4 ms·

Can you explain what it did? Or why an improper standard deviation would change the profitability of your bot?

• withinboredom 3y ago
  The algorithm was pretty simple, but required access to all standing orders. It would look for resistance building/degrading and capitalize on it, making a bet that it would or wouldn't fully form/degrade based on how fast it was doing so. To do that, it needed to know if new orders were just part of the current resistance or potentially part of a new resistance. The standard deviation helped inform that decision since pretty much anything within a standard deviation of the edge is probably part of the same resistance. It also monitored the buy/sell gap, and took some notes from that (large gaps mean new resistances while a small gap means waiting for a big order to break through and cause volatility).