bbgo_origin/config/bollmaker.yaml

---
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: "2022-01-01"
  endTime: "2022-07-18"
  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

    # 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%

    # EXPERIMENTAL
    #   Dynamic spread is an experimental feature. Use at your own risk!
    #
    #   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:
    #   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 ]
    #   weightedBollWidth: # delete other scaling strategy if this is defined
    #     # Scale spread base on weighted Bollinger band width 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.
    #     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
    # 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:
      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

    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