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Strategy file: twapScalperMM.js Market: spot

Description

TWAP-anchored scalper spot market maker. Buys when price dips an ATR multiple below the rolling time-weighted average price and exits when price recovers toward TWAP. Micro-lot slicing spreads DCA entries across multiple sub-orders.

How it works

Time-Weighted Average Price TWAP_t = (1/N)·Σ p_i is the simplest execution benchmark: it weights each price observation equally over the lookback window. Bertsimas & Lo (1998) proved TWAP is optimal under risk-neutral execution with no information about price movement — its appeal is robustness rather than alpha. As a market-making anchor, TWAP is less responsive than VWAP (no volume weighting) which means quotes lag during high-volume bursts but resist single-print outliers. The strategy uses TWAP as a fair-value anchor for short-horizon scalping, quoting both sides with tight spreads when price oscillates around the TWAP and widening as deviations grow. Best on pairs with smooth, low-burst order flow.

Capital & Period

Order sizing and candle timeframe

Key Type Default Description
PERIOD select 1 Candle timeframe Gunbot feeds the strategy. 1–3 min suits highly liquid spot pairs (BTC, ETH). 5 min is a balanced default. 15 min reduces noise and trade frequency on lower-volume pairs.
TRADING_LIMIT range (range 10..5000) 50 Gunbot-level order-size cap in quote currency. Keep equal to the Per-order size below unless you have a specific reason to differ. Hard cap on a single buy order regardless of strategy logic.
TWAP_TL range (range 10..5000) 50 Quote-currency notional placed on each entry order. Raise for larger lots (fewer trades, more fee per turn); lower for smaller lots (finer position building).
TWAP_CAPITAL_ALLOC range (range 100..50000) 500 Per-pair capital cap in quote currency. The strategy treats min(balance, this) as working capital, so values above your actual quote balance are ignored. Set to the realistic per-pair allocation you want this strategy to manage.

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 %.
TWAP_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.
TWAP_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.
TWAP_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).

TWAP Signal

TWAP anchor and micro-lot slicing parameters

Key Type Default Description
TWAP_LB range (range 10..200) 50 Number of bars used to compute the time-weighted average price. Unlike VWAP, TWAP weights each bar equally regardless of volume. Shorter lookback tracks intraday trends more closely; longer lookback provides a more stable fair-value anchor.
TWAP_ENTRY_MULT range (range 0..3) 0.3 Entry fires when price falls this many ATR multiples below the TWAP. 0 = enter when price is below TWAP. Higher values require a deeper discount before entry, improving average entry at the cost of signal frequency.
TWAP_EXIT_MULT range (range 0..2) 0.1 Exit is allowed once price has recovered to within this many ATR multiples of the TWAP from below. Works alongside the gain target gate; both must be satisfied for a sell to fire.
TWAP_LOTS range (range 1..10) 3 Number of equally-spaced sub-orders to split each DCA layer into. A value of 3 divides the DCA notional into 3 smaller orders placed at incrementally lower prices, reducing market impact and improving average fill price during fast moves.

Exits & DCA

Take-profit, time-stop and DCA layering

Key Type Default Description
TWAP_GAIN range (range 0.05..5) 0.12 Minimum percentage gain above break-even (including fees) required before a sell is allowed. Acts as a take-profit floor — raise to insist on larger winners; lower to exit more readily on small recoveries.
TWAP_MAX_HOLD range (range 10..500) 150 Maximum cycles a position may be held before a timed exit is attempted. Acts as a time-stop to prevent stale bags from blocking capital indefinitely. The exit is only fired when price is above break-even; otherwise it waits.
TWAP_MAX_DCA range (range 1..8) 3 Maximum number of DCA (cost-averaging) buy layers allowed on a single position. Each layer is placed when price drops a further DCA_STEP from the previous entry. Caps maximum exposure on a declining position.
TWAP_DCA_STEP range (range 0.05..5) 0.25 Percentage drop from the last entry price required to trigger the next DCA layer. Smaller values average down aggressively; larger values wait for a more substantial pullback before adding.
TWAP_DCA_DECAY range (range 0.3..1) 0.75 Multiplier applied to order size at each successive DCA layer (e.g. 0.75 means each layer is 75% the size of the previous). Values below 1 pyramid down (smaller additions on deeper dips); use 1 for equal-size DCA layers.

