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strategy/linregmaker: update config
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Andy Cheng
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@ -38,33 +38,45 @@ exchangeStrategies:
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# interval is how long do you want to update your order price and quantity
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interval: 1m
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# leverage uses the account net value to calculate the allowed margin
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leverage: 1
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# reverseEMA
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# reverseEMA is used to determine the long-term trend.
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# Above the ReverseEMA is the long trend and vise versa.
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# All the opposite trend position will be closed upon the trend change
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reverseEMA:
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interval: 1d
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window: 60
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# reverseInterval
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# reverseInterval is the interval to check trend reverse against ReverseEMA. Close price of this interval crossing
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# the ReverseEMA triggers main trend change.
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reverseInterval: 4h
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# fastLinReg
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# fastLinReg is to determine the short-term trend.
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# Buy/sell orders are placed if the FastLinReg and the ReverseEMA trend are in the same direction, and only orders
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# that reduce position are placed if the FastLinReg and the ReverseEMA trend are in different directions.
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fastLinReg:
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interval: 1m
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window: 30
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# slowLinReg
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# slowLinReg is to determine the midterm trend.
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# When the SlowLinReg and the ReverseEMA trend are in different directions, creation of opposite position is
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# allowed.
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slowLinReg:
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interval: 1m
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window: 120
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# allowOppositePosition
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# allowOppositePosition if true, the creation of opposite position is allowed when both fast and slow LinReg are in
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# the opposite direction to main trend
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allowOppositePosition: true
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# fasterDecreaseRatio
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# fasterDecreaseRatio the quantity of decreasing position orders are multiplied by this ratio when both fast and
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# slow LinReg are in the opposite direction to main trend
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fasterDecreaseRatio: 2
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# neutralBollinger
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# neutralBollinger is the smaller range of the bollinger band
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# If price is in this band, it usually means the price is oscillating.
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# If price goes out of this band, we tend to not place sell orders or buy orders
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neutralBollinger:
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interval: "15m"
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window: 21
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@ -73,9 +85,13 @@ exchangeStrategies:
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# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
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tradeInBand: true
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# spread
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# spread is the price spread from the middle price.
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# For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
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# For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
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# Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
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spread: 0.1%
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# dynamicSpread
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# dynamicSpread enables the automatic adjustment to bid and ask spread.
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# Overrides Spread, BidSpread, and AskSpread
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dynamicSpread:
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amplitude: # delete other scaling strategy if this is defined
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# window is the window of the SMAs of spreads
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@ -87,8 +103,7 @@ exchangeStrategies:
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exp:
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# from down to up
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domain: [ 0.0001, 0.005 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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# the spread range
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range: [ 0.001, 0.002 ]
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bidSpreadScale:
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byPercentage:
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@ -96,12 +111,15 @@ exchangeStrategies:
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exp:
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# from down to up
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domain: [ 0.0001, 0.005 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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# the spread range
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range: [ 0.001, 0.002 ]
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# maxExposurePosition is the maximum position you can hold
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# 10 means you can hold 10 ETH long/short position by maximum
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#maxExposurePosition: 10
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DynamicExposure:
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# dynamicExposure is used to define the exposure position range with the given percentage.
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# When DynamicExposure is set, your MaxExposurePosition will be calculated dynamically
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dynamicExposure:
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bollBandExposure:
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interval: "1h"
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window: 21
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@ -112,12 +130,13 @@ exchangeStrategies:
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exp:
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# from lower band -100% (-1) to upper band 100% (+1)
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domain: [ -1, 1 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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range: [ 0.1, 10 ]
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# when in down band, holds 0.1 by maximum
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# when in up band, holds 1 by maximum
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range: [ 0.1, 1 ]
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# quantity is the base order quantity for your buy/sell order.
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quantity: 0.1
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# dynamicQuantityIncrease calculates the increase position order quantity dynamically
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dynamicQuantityIncrease:
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- linRegDynamicQuantity:
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quantityLinReg:
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@ -125,13 +144,10 @@ exchangeStrategies:
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window: 20
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dynamicQuantityLinRegScale:
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byPercentage:
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# log means we want to use log scale, you can replace "log" with "linear" for linear scale
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linear:
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# from lower band -100% (-1) to upper band 100% (+1)
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domain: [ -0.000002, 0.000002 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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range: [ 0, 0.001 ]
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# dynamicQuantityDecrease calculates the decrease position order quantity dynamically
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dynamicQuantityDecrease:
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- linRegDynamicQuantity:
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quantityLinReg:
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@ -139,12 +155,8 @@ exchangeStrategies:
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window: 20
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dynamicQuantityLinRegScale:
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byPercentage:
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# log means we want to use log scale, you can replace "log" with "linear" for linear scale
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linear:
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# from lower band -100% (-1) to upper band 100% (+1)
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domain: [0.000002, -0.000002 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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range: [ 0, 0.001 ]
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exits:
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@ -17,6 +17,8 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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// TODO: Docs
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const ID = "linregmaker"
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var notionModifier = fixedpoint.NewFromFloat(1.1)
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@ -403,7 +405,6 @@ func (s *Strategy) getOrderQuantities(askPrice fixedpoint.Value, bidPrice fixedp
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}
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// getAllowedBalance returns the allowed qty of orders
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// TODO LATER: Check max qty of margin and futures
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func (s *Strategy) getAllowedBalance() (baseQty, quoteQty fixedpoint.Value) {
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// Default
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baseQty = fixedpoint.PosInf
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