Releases: c9s/bbgo
Releases · c9s/bbgo
BBGO v1.40.2
Fixes
- Fixed pivot high indicator (used low, sorry :p)
Minor Features
- Added G-H filter and Kalman filter.
- Write strategy config into the backtest report directory.
BBGO v1.40.1
Fixes
- Fixed backtest fee mode when fee currency is not base or quote.
- #917: backtest: fix backtest fee mode when fee currency is not base or quote
BBGO v1.40.0
Fixes
- Fixed fixedpoint unmarshal json for inf.
- Fixed backtest output.
- Fixed backtest price matching for taker orders.
- Upgraded dependencies to fix the security issue.
- Fixed time-zone issue for back-test data (use local timezone)
Strategy / Features
- strategy/bollmaker: improved dynamic spread by bollinger band sigmoid.
- strategy/pivotshort: added failed break high short.
- strategy/drift: added weighted drift
- #914: Fix typo
- #913: fix: fixedpoint UnarshalJson on inf
- #911: feature: add fee mode to back-test matching engine
- #912: fix backtest output
- #900: fix: backtest
- #908: strategy/pivotshort: failed break high improvements
- #907: build(deps): bump minimist from 1.2.5 to 1.2.6 in /contracts
- #906: fix: bump moment from 2.29.3 to 2.29.4
- #904: strategy/pivotshort: add failed break high
- #899: fix: fix localtime zone issue for the web-based backtest report
- #898: Refactor/pivotshort
- #897: Feature/extend floats funcs
- #895: refactor: move float slice/map to a single package
- #880: Improve: strategy-supertrend output acc. profit report to tsv file
- #894: Improve: bollmaker preloads dynamic spreads
- #892: feature: add pivot low right window support
- #890: weighted drift
BBGO v1.39.2
Fixes
- fixed backtest non-closed kline filtering.
- fixed margin order sync issue.
Minor
- added sortino ratio.
- added strategy config printing support.
BBGO v1.39.1
BBGO v1.39.0
Fixes
- fixed protective stop loss for long position.
- fixed trailing stop for long position.
- fixed trade collector concurrent write issue.
- fixed cpu profile starter.
- fixed rbtree and add panic check.
- fixed binance futures trade, position and order type conversion.
Features
- added telegram photo upload support.
- added multi-symbol support to active order book and trade collector.
- added max/binance query order service support.
- added binance QueryOrderTrades API
- added ftx order amount fee conversion.
- added default fee rate to FTX exchange.
- added leverage/risk calculator.
- optimizer: calculate equity diff from whole assets instead of first symbol.
- added optimizeex command, a hyperparameter optimization tool
Strategies Updates
- autoborrow: add debtRatio
- drift: added smart cancel, fixed position bugs, added multiple level trailing stop, removed takeProftFactor, use fisher transform, added 1m drift for takeprofit/stoploss, rebalance position according to the trendline.
- supertrend: output profit stats and calculate quantity by risk/leverage.
- pivotshort: added trendema and fixed initial ema value.
- pivotshort: added SideEffectTypeAutoRepay to pivotshort take-profit order
- factorzoo: integrated logistic regression, indicator refactoring and updates.
- #882: strategy/autoborrow: add debt re-balancing
- #877: strategy/supertrend: update example config
- #878: Drift rebase
- #875: pivotshort: trendema add initial date
- #876: Fix: risk.AvailableQuote() should use Net() to get net value
- #874: Fix binance futures
- #872: fix: trailing stop properly works on both long and short positions
- #873: improve: generalorderexecutor retries submit/cancel order once
- #871: improve: improve maxapi, add v2 order api back
- #869: Revert "feature: add smart cancel to drift"
- #853: feature: add smart cancel to drift
- #860: exchange: order fee-amount protection
- #865: fix: protectivestoploss not working on long position
- #868: fix: many minor fixes
- #867: strategy: factorzoo: upgrade indicators and add comments
- #862: Improve: supertrend strategy
- #863: types: rbtree: resolve neel reusing problem
- #852: feature: PositionModifier
- #861: strategy/supertrend: re-organize exits part of config
- #855: optimizeex: hyperparameter optimization tool
- #856: exchange: FTX default fee
- #857: optimizer: calculate equity diff from whole assets instead of first symbol
- #854: fix: added SideEffectTypeAutoRepay to pivotshort take-profit order
BBGO v1.38.0
Improvements
- #849: optimizer: print equity diff in final report
- #850: optimizer: calculate total number of grids before testing
- #838: optimizer: improve: use marshal instead of marshal indent
- #845: refactor: refactor standard indicator and add simple indicator interface
- #825: refactor: new indicator api
Strategies
- #848: strategy/pivotshort: refactor trendEMA and add maxGradient config
- #847: strategy/pivotshort: fine-tune and add more trade stats metrics
- #846: strategy/pivotshort: refactor breaklow + add fake break stop
- #834: strategy/pivotshort: add trade loss to the account value calculation
- #833: strategy/pivotshort: fix margin quantity calculation
- #840: strategy/supertrend: fix exit methods problem
- #842: feature: bollmaker exit methods
Fixes
- #832: update: fix and update schedule strategy
- #849: optimizer: print equity diff in final report
- #850: optimizer: calculate total number of grids before testing
- #851: stabilize drift
- #848: strategy/pivotshort: refactor trendEMA and add maxGradient config
- #847: strategy/pivotshort: fine-tune and add more trade stats metrics
- #846: strategy/pivotshort: refactor breaklow + add fake break stop
- #813: feature: drift study
- #844: strategy/pivotshort: refactor and update indicator api usage
- #845: refactor: refactor standard indicator and add simple indicator interface
- #843: fix splitted from feature/drift_study
- #822: refactor: ewoDgtrd: upgrade order executor api
- #842: feature: bollmaker exit methods
- #840: strategy/supertrend: fix exit methods problem
- #838: improve: use marshal instead of marshal indent
- #837: risk: add account value calculator test case
- #836: refactor: risk functions for leveraged quantity
- #834: fix: strategy/pivotshort: add trade loss to the account value calculation
- #833: fix: strategy/pivotshort: fix margin quantity calculation
- #825: refactor: new indicator api
- #831: feature: api: add strategy defaulter interface
- #832: update: fix and update schedule strategy
BBGO v1.37.0
Fixes
- Fixed backtest file lock race issue when running multiple back-test processes by the optimizer.
