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Strategy file: queueReactiveMM.js Market: futures

Description

Huang-Lehalle-Rosenbaum (2015)-style queue-reactive futures MM. Volume-optimal placement with regime detection and L1 imbalance.

How it works

Huang, Lehalle & Rosenbaum (2015) introduced the queue-reactive model, in which the limit order book is a finite-state Markov chain over queue sizes at each price level. Quote insertions, cancellations and trade-throughs are state-dependent: arrival rates depend on whether the queue on each side is short, balanced or long. The model captures the observed fact that thin queues attract more new orders and thick queues experience more cancellations. The strategy fits a queue-reactive process online and quotes more aggressively (joins or improves the touch) when its own side is short and the opposing side is long, fading when the imbalance reverses. Dominates naive imbalance MMs because it respects the conditional dynamics rather than just the level.

Capital & Period

Order sizing, leverage, candle timeframe

Key Type Default Description
PERIOD select 5 Candle timeframe. The volume-ratio λ proxy uses candle volume directly, so PERIOD affects regime classification sensitivity.
LEVERAGE range (range 1..20) 5 Futures leverage applied at the exchange. Higher leverage = larger position notional per unit of margin AND larger liquidation risk; the strategy's notional caps are computed relative to this.
TRADING_LIMIT range (range 50..5000) 500 Gunbot-level order size cap. Keep equal to Per-order size.
QR_TL range (range 50..5000) 500 Quote-currency notional per quote order.
QR_CAPITAL_ALLOC range (range 500..50000) 5000 Per-pair capital cap.

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 %.
QR_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.
QR_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.
QR_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).

Quoting

Spread response to volume regime and L1 imbalance

Key Type Default Description
QR_BASE_HALF range (range 1..25) 4 Floor half-spread used in the active (high-volume) regime. Total bid-ask spread is roughly 2× this in active regimes. Lower for tighter quotes; raise to be less aggressive.
QR_MAX_HALF range (range 5..60) 25 Ceiling half-spread used in the quiet (low-volume) regime. The strategy interpolates log-linearly between BASE and MAX based on λ ratio.
QR_VOL_LB range (range 10..100) 30 Candles used to compute the volume baseline against which current volume is compared.
QR_IMB_LB range (range 5..60) 20 Cycles over which L1 top-of-book imbalance is EMA-smoothed before being used to skew quotes.
QR_IMB_INT range (range 0.5..3) 1.2 How aggressively L1 imbalance shifts the quoted spread asymmetrically. 0 = no skew (purely symmetric quoting); higher = more asymmetry under imbalance.
QR_LAMBDA_HIGH range (range 1.2..4) 2 Volume ratio above which the regime is classed "active" and base half-spread is used. 2.0 means current volume ≥ 2× baseline.
QR_LAMBDA_LOW range (range 0.1..0.9) 0.5 Volume ratio below which the regime is classed "quiet" and max half-spread is used. 0.5 means current volume ≤ half the baseline.
QR_FAV_DOWN range (range 0..0.6) 0.3 Maximum tightening factor on the side where book imbalance is favourable. 0.30 means the favourable side's half-spread shrinks by up to 30% under strong imbalance. Heuristic — no specific paper derivation.
QR_UNFAV_UP range (range 0..0.8) 0.4 Maximum widening factor on the unfavourable side. 0.40 means up to 40% wider half-spread on the side likely to be picked off by informed flow. Heuristic.
QR_LEGACY_IMB_MULT boolean False Advanced/legacy. When ON, re-enables the old multiplicative imbalance adjustment on top of the additive skew. Default OFF — the additive imbalance skew is the single, cleaner mechanism. Leave OFF unless reproducing prior behaviour.

Exits & Inventory

Scratch and position cap

Key Type Default Description
QR_SCRATCH_EPS range (range 0.5..10) 2 After a fill, a post-only counter-order is placed at entry ± this many bps. Smaller = exit closer to entry (more scratches, less profit per turn); larger = wait for more profit.
QR_MAX_POS_Q range (range 0.5..6) 2.5 Hard cap on inventory expressed as multiples of the per-order TL. 2.5 means up to 2.5 trading-limit-worth of net position; the strategy halves position when this is exceeded.
QR_STALE_CYCLES range (range 2..20) 5 Resting orders older than N cycles are cancelled.
QR_COUNTER_STALE range (range 2..30) 8 Counter-quote orders older than N cycles trigger a market scratch (closeMarket).

Risk & Safety

Exposure caps and circuit breakers

Key Type Default Description
QR_MAX_EXP range (range 20..100) 70 Maximum position notional as a percentage of wallet × leverage. Blocks further entries above this.
QR_MAX_DD range (range 2..30) 5 Peak-to-trough equity drop that triggers a pause.
QR_DAILY_LOSS range (range 0.5..10) 2 Pauses trading until next midnight when today's realised P&L drops below -(CAPITAL_ALLOC × this/100).

Fees

Fee tier (informational)

Key Type Default Description
QR_FEE range (range 0..0.2) 0.05 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.
QR_MAKER_REBATE range (range -0.05..0.1) 0.02 Maker rebate as a positive percentage of fill notional. Bybit institutional MM tier ≈ 0.015%; many retail tiers are zero. Used to estimate harvested rebate value in the sidebar.
QR_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) 10 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.
NO_CLOSE_MARKET boolean False When ON, position closes use opposite-side market orders instead of gb.method.closeMarket(). Leave OFF on modern Gunbot builds on Bybit/Binance/OKX — closeMarket() handles one-way and hedge mode correctly. Turn ON only if your Gunbot version lacks closeMarket() or it misbehaves on your exchange. Auto-applied when closeMarket is unavailable.
QR_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
QR_ASK_CLAMP_BUFFER_BPS range (range 0..50) 2 When BE_GUARD is on and the strategy computes a sub-BE ask, the clamp snaps the ask up to break-even + this many bps. Default 2 = ask sits 2 bps above BE. Larger = more profitable but slower fills.
QR_DISABLE_ASK_CLAMP boolean False Default OFF (clamp active). Set ON to bypass the break-even-aware ask snap; ask remains at the strategy's raw computed value. Use only if you want the ask to occasionally sit below BE.
QR_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.
QR_STALE_DRIFT_BPS range (range 1..50) 8 Cancel and requote when an on-book order has drifted more than N bps from the current computed quote. Default 8. Lower = more cancels (higher fee burn); higher = more stale quotes. ATR-scaled override available via DRIFT_ATR_FRAC.
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
QR_COUNT_WINDOW_CY range (range 1..20) 5 How many cycles the stop-loss attribution carry-over stays alive.

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