Open atkinson opened 2 years ago
A trade buffer prevents you from sending an order to the market if it only makes a minor change to the position.
e.g. if we have a position of 0.1 ETH and the algorithm says, make it 0.1001 ETH, we probably want to leave the position as is, avoiding trading fees.
pseudocode:
current_position = self.get_position(market) delta = current_position - units if abs(delta) > (trade_buffer * abs(current_position)): if delta < 0: self._place_order(market, side.SHORT, delta) else: self._place_order(market, side.LONG, delta)
trade buffer needs to originate in the strategy (e.g. yolo), and shouldn't really thread all of the way through to execution for implementation.
A trade buffer prevents you from sending an order to the market if it only makes a minor change to the position.
e.g. if we have a position of 0.1 ETH and the algorithm says, make it 0.1001 ETH, we probably want to leave the position as is, avoiding trading fees.
pseudocode:
trade buffer needs to originate in the strategy (e.g. yolo), and shouldn't really thread all of the way through to execution for implementation.