trading-parameters.ts

trading-parameters.ts

import Persistable from './_persistable'

type Exchange =
  'coinbase' |
  'hitbtc'

type CurrencySymbol =
  'USD' |  
  'BTC' |
  'ETH' |
  'LTC'

type TradingPair = [CurrencySymbol, CurrencySymbol]

type TradingParametersData = {
  [key: string]   : any

  exchange        : Exchange
  pair            : TradingPair
  // quotingStrategy : QuotingEngine.Strategy
  // fvStrategy      : FairValueEngine.Strategy
  width           : number
  askSize         : number
  bidSize         : number
  
  carpeDiem       : boolean
  useMaxAsk       : boolean
  useMaxBid       : boolean
  usePercentages  : boolean
  
  // ping-pong strategies
  // pingAt    : QuotingEngine.PingAt
  // pongAt    : QuotingEngine.PongAt
  widthPing : number
  
  // ak-47 strategy only
  bullets : number
  range   : number   

  // position management
  usePositionManagement               : boolean
  positionManagementAggression        : number
  positionManagementDynamicAggression : boolean
  // positionManagementPositioningStrategy : PositionManagement.TargetStrategy
  // positionManagementRebalancingStrategy : PositionManagement.RebalancingStrategy
  // target base position positioning strategy
  positionManagementTargetBasePosition  : number
  positionManagementMaxDelta            : number
  // ewmabasic positioning strategy
  positionManagementShortEwma           : number
  positionManagementLongEwma            : number
  
  // prevent buying
  useSwingMitigation                : boolean
  // swingMitigationStrategy           : PositionManagement.RebalancingStrategy
  swingMitigationMaxOneSidedTrades  : number
  swingMitigationIntervalDuration   : number
}

export default class TradingParameters extends Persistable<TradingParametersData> {
  [key: string]: any

  static $collectionName : string = 'trading-parameters'
  
  data: TradingParametersData = {
    exchange:         'coinbase',
    pair:             ['BTC', 'USD'],
    // quotingStrategy:  QuotingEngine.Strategies.Join,
    // fvStrategy:       FairValueEngine.Strategies.BBO,
    width:            .3,
    askSize:          .1,
    bidSize:          .1,
    
    carpeDiem:        true,
    useMaxAsk:        false,
    useMaxBid:        false,
    usePercentages:   false,
    
    // ping-pong strategies
    // pingAt:     QuotingEngine.PingAts.BothSides,
    // pongAt:     QuotingEngine.PongAts.ShortPingFair,
    widthPing:  .3,
    
    // ak-47 strategy only
    bullets: 3,
    range:  .3, 

    // position management
    usePositionManagement:                  false,
    positionManagementAggression:           25,
    positionManagementDynamicAggression:    true,
    // positionManagementPositioningStrategy:  PositionManagement.TargetStrategies.TBP,
    // positionManagementRebalancingStrategy:  PositionManagement.RebalancingStrategies.Stop,
    // target base position positioning strategy
    positionManagementTargetBasePosition:   1,
    positionManagementMaxDelta:             .5,
    // ewmabasic positioning strategy
    positionManagementShortEwma:            100,
    positionManagementLongEwma:             200,
    
    // prevent buying
    useSwingMitigation:               true,
    // swingMitigationStrategy:          PositionManagement.RebalancingStrategies.Stop,
    swingMitigationMaxOneSidedTrades: 5,
    swingMitigationIntervalDuration:  60
  }
}