bollmaker

type BollingerSetting struct {
	types.IntervalWindow
	BandWidth float64 `json:"bandWidth"`
}

type State struct {
	Position    *types.Position  `json:"position,omitempty"`
	ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
}

type Strategy struct {
	*bbgo.Graceful
	*bbgo.Notifiability
	*bbgo.Persistence

	StandardIndicatorSet *bbgo.StandardIndicatorSet

	// Symbol is the market symbol you want to trade
	Symbol string `json:"symbol"`

	// Interval is how long do you want to update your order price and quantity
	Interval types.Interval `json:"interval"`

	// Quantity is the base order quantity for your buy/sell order.
	Quantity fixedpoint.Value `json:"quantity"`

	// Spread is the price spread from the middle price.
	// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
	// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
	// Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
	Spread fixedpoint.Value `json:"spread"`

	// MinProfitSpread is the minimal order price spread from the current average cost.
	// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
	// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
	MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`

	// UseTickerPrice use the ticker api to get the mid price instead of the closed kline price.
	// The back-test engine is kline-based, so the ticker price api is not supported.
	// Turn this on if you want to do real trading.
	UseTickerPrice bool `json:"useTickerPrice"`

	// MaxExposurePosition is the maximum position you can hold
	// +10 means you can hold 10 ETH long position by maximum
	// -10 means you can hold -10 ETH short position by maximum
	MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`

	// DisableShort means you can don't want short position during the market making
	// Set to true if you want to hold more spot during market making.
	DisableShort bool `json:"disableShort"`

	DefaultBollinger *BollingerSetting `json:"defaultBollinger"`

	// NeutralBollinger is the smaller range of the bollinger band
	// If price is in this band, it usually means the price is oscillating.
	NeutralBollinger *BollingerSetting `json:"neutralBollinger"`

	// StrongDowntrendSkew is the order quantity skew for strong downtrend band.
	// when the bollinger band detect a strong downtrend, what's the order quantity skew we want to use.
	// greater than 1.0 means when placing buy order, place sell order with less quantity
	// less than 1.0 means when placing sell order, place buy order with less quantity
	StrongDowntrendSkew fixedpoint.Value `json:"strongDowntrendSkew"`

	// StrongUptrendSkew is the order quantity skew for strong uptrend band.
	// when the bollinger band detect a strong uptrend, what's the order quantity skew we want to use.
	// greater than 1.0 means when placing buy order, place sell order with less quantity
	// less than 1.0 means when placing sell order, place buy order with less quantity
	StrongUptrendSkew fixedpoint.Value `json:"strongUptrendSkew"`

	// DowntrendSkew is the order quantity skew for normal downtrend band.
	// The price is still in the default bollinger band.
	// greater than 1.0 means when placing buy order, place sell order with less quantity
	// less than 1.0 means when placing sell order, place buy order with less quantity
	DowntrendSkew fixedpoint.Value `json:"downtrendSkew"`

	// UptrendSkew is the order quantity skew for normal uptrend band.
	// The price is still in the default bollinger band.
	// greater than 1.0 means when placing buy order, place sell order with less quantity
	// less than 1.0 means when placing sell order, place buy order with less quantity
	UptrendSkew fixedpoint.Value `json:"uptrendSkew"`

	// ShadowProtection is used to avoid placing bid order when price goes down strongly (without shadow)
	ShadowProtection      bool             `json:"shadowProtection"`
	ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
	// contains filtered or unexported fields
}