twap.md

TWAP Order Execution

Yes, bbgo supports TWAP order execution. If you have a large quantity order want to execute, you can use this feature to update your order price according to the first bid/ask price in the order book.

Usage

bbgo execute-order --session binance --symbol=BTCUSDT \
   --side=sell \
   --target-quantity=100.0 \
   --slice-quantity=0.01 \
   --stop-price=58000

The above command will sell 100 BTC in total and for each slice it places a limit sell order with 0.01 BTC, and only place the sell order when price is above 58000.

bbgo execute-order --session max --symbol=USDTTWD --side=sell --target-quantity=1000.0 --slice-quantity=100.0 --stop-price=28.90

--symbol=SYMBOL is the symbol of the market, the symbol should be in upper-case, for example, USDTTWD or BTCUSDT

--side=SIDE is the side of your order. can be buy or sell.

--target-quantity=TARGET_QUANTITY is the final quantity you want to buy/sell.

--slice-quantity=SLICE_QUANTITY is the slice quantity per order. for example, if you have targetQuantity=100.0 and sliceQuantity=10.0, then the order will be split into 10 orders.

--stop-price the highest/lowest price of your order. for example, the current best bid/ask price is 28.65 and 28.70, if your stop price for BUY is 28.60, your BUY order will stay at price 28.6 and won't be updated. if your stop price for SELL is 28.75, your SELL order will stay at price 28.75 and won't be updated.

--price-ticks the incremental tick spread of the price. for example, the current best bid/ask price is 28.00 and 28.10, the single tick of the USDT/TWD symbol is 0.01, if you set --price-ticks=2, then the order executor will use 28.00 + 0.01 * 2 for your BUY order, and use 28.10 - 0.01 * 2 for your SELL order.

--deadline the deadline duration of your order execution, if time exceeded the deadline time, then the rest quantity will be sent as a market order.