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Strategy file: kalmanGrid.js Market: spot

Description

Kalman (1960) state-space filter with Mehra (1970) adaptive innovation covariance. Posts a price-grid centred on the filtered fair value. Spot.

How it works

The Kalman filter (Kalman 1960) provides the optimal linear estimator of a latent state from noisy observations. Applied to market making, it treats the unobserved fair mid-price as a state driven by Brownian motion with observation noise from each trade. The recursive update yields a smooth, lag-minimal fair-value estimate that adapts to changing volatility. The strategy places a grid of post-only orders around this filtered mid: as volatility (the filter's posterior variance) rises, grid spacing widens; as it falls, the grid tightens. The filter's adaptiveness avoids the manual re-parameterisation that fixed-grid strategies require during regime changes.

Capital & Period

Order sizing and candle timeframe

Key Type Default Description
PERIOD select 5 Candle timeframe. The filter updates once per cycle so PERIOD sets the effective filter sampling rate.
TRADING_LIMIT range (range 100..5000) 900 Gunbot-level cap on a single buy order; keep equal to Per-order size.
KG_TL range (range 100..5000) 900 Quote-currency notional per grid order.
KG_CAPITAL_ALLOC range (range 500..50000) 9090 Per-pair capital cap in quote currency.

Allocation

How much of THIS pair’s wallet the strategy may use, what it must start with, and the hard config gate. Trading is BLOCKED until Wallet allocation % is set AND Allocation confirmed is ON. Optional grid splits an order into laddered post-only rungs for better fills.

Key Type Default Description
ALLOC_PCT range (range 1..100) 25 Percentage of THIS pair’s wallet balance the strategy may deploy. Effective cap = min(wallet × this %, the absolute Capital allocation). Every order is clamped to it and can never exceed it. REQUIRED — trading is blocked until this is set (>0) and Allocation confirmed is ON.
ALLOC_CONFIRMED boolean False Explicit acknowledgement that the allocation above is correct for this pair. The strategy will NOT place any entry order until this is ON. A clear "ALLOCATION CONFIGURED" line is logged once it is; otherwise an "ALLOCATION NOT CONFIGURED — refusing to trade" line is logged each cycle.
ALLOC_SPLIT_TOL range (range 0..100) 15 How far the starting base/quote split may deviate from what this strategy needs before it refuses to start. Long-only strategies want mostly quote/cash; two-sided market-makers want ~50/50 base/quote; futures want free margin. Mismatch beyond this % blocks trading (unless Enforce start inventory is OFF).
ALLOC_ENFORCE_SPLIT boolean True When ON, the strategy refuses to trade until the starting base/quote split is within tolerance of what it needs (archetype-aware). When OFF, a mismatch is logged as a warning but trading proceeds.
ALLOC_AUTO_REBALANCE boolean True Two-sided market-makers only. ON by default: if the pair starts off the target base/quote split, the strategy places a single bounded market order on start to reach it (e.g. buys ~half the allocation into base for a 50/50 maker), then begins normal trading. Set to OFF to instead stay blocked and log the exact amount to buy/sell manually. Long-only and futures strategies ignore this.
ALLOC_RESERVE_PCT range (range 0..50) 0 A buffer, as % of wallet, kept BELOW the allocation cap and never deployed. Use to leave headroom for fees/slippage. Effective cap = min(wallet × allocation %, absolute cap) − wallet × this %.
KG_GRID boolean False When ON, an entry order is split into several laddered post-only rungs across a price band instead of one order — often gets better average fills. Cumulative size is still clamped to the allocation. OFF = single order.
KG_GRID_LEVELS range (range 2..10) 3 Number of laddered rungs to split an entry into when "Split entries into a grid" is ON. More rungs = finer fills but more orders.
KG_GRID_SPAN_PCT range (range 0.1..5) 0.5 Price band width, as % from the reference price, across which the grid rungs are spread. e.g. 0.5 places rungs from the reference price down to 0.5% below it (for buys).

