fixedmaker

Documentation

Index

• Constants
• type Strategy
  • func (s *Strategy) Defaults() error
  • func (s *Strategy) ID() string
  • func (s *Strategy) Initialize() error
  • func (s *Strategy) InstanceID() string
  • func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error
  • func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)
  • func (s *Strategy) Validate() error

Constants

const ID = "fixedmaker"

Types

type Strategy

type Strategy struct {
	Environment          *bbgo.Environment
	StandardIndicatorSet *bbgo.StandardIndicatorSet
	Market               types.Market

	Interval        types.Interval   `json:"interval"`
	Symbol          string           `json:"symbol"`
	Quantity        fixedpoint.Value `json:"quantity"`
	HalfSpreadRatio fixedpoint.Value `json:"halfSpreadRatio"`
	OrderType       types.OrderType  `json:"orderType"`
	DryRun          bool             `json:"dryRun"`

	// SkewFactor is used to calculate the skew of bid/ask price
	SkewFactor   fixedpoint.Value `json:"skewFactor"`
	TargetWeight fixedpoint.Value `json:"targetWeight"`

	// replace halfSpreadRatio by ATR
	ATRMultiplier fixedpoint.Value `json:"atrMultiplier"`
	ATRWindow     int              `json:"atrWindow"`

	// persistence fields
	Position    *types.Position    `json:"position,omitempty" persistence:"position"`
	ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
	// contains filtered or unexported fields
}

Fixed spread market making strategy

func (*Strategy) Defaults

func (s *Strategy) Defaults() error

func (*Strategy) ID

func (s *Strategy) ID() string

func (*Strategy) Initialize

func (s *Strategy) Initialize() error

func (*Strategy) InstanceID

func (s *Strategy) InstanceID() string

func (*Strategy) Run

func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error

func (*Strategy) Subscribe

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)

func (*Strategy) Validate

func (s *Strategy) Validate() error