A trading bot written in Rust based on the orderbook delta volume.

Related tags

Miscellaneous orderbook-delta-bot
Overview

Orderbook Delta Bot

A trading bot written in Rust.

The strategy based on the concept of mean reversion. We look for large deviations in the volume delta of BTC-PERP on FTX at a depth of 1. These deviations could be caused by over-enthusiastic and over-leveraged market participants.

We counter-trade those deviations, and enter short/long positions based on triggers given by a large deviation (> 2 SDs) on the orderbook delta from a (10-20) period rolling bollinger band.

We are testing this with BTC-PERP on FTX, which has good liquidity and small spreads. In principle, the scheme could be modified for lower liquidity pairs too, perhaps by adjusting the bollinger band width and length for generating triggers.

We use the definitions :

Name Definition
delta_perp Difference between bid and ask volume at depth = 1 on BTC-PERP
bb_upper Upper bollinger band of delta_perp
bb_lower Lower bollinger band of delta_perp
Trigger Position
delta_perp > bb_upper short
delta_perp < bb_lower long

A full analysis of this strategy is detailed in here.

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Comments
  • Issue with other pairs than BTC/ETH

    Issue with other pairs than BTC/ETH

    Hi there,

    I noticed when using other pairs other than BTC/ETH, it will give the following error: [2022-06-01T17:23:08Z INFO orderbook_delta_bot] The bot is not running live, no orders will be placed thread 'main' panicked at 'Multiplication overflowed'

    Maybe it has to do with the precision required for each pair? What can we edit or adjust to be able to run for other pairs?

    Kind regards.

    bug 
    opened by Pusherman2 3
  • Issue with orders

    Issue with orders

    Hello,

    I randomly stumbled across your repo and wanted to test out your implementation. Unfortunately, when I ran the bot, I experienced a few errors.

    When I first set it up, I got an error saying "Unable to place order, Err: API("Invalid reduce-only order"). image

    To fix this, I set reduce-only to false in order_handler.rs which seemed to fix the issue.

    Unfortunately, I also encountered a second problem which occurs after the bot initially takes a trade where it is unable to set a take-profit and stop-loss order and spits out the following error: image

    This one, I'm not sure how to fix. Haven't had too much time to dive into the code. If you have any tips or suggestions please let me know. Any help would be greatly appreciated, thank you in advance :)

    bug 
    opened by krazzarkov 1
  • Archiving `orderbook-delta-bot` due to FTX criminality/insolvency

    Archiving `orderbook-delta-bot` due to FTX criminality/insolvency

    Nothing really to say, I will probably write a future version supporting a different exchange (ideally Binance, because of liquidity, but perps are not supported in my jurisdiction).

    I look forward to the day I can write this for a decentralized and permissionless on-chain protocol.

    Thank you for all your feedback and DMs.

    opened by dineshpinto 0
Owner
Dinesh Pinto
Quantum Physics PhD @ EPFL & Max Planck Institute. Pythonista & Rustacean.
Dinesh Pinto
GitHub
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