Summary

Simple market making bot for experimentation.

• limit orders are evenly distributed in a grid
• only responsible for execution
• strategy and risk comes from strategy_config.toml
  • not recommended without a proven strategy component updating the strategy
  • adjust ranges to introduce directional bias
  • adjust frequency for aggressiveness
  • adjust risk limits based on market conditions
• only binance futures testnet and btcusdt is implemented

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Strategy parameters in strategy_config.toml:

• min_spread
  • minimum range to quote on both sides
  • distance from mid price in USD value
  • (should be switched to % in later versions)
• max buy(sell) spread
  • the depth of limit orders can be adjusted separately for each side
  • distance from mid price in USD value
  • bias examples:
    • sideways + low volatility: symmetric ranges narrowly quoted
    • sideways + high volatility: symmetric ranges widely quoted
    • bullish bias: shallow buy range, deep sell range
    • bearish bias: shallow sell range, deep buy range
• granularity
  • defines how many limit orders should be placed evenly between min spread and max spread
• max buy(sell) side
  • value in btc
  • maximum total sum of limit orders for each side
  • if you just want to execute trades in one direction, set this to zero for the other side
• max position size
  • value in btc
  • maximum amount of risk the bot can take in either direction
  • currently this applies for both sell and buy sides
• update interval
  • update frequency in seconds, this is how frequently the bot refreshes the range it quotes
    • short interval means more aggressive execution, the bot will "chase" if it has directional bias
    • large update interval means more patience (e.g. because signal is weaker)
  • update interval amplifies or dampens the effect of volatility
    • high volatility with frequent update means price levels are both revisited and filled more frequently
    • low volatility and rare updates means the orders might not even get visited and filled.

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Usage examples

• averaging out from a large short position
  • set max_buy_side & max_sell_side to zero, set max position size to zero (to make sure no new trades are made)

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Set up .env file with binance testnet credentials:

• BINANCE_API_KEY=your_key
• BINANCE_API_SECRET=your_secret

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Planned features

• make range definitions % based
• allow more sophisticated input for execution
  • separate min range for both sides
  • non-linear grid (e.g. denser towards current price, sparser outwards)
• introduce risk management features
• make other markets configurable
• integration with strategy and risk modules