bbgo_origin/config/bollmaker.yaml
2022-05-27 16:55:20 +08:00

161 lines
5.8 KiB
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: "2022-05-12"
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.
# dynamicSpread:
# enabled: true
# # 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 ]
# 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
# Set up your stop order, this is optional
# sometimes the stop order might decrease your total profit.
# you can setup multiple stop,
stops:
# use trailing stop order
- trailingStop:
# callbackRate: when the price reaches -1% from the previous highest, we trigger the stop
callbackRate: 5.1%
# closePosition is how much position do you want to close
closePosition: 20%
# minProfit is how much profit you want to take.
# if you set this option, your stop will only be triggered above the average cost.
minProfit: 5%
# interval is the time interval for checking your stop
interval: 1m
# virtual means we don't place a a REAL stop order
# when virtual is on
# the strategy won't place a REAL stop order, instead if watches the close price,
# and if the condition matches, it submits a market order to close your position.
virtual: true