Improvement: New mode: Double Barrel

[Camille92]

Hello Carles,

This improvement goes in between AK-47 and putting multiple markets in one instance.

I used to use a lot 'AK-47' but I find it too rigid and I did not find it very useful to have more than 2 bullets.

The goal here is to have 2 bullets but that act separately ie: their calculation does not depend on the other. This can allow having a "tight" small bullet and a larger that is not going to be hit very often.

For instance one with a width setting of 0.1% and another with 0.3% in case there is a big movement.

Or one using ewma? and the other one not, one with Stdev and the other one with stdev + BB.

One with stdev at 60 periods and the other one at 600.

In the end, the ultimate goal is to be able to have 2 strategies at once (ideally but you're free to do what you want) one shorter term and one longer term.

(FV, APR mode, SOP, Pdiv, TBP calculation will still be shared.)

What do you think about it? Would that be doable resource wise? Can we send both orders at the same time to not overload the API?

[ctubio]

Hello Camillee'' niiiice idea'¡

about the execution, this could be done at the begining of the quoting engine; since we decide new orders every little milliseconds, we could switch from one strategy to another in intervals of 1, (first A, then B, then A, then B, then A....); without increasing calls to the exchange, i think it will provide us 2 concurrent strategies eaSy

about the configuration, im not sure how to allow the user to define this, but will come up with someshit for sure'¡ (mostly possible with the help of your posts xD)

[ctubio]

(i also think the best bullet value is 2 :dancer:)

[Camille92]

Oh okay, I understand and loosing 1 ms is not too bad! Is it not possible to send orders in batch so the same number of API calls but just 2 orders at once (if it's super complicated better your way).

I was seeing that if you chose double barrel mode, another line of conf will appear with the same option but with a little B (or better something saying "Configuration 2nd strategy): WidthPingB, WidthPongB, BidSizeB, AskSizeB, "width B", "ewma?B" Stdev B, bw?, w%?....

For the configuration, I was thinking of two ways, one that would consume next to 0 additional resources and another one that would consume more. The one that consumes less would only let you use the ewma protection and stdev of your choice (with the factor & BB of your choice) without choosing a different stdev period and ewma period. (So K doesn't have to calculate stdev and ewma protection twice).

While the one using more resources would let you chose a different ewma and stdev period, I don't know how much calculating power stdev and ewma consume but if it's next to nothing better letting the user chose a different one.

I'm happy you like it :)