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MMSIM Algorithm

Overview​

Ember offers a simple algorithm that simulates a market maker liquidity provider. It can be used to maintain a desired number of passive orders on an Ember-hosted matching engine (or any destination). This can be handy for UAT environments where we want an animated order book.

This algorithm trails reference prices of specified instruments.

Features​

  • The algorithm maintains a given number of limit BUY and SELL orders on a given market (Ember destination).
  • Limit prices are constantly adjusted to follow the reference price (price source is defined by algorithm subscription). `
  • Limit orders use a randomized price from a formula defined in the config below.
  • The frequency of price adjustments is throttled by the orderSubmitIdleInterval parameter.
  • The algorithm respects the trading schedule of a given exchange (defined using a trading calendar). Does not submit orders during exchange downtime.

Configuration​

  MMSIM: ${template.algorithm.default} {
    factory = deltix.ember.service.algorithm.samples.marketmaker.MarketMakerSimulationAlgorithmFactory

    settings {
        exchange: NIAGARA                 # (OPT) destination and exchange name for submitted orders 

        calendarName: "365D"              # 24/7 by default (if calendar is not available)
        orderSubmitIdleInterval: 1000     # minimal allowed interval between new order/replace requests (in ms)

        maxSideDepth: 5                   # bot maintains the given number of orders per instrument per side
        maxSizeDeviationInTicks: 10000    # bot generates random size of order by formula: minSize + (sizeIncrement * random(0, maxSizeDeviationInTicks))
        maxPriceDeviationInTicks: 1000    # bot generates random price of order by formula: bestPrice +/- (priceIncrement * random(1, maxPriceDeviationInTicks))

        defaultMinSize: 0.0001            # if not available in Security Metdata
        defaultSizeIncrement: 0.00000001  # if not available in Security Metdata
        defaultPriceIncrement: 0.1        # if not available in Security Metdata
        
        maxFailedOrders: 100              # (OPT) max failed orders. If total failed orders > maxFailedOrders then submitting of new orders will be stopped with warning in log
    }

    subscription {
        streams = ["COINBASE"]
        symbols = [BTC/USD,BTC/EUR]
    }
  }