search

ronaldlam / Autotrageur

Automated arbitrageur
2 stars 1 forks source link

Arbitrage: Update the set_target_amounts() call in poll_opportunity to take min(cur_value, max_trade_size) #219

Closed ronaldlam closed 5 years ago

ronaldlam commented 5 years ago

We chunk up trades to a maximum of max_trade_size. Currently the poll determines prices with:

self._manager.trader1.set_target_amounts(
            max(self.vol_min, self._manager.trader1.get_adjusted_usd_balance()))
self._manager.trader2.set_target_amounts(
            max(self.vol_min, self._manager.trader2.get_adjusted_usd_balance()))

We can improve spreads by using the minimum of max_trade_size and the current implementation.