Geoff Taylor
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defbfd8c89
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Cleaned up OrderChain Element construction.
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2021-10-08 19:55:38 +01:00 |
Geoff Taylor
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26aabd23e9
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Simplified and improved marketmaker hedging.
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2021-10-02 12:28:16 +01:00 |
Geoff Taylor
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66e137e726
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Fixed bug where PreventPostOnlyCrossingBookElement wouldn't change orders if there wasn't both a top bid and a top ask.
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2021-09-29 18:03:25 +01:00 |
Geoff Taylor
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39c591fc6f
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Made order chain more configurable, added MarketmakingOrderChain to docs.
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2021-09-02 12:01:41 +01:00 |
Geoff Taylor
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86f7933bcb
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Fixed problem calculating the proper tick under/over the top orderbook prices.
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2021-09-01 18:33:38 +01:00 |
Geoff Taylor
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b57ef58d63
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Added a RoundToLotSizeElement element to marketmaker chain.
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2021-08-31 12:36:23 +01:00 |
Geoff Taylor
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b89a072cdd
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Moved not_quoting to model_state (where external components and orderchain elements can both access it). Added a state bag to model_state too.
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2021-08-26 09:19:51 +01:00 |
dd
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958dd87d1c
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fixed bug in preventpostonlycrossingbookelement.py where bid was being compared against best bid. Now compares against best ask
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2021-08-25 16:41:28 -04:00 |
dd
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05d78ea0b0
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top_ask and top_bid now return None if book is empty.
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2021-08-25 10:20:53 -04:00 |
Geoff Taylor
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3419c89033
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Moved marketmaker to an 'orderchain' model.
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2021-08-22 19:48:20 +01:00 |