Info on order levels
These parameters allow you to set multiple levels of orders on each side and gives you more fine-grained control over the spreads and sizes of each set of orders.
The number of order levels to place for each side of the order book.
The size can either increase (if set to a value greater than zero) or decrease (if set to a value less than zero) for subsequent order levels after the first level.
The incremental spread increases for subsequent order levels after the first level.
order_level_spreadto a very low number may cause multiple orders to be placed on the same price level. For example for an asset like SNM/BTC, if you set an order interval percent of 0.4 (~0.4%) because of low asset value the price of the next order will be rounded to the nearest price supported by the exchange, which in this case might lead to multiple orders being placed at the same price level.
Enter the value for
order_levels to specify how many orders you want to place on each side (buy and sell).
3places three bid and three ask orders on each side of the book, for a total of 6 orders.
Users can also increase or decrease the size of subsequent orders starting from the first order in increments or decrements specified in
order_level_amount. This can be set to:
0 if you don't want your multiple order sizes to increase
Greater than 0(i.e 0.4) to allow order sizes to increase by 0.4 after the first level
Less than 0(i.e -2) to allow order sizes to decrease by 2 after the first level
Example: If the order start size is
7000and the order step size is
1000, the second order size is
8000, and the third order is
order_level_spread logic works the same as order step size but instead, it increases the spreads of your subsequent orders starting from the first order.
Example: The spread of your first buy and sell order is
1(1%) and your order interval amount is
2(2%). The spread of your second order is
3(3%), and the third order is
Let us focus on one side of the order for now which is the "sell" side of the order book. Given the sample scenarios above, your active orders will show as:
- market: BTC-USDT - bid_spread: 1 - ask_spread: 1 - order_amount: 0.002 - order_levels: 3 - order_level_amount: 0.002 - order_level_spread: 0.5
Running a bot with the parameters above, the
status command shows 3 levels of orders in the BTC-USDT trading pair:
You might notice that the actual spread in our output is not exactly similar from the parameters we have configured for the percentage. This is because of two things:
- quantization: Hummingbot adjusts order prices to match exchange tick rules and
- changes in market price after order is placed.