Grid

Grid geometry and exits

Key Type Default Description
KG_GRID_LEVELS range (range 2..12) 5 Number of grid levels above and below fair value. 5 means up to 5 buys and 5 sells of size KG_TL can be placed concurrently. More levels = wider total grid range but smaller orders per level.
KG_GRID_SPACING range (range 0.2..2) 0.5 Distance between adjacent grid levels, in multiples of 14-period ATR. 0.5 means levels are spaced 0.5·ATR apart. Lower = tighter grid (more fills, more turnover, more fees); higher = wider grid (fewer fills but each captures a bigger move).
KG_GAIN range (range 0..2) 0.2 Take-profit threshold required for a grid sell to fire (in % above position break-even). Prevents grid sells from realising a loss when fair value drifts down. Set to 0 to allow scratching at break-even.
KG_MAX_DCA range (range 1..15) 6 Maximum number of consecutive grid-buy fills allowed. Caps how deep the strategy can average down on a falling market.
KG_DCA_DECAY range (range 0.5..1) 0.85 Anti-martingale sizing: each successive grid buy is decay^level × first-level size. 0.85 means each level is 85% of the previous (so deeper levels commit less capital). 1.0 disables decay (constant size).
KG_COMPOUND range (range 0..100) 40 Percentage of realised profit reinvested as larger size on subsequent rounds. 0 = harvest everything; 100 = reinvest all.

Kalman Filter

State-space filter + adaptive observation noise

Key Type Default Description
KG_Q_PRICE range (range 0.0001..0.05) 0.001 Q(price): how much the filter trusts new price observations versus its existing estimate. Higher Q = filter follows price more aggressively; lower Q = smoother fair value that lags faster moves.
KG_Q_VEL range (range 0.00001..0.01) 0.0001 Q(velocity): same idea, applied to the price-trend state. Usually keep it at least 10× smaller than Q(price); the velocity state should be the slow one.
KG_R range (range 0.05..1) 0.3 Initial measurement noise R, expressed as a multiplier on ATR². Mehra adaptation updates this online. Affects only the warmup window — once enough innovations accumulate, R is estimated from data.
KG_INNOV_PAUSE range (range 2..6) 3.5 When the latest innovation exceeds this many standard deviations from its rolling mean, trading pauses (the filter is reconverging on a regime shift). 3.5 ≈ stop on rare extreme moves; 2 = stop more aggressively; 6 = almost never stop.
KG_CALIB range (range 10..60) 25 Cycles before the filter is considered calibrated and trading is allowed. Strategy stays in CALIBRATING state until this number of innovations accumulate.
KG_EM_ENABLED boolean True When ON, R is re-estimated periodically from innovation variance (Mehra 1970 Eq. 4). When OFF, R stays fixed at KG_R × ATR² throughout the run.
KG_EM_INTERVAL range (range 5..60) 15 How often R is re-estimated. Lower = more responsive but more jittery R.
KG_EM_WARMUP range (range 10..100) 30 Minimum innovations accumulated before R adaptation kicks in.
KG_EM_LR range (range 0.1..0.7) 0.3 Blend weight applied to each R update. 0 = freeze R; 1 = replace R every refit. 0.3 is a stable mid-point.
KG_R_FLOOR range (range 0.0001..0.01) 0.001 Floor for the adaptive R update. Prevents R from collapsing to zero, which would freeze the filter on stale data.
KG_Q_FLOOR range (range 0.00001..0.001) 0.0001 Floor for process-noise values. Prevents Q from going non-positive.

Risk & Safety

Exposure caps and circuit breakers

Key Type Default Description
KG_MAX_EXP range (range 30..95) 75 Hard cap on quote-asset weight; further grid buys blocked above this exposure.
KG_MAX_DD range (range 2..30) 12 Peak-to-trough equity drop that triggers a pause.

Fees

Fee tier (informational)

Key Type Default Description
KG_FEE range (range 0..0.2) 0.1 Taker fee for your exchange tier, as a percentage. Used in P&L bookkeeping inside the strategy and to size break-even targets. Get the exact number from your exchange fee schedule for your VIP/maker tier; defaults assume retail tier on Bybit/Binance.
KG_MAKER_FEE range (range -0.05..0.1) 0.02 Maker fee for your tier, as a percentage. Set to your actual fee; if you get a rebate, use the Maker rebate variant instead.
KG_SP range (range 2..8) 4 Number of decimal places used to format prices in logs and the sidebar. Purely display — does not affect order rounding (Gunbot handles tick size automatically). Set higher for low-priced pairs (SHIB, etc.) and lower for high-priced pairs (BTC, ETH).

