Add flash crash protection

[GoogleCodeExporter]

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:

• [Screen shot 2012-01-17 at 6.12.15 PM.png](https://storage.googleapis.com/google-code-attachments/ga-bitbot/issue-19/comment-0/Screen shot 2012-01-17 at 6.12.15 PM.png)

[GoogleCodeExporter]

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

• Changed state: Started

[GoogleCodeExporter]

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]

Closing for now. May revisit later if the need arises.

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

• Changed state: Verified