All notable changes to this project will be documented in this file.

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

• [Supports] Associate supports to futures trading instead of websockets
• [Futures] Automatically select contract types in simulator mode
• [Symbols] Update for symbol object

• [Exchanges] Backtesting KeyError on OHLCV simulator

• [Exchanges] Supported exchanges

• [Cython] Fix header files

• [Cython] Fix header files

• [Exchanges] Fix crash on compiled exchanges init

• [Orders] Order total

• [Contracts] Fix inverse contracts issues

• [Trading mode] Scripted trading mode system
• [Orders] Chained orders
• [Portfolio] Historical portfolio values
• [Signals] Trading signals

• [PricesManager] Fix mark price float issue

• [Asset] Add restore state when raising PortfolioNegativeError
• [Position] Add get_margin_from_size and get_size_from_margin

• [ExchangePersonalData] Deduct funding fee from the position margin when no sufficient available balance

• [Exchange] hollaex support
• [MarkPrice] Decimal conversion
• [FutureCCXTExchange] is_linear_pair and is_inverse_pair
• [FutureExchange] contract initialization
• [FutureContract] maintenance_margin_rate
• [FutureExchange] position mode parsing
• [FutureExchange] is_inverse, is_linear and is_futures
• [PositionsManager] both position side in position id
• [FutureContract] __str__
• [PositionsManager] get_symbol_positions with None symbol
• [API] positions
• [CCXTExchanges] get_default_type
• [Position] initial_margin and fee_to_close in _update
• [Trader] close position, set_margin_type, set_leverage and set_position_mode
• [MarginContract] check_leverage_update
• [Transaction] class
• [TransactionsManager] class
• [TransactionsManager] factory
• [TransactionsManager] transfer, blockchain, fee and realised_pnl

• [Positions] missing mark_price fetching
• [Positions] Prevent negative margin
• [LinearPosition] liquidation price calculation
• [Position] liquidation PNL total impact
• [FuturePortfolio] order available decreasing size release

• [FutureExchange] "open" position references
• [Portfolio] inheritance
• [Portfolio] unused async

• [CryptofeedWebsocketConnector] future index feed
• [CryptofeedWebsocketConnector] sandbox support
• [FutureExchangeSimulator] default leverage and margin_type values
• [Future][Exchange] get_contract_type
• [Contracts] MarginContract
• [Portfolio] Asset class
• [Portfolio] spot, margin and future assets
• [Portfolio] create_currency_asset
• [MarginAsset] implementation
• [FutureAsset] implementation
• [FundingManager] predicted_funding_rate
• [FundingChannel] predicted_funding_rate
• [Position] LiquidationState creation when liquidation detected
• [Position] size attribute from quantity
• [Positions] InversePosition and LinearPosition (from cross and isolated)
• [Position] Notional value update
• [LiquidatePositionState] terminate implementation
• [MarginContract] set_current_leverage
• [FutureContract] PositionMode
• [FutureExchange] PositionMode
• [FuturePortfolio] update_portfolio_from_liquidated_position
• [Position] close method
• [Order] get_position_side
• [Positions] multiple position per symbol support
• [FutureContract] is_one_way_position_mode
• [ExchangePersonalData] reduce only and close position when filling order
• [PositionsManager] get_order_position
• [Position] get_quantity_to_close and get_update_quantity_from_order
• [Position] close when size after update is ZERO
• [Position] InvalidOperation catching
• [Asset] _ensure_not_negative
• [Position] on_pnl_update
• [ExchangePersonalData] handle_portfolio_update_from_funding

• FutureContract Moved to exchange_data
• Moved Asset methods to SpotAsset
• [MarginContract] Made margin_type and current_leverage writable
• [Portfolio] Migrated to assets
• [Portfolio] Migrated to get_currency_portfolio

• [ExchangeSymbolData] FundingManager when future

• [Order] get_currency_and_market

• Orders: fees related typing issues

• AbstractSupervisor and AbstractPortfolioSupervisor classes
• [Websocket] Order callback implementation
• [Websocket] Pair independent channels

