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[Trading Mode] Implement market making #31

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merged 1 commit into from
Feb 11, 2019
Merged

[Trading Mode] Implement market making #31

merged 1 commit into from
Feb 11, 2019

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Herklos
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@Herklos Herklos commented Feb 8, 2019 •
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revolves #34

@Herklos Herklos self-assigned this Feb 8, 2019
@Herklos Herklos added TA evaluator About TA evaluator tentacle trading mode About trading mode tentacle labels Feb 8, 2019
@Herklos Herklos requested a review from GuillaumeDSM February 8, 2019 17:49
@Herklos Herklos mentioned this pull request Feb 8, 2019
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@Herklos Herklos changed the title WIP [Trading Mode] Implement market making [Trading Mode] Implement market making Feb 8, 2019
GuillaumeDSM
GuillaumeDSM reviewed Feb 10, 2019
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Trading/Mode/market_maker_trading_mode.py Outdated
quantity = self._get_quantity_from_risk(trader, current_symbol_holding)
quantity = self.add_dusts_to_quantity_if_necessary(quantity, price,
symbol_market, current_symbol_holding)
limit_price = best_ask_price + (best_ask_price * delta_ask * quantity)
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Just for info, why (in short and long) add a linear correlation to quantity ? If I understand it well, it will make orders further and further from the current price as quantity increase and with enough quantity it will never trade anything because too far in the order book ?

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Yes, you are totally right.

@Herklos Herklos merged commit d626c91 into Drakkar-Software:dev Feb 11, 2019
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@GuillaumeDSM GuillaumeDSM GuillaumeDSM approved these changes

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