Merge remote-tracking branch 'origin/master'

README.md

@@ -5,6 +5,33 @@
 ### GoTrader
 A real-time quantitative trading/backtesting platform in Golang.
 
+### Standard CSV data types formats
+* columns delimiter: , (comma)
+* new line marker: \n (LF)
+* date time format: Unix time (ms)
+
+### Data format
+| column name      | description                      |
+| ---------------- |--------------------------------- |
+| t                | Unix time (ms)                   |
+| asks[0-X].price  | asks prices in ascending order   |
+| asks[0-X].amount | asks amounts in ascending order  |
+| bids[0-X].price  | bids prices in descending order  |
+| bids[0-X].amount | bids amounts in descending order |
+
+### Sample data rows preview
+```csv
+t,asks[0].price,asks[0].amount,asks[1].price,asks[1].amount,asks[2].price,asks[2].amount,asks[3].price,asks[3].amount,asks[4].price,asks[4].amount,asks[5].price,asks[5].amount,asks[6].price,asks[6].amount,asks[7].price,asks[7].amount,asks[8].price,asks[8].amount,asks[9].price,asks[9].amount,bids[0].price,bids[0].amount,bids[1].price,bids[1].amount,bids[2].price,bids[2].amount,bids[3].price,bids[3].amount,bids[4].price,bids[4].amount,bids[5].price,bids[5].amount,bids[6].price,bids[6].amount,bids[7].price,bids[7].amount,bids[8].price,bids[8].amount,bids[9].price,bids[9].amount
+1569888000143,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,1650,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,90,8300,71320,8299.5,310
+1569888000285,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,1650,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000307,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,11010,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000309,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000406,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,8960,8307.5,11010,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000500,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000522,8304.5,10270,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000527,8304.5,10270,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185010,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+```
+
 ### Backtesting
 See [@backtest](https://github.com/coinrust/gotrader/blob/master/examples/backtest/main.go)
 

README_zh.md

@@ -5,6 +5,33 @@
 ### GoTrader
 GoTrader 是一个用Golang语言开发的量化平台。支持tick级别数字币期货平台的回测和实盘。
 
+### 标准 CSV 数据格式
+* 列定界符: , (逗号)
+* 换行标记: \n (LF)
+* 日期时间格式: Unix 时间戳 (ms)
+
+### 时间格式
+| 列名              | 描述                             |
+| ---------------- |--------------------------------- |
+| t                | Unix 时间戳 (ms)                  |
+| asks[0-X].price  | 卖单价(升序)                      |
+| asks[0-X].amount | 卖单量                            |
+| bids[0-X].price  | 买单价(降序)                      |
+| bids[0-X].amount | 买单量                            |
+
+### 样本数据示例
+```csv
+t,asks[0].price,asks[0].amount,asks[1].price,asks[1].amount,asks[2].price,asks[2].amount,asks[3].price,asks[3].amount,asks[4].price,asks[4].amount,asks[5].price,asks[5].amount,asks[6].price,asks[6].amount,asks[7].price,asks[7].amount,asks[8].price,asks[8].amount,asks[9].price,asks[9].amount,bids[0].price,bids[0].amount,bids[1].price,bids[1].amount,bids[2].price,bids[2].amount,bids[3].price,bids[3].amount,bids[4].price,bids[4].amount,bids[5].price,bids[5].amount,bids[6].price,bids[6].amount,bids[7].price,bids[7].amount,bids[8].price,bids[8].amount,bids[9].price,bids[9].amount
+1569888000143,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,1650,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,90,8300,71320,8299.5,310
+1569888000285,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,1650,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000307,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,11010,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000309,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000406,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,8960,8307.5,11010,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000500,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000522,8304.5,10270,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+1569888000527,8304.5,10270,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185010,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
+```
+
 ### 回测
 示例 [@backtest](https://github.com/coinrust/gotrader/blob/master/examples/backtest/main.go)
 

broker.go

@@ -15,7 +15,7 @@ type Broker interface {
 	GetOrderBook(symbol string, depth int) (result OrderBook, err error)
 
 	// 下单
-	PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64, size float64,
+	PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64, stopPx float64, size float64,
 		postOnly bool, reduceOnly bool) (result Order, err error)
 
