Geoff Taylor
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56599a1037
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Added OrderBook instead of passing around bids and asks. Added it to ModelState too, and cleaned up usage.
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2021-10-26 18:45:04 +01:00 |
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Geoff Taylor
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c2615218e3
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Made more marketmaker Elements work with order 'levels' and take multiple values for different levels.
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2021-10-24 16:09:07 +01:00 |
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Geoff Taylor
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c17d04152b
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FixedPositionSizeElement can now take multiple fixed position sizes and properly apply them.
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2021-10-23 13:44:30 +01:00 |
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Geoff Taylor
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ca1c114371
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Updated AfterAccumulatedDepthElement to take depth and adjustment parameters.
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2021-10-22 15:31:31 +01:00 |
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Geoff Taylor
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7f300f6ee0
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Added more debug information for MinimumChargeElement.
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2021-10-21 19:57:01 +01:00 |
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Geoff Taylor
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5200add28f
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Added BiasQuoteElement as possible marketmaker chain element.
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2021-10-15 14:21:54 +01:00 |
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Geoff Taylor
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b46d6bd0d2
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Added QuoteSingleSideElement for marketmaker.
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2021-10-14 09:42:09 +01:00 |
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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 |
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Geoff Taylor
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19f6a79d52
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Added ability of ratios and minimumcharge elements to work with bid+ask instead of mid price.
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2021-10-05 20:43:56 +01:00 |
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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 |
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Geoff Taylor
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71ecc5faef
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Fixed minimumcharge to correctly handle bids/asks that cross the mid-price. Re-ordered default chain so that minimumcharge is enforced before biasing.
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2021-09-22 17:30:29 +01:00 |
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Geoff Taylor
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0297fda92c
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Fixed failing FixedSpread tests.
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2021-09-06 19:27:40 +01:00 |
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Geoff Taylor
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f4af4960d7
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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.
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2021-09-06 17:07:26 +01:00 |
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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 |
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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 |
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Geoff Taylor
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fc1957d9b2
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Added bias tests.
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2021-08-23 17:35:09 +01:00 |
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Geoff Taylor
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7db8326a7c
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More realistic market-maker is now available.
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2021-07-15 21:03:22 +01:00 |