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bshyong / ga-bitbot

Automatically exported from code.google.com/p/ga-bitbot
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Add flash crash protection #19

Closed GoogleCodeExporter closed 9 years ago

GoogleCodeExporter commented 9 years ago 
What steps will reproduce the problem?
1. Run the ga-bitbot system and accumulate held positions
2. Wait until someone dumps a large volume of sell orders into a weak bid 
market depth.
3. ga-bitbot executes stop loss orders on held positions, selling into the crash
4. Cascading stop loss orders from this and other bots drives the price down 
lower yet.

What is the expected output?
Add a delay (wait for lower volitility?) before executing the stop loss order.

Original issue reported on code.google.com by brian.mo...@gmail.com on 17 Jan 2012 at 11:25

Attachments:

GoogleCodeExporter commented 9 years ago 
Added a very rudimentary implementation for flash crash protection.  Right now 
when a stop loss order is triggered, and if flash crash protection is enabled, 
the stop loss trigger is set to zero and max hold is set to three hours 
(configurable in the json config file).

Permanent fix will require a more robust solution.

Original comment by brian.mo...@gmail.com on 18 Jan 2012 at 5:20

GoogleCodeExporter commented 9 years ago 
flash crash protection now limited to the fourth volatility quartile

Original comment by brian.mo...@gmail.com on 21 Jan 2012 at 6:29

GoogleCodeExporter commented 9 years ago 
Closing for now. May revisit later if the need arises.

Original comment by brian.mo...@gmail.com on 24 Jan 2012 at 11:50