 	// 获取活跃委托单列表

brokers/bitmex-broker/broker.go

@@ -51,7 +51,7 @@ func (b *BitMEXBroker) GetOrderBook(symbol string, depth int) (result OrderBook,
 }
 
 func (b *BitMEXBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	stopPx float64, size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	var side string
 	var _orderType string
 	if direction == Buy {
@@ -63,6 +63,10 @@ func (b *BitMEXBroker) PlaceOrder(symbol string, direction Direction, orderType
 		_orderType = bitmex.ORD_TYPE_LIMIT
 	} else if orderType == OrderTypeMarket {
 		_orderType = bitmex.ORD_TYPE_MARKET
+	} else if orderType == OrderTypeStopLimit {
+		_orderType = bitmex.ORD_TYPE_STOP_LIMIT
+	} else if orderType == OrderTypeStopMarket {
+		_orderType = bitmex.ORD_TYPE_STOP
 	}
 	var execInst string
 	if postOnly {
@@ -75,7 +79,7 @@ func (b *BitMEXBroker) PlaceOrder(symbol string, direction Direction, orderType
 		execInst += "ReduceOnly"
 	}
 	var order swagger.Order
-	order, err = b.client.PlaceOrder(side, _orderType, 0, price, int32(size), "", execInst, symbol)
+	order, err = b.client.PlaceOrder(side, _orderType, stopPx, price, int32(size), "", execInst, symbol)
 	if err != nil {
 		return
 	}

brokers/bitmex-sim-broker/simbroker.go

@@ -74,7 +74,7 @@ func (b *BitMEXSimBroker) GetOrderBook(symbol string, depth int) (result OrderBo
 }
 
 func (b *BitMEXSimBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	stopPx float64, size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	_id, _ := util2.NextID()
 	id := fmt.Sprintf("%v", _id)
 	order := &Order{

brokers/bybit-broker/broker.go

@@ -1,6 +1,7 @@
 package bybit_broker
 
 import (
+	"errors"
 	. "github.com/coinrust/gotrader/models"
 	"github.com/frankrap/bybit-api/rest"
 	"strings"
@@ -54,6 +55,18 @@ func (b *BybitBroker) GetOrderBook(symbol string, depth int) (result OrderBook,
 }
 
 func (b *BybitBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
+	stopPx float64, size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	if orderType == OrderTypeLimit || orderType == OrderTypeMarket {
+		return b.placeOrder(symbol, direction, orderType, price, size, postOnly, reduceOnly)
+	} else if orderType == OrderTypeStopLimit || orderType == OrderTypeStopMarket {
+		return b.placeStopOrder(symbol, direction, orderType, price, stopPx, size, postOnly, reduceOnly)
+	} else {
+		err = errors.New("error")
+		return
+	}
+}
+
+func (b *BybitBroker) placeOrder(symbol string, direction Direction, orderType OrderType, price float64,
 	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	var side string
 	var _orderType string
@@ -76,7 +89,58 @@ func (b *BybitBroker) PlaceOrder(symbol string, direction Direction, orderType O
 		timeInForce = "GoodTillCancel"
 	}
 	var order rest.Order
-	order, err = b.client.CreateOrder(side, _orderType, price, int(size), timeInForce, reduceOnly, symbol)
+	order, err = b.client.CreateOrder(
+		side,
+		_orderType,
+		price,
+		int(size),
+		timeInForce,
+		reduceOnly,
+		symbol,
+	)
+	if err != nil {
+		return
+	}
+	result = b.convertOrder(&order)
+	return
+}
+
+func (b *BybitBroker) placeStopOrder(symbol string, direction Direction, orderType OrderType, price float64,
+	stopPx float64, size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	var side string
+	var _orderType string
+	var timeInForce string
+
+	if direction == Buy {
+		side = "Buy"
+	} else if direction == Sell {
+		side = "Sell"
+	}
+	if orderType == OrderTypeStopLimit {
+		_orderType = "Limit"
+	} else if orderType == OrderTypeStopMarket {
+		_orderType = "Market"
+	}
+
+	if postOnly {
+		timeInForce = "PostOnly"
+	} else {
+		timeInForce = "GoodTillCancel"
+	}
+	basePrice := stopPx // 触发价
+	var order rest.Order
+	order, err = b.client.CreateStopOrder(
+		side,
+		_orderType,
+		price,
+		basePrice,
+		0,
+		int(size),
+		"",
+		timeInForce,
+		reduceOnly,
+		symbol,
+	)
 	if err != nil {
 		return
 	}
@@ -198,6 +262,10 @@ func (b *BybitBroker) orderStatus(order *rest.Order) OrderStatus {
 		return OrderStatusCancelled
 	case "Rejected":
 		return OrderStatusRejected
+	case "Untriggered":
+		return OrderStatusUntriggered
+	case "Triggered":
+		return OrderStatusTriggered
 	default:
 		return OrderStatusCreated
 	}

brokers/deribit-broker/broker.go

@@ -94,12 +94,18 @@ func (b *DiribitBroker) GetOrderBook(symbol string, depth int) (result OrderBook
 }
 
