Center Price Offset Based on Asset Balances

2.0 Centre Price Offset Based on Asset Balances

2.0.1 This method shifts the calculated centre price of the Relative Orders strategy either up or down in order to assist in keeping the portfolio in balance - to not end up holding only the other asset, and to help maximize profits.

2.1 The maximum offset is a little less than half of the user-defined spread. If the spread is set to 10%, the center price will automatically be adjusted up or down somewhere between 0 and 4.88%. How much of this range is used is determined from portfolio balance. If the user has 2x more in value of Base asset than of Quote asset, the offset will be 2/3 of maximum. The exact formula if there is more of Quote asset is: center_price = center_price * sqrt( 1 + ( spread * ( quote_value / total_value )))

2.2 This has several effects:

2.2.1 When a sell order fills, the method will immediately adjust the centre price upwards more than the centre price has actually moved. Your buy order will still never exceed the actual centre price.

2.2.2 If the price isn't moving anywhere, it will be more likely for the new buy order to be filled than the new sell order, effectively restoring balance to the portfolio.

2.2.3 If the filled sell order is a result of the price actually moving up, the strategy will already be on its way up, reacting very quickly to price movements. This will help the strategy cope better with trending prices. The faster the price goes up, the more aggressively the strategy will place buy orders - until portfolio balance is restored. This will likely happen once the price stabilizes somewhere.

2.2.4 Portfolio will never be perfectly in balance, and whenever close to balance, the offset will oscillate to both sides of zero, effectively decreasing the spread. So whenever this is used, the effective spread will be smaller than nominal spread, that is the one set by the user.