This repo is an full Rust impelement of J Fernandez Tapia · 2015.Modeling, optimization and estimation for the on-line control of trading algorithms in limit-order markets Avellaneda-Stoikov market making model extends version
only work for Binance USDT/BUSD PERP and OKX USDT PERP
api client is the exrs
for binance
RUST_LOG=info cargo run --release --bin burgerfilpper config.jsonfor okx
RUST_LOG=info cargo run --release --bin as_okex okex_config.json
{
"api_key": "api_key", // ur key
"secret_key": "secret_key", // ur dirty secret
"base_asset": "1000SHIB",
"quote_asset": "USDT",
"order_qty": 1000000, // how many base_asset each time to bid
"tick_size": 0.000001, // increment of spread, greater than or equal to tick size
"n_spreads": 10, // number of spread increments, greater than 2
"estimate_window": 600000, // estimate window for ak solver (milliseconds).
"period": 2000, // bid and cancel order period (milliseconds). u can set it to 100 to reach binance's max rate limit. At activate market condition should around 2000-5000 milliseconds, boring market condition u can change it to 10000 milliseconds. when the both side can get fill, that would be a suitable parameter.
"sigma_tick_period": 550, // how many tick u want to use for calc the volatility parameter. u can change it to use a different volatility indicator from the code.
"gamma": 0.2, // gamma form the paper
"sigma_multiplier": 1, // hack, when the sigma esitmate did't doing will, u use this hack the paramter new_sigma = sigma * sigma_multiplier
"ema_tick_period": 200, // indicator param
"stoploss": 0.00618, // market stoploss when current holding position loss > 0.618%, u can turn it off by set to 1.
"stoploss_sleep": 300000, // after stop loss, how many milliseconds u want to stop trading.
"stopprofit": 0.00618, // take profit when current holding profit > 0.6%, I personally like 2.6%
"trailing_stop": 0.00382, // when profit fall back to 0.3%, send market order to take profit.
}yes, sometimes it can make money smoothly, but when the informed trader come and have the information advantage, this bot finally will become a Burgerfilpper at McDonald's.
full safe rusty code, relax bruh.