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Platform UpdatesJuly 20, 2018

Market Making on Delta

Saurabh Goyal
Chief Technology Officer
July 20, 2018
What's in this post?

    We are excited to release our first market making bot to the general public. Market making has never been such a breeze. Just bring in your risk capital and start making markets on Delta.

    Source code for market making bot is publicly available on our Github account here. It also contains a step by step guide on how to set it up.

    Bot Logic
    1. Get current best bid and best ask on Delta
    2. Create orders with price levels starting from best bid and best ask. The price spread between consecutive levels is configurable.
    3. When position crosses a configured threshold on one side, stop placing orders on that side. This limits the directional risk the bot is willing to take.
    Resiliency & Alerting
    1. We have added handling for loss of connectivity and other kind of failures at api connector level.
    2. The bot also supports alerts and notifications over email. You just need to configure AWS SES for that.
    Easily Extendable

    Please note that this is a very simple market making bot and a lot of intelligence can be added on the top it. The market making bot is easily extendable, so we encourage active market makers and traders to use their own ideas and further enhance it’s capabilities.

    If you have ideas around how to make it better and want to contribute, feel free to raise a pull request on Github.

    What’s next?

    We are working on a bunch of trend following strategies and can’t wait to release it to our trading community.

    Stay tuned!

    Originally published here on our Medium blog.

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