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Smart Executor

When performing portfolio strategy in long term, Python is a very convenient tool to generate signal and then let Apifiny Algo to handle the execution part, which will mainly using VWap as a reference and have multiple safety check to protect you from quoting at a wrong price you don't want. Below is an example:

"strategies": [
        "CCEventMakerStrategy", {
            "symbol": "BTCUSDT", 
            "trade_market": "BINANCEUS", 
            "account": 10001, 
            "dep_pm": "BTCUSDT.HUOBI_midpx", 
            "model": "Zero_m", 
            "VWap": "BTCUSDT.HUOBI_Vwap", 
            "max_spread_bps": 5, 
            "max_quote_frombbo_bps": 1, 
            "update_quote_bps": 2, 
            "quote_bps": 3, 
            "allowed_bps": 5, 
            "order_notional": 500,
            "max_notional": 2500, 
            "max_risk": 2500, 
            "cooloff": 100, 
            "use_separate_logs": true, 
            "close_mode": "none"

Stategy Parameters Overview:

Field Description Default
max_spread_bps Safety check in case that order book is super wide and not safe to quote. 5bps
max_quote_frombbo_bps Cap VWAP desired price at this level, in case it is too far away from BBO. 3bps
quote_bps Control aggresiveness to quote above best bid or below best ask. 1bps
update_quote_bps Cancel and replace new order, if target price is away from current top order. 1bps
allowed_bps Go to IOC mode, if mid_px is away from the last desired VWap. 5bps
cooloff Prevent frequently placing new orders. 100ms