- Fixed optimizer limitation.
- Fixed backtest final asset calculation.
- Fixed exit method stop market data subscription.
Improvements and Refactoring
- Refactored and cleaned up indicators.
- Added risk related functions for futures and margin.
- Prepare database before executing backtest.
Strategies
- autoborrow: fixed repay amount calculation.
- pivotshort: updated pivot low on stream start.
- pivotshort: added leverage settings.
- pivotshort: improved quantity calculation.
- pivotshort: fixed resistance order placement.
- supertrend: fixed double dema initialization.
- supertrend: fixed types.TradeStats usage.
- #830: backtest: resolve data race on index.json
- #829: optimizer: eliminate limitation of number of grid point
- #827: strategy/pivotshort: improve quantity calculation for margin and futures
- #824: refactor: indicator: rewrite VWMA calculator
- #823: refactor: refactor bollinger band indicator with the new series extend component
- #821: refactor: refactor indicator api (canonicalize CalculateAndUpdate, PushK methods)
- #820: feature: add risk functions
- #818: backtest: correct final asset calculation
- #817: optimizer: prepare database before executing backtests
BBGO v1.36.0
Fixes
- Fixed backtest stop limit order / stop market order emulation.
- Fixed optimizer panic issue (when report is nil)
- Fixed pnl command market settings.
- Fixed MAX API endpoints.
Improvements
- Improved supertrend strategy.
- Improved pivotshort strategy.
- Refactor reward service sync.
Features
- Added tearsheet backend api
- Added seriesExtend for indicators.
- Added progressbar to optimizer.
New API
- Added ExitMethodSet (trailing stop, roi stop loss, roi take profit, ... etc)
- Added new graceful shutdown API, persistence API, notification API, order executor API.
- #799: Improve supertrend strategy
- #801: feature: optimizer: support --tsv option and render tsv output
- #800: fix: fix exit method for trailing stop
- #798: fix: fix trailingstop and add long position test case
- #797: feature: re-implement trailing stop and add mock test
- #796: strategy/pivotshort: add supportTakeProfit method
- #793: Fix pnl command
- #795: optimizer/fix: prevent from crashing if missing SummaryReport
- #794: strategy/pivotshort: fix resistance updater
- #792: strategy/pivotshort: fix findNextResistancePriceAndPlaceOrders
- #791: strategy: pivotshort: refactor breaklow logics
- #790: fix: strategy: pivoshort: cancel order when shutdown
- #789: strategy: pivotshort: add more improvements for margin
- #787: strategy: pivotshort: use active orderbook to maintain the resistance orders
- #786: strategy: pivotshort: resistance short
- #731: add tearsheet backend api (Sharpe)
- #784: strategy: pivotshort: fix stopEMA
- #785: optimizer: add progressbar
- #778: feature: add seriesExtend
- #783: fix: pivotshort: fix kline history loading
- #782: refactor: moving exit methods from pivotshort to the core
- #781: strategy: pivotshort: optimize and update config
- #775: test: backtest: add order cancel test case
- #773: fix: fix backtest taker order execution
- #772: fix: backtest: fix stop order backtest, add more test cases and assertions
- #770: fix: fix backtest stop limit order matching and add test cases
- #769: backtest-report: sort intervals
- #768: feature: backtest: add ohlc legend
- #766: backtest-report: add time range slider
- #765: improve: backtest-report layout improvements, EMA indicators and fixed the clean up issue
- #764: strategy/pivotshort: refactor exit methods and add protection stop exit method
- #761: datasource: refactor glassnodeapi
- #760: doc: fix link
- #758: improve: add pnl cmd options and fix trade query
- #757: totp-user: add default user 'bbgo'
- #756: refactor: clean up rsmaker, xbalance, dca, pivotshort strategies
- #755: improve: bbgo: call global persistence facade to sync data
- #754: optimizer: refactor max num of process in optimizer configs
- #750: refactor: persistence singleton and improve backtest cancel performance
- #753: optimizer: add max num of thread in config
- #752: Upgrade nextjs from 11 to 12
- #751: fix: reformat go code
- #746: pivotshort: add strategy controller
- #747: strategy/supertrend: use new order executor api
- #748: bollmaker: remove redundant code for adapting new order executor api
- #749: improve: add parallel local process executor for optimizer
- #639: strategy: rsmaker: initial idea prototype
- #745: fix: depth: do not test depth buffer when race is on
- #744: refactor: refactor and update the support strategy
- #743: strategy/bollmaker: refactor and clean up
- #742: refactor: clean up bbgo.Notifiability
- #739: refactor: redesign order executor api
- #738: feature: binance: add binance spot rebate history support
- #736: fix: gosimple alert
- #737: refactor: refactor reward service sync
- #732: Refactor grid panel
- #734: fix: apply gofmt on all files, add revive action
BBGO v1.35.0
Fixes
- Avoid doing truncate table in the mysql migration script.
- Fixed supertrend strategy.
- Fixed rma with adjust setting.
Features
- Added heikinashi kline support
- Added DMI indicator
- Added marketcap strategy