bollmaker: add position stack config

config/bollmaker-pstack.yaml

@@ -0,0 +1,128 @@
+---
+persistence:
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+# example command:
+#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
+backtest:
+  # for testing max draw down (MDD) at 03-12
+  # see here for more details
+  # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
+  startTime: "2021-09-01"
+  endTime: "2021-09-30"
+  symbols:
+  - ETHUSDT
+  account:
+    balances:
+      ETH: 1.0
+      USDT: 200_000.0
+
+exchangeStrategies:
+
+- on: binance
+  bollmaker:
+    symbol: ETHUSDT
+
+    # interval is how long do you want to update your order price and quantity
+    interval: 1m
+
+    # quantity is the base order quantity for your buy/sell order.
+    quantity: 0.05
+
+    # useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
+    # The back-test engine is kline-based, so the ticker price api is not supported.
+    # Turn this on if you want to do real trading.
+    useTickerPrice: false
+
+    # spread is the price spread from the middle price.
+    # For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
+    # For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
+    # Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
+    spread: 0.1%
+
+    # minProfitSpread is the minimal order price spread from the current average cost.
+    # For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
+    # For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
+    minProfitSpread: 0.1%
+
+    # maxExposurePosition is the maximum position you can hold
+    # +10 means you can hold 10 ETH long position by maximum
+    # -10 means you can hold -10 ETH short position by maximum
+    # maxExposurePosition: 3.0
+    maxExposurePosition: 1
+
+    # dynamicExposurePositionScale overrides maxExposurePosition
+    # for domain,
+    #   -1 means -100%, the price is on the lower band price.
+    #      if the price breaks the lower band, a number less than -1 will be given.
+    #   1 means 100%, the price is on the upper band price.
+    #      if the price breaks the upper band, a number greater than 1 will be given, for example, 1.2 for 120%, and 1.3 for 130%.
+    dynamicExposurePositionScale:
+      byPercentage:
+        # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
+        exp:
+          # from lower band -100% (-1) to upper band 100% (+1)
+          domain: [ -1, 1 ]
+          # when in down band, holds 1.0 by maximum
+          # when in up band, holds 0.05 by maximum
+          range: [ 10.0, 1.0 ]
+
+    # DisableShort means you can don't want short position during the market making
+    # THe short here means you might sell some of your existing inventory.
+    disableShort: true
+
+    # uptrendSkew, like the strongUptrendSkew, but the price is still in the default band.
+    uptrendSkew: 0.8
+
+    # downtrendSkew, like the strongDowntrendSkew, but the price is still in the default band.
+    downtrendSkew: 1.2
+
+    defaultBollinger:
+      interval: "1h"
+      window: 21
+      bandWidth: 2.0
+
+    # neutralBollinger is the smaller range of the bollinger band
+    # If price is in this band, it usually means the price is oscillating.
+    neutralBollinger:
+      interval: "5m"
+      window: 21
+      bandWidth: 2.0
+
+    # tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
+    tradeInBand: false
+
+    # buyBelowNeutralSMA: when this set, it will only place buy order when the current price is below the SMA line.
+    buyBelowNeutralSMA: false
+
+    persistence:
+      type: redis
+
+    # Set up your stop order, this is optional
+    # sometimes the stop order might decrease your total profit.
+    # you can setup multiple stop,
+    stops:
+    # use trailing stop order
+    - trailingStop:
+        # callbackRate: when the price reaches -1% from the previous highest, we trigger the stop
+        callbackRate: 5.1%
+
+        # closePosition is how much position do you want to close
+        closePosition: 20%
+
+        # minProfit is how much profit you want to take.
+        # if you set this option, your stop will only be triggered above the average cost.
+        minProfit: 5%
+
+        # interval is the time interval for checking your stop
+        interval: 1m
+
+        # virtual means we don't place a a REAL stop order
+        # when virtual is on
+        # the strategy won't place a REAL stop order, instead if watches the close price,
+        # and if the condition matches, it submits a market order to close your position.
+        virtual: true
+