ianmadlenya/qdx-market-maker

Running

(requires Java 8; does not require gradle installation - uses gradle wrapper)

Standalone JAR

(the following steps are for Linux, tested on Ubuntu 15.10)

1. Execute ./gradlew shadowJar from the main project directory (qdx-market-maker).
2. Jar will be created in qdx-market-maker/build/libs/ named qdx-market-maker-<version>-all.jar.
3. Copy the jar to a convenient location, place your quedex-config.properties and market-maker.properties (examples may be found in qdx-market-maker/src/main/resources) next to it.
4. Run the jar with java -jar qdx-market-maker-<version>-all.jar quedex-config.properties market-maker.properties. To exit hit CTRL + C.

From an IDE

0. Clone the repository.
1. Import the gradle project to your favourite IDE (tested with IntelliJ).
2. Fetch the dependencies (should happen automatically).
3. Rename the file quedex-config.properties.example in qdx-market-maker/src/main/resources to quedex-config.properties and fill in your details.
4. Rename the file market-maker.properties.example in qdx-market-maker/src/main/resources to market-maker.properties and change the configuration according to your liking.
5. Run the Main class.

Features

The market making bot:

• places orders with configurable quantities on configurable number of levels
• has configurable spread
• follows a predefined Fair Price for futures (currently last price or mid - change the implementation in the MarketMaker class between LastFairPriceProvider and MidFairPriceProvider)
• places option orders with volatility smile adjustments based on the SABR model with time-dependent volatility of volatility
• has configurable risk management - stops quoting one side of the order book when delta or vega limit exceeded
• enables risk monitoring based on greeks (delta, vega, gamma, theta), per position and in total
• cancels all orders when going down or on error
• is easily extensible

TODO:

• sensitivity to Fair Price changes
• logging configuration
• documentation
• websockets API