Ladder Algorithm Explained

Optimal ladder/grid trade strategy: when a bot places many orders to buy and sell tokens with prices starting from the spread. When the closest to spread order is filled, a bot adds the same order to the opposite side, following the rule "buy lower than you sell, and sell higher than you buy". It works best in a volatile market.

Abbreviations

• hb — highest bid
• la — lowest ask
• COIN1/COIN2 — a bot’s trade pair
• ld — ladder module order type

Ladder orders

Ladder orders are intended to realize a trading grid strategy, where the bot places many orders to buy and sell tokens with prices starting from the spread:

When the closest to spread ladder order is filled, a bot adds the same order to the opposite side. For example, if someone takes the 100 COIN1 @0.105 COIN2 ladder sell-order:

Purpose

Ladder orders:

• Gives a profit, as a bot sells higher than it buys or buys lower than it sells
• Makes the liquidity higher and order books richer

Work algorithm

See the Ladder algorithm code.

Example

Current order book:

Command: /start ld 100 USDT 6 1%

Bot steps:

• Calculate middle price: (0.100 + 0.090) /2 = 0.095
• Place the first bid as 0.095 – 1% = 0.094, amount ~99 USDT
• Place the second bid as 0.094 – 1% = 0.093, amount ~100 USDT
• Place the third bid as 0.093 – 1% = 0.092, amount ~101 USDT
• Place the 4th bid as 0.092 – 1% = 0.091, amount ~101 USDT
• Place the 5th bid as 0.091 – 1% = 0.090, amount ~100 USDT
• Place the 6th bid as 0.090 – 1% = 0.089, amount ~100 USDT
• Place the first ask as 0.095 + 1% = 0.096, amount ~99 USDT
• Place the second ask as 0.096 + 1% = 0.097, amount ~100 USDT
• Place the third ask as 0.097 + 1% = 0.098, amount ~101 USDT
• Place the 4th ask as 0.098 + 1% = 0.099, amount ~101 USDT
• Place the 5th ask as 0.099 + 1% = 0.100, amount ~101 USDT
• Place the 6th ask as 0.100 + 1% = 0.101, amount ~101 USDT

Result order book:

Comments

• ld-orders are stored in local DB with their states:
  • Not placed, with a reason:
    • Unable to calculate amount
    • Not enough balances
    • No order id returned
  • Open
  • Filled
  • Partly filled
  • Cancelled
  • Missed
  • To be removed
  • Removed
• A bot constantly checks if all of ld-orders open
  • If not, it restores orders in Cancelled and Not placed states
  • If there is not enough balance to place ld-order, a bot notifies, sets it in Not placed state, and tries to place it again on the next check
• A bot replaces fully filled orders according to ladder/grid strategy
• /clear all and /clear ld commands close all open ld-orders
  • Set them in Cancelled state
  • If the ladder module is active, it will restore ld-orders on the next check
• /stop ld will disable the module and reset all ladder orders' states and history
  • It will not close opened ld-order. To close them, an admin can run /clear all or /clear ld additionally
  • Next, /start ld will create a new grid of ld-orders, not connected to the previous one

Enable & disable ladder module

Command to enable ladder module has parameters:

/start ld {AMOUNT} {COIN} {COUNT} {STEP%} [mid {MIDPRICE} COIN2]

• AMOUNT — order value in COIN. AMOUNT will be with a random factor of 2%. It’s a float number with precision depending on an exchange. AMOUNT can be in COIN1 or COIN2.
• COUNT — number of orders each side, buy and sell. Total ld-orders count is COUNT*2.
• STEP% — how much consequent orders will differ by price
• [mid {MIDPRICE} COIN2] — optional middle price setting. If not set, midprice will be (hb + la) / 2.

The command asks for confirmation before running.

Examples

To start the Ladder/ Grid strategy with 30 ~100 USDT orders on each side with a 3% step, starting from the current middle token price:

/start ld 100 USDT 30 1%

To disable the ladder module:

/stop ld