Runtime & Exchange

Logging, warmup, exchange safety toggles

Key Type Default Description
LOG_LEVEL select NORMAL Controls how much the strategy writes to Gunbot logs. SILENT keeps only errors and circuit-breaker messages. NORMAL writes one summary line per cycle plus order events — recommended for live trading. DEBUG adds the internal model state and every decision; use only when investigating a problem.
WARMUP_CYCLES range (range 0..30) 5 How many cycles the strategy collects data before placing any orders. Indicators (ATR, vol, etc.) need a few cycles to stabilise; trading too early gives noisy values. Raise this on slower timeframes (15m candles or longer) or after restarting an empty pair. 0 disables the warmup.
MIN_ORDER_QUOTE range (range 1..25) 5 Floor for order notional in quote currency (typically USDT). The runtime always uses max(this, exchange-minimum), so setting this lower than the exchange minimum has no effect. Raise it if dust orders are getting rejected or you want to enforce a larger per-trade size.
BE_GUARD boolean True When ON, blocks any sell or position-close priced below the position break-even while holding a long. Prevents stop-loss, scratch, max-drawdown and cap-reduce paths from realising a loss — the pair will hold the position until price recovers above break-even. Off = sells below break-even are permitted (standard stop-loss behaviour). Recommended ON for spot accumulation; consider OFF on highly leveraged futures where forced closes are needed.
NO_POST_ONLY boolean False When ON, the strategy uses regular limit orders instead of post-only. Turn this on only if your exchange does not support post-only flags or rejects them, or if you do not benefit from a maker rebate. The strategy auto-applies this on PancakeSwap and Aster regardless of this toggle. OFF (default) is correct for every standard CEX.
KG_TRACE boolean False When ON, writes a structured JSONL audit trail to gunbot_logs/quantroduction/-.jsonl AND echoes every gate, compute, quote, order and fill decision to the main console log. Useful for verifying literature fidelity, debugging mis-fills and post-hoc analysis of strategy behaviour. Default OFF (zero overhead).
VERBOSE_LOGS boolean False When ON, the full Quantroduction × Gunbot dashboard (every config value + state snapshot) re-emits every VERBOSE_INTERVAL_MIN minutes for forensic audit. When OFF (default), the dashboard only fires once per Gunbot restart per pair.
VERBOSE_INTERVAL_MIN range (range 5..240) 30 How often the dashboard re-emits when VERBOSE_LOGS is ON. Lower = more frequent / noisier; higher = quieter. Has no effect when VERBOSE_LOGS is OFF.
BE_GUARD_BLOCK_MARKET_SELLS boolean True Default ON (legacy). Set OFF to enable SOFT BE_GUARD: market sells and closeMarket pass through (treated as urgent / stop-loss). Only limit sells below break-even remain blocked. Prevents BE_GUARD from silently swallowing stop-loss exits.
SCRATCH_LIVENESS_MIN range (range 0..120) 0 When >0: if the pair holds inventory and hasn't filled in N minutes AND the bid is at break-even+1bp, force a market exit to rotate capital. 0 = disabled. Typical: 30.
CONSEC_RESET_CYCLES range (range 60..2880) 480 After this many cycles without any order activity, auto-reset consecutiveLosses to 0. Default 480 cycles ≈ 2h at 15s/cycle. Prevents a 3-loss streak from killing the pair for the entire session.
DRIFT_ATR_FRAC range (range 0..0.5) 0 When >0: scale drift-requote threshold to this fraction of the recent 10-candle high-low range (clamped 2-100 bps). 0 = use fixed *_STALE_DRIFT_BPS. Typical: 0.05 = 5% of recent range. Adapts drift detection to per-pair volatility.
SKEW_QTY_MAX range (range 1..5) 2.5 Maximum ask:bid qty ratio when inventory is heavily skewed. 2.5 means a heavily-bagged pair quotes up to 2.5x ask qty vs bid qty to drain inventory faster. Set 1.0 to disable (symmetric quoting).
SKEW_QTY_TARGET range (range 0.1..0.9) 0.5 Target inventory fraction of pair equity. 0.5 = 50/50 balanced base/quote. Skew kicks in proportionally as actual exposure deviates from target.
PORTFOLIO_INCLUDE boolean True When ON (default), this pair participates in the shared PORTFOLIO_EXP_BUDGET — its exposure counts toward portfolio total and bids pause when budget is exceeded. When OFF, the pair stands alone (use PAIR_EXP_BUDGET for own cap).
PORTFOLIO_EXP_BUDGET range (range 0..1) 0 Cap on total portfolio inventory as fraction of total allocated equity (sum across PORTFOLIO_INCLUDE pairs). 0 = disabled. Typical: 0.6 = 60% inventory cap across the included portfolio. When exceeded, bids pause but exits remain active.
PAIR_EXP_BUDGET range (range 0..1) 0 This pair's own exposure cap as fraction of pair equity (inventory / pair allocated capital). Applies independently of portfolio budget. 0 = disabled. Typical: 0.2 = 20% per-pair cap.
DISABLE_BREAKER_WINDDOWN boolean False When OFF (default), an active breaker (3 consecutive losses or daily loss limit) actively frees capital: cancels open orders and scratch-sells inventory IF profitable (bid >= BE+1bp). When ON, legacy halt-and-hold behaviour.
TRACE_ALL boolean False Master switch for the Quantroduction tracer. When ON, writes detailed per-cycle JSONL to gunbot_logs/quantroduction/ AND emits a verbose console summary. Equivalent to setting every _TRACE to true. Useful for diagnosing silent gates and breakers. Disk overhead ~1MB/day/pair.

