mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 19:13:52 +00:00
40 lines
1.9 KiB
Markdown
40 lines
1.9 KiB
Markdown
## TWAP Order Execution
|
|
|
|
Yes, bbgo supports TWAP order execution. If you have a large quantity order want to execute,
|
|
you can use this feature to update your order price according to the first bid/ask price in the order book.
|
|
|
|
|
|
### Usage
|
|
|
|
```
|
|
bbgo execute-order --session binance --symbol=BTCUSDT \
|
|
--side=sell \
|
|
--target-quantity=100.0 \
|
|
--slice-quantity=0.01 \
|
|
--stop-price=58000
|
|
```
|
|
|
|
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.
|
|
|
|
```
|
|
bbgo execute-order --session max --symbol=USDTTWD --side=sell --target-quantity=1000.0 --slice-quantity=100.0 --stop-price=28.90
|
|
```
|
|
|
|
`--symbol=SYMBOL` is the symbol of the market, the symbol should be in upper-case, for example, `USDTTWD` or `BTCUSDT`
|
|
|
|
`--side=SIDE` is the side of your order. can be `buy` or `sell`.
|
|
|
|
`--target-quantity=TARGET_QUANTITY` is the final quantity you want to buy/sell.
|
|
|
|
`--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.
|
|
|
|
`--stop-price` the highest/lowest price of your order. for example, the current best bid/ask price is 28.65 and 28.70,
|
|
if your stop price for BUY is `28.60`, your BUY order will stay at price `28.6` and won't be updated.
|
|
if your stop price for SELL is `28.75`, your SELL order will stay at price `28.75` and won't be updated.
|
|
|
|
`--price-ticks` the incremental tick spread of the price. for example, the current best bid/ask price is 28.00 and 28.10,
|
|
the single tick of the USDT/TWD symbol is 0.01,
|
|
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.
|
|
|
|
`--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.
|