• [Websocket] Update cryptofeed integration to 2.1.0

• [OrderAdapter] Digit precision

• ExchangeWrapper class
• [Websocket] Do not start when nothing to watch

• [Websocket] Update cryptofeed integration to 2.0.0

• CLI

• [Trades] Handle trades from canceled orders
• [Orders] Handle orders with None price data

• [Orders] Improve order parsing when no order type is available

• [Websockets] Watched symbols subscribe issues

• [Websockets] Subscribe issue

• [Orders] Parsing issue
• [Trader] set_risk api

• [TradesManager] Increase max trade history from 500 to 100000

• [Websockets] feed subscription

• Typing issues

• [Websockets] watched pairs

• [Websockets] watched pairs

• [Orders] use decimal.Decimal instead of floats
• [Portfolio] use decimal.Decimal instead of floats

• [Exchange Manager] exchange subaccount
• [CCXTExchange] exchange subaccount list

• [CCXTExchange] order precision and limits when required

• [Order Manager] Order limit

• [CCXTExchange] options and headers setters

• Exchanges: added available_required_time_frames

• Clear method in websocket exchanges

• Clear method in websocket exchanges

• Supported exchanges

• Mark price from ticker feed

• Cryptofeed logs to devnull

• fetchOrder not supported

• Error log url

• Cryptofeed Websocket authenticated feeds basis

• [Portfolio] race condition
• [Position] multiple fixes

• [Exchanges] handle supporters authentication

• [Exchanges] optimize websockets initialization and pairs addition

• [Exchanges] add is_valid_account on api

• Requirements

• [Exchanges] add exchange details on api

• [Websockets] Optimize websockets usage

• [Exchanges] trading-backend integration

• [Future] Position management
• [Future] Migrate PositionUpdater to AsyncJob
• [Future] Position Channel

• [Exchanges][WS] properly log error messages

• [Exchanges][WS] handle unsupported candles and timeframes

• [Exchanges][WS] candles init
• [Channels] timeframe typing in consumers filtering

• [Exchanges][WS] async callback async declaration
• [Exchanges][WS] stop and close

• [Exchanges][WS] Fix CryptofeedWebsocketConnector cython declaration

• [Exchanges][API] Consider websockets in overloaded computations

• [Exchanges][CryptoFeedWebsocket] timestamps in kline and candles and prevent double channel registration

• [Exchanges][CryptoFeedWebsocket] Feeds stop and close
• [Updater][OHLCV] Initialization with websockets

• [Exchanges][CryptoFeedWebsocket] Feeds handling and websockets logging

• [Portfolio] Raise PortfolioNegativeValueError when the update will cause a negative value.

• since in candle history fetching (thanks to @valouvaliavlo)

• bump requirements

• requirements

• get_traded_pairs_by_currency to trading util (from flask_util)

• TradingMode producers and consumer automated creation with class attributes

• AbstractModeProducer cryptocurrencies, symbols and timeframes wildcard subscription to MatrixChannel through boolean methods

• string formatting in float order adapter

• decimal.Decimal handling

• Wildcard configuration issues

• Integrate hitbtc order fix ccxt/ccxt#8744

• Cryptofeed websocket connector

• tentacles url

• Force chardet version

• Python 3.9 support

• Requirements

• New supported order status (PENDING_CANCEL, EXPIRED, REJECTED)

• Improved exchange unsupported order types handling

• Portfolio balance parsing None values

• Order synchronization and cancellation related issues

• Order cancellation issues

• Profitability computation issues

• Requirements

• Requirements

• [CCXT] Use a CCXT version without binance candles fetching issues.

• [Orders] Improve internal orders management reliability regarding internal exchange order API server-side sync issues.

