Hidden Gains

To determine the price of the next buy when buying the dip, BlueCollar subtracts BDI from a just executed buy's price. On sharp downturns, this price might be above the best ask on the exchange's order book, in which case the order will fill at the lowest ask price and not the requested price.

BlueCollar is kept in the dark that it got a better price for a couple reasons. First, we want the trader to smoothly buy the dip, which it wouldn't do if it was aware of the actual price. That would lead to an undesirable gap between the sells associated with the buy that executed at the start of the decline, and the sell that executed at a lower-than-requested buy price. Second, when the sell price is determined with regard to the requested price (requested_price + PI) it will generate higher than normal profit if/when the sell executes. This is good.

Essentially we always let the trader think it got the requested buy price even though it might have been better, and it profits more when the associated sell executes. The additional risk taken on when buying a sharp dip is paired with a higher possible reward. Records in the database will be accurate, as the buy and sell side of every flipped trade are reconciled with the exchange's actuals upon sell side execution.