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bbgo_origin/config/bollmaker.yaml

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---
persistence:
redis:
host: 127.0.0.1
port: 6379
db: 0
sessions:
binance:
exchange: binance
envVarPrefix: BINANCE
# example command:
# godotenv -f .env.local -- go run ./cmd/bbgo backtest --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: "2022-05-01"
endTime: "2022-08-14"
sessions:
- binance
symbols:
- ETHUSDT
accounts:
binance:
balances:
ETH: 0.0
USDT: 10_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
# amount is used for fixed-amount order, for example, use fixed 20 USDT order for BTCUSDT market
# amount: 20
# 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: true
# 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%
# trendEMA detects the trend by a given EMA
# when EMA goes up (the last > the previous), allow buy and sell
# when EMA goes down (the last < the previous), disable buy, allow sell
# uncomment this to enable it:
trendEMA:
interval: 1d
window: 7
maxGradient: 1.5
minGradient: 1.01
# ==================================================================
# Dynamic spread is an experimental feature. it will override the fixed spread settings above.
#
# dynamicSpread enables the automatic adjustment to bid and ask spread.
# Choose one of the scaling strategy to enable dynamicSpread:
# - amplitude: scales by K-line amplitude
# - weightedBollWidth: scales by weighted Bollinger band width (explained below)
# ==================================================================
#
# =========================================
# dynamicSpread with amplitude
# =========================================
# dynamicSpread:
# amplitude: # delete other scaling strategy if this is defined
# # window is the window of the SMAs of spreads
# window: 1
# askSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# 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
# range: [ 0.001, 0.002 ]
# bidSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# 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
# range: [ 0.001, 0.002 ]
#
# =========================================
# dynamicSpread with weightedBollWidth
# =========================================
# dynamicSpread:
# # weightedBollWidth scales spread base on weighted Bollinger bandwidth ratio between default and neutral bands.
# #
# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
# # And the neutral band: from bn_lower to bn_upper
# # Set the sigmoid weighting function:
# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
# # - The wider neutral band get greater ratio
# # - To ask spread, the higher neutral band get greater ratio
# # - To bid spread, the lower neutral band get greater ratio
# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
#
# weightedBollWidth: # delete other scaling strategy if this is defined
# # sensitivity is a factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
# # A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
# sensitivity: 1.0
#
# askSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# linear:
# # from down to up
# domain: [ 0.1, 0.5 ]
# range: [ 0.001, 0.002 ]
# bidSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# linear:
# # from down to up
# domain: [ 0.1, 0.5 ]
# range: [ 0.001, 0.002 ]
# 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
# uncomment this if you want a fixed position exposure.
# maxExposurePosition: 3.0
maxExposurePosition: 10
# 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 is a long-term time frame bollinger
# this bollinger band is used for controlling your position (how much you can hold)
# when price is near the upper band, it holds less.
# when price is near the lower band, it holds more.
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: true
# buyBelowNeutralSMA: when this set, it will only place buy order when the current price is below the SMA line.
buyBelowNeutralSMA: true
exits:
# roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
# force to take the profit ROI exceeded the percentage.
- roiTakeProfit:
percentage: 3%
- protectiveStopLoss:
activationRatio: 1%
stopLossRatio: 0.2%
placeStopOrder: false
- protectiveStopLoss:
activationRatio: 2%
stopLossRatio: 1%
placeStopOrder: false
- protectiveStopLoss:
activationRatio: 5%
stopLossRatio: 3%
placeStopOrder: false
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