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订单成交延迟

默认情况下,Hummingbot 在没有活动订单时立即下单;即 Hummingbot 会立即下新订单以替换已成交的订单。如果市场在某个方向上持续移动一段时间,那么继续在该方向上交易的风险就会增加:例如,在价格持续下跌时继续买入并积累基础代币,或在价格持续上涨时继续卖出。

filled_order_delay 参数允许在订单成交后延迟下新订单,这有助于缓解上述情况。

filled_order_delay

当至少有一个订单成交时,需要等待多长时间才下下一组订单。

例如,当 filled_order_delay = 300 时,机器人创建的订单成交后,下一对订单将在 300 秒后才创建。

** 提示:**

How long do you want to wait before placing the next order if your order gets filled (in seconds)?
>>> 300

工作原理

这有助于管理价格趋势期间。例如,在下图中,在价格下跌趋势的情况下,一旦订单刷新,买单就会不断成交。

如果这种情况重复并继续下去,做市商可能会在短短几个订单刷新周期内快速积累大量资产。在上面的示例中,交易者已买入资产 5 次。

通过在已成交订单和下单之间引入延迟,这分散了订单并减少了资产潜在积累,为价格趋势稳定留出一些时间。

如上所示,由于期间 1 的买单已成交,机器人在期间 2、3 和 4 没有下单。所以在这种下跌价格趋势中,机器人只购买了两次(期间 1 和 5),而如果没有启用已成交订单延迟,机器人会在所有五个期间都购买。

举例来说,我们的买单和卖单在 00:00:00 时创建。

00:00:00 - (BTCUSDT) Creating 1 bid order at ['0.005 BTC, 9026.63 USDT']
00:00:00 - (BTCUSDT) Creating 1 ask order at ['0.005 BTC, 9072.081 USDT']
Markets:
  Exchange   Market  Best Bid Price  Best Ask Price  Mid Price
   binance  BTCUSDT         9071.79         9072.13    9071.9

Assets:
                            BTC     USDT
   Total Balance           0.05      500
   Available Balance      0.045 454.8668
   Current Value (USDT) 453.598      500
   Current %              47.6%    52.4%

Orders:
   Level  Type    Price Spread Amount (Orig)  Amount (Adj)       Age
       1  sell 9072.081  0.01%         0.005         0.005  00:00:01
       1   buy  9026.63  0.50%         0.005         0.005  00:00:01

当一个订单成交时,它将在创建新订单集之前等待 filled_order_delay 时间。剩余的订单将根据订单刷新时间取消。请参见下一节的示例。

订单成交延迟(较短的订单刷新时间)

- order_refresh_time: 30.0
- filled_order_delay: 60.0

假设我们的卖单在 00:00:10 时成交。

00:00:10 - (BTCUSDT) Maker sell order of 0.0050000 BTC filled.
00:00:10 - (BTCUSDT) Maker sell order (0.0050000 BTC @ 9072.0810000000 USDT)
                     has been completely filled.

未成交的订单将在创建后 30 秒被取消。这意味着从 00:00:3000:01:09 之间您将看不到任何活动订单。

00:00:30 - (BTCUSDT) Cancelling the buy limit order
Markets:
  Exchange   Market  Best Bid Price  Best Ask Price  Mid Price
   binance  BTCUSDT         9073.91         9074.37    9074.14

Assets:
                             BTC     USDT
   Total Balance           0.045 545.3783
   Available Balance       0.045 545.3783
   Current Value (USDT) 408.3363 545.3783
   Current %               42.8%    57.2%

No active maker orders.
00:01:10 - (BTCUSDT) Creating 1 bid order at ['0.005 BTC, 9047.709 USDT']
00:01:10 - (BTCUSDT) Creating 1 ask order at ['0.005 BTC, 9093.266 USDT']

订单成交延迟(较长的订单刷新时间)

- order_refresh_time: 120.0
- filled_order_delay: 60.0

使用相同的场景,我们的卖单在 00:00:10 时成交,并使买单保持活动状态。

00:00:10 - (BTCUSDT) Maker sell order of 0.0050000 BTC filled.
00:00:10 - (BTCUSDT) Maker sell order (0.0050000 BTC @ 9072.0810000000 USDT)
                     has been completely filled.
Markets:
  Exchange   Market  Best Bid Price  Best Ask Price  Mid Price
   binance  BTCUSDT          9071.8         9072.83   9072.315

Assets:
                             BTC     USDT
   Total Balance           0.045 545.3604
   Available Balance       0.045 500.2273
   Current Value (USDT) 408.2542 545.3604
   Current %               42.8%    57.2%

Orders:
   Level Type   Price Spread Amount (Orig)  Amount (Adj)       Age
       1  buy 9026.63  0.50%         0.005         0.005  00:00:11

请注意时间戳。由于刷新时间比订单成交延迟长,未成交的订单将保持活动状态,直到创建新订单组的时间。

00:01:09 - (BTCUSDT) Cancelling the buy limit order
00:01:10 - (BTCUSDT) Creating 1 bid order at ['0.005 BTC, 9047.709 USDT']
00:01:10 - (BTCUSDT) Creating 1 ask order at ['0.005 BTC, 9093.266 USDT']