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NuBot Parametric Orderbook

Revision History  |  Suggest Update

Introduction

Up until NuBot v0.3.1, all the available liquidity was put up on a large single order, according to the initial design outlined in the whitepaper. Starting from NuBot v0.3.2 and following the evolution of liquidity operation (read community discussions one - two - three 4 ) the bot implements the multi-tier liquidity model.

In this model, NuBot places the vertical walls at the best price (Tier1) along with a tail of orders distributed at premium prices and controlled by bot operators: the parametric order book.

By managing liquidity this way operators can mitigate risks of being exposed to volatility and malicious actors while still providing a solid 1$ peg.

Parametric orderbook

The model is simple and at the same time flexible enough for making it fit in different market scenarios.

  • The model can be configured by the custodian using the configuration file or directly in the UI.
  • The model is dynamic, in the sense that its parameters can be manipulated at runtime.
  • NuBot will implement capabilities to autonomously adapt parameters to best fit market conditions.
  • The buy and sell liquidity can be modelled separately

If you launch NuBot with the GUI, you will be able to change parameters and see a real time preview of how changing parameters affects the shape of your orderbook. The options below are not required and we highly suggest to omit them. NuBot will use the default options automatically.

Parameter Default value Description Admitted values
bookDisabletier2 false if set to true, will only place the tier1 walls boolean
bookSellwall 500 maximum volume to put on sell walls at best price (tier1) double , expressed in NBT ; 0 allowed
bookBuywall 500 maximum volume to put on buy walls at best price (tier1) double , expressed in NBT ; 0 allowed
bookSellOffset depends on currency (0;0.01;0.025) offset from target price double , expressed USD.
bookBuyOffset depends on currency (0;0.01;0.025) offset from target price double , expressed USD.
bookSellInterval 0.008 interval price between two sell orders double , expressed USD. (0.000001,0.3)
bookBuyInterval 0.008 interval price between two buy orders double , expressed USD. (0.000001,0.3)
bookSellMaxVolumeCumulative 0 (unlimited) maximum cumulative volume of open sell orders double , expressed USD.
bookBuyMaxVolumeCumulative 0 (unlimited) maximum cumulative volume of open buy orders double , expressed USD.
bookSellType exp shape of the curve String , linear; exponential; logarithmic;
bookBuyType exp shape of the curve String , linear; exponential; logarithmic;
bookSellSteepness mid steepness of the curve String , flat;low;mid;high
bookBuySteepness mid steepness of the curve String , flat;low;mid;high

Below, a sample JSON representation of the model, to add to custodian configuration file.

{
  "bookDisabletier2": false,
  
  "bookSellWall": 1000.0,
  "bookSellOffset": 0.002,
  "bookSellInterval": 0.015,
  "bookSellMaxVolumeCumulative" : 0,
  "bookSellType": "exp",
  "bookSellSteepness": "low",

  "bookBuywall": 1000.0,
  "bookBuyOffset": 0.048,
  "bookBuyInterval": 0.015,
  "bookBuyMaxVolumeCumulative" : 0,
  "bookBuyType": "log",
  "bookBuySteepness": "low"
}

Dynamics

This section will specify the dynamics of the orders on the orderbook, i.e. how orders are handled over time. [tbd]