                      `json:"totalNetProfit" yaml:"totalNetProfit"`
	IntervalProfits map[Interval]*IntervalProfitCollector `json:"intervalProfits,omitempty" yaml:"intervalProfits,omitempty"`

	// MaximumConsecutiveWins - (counter) the longest series of winning trades
	MaximumConsecutiveWins int `json:"maximumConsecutiveWins" yaml:"maximumConsecutiveWins"`

	// MaximumConsecutiveLosses - (counter) the longest series of losing trades
	MaximumConsecutiveLosses int `json:"maximumConsecutiveLosses" yaml:"maximumConsecutiveLosses"`

	// MaximumConsecutiveProfit - ($) the longest series of winning trades and their total profit;
	MaximumConsecutiveProfit fixedpoint.Value `json:"maximumConsecutiveProfit" yaml:"maximumConsecutiveProfit"`

	// MaximumConsecutiveLoss - ($) the longest series of losing trades and their total loss;
	MaximumConsecutiveLoss fixedpoint.Value `json:"maximumConsecutiveLoss" yaml:"maximumConsecutiveLoss"`
	// contains filtered or unexported fields
}

TODO: Add more stats from the reference: See https://www.metatrader5.com/en/terminal/help/algotrading/testing_report

func NewTradeStats 

func NewTradeStats(symbol string) *TradeStats

func (*TradeStats) Add 

func (s *TradeStats) Add(profit *Profit)

func (*TradeStats) BriefString 

func (s *TradeStats) BriefString() string

Output TradeStats without Profits and Losses

func (*TradeStats) CsvHeader 

func (s *TradeStats) CsvHeader() []string

func (*TradeStats) CsvRecords 

func (s *TradeStats) CsvRecords() [][]string

func (*TradeStats) Recalculate 

func (s *TradeStats) Recalculate()

Recalculate the trade stats fields from the orderProfits this is for live-trading, one order may have many trades, and we need to merge them.

func (*TradeStats) SetIntervalProfitCollector 

func (s *TradeStats) SetIntervalProfitCollector(c *IntervalProfitCollector)

Set IntervalProfitCollector explicitly to enable the sharpe ratio calculation

func (*TradeStats) String 

func (s *TradeStats) String() string

type TransferDirection 

type TransferDirection int
const (
	TransferIn  TransferDirection = 1
	TransferOut TransferDirection = -1
)

type UpdatableSeries 

type UpdatableSeries interface {
	Series
	Update(float64)
}

type UpdatableSeriesExtend 

type UpdatableSeriesExtend interface {
	SeriesExtend
	Update(float64)
}

func Clone 

func Clone(u UpdatableSeriesExtend) UpdatableSeriesExtend

func TestUpdate 

func TestUpdate(u UpdatableSeriesExtend, input float64) UpdatableSeriesExtend

type ValueMap 

type ValueMap map[string]fixedpoint.Value

func (ValueMap) Add 

func (m ValueMap) Add(n ValueMap) ValueMap

func (ValueMap) AddScalar 

func (m ValueMap) AddScalar(x fixedpoint.Value) ValueMap

func (ValueMap) Div 

func (m ValueMap) Div(n ValueMap) ValueMap

func (ValueMap) DivScalar 

func (m ValueMap) DivScalar(x fixedpoint.Value) ValueMap

func (ValueMap) Eq 

func (m ValueMap) Eq(n ValueMap) bool

func (ValueMap) Mul 

func (m ValueMap) Mul(n ValueMap) ValueMap

func (ValueMap) MulScalar 

func (m ValueMap) MulScalar(x fixedpoint.Value) ValueMap

func (ValueMap) Normalize 

func (m ValueMap) Normalize() ValueMap

func (ValueMap) Sub 

func (m ValueMap) Sub(n ValueMap) ValueMap

func (ValueMap) SubScalar 

func (m ValueMap) SubScalar(x fixedpoint.Value) ValueMap

func (ValueMap) Sum 

func (m ValueMap) Sum() fixedpoint.Value

type Withdraw 

type Withdraw struct {
	GID        int64            `json:"gid" db:"gid"`
	Exchange   ExchangeName     `json:"exchange" db:"exchange"`
	Asset      string           `json:"asset" db:"asset"`
	Amount     fixedpoint.Value `json:"amount" db:"amount"`
	Address    string           `json:"address" db:"address"`
	AddressTag string           `json:"addressTag"`
	Status     string           `json:"status"`

	TransactionID          string           `json:"transactionID" db:"txn_id"`
	TransactionFee         fixedpoint.Value `json:"transactionFee" db:"txn_fee"`
	TransactionFeeCurrency string           `json:"transactionFeeCurrency" db:"txn_fee_currency"`
	WithdrawOrderID        string           `json:"withdrawOrderId"`
	ApplyTime              Time             `json:"applyTime" db:"time"`
	Network                string           `json:"network" db:"network"`
}

func (Withdraw) EffectiveTime 

func (w Withdraw) EffectiveTime() time.Time

func (Withdraw) String 

func (w Withdraw) String() (o string)

type WithdrawalOptions 

type WithdrawalOptions struct {
	Network    string
	AddressTag string
}

type ZeroAssetError 

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

func NewZeroAssetError 

func NewZeroAssetError(e error) ZeroAssetError

Source Files

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Directories

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

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