mirror of
https://github.com/c9s/bbgo.git
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97 lines
3.4 KiB
YAML
97 lines
3.4 KiB
YAML
---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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# example command:
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# godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
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backtest:
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# for testing max draw down (MDD) at 03-12
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# see here for more details
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# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
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startTime: "2021-08-01"
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endTime: "2021-08-30"
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symbols:
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- ETHUSDT
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account:
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balances:
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ETH: 1.0
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USDT: 20_000.0
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exchangeStrategies:
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- on: binance
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bollmaker:
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symbol: ETHUSDT
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# interval is how long do you want to update your order price and quantity
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interval: 1m
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# quantity is the base order quantity for your buy/sell order.
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quantity: 0.05
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# useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
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# The back-test engine is kline-based, so the ticker price api is not supported.
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# Turn this on if you want to do real trading.
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useTickerPrice: false
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# spread is the price spread from the middle price.
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# For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
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# For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
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# Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
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spread: 0.1%
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# minProfitSpread is the minimal order price spread from the current average cost.
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# For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
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# For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
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minProfitSpread: 0.1%
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# maxExposurePosition is the maximum position you can hold
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# +10 means you can hold 10 ETH long position by maximum
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# -10 means you can hold -10 ETH short position by maximum
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# maxExposurePosition: 3.0
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maxExposurePosition: 10
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# dynamicExposurePositionScale overrides maxExposurePosition
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# for domain,
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# -1 means -100%, the price is on the lower band price.
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# if the price breaks the lower band, a number less than -1 will be given.
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# 1 means 100%, the price is on the upper band price.
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# 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%.
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dynamicExposurePositionScale:
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byPercentage:
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# exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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exp:
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# from down to up
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domain: [ -1, 1 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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range: [ 1.0, 0.05 ]
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# DisableShort means you can don't want short position during the market making
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# THe short here means you might sell some of your existing inventory.
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disableShort: true
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# uptrendSkew, like the strongUptrendSkew, but the price is still in the default band.
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uptrendSkew: 0.8
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# downtrendSkew, like the strongDowntrendSkew, but the price is still in the default band.
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downtrendSkew: 1.2
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defaultBollinger:
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interval: "1h"
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window: 21
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bandWidth: 2.0
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# neutralBollinger is the smaller range of the bollinger band
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# If price is in this band, it usually means the price is oscillating.
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neutralBollinger:
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interval: "5m"
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window: 21
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bandWidth: 2.0
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persistence:
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type: redis
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