mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
strategy/linregmaker: update config
This commit is contained in:
Andy Cheng
parent
ff334ca13d
commit
c6f9b0feed
|
|
@ -38,33 +38,45 @@ exchangeStrategies:
|
|||
# interval is how long do you want to update your order price and quantity
|
||||
interval: 1m
|
||||
|
||||
# leverage uses the account net value to calculate the allowed margin
|
||||
leverage: 1
|
||||
|
||||
# reverseEMA
|
||||
# reverseEMA is used to determine the long-term trend.
|
||||
# Above the ReverseEMA is the long trend and vise versa.
|
||||
# All the opposite trend position will be closed upon the trend change
|
||||
reverseEMA:
|
||||
interval: 1d
|
||||
window: 60
|
||||
|
||||
# reverseInterval
|
||||
# reverseInterval is the interval to check trend reverse against ReverseEMA. Close price of this interval crossing
|
||||
# the ReverseEMA triggers main trend change.
|
||||
reverseInterval: 4h
|
||||
|
||||
# fastLinReg
|
||||
# fastLinReg is to determine the short-term trend.
|
||||
# Buy/sell orders are placed if the FastLinReg and the ReverseEMA trend are in the same direction, and only orders
|
||||
# that reduce position are placed if the FastLinReg and the ReverseEMA trend are in different directions.
|
||||
fastLinReg:
|
||||
interval: 1m
|
||||
window: 30
|
||||
|
||||
# slowLinReg
|
||||
# slowLinReg is to determine the midterm trend.
|
||||
# When the SlowLinReg and the ReverseEMA trend are in different directions, creation of opposite position is
|
||||
# allowed.
|
||||
slowLinReg:
|
||||
interval: 1m
|
||||
window: 120
|
||||
|
||||
# allowOppositePosition
|
||||
# allowOppositePosition if true, the creation of opposite position is allowed when both fast and slow LinReg are in
|
||||
# the opposite direction to main trend
|
||||
allowOppositePosition: true
|
||||
|
||||
# fasterDecreaseRatio
|
||||
# fasterDecreaseRatio the quantity of decreasing position orders are multiplied by this ratio when both fast and
|
||||
# slow LinReg are in the opposite direction to main trend
|
||||
fasterDecreaseRatio: 2
|
||||
|
||||
# neutralBollinger
|
||||
# neutralBollinger is the smaller range of the bollinger band
|
||||
# If price is in this band, it usually means the price is oscillating.
|
||||
# If price goes out of this band, we tend to not place sell orders or buy orders
|
||||
neutralBollinger:
|
||||
interval: "15m"
|
||||
window: 21
|
||||
|
|
@ -73,9 +85,13 @@ exchangeStrategies:
|
|||
# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
|
||||
tradeInBand: true
|
||||
|
||||
# spread
|
||||
# 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%
|
||||
# dynamicSpread
|
||||
# dynamicSpread enables the automatic adjustment to bid and ask spread.
|
||||
# Overrides Spread, BidSpread, and AskSpread
|
||||
dynamicSpread:
|
||||
amplitude: # delete other scaling strategy if this is defined
|
||||
# window is the window of the SMAs of spreads
|
||||
|
|
@ -87,8 +103,7 @@ exchangeStrategies:
|
|||
exp:
|
||||
# from down to up
|
||||
domain: [ 0.0001, 0.005 ]
|
||||
# when in down band, holds 1.0 by maximum
|
||||
# when in up band, holds 0.05 by maximum
|
||||
# the spread range
|
||||
range: [ 0.001, 0.002 ]
|
||||
bidSpreadScale:
|
||||
byPercentage:
|
||||
|
|
@ -96,12 +111,15 @@ exchangeStrategies:
|
|||
exp:
|
||||
# from down to up
|
||||
domain: [ 0.0001, 0.005 ]
|
||||
# when in down band, holds 1.0 by maximum
|
||||
# when in up band, holds 0.05 by maximum
|
||||
# the spread range
|
||||
range: [ 0.001, 0.002 ]
|
||||
|
||||
# maxExposurePosition is the maximum position you can hold
|
||||
# 10 means you can hold 10 ETH long/short position by maximum
|
||||
#maxExposurePosition: 10
|
||||
DynamicExposure:
|
||||
# dynamicExposure is used to define the exposure position range with the given percentage.
|
||||
# When DynamicExposure is set, your MaxExposurePosition will be calculated dynamically
|
||||
dynamicExposure:
|
||||
bollBandExposure:
|
||||
interval: "1h"
|
||||
window: 21
|
||||
|
|
@ -112,12 +130,13 @@ exchangeStrategies:
|
|||
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: [ 0.1, 10 ]
|
||||
# when in down band, holds 0.1 by maximum
|
||||
# when in up band, holds 1 by maximum
|
||||
range: [ 0.1, 1 ]
|
||||
|
||||
# quantity is the base order quantity for your buy/sell order.
|
||||
quantity: 0.1
|
||||
# dynamicQuantityIncrease calculates the increase position order quantity dynamically
|
||||
dynamicQuantityIncrease:
|
||||
- linRegDynamicQuantity:
|
||||
quantityLinReg:
|
||||
|
|
@ -125,13 +144,10 @@ exchangeStrategies:
|
|||
window: 20
|
||||
dynamicQuantityLinRegScale:
|
||||
byPercentage:
|
||||
# log means we want to use log scale, you can replace "log" with "linear" for linear scale
|
||||
linear:
|
||||
# from lower band -100% (-1) to upper band 100% (+1)
|
||||
domain: [ -0.000002, 0.000002 ]
|
||||
# when in down band, holds 1.0 by maximum
|
||||
# when in up band, holds 0.05 by maximum
|
||||
range: [ 0, 0.001 ]
|
||||
# dynamicQuantityDecrease calculates the decrease position order quantity dynamically
|
||||
dynamicQuantityDecrease:
|
||||
- linRegDynamicQuantity:
|
||||
quantityLinReg:
|
||||
|
|
@ -139,12 +155,8 @@ exchangeStrategies:
|
|||
window: 20
|
||||
dynamicQuantityLinRegScale:
|
||||
byPercentage:
|
||||
# log means we want to use log scale, you can replace "log" with "linear" for linear scale
|
||||
linear:
|
||||
# from lower band -100% (-1) to upper band 100% (+1)
|
||||
domain: [0.000002, -0.000002 ]
|
||||
# when in down band, holds 1.0 by maximum
|
||||
# when in up band, holds 0.05 by maximum
|
||||
range: [ 0, 0.001 ]
|
||||
|
||||
exits:
|
||||
|
|
|
|||
|
|
@ -17,6 +17,8 @@ import (
|
|||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
// TODO: Docs
|
||||
|
||||
const ID = "linregmaker"
|
||||
|
||||
var notionModifier = fixedpoint.NewFromFloat(1.1)
|
||||
|
|
@ -403,7 +405,6 @@ func (s *Strategy) getOrderQuantities(askPrice fixedpoint.Value, bidPrice fixedp
|
|||
}
|
||||
|
||||
// getAllowedBalance returns the allowed qty of orders
|
||||
// TODO LATER: Check max qty of margin and futures
|
||||
func (s *Strategy) getAllowedBalance() (baseQty, quoteQty fixedpoint.Value) {
|
||||
// Default
|
||||
baseQty = fixedpoint.PosInf
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user