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View Code? Open in Web Editor NEWcrypto currency library for trading & market making bots, account management, and data analysis
License: MIT License
crypto currency library for trading & market making bots, account management, and data analysis
License: MIT License
currently aggressive spreads quote the minimum spread considering other prices.
Even aggressively the current logic misses out on many opportunities to trade very tight spreads.
0.01 - .05 on ETH for example may generate multiple trades in seconds. In low volatility market environments this this trade could be repeated over and over while deeper trades could follow standard minimum spreads considering other order prices. This will in theory increase profitability especially when there are bid or ask walls with small ranges that are inside of the GdaxMarketMaker minimum spread.
We need carefully planned logic for the above.
We should only have 1-2 trades within a tightened range and using a larger account size than normal.
These trades need specific buy and sell targets that do not change... so the order needs to be locked at the price. (maybe) An order can be unlocked and changed only when a wall has moved in front of the price but it should maintain a 0.01 minimum profit.
The GdaxMarketMaker.handle_fill method should recognize and quickly place opposite orders in the tightened spread range...
This method should probably exist on the GdaxMMOrder in case multiple methods need to re-use the logic and most of the work happens on the GdaxMMOrder.price and the GdaxMarketMaker.ticker_price.
This method needs to consider market volatility before determining prices. There are times when ETH has a .30+ spread so we need to really act based on the closest bid and ask on the most recent data every time.
Would like to alert user(s) when OHLC criteria have been hit. RSI, MACD, volume/price, etc.
Design a good database storage system for OHLC.
key features:
need to ensure that placing a GdaxMMOrder requires 1 call to API (the post) and that we can efficiently grab (or ascertain) our order status from the GdaxBookFeed with limited/no extra calls to API.
We need to read, write, analyze, and assign tasks based on OHLC data.
Fields
I/O Formats
Timeframes
Ideal scenario is making the root data set 5 minute candles that can flexibly transform to 15, 1hr, 4hr, daily candles. Most exchanges have downtime so we'd need to be able to smooth over gaps in time between candles using this scenario.
2nd scenario is downloading separate sets of data from API for each time frame, then updating the data source(s) with new data as it became available. On an interval we'd check what data we have, request new data to get us current, then update data.
Abstraction
Task Management
A user should be able to register OTask objects to the OHLC management system.
OTask object requirements:
Example Task:
Calculate 5min, 1min, 4hr RSI and moving averages
If any indicator falls within a certain threshold send an alert to an email address.
Example Process Flow
We need to have a Universal Exchange Object with methods to access exchange data and operations universally. This isn't a new problem so I will likely borrow ideas or code from another project...
Requirements
I don't know what on the API has changed but this issue will be open until it's confirmed that the Gdax API still runs properly.
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