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Strategy file: rollModelMM.js Market: spot

Description

Roll (1984) serial-covariance effective-spread estimator with Corwin-Schultz (2012) high-low fallback. Quotes at the model-implied effective half-spread. Spot.

How it works

Roll (1984) showed that for a security whose efficient price follows a random walk and whose transaction prices bounce between bid and ask, the effective bid-ask spread can be inferred from the first-order serial covariance of trade-price changes: effective spread ≈ 2·√(-cov(Δp_t, Δp_{t-1})). Corwin & Schultz (2012) refined this with a high-low-based estimator that works on daily bars. The strategy uses an ensemble of both estimators to recover the effective spread the market is actually paying and quotes inside it by a configurable margin — capturing the order-flow rent without needing the full L2 order book. It is the simplest spread-extraction MM and a useful baseline for any other quoting model.

Capital & Period

Order sizing and candle timeframe

Key Type Default Description
PERIOD select 3 Candle timeframe. Both Roll and Corwin-Schultz consume candle history, so PERIOD directly controls the resolution of the spread estimates.
TRADING_LIMIT range (range 50..2000) 150 Gunbot-level cap on a single buy order. Keep equal to Per-order size.
RM_TL range (range 50..2000) 150 Quote-currency notional per entry. Defaults are smaller than the other spot MMs because Roll-based entries are single-sided.
RM_CAPITAL_ALLOC range (range 200..50000) 2000 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 %.
RM_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.
RM_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.
RM_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).

Roll / Corwin-Schultz

Spread estimators

Key Type Default Description
RM_ROLL_LB range (range 10..100) 30 Candles used for Roll's serial-covariance estimator. Longer = more stable estimate but slower to adapt. 30 is a balanced default.
RM_ROLL_BUF range (range 1..3) 1.5 Multiplier on the Roll half-spread that sets quote distance from mid. 1.5 places the entry bid 50% deeper than the estimated half-spread to leave room for adverse selection. Lower = quote closer to mid (more aggressive entry); higher = quote further (safer).
RM_CS_LB range (range 10..100) 25 Number of 2-period high-low pairs aggregated for the CS estimator.
RM_CS_BUF range (range 0.5..3) 1 Multiplier on the CS half-spread. Same role as Roll buffer for the CS estimator.
RM_CS_BLEND range (range 0..1) 1 How the two estimators are combined: 0 = Roll only, 0.5 = equal-weighted average, 1.0 = take the larger of the two (most conservative). The defaults take max because Roll and CS often disagree by 2-3×.
RM_FALLBACK range (range 3..40) 12 Used when both Roll and CS return invalid estimates (e.g., very short candle history, all-positive autocovariance). Sets a sane spread floor instead of leaving the strategy idle.

Exits

Scratch and stale-order handling

Key Type Default Description
RM_SCRATCH_EPS range (range 1..20) 4 Offset above break-even for the post-only scratch sell. Sell fires at breakEven + this many bps. Larger = wait for more profit; smaller = exit closer to break-even (more frequent scratches).
RM_MAX_STALE range (range 10..200) 50 If a post-only scratch hasn't filled after this many cycles, the strategy fires a market scratch. Prevents indefinite bag-holding.
RM_STALE_CYCLES range (range 2..20) 5 Resting orders older than N cycles are cancelled and replaced with fresh ones at current mid.

Risk & Safety

Exposure caps and circuit breakers

Key Type Default Description
RM_MAX_EXP range (range 30..95) 65 Hard cap on quote-asset weight; further entries blocked above.
RM_MAX_DD range (range 1..30) 12 Peak-to-trough equity drop that triggers a pause.
RM_DAILY_LOSS range (range 0.5..10) 2 When today's realised P&L falls below -(CAPITAL_ALLOC × this/100), trading pauses until next midnight.

Fees

Fee tier (informational)

Key Type Default Description
RM_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.
RM_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.
RM_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).
RM_MAKER_FEE range (range 0..0.2) 0.02 Maker fee % used in the exit-target economics so the spread edge is not swamped by an assumed taker fee.

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.
RM_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
RM_MAX_EXP_PCT range (range 0..100) 75 Maximum inventory as fraction of pair equity for RollModelMM. Default 75. New bids paused if exposure exceeds. Per-pair RM-specific cap; combine with PAIR_EXP_BUDGET for portfolio-level cap.
RM_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
RM_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