Geoff Taylor
|
d15e953ae7
|
Refactor of code to work with mypy --strict
|
2021-11-09 13:23:36 +00:00 |
Geoff Taylor
|
56599a1037
|
Added OrderBook instead of passing around bids and asks. Added it to ModelState too, and cleaned up usage.
|
2021-10-26 18:45:04 +01:00 |
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
|
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
|
0297fda92c
|
Fixed failing FixedSpread tests.
|
2021-09-06 19:27:40 +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
|
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
|
fc1957d9b2
|
Added bias tests.
|
2021-08-23 17:35:09 +01:00 |
Geoff Taylor
|
7db8326a7c
|
More realistic market-maker is now available.
|
2021-07-15 21:03:22 +01:00 |