Comments (11)
A couple more suggestions please:
- Get the mark price ".BXBT" as well cause sometimes on Bitmex there is a huge gap between mid price and mark price and incorporate it into the model.
- Compute volatility online as mark price changes. See here: https://core.ac.uk/download/pdf/52391988.pdf and use the fact that variance is proportional to time.
- Compute OBV signal cause on Bitmex, you will notice that when bid or ask size grows out of proportion it moves in the other direction significantly.
- Incorporate max inventory position and quote only on one side if current inventory (long or short) exceeds max inventory.
- Have a mechanism to close positions if they hit a stop loss criteria.
If you do these you strategy will become better. Good luck.
from gamma-ray.
Thank you for pointing out, could you give a more detailed explaination?
from gamma-ray.
Lets say you configure sigma as 0.03 that means that volatility is 3% of current spot price. Use that value to calculate spreads.
from gamma-ray.
Ah, I see. I'll look into it. Will update here when it is fixed
from gamma-ray.
In the meantime, feel free to send a pull request if there is any fixes or improvements you'd like to add.
from gamma-ray.
Thank you, these are very valuable inputs. I'll add them into the product plan. Looking forward to your suggestions & critics when these are done
from gamma-ray.
Noted, will look into it
from gamma-ray.
sorry to bother you.
I don't understand this issue.
you mean to calculate sigma with leverage? @pavybez @hello2all
from gamma-ray.
from gamma-ray.
thank you~
from gamma-ray.
So sorry to bother you again. I am not major in finance, the knowledge base is a little bit poor.
Now I know why I should convert sigma in % to usdt, but I dont know how to do it? There are some method to calculate sigma in %, but not mention how to convert it, mabe mutiply by mean value or orther else? If any paper mention it or any methods, please tell me.
thanks!
@pavybez
from gamma-ray.
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from gamma-ray.