avellaneda_market_making

📁 Strategy folder

📝 Summary

This strategy implements the market making strategy described in the classic paper High-frequency Trading in a Limit Order Book written by Marco Avellaneda and Sasha Stoikov. It allows users to directly adjust the kappa, gamma, and eta parameters described in the paper. It also features a simplified mode that allows the user to enter min/max spread parameters that continually recalculate the advanced parameters.

🏦 Exchanges supported

spot exchanges

👷 Maintenance

• Release added: 0.38.0 by CoinAlpha
• Maintainer: CoinAlpha

🛠️ Strategy configs

Config map

Parameter	Type	Default	Prompt New?	Prompt
exchange	string		True	Enter your maker spot connector
market	string		True	Enter the token trading pair you would like to trade on exchange
order_amount	decimal		True	What is the amount of base_asset per order?
parameters_based_on_spread	bool	True	True	Do you want to automate Avellaneda-Stoikov parameters based on min/max spread?
min_spread	decimal		True	Enter the minimum spread allowed from mid-price in percentage?
max_spread	decimal		True	Enter the maximum spread allowed from mid-price in percentage?
vol_to_spread_multiplier	decimal		True	Enter the Volatility threshold multiplier: (If market volatility multiplied by this value is above the minimum spread, it will increase the minimum and maximum spread value)
inventory_risk_aversion	decimal		True	Enter Inventory risk aversion between 0 and 1: (For values close to 0.999 spreads will be more skewed to meet the inventory target, while close to 0.001 spreads will be close to symmetrical, increasing profitability but also increasing inventory risk)
order_refresh_time	decimal		True	How often do you want to cancel and replace bids and asks (in seconds)?
inventory_target_base_pct	decimal	50	True	What is the inventory target for the base asset?
order_optimization_enabled	bool	True	False	Do you want to enable best bid ask jumping?
volatility_sensibility	decimal	20	False	Enter volatility change threshold to trigger parameter recalculation
order_book_depth_factor	decimal	Computed	False	Enter order book depth factor (\u03BA)
risk_factor	decimal	Computed	False	Enter risk factor (\u03B3)
order_amount_shape_factor	decimal	Computed	False	Enter order amount shape factor (\u03B7)
closing_time	decimal	0.04167	False	Enter operational closing time (T). (How long will each trading cycle last in days or fractions of day)
max_order_age	decimal	1800	False	How often do you want to cancel and replace bids and asks (in seconds)?
order_refresh_tolerance_pct	decimal	0	False	Enter the percent change in price needed to refresh orders at each cycle
filled_order_delay	decimal	60	False	How long do you want to wait before placing the next order if your order gets filled (in seconds)?
add_transaction_costs	decimal	False	False	Do you want to add transaction costs automatically to order prices? (Yes/No)
volatility_buffer_size	decimal	1800	False	Enter amount of ticks that will be stored to calculate volatility
order_levels	int	1	False	How many orders do you want to place on both sides?
order_override	json		False
hanging_orders_enabled	bool	False	False	Do you want to enable hanging orders? (Yes/No)
hanging_orders_cancel_pct	decimal	10	False	At what spread percentage (from mid price) will hanging orders be canceled?

📓 Description

Trading logic

Approximation only

The description below is a general approximation of this strategy. Please inspect the strategy code in Trading Logic above to understand exactly how it works.

Coming soon.

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Last update: 2021-09-27