策略類型
Market Making Strategies
Spread-Based Liquidity Provision
Market making strategies provide liquidity by continuously placing bid and ask orders around the current price. Profits are earned from the bid-ask spread while managing inventory risk and adverse selection.
2 個演算法1 個函式庫
演算法網路
做市演算法如何跨函式庫連接
Market Making
Hummingbot2 algos
pure_market_makingintermediate
avellaneda_market_makingadvanced
交易決策流程
做市演算法如何在交易系統中協同運作
1
Spread Calculation
Bid-ask width determination
Base spread from volatility
Inventory skew adjustment
2
Quote Placement
Order book posting
Bid below mid-price
Ask above mid-price
3
Order Execution
Trade capture
Maker order fills
Spread capture
4
Inventory Management
Position balancing
Target inventory level
Max position limits
5
Risk Controls
Adverse selection protection
Toxic flow detection
Circuit breaker triggers
演算法比較
在關鍵維度上對比做市演算法
演算法對比矩陣點擊欄以展開詳情
| 指標 | pure_market_makingHummingbot | avellaneda_market_makingHummingbot |
|---|---|---|
| 複雜度 | ⭐⭐⭐intermediate | ⭐⭐⭐⭐advanced |
| 預測類型 | 混合 | 混合 |
| 訓練速度 | ⚡⚡ | ⚡⚡ |
| 準確度 | 📊📊 | 📊📊 |
| 最適合 | 通用 | 通用 |
Hummingbot
Single-exchange market making with configurable spread, order levels, and inventory management.
速度⚡⚡
準確度📊📊📊
關鍵參數
| bid_spread | 0.01 | Bid spread from mid price (1%) |
| ask_spread | 0.01 | Ask spread from mid price (1%) |
| order_amount | 1 | Order size per level |
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Market Making Strategies，演算法參考
- pure_market_making (Hummingbot)
- Single-exchange market making with configurable spread, order levels, and inventory management. 關鍵參數： bid_spread (Bid spread from mid price (1%)), ask_spread (Ask spread from mid price (1%)), order_amount (Order size per level), order_refresh_time (Seconds before order refresh).原始碼： https://github.com/hummingbot/hummingbot/tree/master/hummingbot/strategy/pure_market_making.
- avellaneda_market_making (Hummingbot)
- Avellaneda-Stoikov optimal market making model with dynamic spread based on inventory risk. 關鍵參數： risk_factor (Inventory risk aversion parameter (gamma)), order_amount (Base order amount).原始碼： https://github.com/hummingbot/hummingbot/tree/master/hummingbot/strategy/avellaneda_market_making.