[Sim] model for slippage, via openmesh.network data. Bonus: put into trader

[trentmc]

Background / motivation

We've found that slippage makes a huge difference to profitability. Slippage can be thought of as extra fees.

For bot flow (pdr_backend/trader): fees and slippage are naturally modeled in trader bots, because they're trading on real world data in real time. We've observed this in practice.

For simulation flow (pdr_backend/predictoor/approach3): it already models fees. But it does not model slippage.

Jaime's simulations do model slippage by bringing in historical + realtime orderbook data purchased from kaiko. By modeling it, and accurately, he was able to devise a trading strategy to account for it.

• But this is not yet part of the approach3 simulation flow
• And it uses data that opf had to purchase

In early Oct 2023, Trent met the founder of openmesh.network (Ashton) who shared that they have historical + realtime orderbook data, for free.

• A potential hitch: openmesh.network may not have everything we need. If this is the case, we can investigate other options. See "Where & How to Get Crypto Data" GDoc..
• A hitch: the non-ccxt API will be different than ccxt. So it'll take effort to change things
• Bonus: the non-ccxt may have Binance trading pairs available. If yes, this could be the cleanest solution to pdr-private#37 "US would-be predictoors can't see binance data from ccxt or binance api"

TODOs

• [ ] Find free historical + realtime orderbook data. Starting point: play with openmesh.network
• [ ] Update simulation flow (and maybe more) with new data source for status quo data
• [ ] Update simulation flow to model slippage
• [ ] (Bonus) update simulation flow where trader accounts for slippage, using Jaime's heuristic
• [ ] (Bonus) update trader bot flow to account for slippage using the the heuristic ^

[trentmc]

Using a github issue isn't the place to track this. We are tracking in the "Make $" GDoc. Can close this, to reduce mental overhead