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Try out 3 ticks away as limit submission

basic_orders
Tyler Goodlet 2021-01-26 11:26:30 -05:00
parent cc5af7319f
commit 990c3a1eac
1 changed files with 8 additions and 2 deletions
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10
piker/_ems.py
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@ -539,11 +539,17 @@ async def _ems_main(
if action == 'buy': if action == 'buy':
tickfilter = ('ask', 'last', 'trade') tickfilter = ('ask', 'last', 'trade')
percent_away = 0.005 percent_away = 0.005
abs_diff_away = 2 * mt
# TODO: we probably need to scale this based
# on some near term historical spread
# measure?
abs_diff_away = 3 * mt
elif action == 'sell': elif action == 'sell':
tickfilter = ('bid', 'last', 'trade') tickfilter = ('bid', 'last', 'trade')
percent_away = -0.005 percent_away = -0.005
abs_diff_away = -2 * mt abs_diff_away = -3 * mt
else: # alert else: # alert
tickfilter = ('trade', 'utrade', 'last') tickfilter = ('trade', 'utrade', 'last')
percent_away = 0 percent_away = 0