• [CCXT_Exchange] Fix unnecessary 'recvWindows' param

• [Orders] Orders update event logs

• [CCXTExchange] NoneType when client.timeframes exists but is None

• Prevent multiple channel creations on traded pair duplication

• Requirements

• Profiles handling

• Use OctoBot commons configuration keys

• Order creation typing issue
• Updater data issues

• Exchange load management
• Exchanges and websockets testing tools

• Websockets stop

• CCXT order creations

• Websocket implementation

• Disabled currencies handling

• Exchange architecture to include exchange connectors and remove double inheritance

• ExchangeSimulator's implementations exchange manager reference leaking

• Object type declaration

• Requirements

• Order creation

• Numpy requirement

• PortfolioValueHolder declaration

• Mode factory declaration

• CCXT requirement

• [ModeFactory] Typing

• Python 3.8 support

• [ExchangeData] Cython circular import
• [PersonalData] Cython circular import
• [Lint] Style issues

• [ExchangeChannels] Cython circular import

• ExchangeFactory from ExchangeManager refactor
• ExchangeChannels from ExchangeManager refactor
• ExchangeWebsocketFactory from ExchangeManager refactor

• [ExchangeManager] Refactor

• [Producers] Potential circular import

• [Portfolio] Balance delta update
• [PortfolioValueHolder] From PortfolioProfitability refactor

• [PortfolioProfitability] Refactor

• [Exchange] Error logger typing issue
• [OrderState] Multiple open order updates

• [OrderState] Raise exceptions in finalize

• [Orders] Integrate async job
• [Order] is_to_be_maintained

• [OrderState] Disable cancel and close synchronization with exchange
• [ClosedOrdersUpdater] Disable temporary

• [Orders] double order state refresh
• [Orders] portfolio refresh
• [Orders] double order creation channel push
• [Orders] double order state refresh
• [Trader] cancelled order status
• [OrderState] force filling
• [OpenOrders] no call to check missing
• [FillOrderState] ignored filled order
• [CancelOrderState] missing notification when not using trader
• [OpenOrderState] missing creation Orders Channel notification

• [Orders] Fix average price handling

• [Portfolio] Portfolio refresh issues

• [OrderState] Tests double fill

• [OrderState] Tests async loop error

• OrderState implementation : manage order synchronization for OPEN, FILL, CANCEL and CLOSE status

• OHLCV Updater exchange spamming

• [API] Move cancel_ccxt_throttle_task in exchange API

• [Real Trading] Multiple fixes to enable real trading

• [WebsocketExchange] Adaptations for Binance websocket

• [MarkPrice] Fix mark price initialization when recent trades arrive at first

• [SymbolDataAPI] Fix missing mark price source argument in force_set_mark_price

• [PricesManager] Mark price is now only based on recent trades (except if not available : ticker)

• [Exchanges] Handle exchange tentacles activation

• [Order] Synchronizing after creation on exchange
• [Order] Handling filled and cancelled events from exchange

• [OHLCVUpdater] Initialization exchange spam

• Requirements

• Order super calls

• New Order types support : Trailing stop, Trailing stop limit, Take profit, Take profit limit

• Order fill and post fill refactor

• Tests silent exceptions

• PriceEventManager

• Optimize MarketStatusFixer

• Cython version

• Order close by cancel and fill processes

• Book data class, moved in order_book_manager

• Migrate order tests
• Refactor book data class

• Pandas requirement

• Remove advanced manager from commons

• [API] Candles API

• [Channels] Trading channels issues
• [DataManagers] Trading data issues

• [API] Order and trading registration API

• [ExchangeMarketStatusFixer] Header

• [RestExchange] C typing and add debug logs

• [ExchangePersonalData] Kwarg argument

• [RestExchange] Candle since timestamp

• Requirements

• [Exchanges] Tested exchanges list

• [RealTrading] Fix real trading orders workflow issues

• [ExchangeSimulator] Time manager call

• [ExchangeSimulator] Move time_frames and symbols to set

• [Channels] Exchange channels optimization

• [Backtesting] Multiple data files handling

• [Cython] Headers

• [Backtesting] Multiple optimizations

• [Backtesting] Profitability and recent trades management

• [Consumers] OctoBot channel

• [Requirements] update requirements

• [API] is_mark_price_initialized

• [ExchangeSimulator] Always display at least one candle data

• [Simulators] Time consumer cython declaration

• [OHLCVUpdater] Retry candle history loading
• [AbstractModeConsumer] Error handling

• [Channel] Synchronization support

• [RestExchange] ccxt sandbox mode support

• Use centralized backtesting in exchange simulator

• Use object in trading modes final_eval

• Use str states in trading modes channels

• OctoBot-Commons update

• [OrderAdapter] fix math.nan handling

• [Exchanges] exchange current time API and in construction candles

• [Trading modes] trading modes migration
• [Memory management] improve post-backtesting memory clear

