Modelling a parametric order book

[desrever]

Is dynamic spread setting a part of the parametric order setting planned by you?

it is, and it is called “market aware adaptive order books” in the roadmap

[cryptog]

it is, and it is called “market aware adaptive order books” in the roadmap

this: “0.4.1 :
Market-aware liquidity distribution models ( adaptive )”

I believe this feature would be extremely important if we want to increase drastically the number of LPCs and therefore perhaps deserves to be implemented in priority. What do you think?

[desrever]

While I will take inputs on the urgency, there are some items that simply cannot be implemented before others for technical reason. This is one of them, and it depends on reaching previous milestones.

[cryptog]

This is one of them, and it depends on reaching previous milestones.

Tks for your answer. Got it.

[cryptog]

So shifting a “simple” order book with 5 orders per side, requires a minimum of 20 API requests .

How would B&C respond to those 20 API requests?

[desrever]

Just bumping to say that last issues are being resolved and current release is practically ready. Tomorrow I will start live testing of 0.3.2 which implements the first version of parametric orderbooks.

It’s going to be fun, stay tuned

[masterOfDisaster]

That’s great!
I understand that this will be very much needed for BCE.
It seems that currently except for NuLagoon no liquidity operation uses NuBot and can make use of it, right?

I miss integration into ALP (formerly known as TLLP) on the NuBot development roadmap, that was sketched like this:

NuBot development roadmap - From 0.1 to 1.0

how would you imagine it working from TLLP perspective?

However you prefer Give me a socket, a memory map, a ProcessQueue or simply reparse the config file from time to time. I just need to tell the nubot that it must not place more than X NBT on the buy or sell side right now.

Are there plans of providing ALP with parametric order book capabilities?

[desrever]

Are there plans of providing ALP with parametric order book capabilities?

Oh yes, we did found a solution for creon’s demand which allows third parties to interact with the bot’s configuration parameter via API, at runtime.

[masterOfDisaster]

Awesome!

[desrever]

very very poorly documented [here][1] . Will refresh this documentation once 0.3.2 is out
[1]: https://bitbucket.org/JordanLeePeershares/nubottrading/src/450dd974e35756bbb83773d4ee5e8b40d2add8c5/docs/API.md?at=master&fileviewer=file-view-default

[cryptog]

It seems that the documentation has been included into doc.nubits.com recently. https://docs.nubits.com/parametric-orderbook/
Nice.
I took a look at the OP’s date: January 2015.
Almost 9 months have passed…
I suppose this is the amount of time required to develop such a sophisticated bot behavior.

I have a question that might sound naive, at this stage. I assume that the goal (G) of a parametric order book is to avoid putting all the liquidity into one single order price so that a rogue trader is prevented to access a huge amount of cheap liquidity in a single order. So what the bot would do is to spread the liquidity over different order prices that go higher and higher on the sell side.
When the least expensive sell side order is filled, the bot would shift down the next sell side order to the least expensive sell side order position.
But this will not prevent a trader to eat up all the sell orders book rapidly.
The difference is instead of letting him or her do it in a single order, the bot will force him or her to do it gradually but at the end (G) is not accomplished.
Am I wrong in my understanding?

[desrever]

Almost 9 months have passed…

Sorry for letting you wait, but before that we had to clear previous items.

The implementation/design started on 2015-07-22 with this commit and the first release candidate has been tagged on 2015-09-21 (0.3.2-RC1) .
Considering holidays august in the middle, that’s more or less one month + of part-time development

The difference is instead of letting him or her do it in a single order, the bot will force him or her to do it gradually but at the end (G) is not accomplished.

You made a very good question and also have a good comprehension of how it works. This week we should be done with testing and I will spend decent amount of time explaining how it works and what’s next, so you’ll get a better understanding how we will go towards (G)

[cryptog]

less one month + of part-time development

Wo. That is rather very quick.

and I will spend decent amount of time explaining how it works

Really looking forward to it.

[desrever]

See announcement of NuBot 0.3.2 release NuBot releases

[cryptog]

Impressive…!

[desrever]

I like seeing it in action :

Hitbitc :

Poloniex :

[cryptog]

NuLagoon and mod puddle?