xfixedmaker

Documentation

Index

• Constants
• type OrderPriceRiskControl
  • func NewOrderPriceRiskControl(referencePrice *indicatorv2.EWMAStream, threshold fixedpoint.Value) *OrderPriceRiskControl
  • func (r *OrderPriceRiskControl) IsSafe(side types.SideType, price fixedpoint.Value, quantity fixedpoint.Value) bool
• type Strategy
  • func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, ...) error
  • func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession)
  • func (s *Strategy) Defaults() error
  • func (s *Strategy) ID() string
  • func (s *Strategy) Initialize() error
  • func (s *Strategy) InstanceID() string
  • func (s *Strategy) Validate() error

Constants

const ID = "xfixedmaker"

Types

type OrderPriceRiskControl

type OrderPriceRiskControl struct {
	// contains filtered or unexported fields
}

func NewOrderPriceRiskControl

func NewOrderPriceRiskControl(referencePrice *indicatorv2.EWMAStream, threshold fixedpoint.Value) *OrderPriceRiskControl

func (*OrderPriceRiskControl) IsSafe

func (r *OrderPriceRiskControl) IsSafe(side types.SideType, price fixedpoint.Value, quantity fixedpoint.Value) bool

type Strategy

type Strategy struct {
	*common.Strategy

	Environment *bbgo.Environment

	TradingExchange string           `json:"tradingExchange"`
	Symbol          string           `json:"symbol"`
	Interval        types.Interval   `json:"interval"`
	Quantity        fixedpoint.Value `json:"quantity"`
	HalfSpread      fixedpoint.Value `json:"halfSpread"`
	OrderType       types.OrderType  `json:"orderType"`
	DryRun          bool             `json:"dryRun"`

	ReferenceExchange       string                   `json:"referenceExchange"`
	ReferencePriceEMA       types.IntervalWindow     `json:"referencePriceEMA"`
	OrderPriceLossThreshold fixedpoint.Value         `json:"orderPriceLossThreshold"`
	InventorySkew           fixedmaker.InventorySkew `json:"inventorySkew"`
	// contains filtered or unexported fields
}

Fixed spread market making strategy

func (*Strategy) CrossRun

func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error

func (*Strategy) CrossSubscribe

func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession)

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) Validate

func (s *Strategy) Validate() error