smm/parameters.yaml.example at master · tkcroweth/smm · GitHub

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# =============================================================================
# parameters.yaml.example - 参数说明 (Parameter Reference)
# =============================================================================
#
# --- 账户与数据源 Account & Data Feed ---
#
# account_size
#   Unit: USD  |  单位：美元
#   English: Account size in USD. Used to compute the maximum position value
#            (acc_max = account_size * leverage / 2.05). inventory_delta is
#            position_value/acc_max, so this sets the scale for inventory risk.
#   中文: 账户规模（美元）。用于计算最大持仓价值（acc_max = account_size * 杠杆 / 2.05），
#        inventory_delta = 持仓价值/acc_max，即用该值设定库存/风险规模。
#
# primary_data_feed
#   Unit: (none, choice string)  |  单位：无，取值为 "Binance" 或 "Bybit"
#   English: Primary market data source. "Binance" or "Bybit". If "Binance", the
#            app subscribes to Binance USD-M WebSocket and uses Binance+Bybit
#            features for skew; if "Bybit", only Bybit data is used for skew.
#   中文: 主行情数据源。选 "Binance" 会同时订阅币安 U 本位 WebSocket 并用币安+Bybit 计算 skew；
#        选 "Bybit" 则仅用 Bybit 数据计算 skew。交易与下单均在 Bybit。
#
# binance_symbol / bybit_symbol
#   Unit: (none, trading pair string)  |  单位：无，交易对字符串，如 ETHUSDT
#   English: Derivatives symbol on Binance USD-M and Bybit Futures (e.g. ETHUSDT).
#            bybit_symbol is always used for trading; binance_symbol only when
#            primary_data_feed is Binance.
#   中文: 币安 U 本位与 Bybit 合约的交易对（如 ETHUSDT）。实际交易始终在 Bybit；仅当
#        primary_data_feed 为 Binance 时才会使用 binance_symbol 订阅币安行情。
#
# --- 主偏移量 Master Offsets ---
#
# price_offset
#   Unit: quote currency per unit of base (e.g. USDT for ETHUSDT)  |  单位：报价货币/标的单位（如 ETHUSDT 即为 USDT）
#   English: Constant added to every generated bid/ask price. Positive = all
#            quotes shift higher. API may reject if resulting prices are outside
#            exchange min/max or below zero.
#   中文: 对所有生成的买卖报价统一加上的价格偏移。正数=整体抬价。若导致价格超出交易所
#        范围或低于 0，接口可能报错。
#
# size_offset
#   Unit: base asset quantity (e.g. ETH for ETHUSDT)  |  单位：标的资产数量（如 ETHUSDT 即为 ETH）
#   English: Constant added to every generated bid/ask size. Positive = larger
#            sizes. API may reject if any size is below the exchange minimum.
#   中文: 对所有生成的买卖数量统一加上的数量偏移。正数=整体加大挂单量。若导致任何一档
#        低于交易所最小下单量，接口可能报错。
#
# volatility_offset
#   Unit: same as price, quote currency per unit of base (e.g. USDT)  |  单位：与价格相同，报价货币/标的单位（如 USDT）
#   English: Added to the computed volatility (BBW result). Volatility is used to
#            (1) scale base_spread (multiplier 1~10) and (2) set quote range
#            (base_range = volatility_value/2). Positive = wider spread and range.
#   中文: 与计算得到的波动率（BBW）相加。波动率用于：(1) 放大 base_spread（1~10 倍）；
#        (2) 设定报价区间（base_range = volatility_value/2）。正数=价差与报价区间都变宽。
#
# --- 做市参数 Market Maker Settings ---
#
# base_spread
#   Unit: quote currency per unit of base (e.g. USDT for ETHUSDT)  |  单位：报价货币/标的单位（如 ETHUSDT 即为 USDT）
#   English: Minimum spread (in quote currency units) between best bid and best ask.
