Comments (5)
Waiting on funds in the test account to finish this feature
from market-maker.
(that commit should read "liquidity-limiting logic")
There is now a new setting called "MIN_CONTRACTS" that defines how many contracts should be present on each side of the market for the algorithm to continue trading
from market-maker.
Copying comment from @Behappy123 on this issue via skype:
[20:29:48] Tommy: Another thing I noticed Eric, so I wanted the bot to only refresh orders if there were say 5000 volume of orders ahead of me, but you made it so that the bot just simply doesn't trade if there's not that much liquidity ahead of me, this is a problem because then the bot just doesn't trade if there's an order size of "1" or "50" or what not as the dominant contract
[20:33:25] Tommy: basically the purpose of that was to avoid refreshing the order unless there's a sizable amount of orders that moved ahead of me, if someone puts only 1 contract or 50 contracts ahead of me, I don't mind, but if they put a big order (ie: 5k contracts) ahead of me, then I have to jump ahead of them
from market-maker.
I'm confused because the following statements seem to be contradictory:
Adjust order paramaters to only place orders where there is at least 5000 contracts+ directly behind us in the orderbook
and
I wanted the bot to only refresh orders if there were say 5000 volume of orders ahead of me
Please reconcile this so that I can proceed accordingly. Thanks
from market-maker.
I'll make it cumulative up to the max order-book depth that can be subscribed to (I think that's 25 levels) and if it's not 5k in that range then you exit the market. Far less likely. And the order will be placed at 1 tick better than the 5001st contract (which most likely means you'll be in the stack of orders that includes the 5000th). I'll keep the MIN_CONTRACTS option and it'll just have a new meaning now.
from market-maker.
Related Issues (9)
- Occasionally ensure bot is still running HOT 2
- Scaling back orders in response to order book changes HOT 8
- Feedback loop bug HOT 1
- Allow for multiple contracts to be traded at once
- No handlers could be found for logger "websocket" HOT 1
- ./marketmaker [symbol]?
- error on start
- needs to be updated according to the BitMex API changes
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from market-maker.