Skip to content

passivbot_modes

Jump to bottom
John Kearney edited this page Sep 17, 2022 · 1 revision

Passivbot Modes

Passivbot has two different ways of generating the grid of entry orders:
Recursive Grid Mode and Static Grid Mode

Common Parameters

  • auto_unstuck_ema_dist: float
    • per uno distance from EMA band to place auto unstuck orders.
    • auto_unstuck_bid_price = lower_EMA_band * (1 - auto_unstuck_ema_dist)
    • auto_unstuck_ask_price = upper_EMA_band * (1 + auto_unstuck_ema_dist)
    • See more in docs/auto_unstuck.md
  • auto_unstuck_wallet_exposure_threshold: float
    • if set to 0, auto unstuck is disabled
    • auto unstuck mode is triggered when wallet_exposure >= wallet_exposure_limit * (1 - auto_unstuck_wallet_exposure_threshold)
    • auto unstuck entry qty will bring wallet_exposure to wallet_exposure_limit
    • auto unstuck close qty will bring wallet_exposure to wallet_exposure_limit * (1 - auto_unstuck_wallet_exposure_threshold)
    • See more in docs/auto_unstuck.md
  • ema_span_0: float
  • ema_span_1: float
    • spans are given in minutes
    • one more EMA is added in between span_0 and span_1
    • EMA_spans = [ema_span_0, (ema_span_0 * ema_span_1)**0.5, ema_span_1]
    • ema_band_lower = min(emas)
    • ema_band_upper = max(emas)
  • enabled: bool
  • initial_eprice_ema_dist: float
    • if no pos, initial entry price is
      • ema_band_lower * (1 - initial_eprice_ema_dist) for long
      • ema_band_upper * (1 + initial_eprice_ema_dist) for short
  • initial_qty_pct: float
    • initial_entry_cost = balance * wallet_exposure_limit * initial_qty_pct
  • min_markup: float
  • markup_range: float
  • n_close_orders: int (if float: int(round(x)))
    • Take Profit (TP) prices are spread out from
      • pos_price * (1 + min_markup) to pos_price * (1 + min_markup + markup_range) for long
      • pos_price * (1 - min_markup) to pos_price * (1 - min_markup - markup_range) for short
      • e.g. if pos_price==100, min_markup=0.02, markup_range=0.03 and n_close_orders=7, TP prices are [102, 102.5, 103, 103.5, 104, 104.5, 105]
      • qty per order is pos size divided by n_close_orders
    • say long, if one TP ask is filled and afterwards price dips below that price level, bot recreates TP grid with reduced qty on each price level
  • wallet_exposure_limit: float
    • bot limits pos size to wallet_balance_in_contracts * wallet_exposure_limit
    • See more in docs/risk_management.md

Static Grid Mode Parameters

  • eprice_exp_base
    • if 1.0 spacing between all nodes' prices is equal
    • higher than 1.0 and spacing will increase deeper in the grid
  • eprice_pprice_diff
    • per uno distance from entry price to pos_price if filled
    • a node's qty is determined such that pos price after fill is equal to entry price * (1 +/- eprice_pprice_diff)
    • e.g. if long and pos_price is greater than 101.5 and eprice_pprice_diff=0.015 and entry_price==100 qty will be such that pos price after node fill is 101.5
    • eprice_pprice_diff is dynamically increased behind the scenes in some proportion to wallet_exposure lest wallet_exposure exceeds wallet_exposure_limit
  • grid_span
    • per uno distance from initial entry price to last node's price
  • secondary_allocation
    • per uno allocation of allocated funds to a secondary node which is independent of primary grid
    • e.g. if 0.25, primary grid gets 75% of funds, secondary node gets 25%
    • wallet_exposure_limit is always observed
  • secondary_pprice_diff
    • per uno distance from pos price after last primary grid node is filled to secondary node
    • e.g. if long and pos price after primary grid's exhaustion is 40 and secondary_pprice_diff is 0.15, secondary grid node's price is 40 * (1 - 0.15) == 34

It is called static grid mode because the grid is defined as a whole.
If there already is a position, the grid is reverse engineered by deducing initial entry price
and assuming partial node fills if the guessed grid is not a close match.

Recursive Grid Mode Parameters

  • ddown_factor
    • next_reentry_qty = pos_size * ddown_factor
    • in recursive grid mode ddown factor is static; in static grid mode ddown factor becomes dynamic
  • rentry_pprice_dist
  • rentry_pprice_dist_wallet_exposure_weighting
    • if set to zero, spacing between nodes will be approximately the same
    • if > zero, spacing between nodes will increase in some proportion to wallet_exposure
    • given long,
    • next_reentry_price = pos_price * (1 - rentry_pprice_diff * modifier)
    • where modifier = (1 + ratio * rentry_pprice_dist_wallet_exposure_weighting)
    • and where ratio = wallet_exposure / wallet_exposure_limit

It is called recursive grid mode because the grid is defined recusively by computing each node as if the previous node were filled.

Neat Grid Mode Parameters

  • eqty_exp_base
    • if 1.0, qtys will increase linearly deeper in the grid
    • if > 1.0, qtys will increase exponentially deeper in the grid
  • see static grid mode for the remaining parameters
Clone this wiki locally