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GdaxMarketMaker: make customizeable order targets #3

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zbarge opened this issue Nov 18, 2017 · 0 comments
Open

GdaxMarketMaker: make customizeable order targets #3

zbarge opened this issue Nov 18, 2017 · 0 comments
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@zbarge
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zbarge commented Nov 18, 2017

currently aggressive spreads quote the minimum spread considering other prices.

Even aggressively the current logic misses out on many opportunities to trade very tight spreads.
0.01 - .05 on ETH for example may generate multiple trades in seconds. In low volatility market environments this this trade could be repeated over and over while deeper trades could follow standard minimum spreads considering other order prices. This will in theory increase profitability especially when there are bid or ask walls with small ranges that are inside of the GdaxMarketMaker minimum spread.

We need carefully planned logic for the above.

  • We should only have 1-2 trades within a tightened range and using a larger account size than normal.

  • These trades need specific buy and sell targets that do not change... so the order needs to be locked at the price. (maybe) An order can be unlocked and changed only when a wall has moved in front of the price but it should maintain a 0.01 minimum profit.

  • The GdaxMarketMaker.handle_fill method should recognize and quickly place opposite orders in the tightened spread range...

  • This method should probably exist on the GdaxMMOrder in case multiple methods need to re-use the logic and most of the work happens on the GdaxMMOrder.price and the GdaxMarketMaker.ticker_price.

  • This method needs to consider market volatility before determining prices. There are times when ETH has a .30+ spread so we need to really act based on the closest bid and ask on the most recent data every time.

@zbarge zbarge self-assigned this Nov 18, 2017
zbarge added a commit that referenced this issue Nov 19, 2017
zbarge added a commit that referenced this issue Nov 19, 2017
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