Geoff Taylor
|
c2615218e3
|
Made more marketmaker Elements work with order 'levels' and take multiple values for different levels.
|
2021-10-24 16:09:07 +01:00 |
Geoff Taylor
|
c17d04152b
|
FixedPositionSizeElement can now take multiple fixed position sizes and properly apply them.
|
2021-10-23 13:44:30 +01:00 |
Geoff Taylor
|
ca1c114371
|
Updated AfterAccumulatedDepthElement to take depth and adjustment parameters.
|
2021-10-22 15:31:31 +01:00 |
Geoff Taylor
|
7f300f6ee0
|
Added more debug information for MinimumChargeElement.
|
2021-10-21 19:57:01 +01:00 |
Geoff Taylor
|
5200add28f
|
Added BiasQuoteElement as possible marketmaker chain element.
|
2021-10-15 14:21:54 +01:00 |
Geoff Taylor
|
b46d6bd0d2
|
Added QuoteSingleSideElement for marketmaker.
|
2021-10-14 09:42:09 +01:00 |
Geoff Taylor
|
defbfd8c89
|
Cleaned up OrderChain Element construction.
|
2021-10-08 19:55:38 +01:00 |
Geoff Taylor
|
19f6a79d52
|
Added ability of ratios and minimumcharge elements to work with bid+ask instead of mid price.
|
2021-10-05 20:43:56 +01:00 |
Geoff Taylor
|
26aabd23e9
|
Simplified and improved marketmaker hedging.
|
2021-10-02 12:28:16 +01:00 |
Geoff Taylor
|
66e137e726
|
Fixed bug where PreventPostOnlyCrossingBookElement wouldn't change orders if there wasn't both a top bid and a top ask.
|
2021-09-29 18:03:25 +01:00 |
Geoff Taylor
|
71ecc5faef
|
Fixed minimumcharge to correctly handle bids/asks that cross the mid-price. Re-ordered default chain so that minimumcharge is enforced before biasing.
|
2021-09-22 17:30:29 +01:00 |
Geoff Taylor
|
920ac364af
|
Fixed incorrect error message in argument exception.
|
2021-09-06 18:21:38 +01:00 |
Geoff Taylor
|
f4af4960d7
|
Added new OrderChain elements. Removed Serum oracle and added Market oracle (which includes Serum oracle functionality plus more). Expanded chain documentation and added oracle documentation.
|
2021-09-06 17:07:26 +01:00 |
Geoff Taylor
|
652296856b
|
Added some logging to head elements of orderchain.
|
2021-09-02 13:30:53 +01:00 |
Geoff Taylor
|
39c591fc6f
|
Made order chain more configurable, added MarketmakingOrderChain to docs.
|
2021-09-02 12:01:41 +01:00 |
Geoff Taylor
|
86f7933bcb
|
Fixed problem calculating the proper tick under/over the top orderbook prices.
|
2021-09-01 18:33:38 +01:00 |
Geoff Taylor
|
b57ef58d63
|
Added a RoundToLotSizeElement element to marketmaker chain.
|
2021-08-31 12:36:23 +01:00 |
Geoff Taylor
|
8bf6384076
|
Added CollateralCalculator to calculate collateral in different market types.
|
2021-08-31 00:30:22 +01:00 |
Geoff Taylor
|
b89a072cdd
|
Moved not_quoting to model_state (where external components and orderchain elements can both access it). Added a state bag to model_state too.
|
2021-08-26 09:19:51 +01:00 |
dd
|
958dd87d1c
|
fixed bug in preventpostonlycrossingbookelement.py where bid was being compared against best bid. Now compares against best ask
|
2021-08-25 16:41:28 -04:00 |
Geoff Taylor
|
8c8ebdc7ae
|
Merge branch 'v3' of https://github.com/blockworks-foundation/mango-explorer into v3
|
2021-08-25 17:09:03 +01:00 |
dd
|
05d78ea0b0
|
top_ask and top_bid now return None if book is empty.
|
2021-08-25 10:20:53 -04:00 |
Geoff Taylor
|
fc1957d9b2
|
Added bias tests.
|
2021-08-23 17:35:09 +01:00 |
Geoff Taylor
|
a8dd489601
|
Added a nicer log mess when biasing marketmaker orders.
|
2021-08-23 15:55:10 +01:00 |
Geoff Taylor
|
3419c89033
|
Moved marketmaker to an 'orderchain' model.
|
2021-08-22 19:48:20 +01:00 |