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40 lines
1.9 KiB
Markdown
40 lines
1.9 KiB
Markdown
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## TWAP Order Execution
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Yes, bbgo supports TWAP order execution. If you have a large quantity order want to execute,
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you can use this feature to update your order price according to the first bid/ask price in the order book.
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### Usage
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```
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bbgo execute-order --session binance --symbol=BTCUSDT \
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--side=sell \
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--target-quantity=100.0 \
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--slice-quantity=0.01 \
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--stop-price=58000
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```
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The above command will sell 100 BTC in total and for each slice it places a limit sell order with 0.01 BTC, and only place the sell order when price is above 58000.
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```
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bbgo execute-order --session max --symbol=USDTTWD --side=sell --target-quantity=1000.0 --slice-quantity=100.0 --stop-price=28.90
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```
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`--symbol=SYMBOL` is the symbol of the market, the symbol should be in upper-case, for example, `USDTTWD` or `BTCUSDT`
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`--side=SIDE` is the side of your order. can be `buy` or `sell`.
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`--target-quantity=TARGET_QUANTITY` is the final quantity you want to buy/sell.
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`--slice-quantity=SLICE_QUANTITY` is the slice quantity per order. for example, if you have targetQuantity=100.0 and sliceQuantity=10.0, then the order will be split into 10 orders.
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`--stop-price` the highest/lowest price of your order. for example, the current best bid/ask price is 28.65 and 28.70,
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if your stop price for BUY is `28.60`, your BUY order will stay at price `28.6` and won't be updated.
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if your stop price for SELL is `28.75`, your SELL order will stay at price `28.75` and won't be updated.
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`--price-ticks` the incremental tick spread of the price. for example, the current best bid/ask price is 28.00 and 28.10,
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the single tick of the USDT/TWD symbol is 0.01,
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if you set `--price-ticks=2`, then the order executor will use 28.00 + 0.01 * 2 for your BUY order, and use 28.10 - 0.01 * 2 for your SELL order.
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`--deadline` the deadline duration of your order execution, if time exceeded the deadline time, then the rest quantity will be sent as a market order.
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