• [CandleManager] Commons shift usage
• [ExchangeFactory] Tests

• [ModeChannel] data param to consumers callback
• [ModeChannel] consumer filtering by state

• [AbstractModeProducer] Matrix channel subscription

• [ExchangeChannel] Cryptocurrency param to channels callbacks

• [ExchangeChannel] TimeFrameExchangeChannel class

• [Channel] time frame filter

• symbols_by_crypto_currencies instead of currencies in exchanges

• CandleManager cython headers
• AbstractModeConsumer cython headers

• AbstractTradingMode cythonization

• Cython headers

• Wildcard imports

• [Channels]
  • Book Ticker
  • Mini Ticker
  • Liquidations
• [Websocket] keep alive

• Integrate OctoBot-tentacles-manager 2.0.0

• [Exchanges] account management (CASH, MARGIN, FUTURE)

• [Future trading] Position parsing improvements
• [Exchanges] Improve keys error handling
• Bump ccxt version with DrakkarSoftware fixes

• OctoBot-Websocket requirement

• Stop ExchangeManager when an error occurs at build stage

• Optimize candles management
• Use compact logger.exception format
• Improve Kline error management

• CandleManager max candles handling

• TradeFactory

• ExchangeManager stop handling
• exchange, mode, portfolio, profitability, symbol_data, trades APIs

• Profitability bugs

• ExchangeFactory to ExchangeBuilder

• Order missing add_linked_order method

• get_exchange_id_from_matrix_id and get_exchange_ids in APIs
• Handle matrix_id in ExchangeConfiguration

• ExchangeFactory can now use matrix_id
• Use exchange_id in exchange channels

• Candle missing data filter

• Candles first index data was missing

• Cryptocurrency management in evaluators
• APIs for exchanges, trading modes, orders, portfolio, profitability, symbol data, trader, trades
• get_total_paid_fees in trades manager
• cancel_order_with_id in trader

• handle_order_update now always notifies orders channel

• get_name from trading modes

• Exchange ID in ExchangeChannels notifications

• ExchangeManager generated ID attribute
• Order factory methods

• Trader adapted from OctoBot legacy
• Order attributes from OctoBot legacy

Requirements

• Commons version to 1.2.2
• Channels version to 1.3.19
• colorlog version to 4.1.0

• Exchange create tentacle path parameter

Requirements

• Commons version to 1.2.0
• Channels version to 1.3.17ccxt
• Backtesting version to 1.3.2
• Websockets version to 1.1.7
• ccxt version to 1.21.6
• scipy version to 1.4.1

• ExchangeMarketStatusFixer cython compatilibity

• Makefile

• ExchangeSymbolData symbol_candles and symbol_klines visibility to public
• CandleManager incompatible static method

• Removed CCXT find_market method

Requirements

• Commons version to 1.1.51
• Channels version to 1.3.6
• Backtesting version to 1.3.1
• Websockets version to 1.1.6
• ccxt version to 1.20.80
• ccxt version to 1.20.80
• scipy version to 1.3.3

• Updaters connection loss support

• OHLCV simulator timestamp management

• OSX support

• Price Channel
• Price Manager
• Mark price updater (price reference for a symbol)

• Moved init constants declaration to constants

• PyPi manylinux deployment

• Simulator for backtesting support
• Pause and resume management for updaters
• Exchange config

• Setup install

• Trader config and risk
• Ticker updater
• Websocket management
• Cython compilation & runtime
• Orders management

• Exchange global access through Exchanges singleton

• Trader enabled method call in init

• Trading mode implementation

• New channels : Position, BalanceProfitability
• CLI improvements

• Order channel : added is_closed boolean param

• Trader :
  • Order creation
  • Portfolio

• Data class that stores personal data
• Data management classes that manage personal and symbol data stored
• Exchange Channels from OctoBot-Channel
• Basis of CLI interface
• Demo file
• Backtesting classes from OctoBot

• Exchange dispatcher

• Updaters & Simulators (Producers)
• Orders management