 func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	stopPx float64, size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	var _orderType string
 	if orderType == OrderTypeLimit {
 		_orderType = models.OrderTypeLimit
+		stopPx = 0
 	} else if orderType == OrderTypeMarket {
 		_orderType = models.OrderTypeMarket
+		stopPx = 0
+	} else if orderType == OrderTypeStopLimit {
+		_orderType = models.OrderTypeStopLimit
+	} else if orderType == OrderTypeStopMarket {
+		_orderType = models.OrderTypeStopMarket
 	}
 	if direction == Buy {
 		var ret models.BuyResponse
@@ -113,7 +119,7 @@ func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType
 			//MaxShow:        nil,
 			PostOnly:   postOnly,
 			ReduceOnly: reduceOnly,
-			//StopPrice:      0,
+			StopPrice:  stopPx,
 			//Trigger:        "",
 			//Advanced:       "",
 		})
@@ -133,7 +139,7 @@ func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType
 			//MaxShow:        nil,
 			PostOnly:   postOnly,
 			ReduceOnly: reduceOnly,
-			//StopPrice:      0,
+			StopPrice:  stopPx,
 			//Trigger:        "",
 			//Advanced:       "",
 		})
@@ -281,7 +287,7 @@ func (b *DiribitBroker) orderStatus(order *models.Order) OrderStatus {
 	case models.OrderStateCancelled:
 		return OrderStatusCancelled
 	case models.OrderStateUntriggered:
-		return OrderStatusCreated
+		return OrderStatusUntriggered
 	default:
 		return OrderStatusCreated
 	}

brokers/deribit-sim-broker/simbroker.go

@@ -76,7 +76,7 @@ func (b *DiribitSimBroker) GetOrderBook(symbol string, depth int) (result OrderB
 }
 
 func (b *DiribitSimBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	stopPx float64, size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	_id, _ := util2.NextID()
 	id := fmt.Sprintf("%v", _id)
 	order := &Order{

data-samples/deribit/deribit_BTC-27DEC19_and_futures_tick_by_tick_book_snapshots_10_levels_2019-10-01_2019-11-01.csv

@@ -0,0 +1,15 @@
+t,asks[0].price,asks[0].amount,asks[1].price,asks[1].amount,asks[2].price,asks[2].amount,asks[3].price,asks[3].amount,asks[4].price,asks[4].amount,asks[5].price,asks[5].amount,asks[6].price,asks[6].amount,asks[7].price,asks[7].amount,asks[8].price,asks[8].amount,asks[9].price,asks[9].amount,bids[0].price,bids[0].amount,bids[1].price,bids[1].amount,bids[2].price,bids[2].amount,bids[3].price,bids[3].amount,bids[4].price,bids[4].amount,bids[5].price,bids[5].amount,bids[6].price,bids[6].amount,bids[7].price,bids[7].amount,bids[8].price,bids[8].amount,bids[9].price,bids[9].amount
+1569888000178,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362,200,8362.5,3000,8364.5,1150,8365,18860,8356.5,48990,8356,71120,8355.5,400,8355,2220,8354.5,4030,8354,4420,8353.5,3040,8353,12660,8352.5,39340,8352,32000
+1569888000423,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,19060,8365.5,700,8356.5,48990,8356,71120,8355.5,400,8355,2220,8354.5,4030,8354,4420,8353.5,3040,8353,12660,8352.5,39340,8352,32000
+1569888000439,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,19060,8365.5,700,8356.5,48990,8356,71520,8355,2220,8354.5,4030,8354,4420,8353.5,3040,8353,12660,8352.5,39340,8352,32000,8351.5,1500
+1569888001507,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,19060,8365.5,700,8356.5,48990,8356,71520,8355,2220,8354.5,4030,8354,4420,8353.5,5540,8353,12660,8352.5,36840,8352,32000,8351.5,1500
+1569888002135,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,19060,8365.5,700,8356.5,48990,8356,71520,8355,2220,8354.5,4030,8354,4420,8353.5,3040,8353,12660,8352.5,36840,8352,32000,8351.5,4000
+1569888002527,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,9060,8365.5,700,8356.5,48990,8356,71520,8355,2220,8354.5,4030,8354,4420,8353.5,3040,8353,12660,8352.5,36840,8352,32000,8351.5,4000
+1569888003258,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,9060,8365.5,700,8356.5,48990,8356,71520,8355,2220,8354.5,4030,8354,4420,8353.5,3040,8353,2660,8352.5,36840,8352,32000,8351.5,4000
+1569888003259,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,9060,8365.5,700,8356.5,48990,8356,71520,8355,2220,8354.5,4030,8354,4420,8353.5,13040,8353,2660,8352.5,36840,8352,32000,8351.5,4000
+1569888003778,8357,3000,8357.5,250,8358.5,500,8359,3000,8361,20,8361.5,200,8362.5,3000,8364.5,1150,8365,9060,8365.5,700,8356.5,48990,8356,71520,8355.5,32000,8355,2220,8354.5,4030,8354,4420,8353.5,13040,8353,2660,8352.5,4840,8352,32000
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