Slippage for maker buy order never catching the market

[bbusche]

I was wondering if there is a setting to help the bot catch a fast moving uptick in price. I have a case where it tried to place 44 Buy orders in a row, and never caught a purchase. I'm using a ta_ema strategy.

[typicalaimster]

Have you tried changing 'c.order_adjust_time' and 'c.order_poll_time'? I lowered my order_adjust_time to 1000. Which is about 1 second between adjustments. Just keep in mind some exchanges might rate limit you. So you have to adjust accordingly.

[bbusche]

@typicalaimster thanks for the tip. I'm trading on GDAX, so can I set both values to 1000?. This is what I encountered with the defaults (5000):

[8:22] Buy: placing buy order at 7252.99 USD, 0.00000000 USD under best bid
[8:23] Buy: placing buy order at 7258.99 USD, 0.00000000 USD under best bid
[8:24] Buy: placing buy order at 7259.99 USD, 0.00000000 USD under best bid
[8:25] Buy: placing buy order at 7261.25 USD, 0.00000000 USD under best bid
[8:26] Buy: placing buy order at 7262.19 USD, 0.00000000 USD under best bid
[8:26] Buy: placing buy order at 7263.99 USD, 0.00000000 USD under best bid
[8:26] Buy: placing buy order at 7264.96 USD, 0.00000000 USD under best bid
[8:27] Buy: placing buy order at 7264.99 USD, 0.00000000 USD under best bid
[8:32] Buy: placing buy order at 7265.07 USD, 0.00000000 USD under best bid
[8:32] Buy: placing buy order at 7265.89 USD, 0.00000000 USD under best bid
[8:32] Buy: placing buy order at 7269.58 USD, 0.00000000 USD under best bid
[8:33] Buy: placing buy order at 7269.99 USD, 0.00000000 USD under best bid
[8:33] Buy: placing buy order at 7270.99 USD, 0.00000000 USD under best bid
[8:34] Buy: placing buy order at 7271.03 USD, 0.00000000 USD under best bid
[8:34] Buy: placing buy order at 7274.99 USD, 0.00000000 USD under best bid
[8:34] Buy: placing buy order at 7278.99 USD, 0.00000000 USD under best bid
[8:35] Buy: placing buy order at 7279.99 USD, 0.00000000 USD under best bid
[8:35] Buy: placing buy order at 7280.00 USD, 0.00000000 USD under best bid
[8:35] Buy: placing buy order at 7280.09 USD, 0.00000000 USD under best bid
[8:35] Buy: placing buy order at 7280.99 USD, 0.00000000 USD under best bid
[8:35] Buy: placing buy order at 7281.97 USD, 0.00000000 USD under best bid
[8:35] Buy: placing buy order at 7282.03 USD, 0.00000000 USD under best bid
[8:35] Buy: placing buy order at 7284.99 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7286.37 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7287.99 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7289.94 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7291.50 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7295.53 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7296.99 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7298.99 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7299.98 USD, 0.00000000 USD under best bid
[8:36] Buy: placing buy order at 7299.99 USD, 0.00000000 USD under best bid
[8:40] Buy: placing buy order at 7300.00 USD, 0.00000000 USD under best bid
[8:40] Buy: placing buy order at 7300.07 USD, 0.00000000 USD under best bid
[8:41] Buy: placing buy order at 7303.20 USD, 0.00000000 USD under best bid
[8:41] Buy: placing buy order at 7305.99 USD, 0.00000000 USD under best bid
[8:41] Buy: placing buy order at 7308.38 USD, 0.00000000 USD under best bid
[8:41] Buy: placing buy order at 7309.64 USD, 0.00000000 USD under best bid
[8:41] Buy: placing buy order at 7313.80 USD, 0.00000000 USD under best bid
[8:41] Buy: placing buy order at 7316.96 USD, 0.00000000 USD under best bid
[8:41] Buy: placing buy order at 7320.91 USD, 0.00000000 USD under best bid
[8:42] Buy: placing buy order at 7324.99 USD, 0.00000000 USD under best bid
[8:42] Buy: placing buy order at 7329.99 USD, 0.00000000 USD under best bid

[typicalaimster]

I'm also on GDAX with my bot. SO far order_adjust_time has been fine at 1000. I'm actually trying 750 and possibly 500. I have order_poll_time set to 2000 for now.. See this as reference...

https://docs.gdax.com/#rate-limits

[bbusche]

@typicalaimster thanks for the additional info. What kind of slippage are you seeing on buy orders now? Has it improved significantly?

[typicalaimster]

I blame GDAX for a bunch of the slippage when thing are trading sideways. I've seen anywhere from 0% to 1% slippage. Making the changes helps when the ribbon is flying away in a flurry and you're trying to buy in. If the market is slowly trading sideways.. It's not going to help.

I will say a few things...

• Using one of the TA strategy you mention.. I've accidentally left the bot in 'live' mode over night. Woke up the next morning and wasn't disappointed. This was a configured bot. Not default settings..
• Lately I've been using the bot to enter LONGER trades using the manual buy and sell. Now that I've been learning more about the TA dark arts and understand a bit more about what the bot is doing.
• I actually configured c.max_slippage_pct to 0.25%. Which is the taker fees for GDAX BTC. Just to get an idea if I should switch to taker vs maker. So far it's only been triggered a hand full of times.

[DeviaVir]

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