#            Actual spread = base_spread * multiplier, where multiplier is
#            clipped from (volatility*100/mid) to [1, 10]. So spread scales with
#            volatility, with base_spread as the floor.
#   中文: 最优买卖价之间的最小价差（报价货币单位）。实际价差 = base_spread * 系数，系数由
#        (波动率*100/中间价) 裁剪到 [1,10]，即随波动率放大，base_spread 为下限。
#
# min_order_size
#   Unit: base asset quantity (e.g. ETH for ETHUSDT)  |  单位：标的资产数量（如 ETHUSDT 即为 ETH）
#   English: Minimum size for the order closest to mid (best bid/ask). Farther
#            orders use sizes between min and max, scaled by skew.
#   中文: 最靠近中间价那一档挂单的最小数量。更远的档位在 min～max 之间按 skew 插值。
#
# max_order_size
#   Unit: base asset quantity (e.g. ETH for ETHUSDT)  |  单位：标的资产数量（如 ETHUSDT 即为 ETH）
#   English: Maximum size for the order farthest from mid. bid_upper = max*(1-bid_skew),
#            ask_upper = max*(1-ask_skew). With skew, effective max can be lower.
#   中文: 离中间价最远一档挂单的最大数量。bid_upper = max*(1-bid_skew)，
#        ask_upper = max*(1-ask_skew)，随 skew 会变小。
#
# inventory_extreme
#   Unit: dimensionless ratio in (0, 1)  |  单位：无纲量比例，取值区间 (0, 1)
#   English: Threshold in (0, 1). When inventory_delta >= inventory_extreme, the
#            strategy stops quoting asks (reduce-only on ask side). When
#            inventory_delta <= -inventory_extreme, it stops quoting bids. So it
#            defines when to go “one-sided” to reduce inventory risk.
#   中文: 区间 (0,1) 的阈值。当 inventory_delta >= inventory_extreme 时不再挂卖单（仅减仓）；
#        当 inventory_delta <= -inventory_extreme 时不再挂买单。即定义何时只做一侧以控库存风险。
#
# --- 波动率 Volatility (BBW) ---
#
# bollinger_band_length
#   Unit: count (number of 1-minute candles)  |  单位：根数（1 分钟 K 线数量）
#   English: Lookback period (number of 1-minute candles) for Bollinger Band Width
#            (BBW). BBW = 2 * bb_band_std * std(closes[-length:]). Used as
#            volatility_value to scale spread and quote range.
#   中文: 布林带宽度(BBW)的回看周期（1 分钟 K 线根数）。BBW = 2 * bb_band_std * std(收盘价)。
#        结果作为 volatility_value 用于放大价差和报价区间。
#
# bollinger_band_std
#   Unit: dimensionless multiplier  |  单位：无纲量倍数
#   English: Standard deviation multiplier for BBW (width = 2 * this * std).
#            Larger value = wider bands = higher volatility_value = wider spread/range.
#   中文: BBW 的标准差倍数（宽度 = 2 * 该值 * std）。越大则带越宽、波动率越大、价差与区间越宽。
#
# =============================================================================

account_size: 100
primary_data_feed: Binance # Choices: ["Binance", "Bybit"]

binance_symbol: ETHUSDT
bybit_symbol: ETHUSDT

# Master offsets
price_offset: 0.0
size_offset: 0.0

# 计算布林带宽度后 这里会加一个偏移值
# 主要防止波动过低的时候布林带宽度过低 导致挂单间隔超级小
volatility_offset: 0.0

# Market Maker Settings
# 属于基础的 spread设置，我觉得这个值根据交易对价格结合费率定期调整
base_spread: 5
min_order_size: 0.01
max_order_size: 0.1
# inventory_delta 的最大值
inventory_extreme: 0.5

# Volatility settings
# 计算布林带指标需要的 K线数量
bollinger_band_length: 20
# 布林带的标准差倍数（宽度 = 2 * 该值 * std）。越大则带越宽、波动率越大、价差与区间越宽。
bollinger_band_std: 2.5