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ctubio / Krypto-trading-bot

Self-hosted crypto trading bot (automated high frequency market making) written in C++
https://127.0.0.1:3000
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Bitmex VWAP Addition #1014

Open asfbhero opened 4 years ago

asfbhero commented 4 years ago

Took a while off playing with the bot and have just been trading manually due to some issues with the bitmex implementation that I just couldn't overcome. While trading manually I noticed that using VWAP instead of MAs would give much better signals for the bot to trade from.

While those issues still exist I think that adding Volume Weighted Average Price with something like weekly or monthly calculation periods as an indicator for trend following strategies or with a 24hr period to replace EWMA Price for mean revision market making strategies would be a great addition.

The market making strategies won't work on bitmex because of how the bot isn't able to properly understand margin, but for cash accounts it would be extremely useful.

You could use the slope of the weekly VWAP to determine if you are in a range or a trend, exiting all trades if the slope crosses a certain threshold, otherwise just allowing the bot to do mean revision market making around the 24hr VWAP.

Not sure if the bot is capable of this as it currently exists. Just some food for thought for those of you talented enough to design these things.

nonkreon commented 4 years ago

I think this is the technically correct description of what I tried to explain in #937