Safety & Tuning (v1.0-beta)

Universal safety + tuning knobs added in v1.0-beta. These were previously hidden from the chart page even though the strategy reads them. Setting any of these here will be applied per-pair.

Key Type Default Description
KG_DCA_FROM_HOLDING boolean False When ON, DCA buy sizes are calculated from current quote balance rather than configured TL. Useful for compounding strategies.
KG_KF_Q_PRICE range (range 0.0001..1) 0.001 Process noise variance for the price state in the Kalman filter. Larger = filter trusts new observations more (less smoothing). Default 0.001.
KG_KF_Q_VEL range (range 0.00001..1) 0.0001 Process noise variance for the velocity (drift) state. Smaller than Q_PRICE typically. Default 0.0001.
KG_KF_R range (range 0.001..10) 0.01 Observation noise variance. Larger = filter smooths more aggressively (trusts model over data). Default 0.01.
KG_PERIOD string 1 Candle period in minutes used for this strategy's indicators. Common values: '1', '5', '15'. Some strategies need a long history to warm up indicators.
STRICT_LITERATURE boolean False Master switch. When ON, the strategy disables every operator-grade safety override (BE_GUARD, cross-protection floors, BE ask clamps, drift-ATR scaling, asymmetric sizing, scratch liveness, breaker wind-down) so it runs as faithful as we can make it to the cited academic paper. Use this for paper-comparison backtests or academic research. WARNING: in strict mode the strategy can take real losses (papers prove optimality only in expectation, not per-trade).
NO_CLOSE_MARKET toggle False When true, the strategy NEVER falls back to a market sell to close a held inventory — only post-only limits. Use to prevent any taker fee on exits. Default false (allow market close when necessary).
QUANTRODUCTION_TRACE toggle False When true, this single pair writes detailed cycle events to gunbot_logs/quantroduction/-.jsonl. Use TRACE_ALL to enable across all pairs at once; this knob overrides per-pair. Default false.
RESET_BREAKER_ONCE toggle False One-shot: set true and Gunbot will clear all tripped risk breakers (consec_losses, daily_loss, max_dd) on this pair on the next cycle, then re-arm them. The setting auto-clears itself after firing. Use when a breaker tripped on a now-stale condition.
RESET_STATS_ONCE toggle False One-shot: set true and Gunbot will clear customStratStore counters (wins, losses, totalPnL, peakEquity, maxDD, dailyPnL, dailyLossLimit) on this pair on the next cycle. The setting auto-clears itself after firing. Useful after a recovery / regime change.

Fill-detector Tuning

Knobs that shape how the strategy's fill detector attributes balance changes to its own orders versus external activity.

Key Type Default Description
KG_COUNT_WINDOW_CY range (range 1..20) 5 How many cycles the stop-loss attribution carry-over stays alive.
KG_PENDING_REAP_CY range (range 5..200) 30 After this many cycles, any placed-but-not-filled rung is dropped from the pending queue. Prevents stale rungs from shadowing real fills if the exchange never fills them.

Portfolio & Runtime (per-pair overrides)

Per-pair runtime knobs. Override any of these on a single pair without changing the strategy defaults.

Key Type Default Description
SPREAD_PNL_JUMP_GUARD range (range 0.1..1) 0.5 Realized-PnL deltas larger than this fraction of pair equity are treated as deposits/withdrawals/data-glitches and skipped. Default 0.5 means a single delta over 50% of equity is ignored. Lower for tighter glitch detection on small accounts.

References & further reading

Configuration playbook