Risk & Safety

Exposure caps and drawdown circuit breakers

Key Type Default Description
TWAP_MAX_EXP range (range 20..100) 80 Hard cap on total exposure as a percentage of allocated capital. Further buys are blocked once this threshold is reached. Lower for more cautious positioning; higher to allow heavier accumulation on dips.
TWAP_MAX_DD range (range 2..30) 8 Peak-to-trough equity drop that triggers a strategy pause. When tripped, no new orders are placed until the condition clears or is manually reset. Set conservatively — this is a last-line safety stop.
TWAP_DAILY_LOSS range (range 1..20) 3 Maximum percentage of allocated capital that may be lost in a calendar day before the strategy pauses. Resets at UTC midnight. Use to cap worst-case daily drawdown during adverse sessions.
TWAP_CONSEC_LOSS_MAX range (range 2..10) 4 Number of consecutive losing trades that triggers a trading pause. Helps prevent the strategy from rapidly compounding losses during a streak of adverse signals. Pair reactivates after a configurable cooldown or manual reset.

Fees

Fee tier and display settings

Key Type Default Description
TWAP_FEE range (range 0..0.5) 0.1 Taker fee per side as a percentage. Used internally for break-even and profit-target calculations. Set to your actual exchange tier; defaults assume retail-tier taker on Bybit/Binance.
TWAP_SP range (range 0..8) 4 Number of decimal places used to format prices in logs and the sidebar. Purely cosmetic — does not affect order rounding (Gunbot handles tick size). Use more decimals for low-priced pairs (SHIB, PEPE) and fewer for 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 internal model state and every decision gate; use only when investigating a problem.
WARMUP_CYCLES range (range 0..30) 5 How many cycles the strategy collects candle data before placing any orders. Indicators need a few cycles to stabilise; trading too early gives noisy values. Raise this on slower timeframes or after restarting a cold pair. 0 disables the warmup.
MIN_ORDER_QUOTE range (range 1..25) 5 Floor for order notional in quote currency. The runtime always uses max(this, exchange-minimum), so setting below the exchange minimum has no effect. Raise to enforce a larger per-trade size or to prevent dust-order rejections.
BE_GUARD boolean False When ON, blocks any sell priced below the position break-even while holding a long. Prevents stop-loss and TTL exit paths from realising a loss — the pair holds until price recovers. OFF = sells below break-even are permitted (standard stop-loss behaviour). Recommended ON for spot accumulation.
BE_GUARD_BLOCK_MARKET_SELLS boolean False When OFF, market sells and closeMarket bypass the break-even guard (soft mode), preventing BE_GUARD from silently swallowing urgent stop-loss exits. When ON (legacy), BE_GUARD blocks all sell types including market orders.
NO_POST_ONLY boolean False When ON, the strategy submits regular limit orders instead of post-only. Enable only if your exchange rejects post-only flags or you do not benefit from a maker rebate. The strategy auto-disables post-only on PancakeSwap and Aster regardless of this toggle.
TWAP_TRACE boolean False Writes per-cycle JSONL trace to gunbot_logs/quantroduction/. Captures every gate decision, indicator value, order placement and fill event for forensic analysis. Zero overhead when OFF.
VERBOSE_LOGS boolean False When ON, the full Quantroduction dashboard (config snapshot + runtime state) re-emits every VERBOSE_INTERVAL_MIN minutes for audit. When OFF, 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 and noisier; higher = quieter. Has no effect when VERBOSE_LOGS is OFF.
TWAP_TEST_MODE boolean False Loosens all entry gates for rapid signal generation on 1 m candles. Useful for verifying strategy logic in a paper-trade environment. Turn OFF for production — loose gates will fire far more frequently than intended.
IS_MARGIN_STRAT boolean False When ON, treats this pair as a futures contract: routes sells through closeMarket/closeLimit, rebinds balance fields to availableMargin/currentQty, and blocks new long entries while a short is open. Default OFF (spot). The strategy logic itself is identical — the adapter sits between the strategy and Gunbot's order methods.

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
PORTFOLIO_INCLUDE boolean True Whether this pair contributes to the shared portfolio exposure cap below. YES means a buy here is gated on Portfolio exposure cap. NO means this pair trades independently of the portfolio cap.
PORTFOLIO_EXP_BUDGET range (range 0..1) 0.8 Total portfolio exposure ceiling expressed as a fraction of equity (0.80 = 80%). When running portfolio exposure across every pair that opted in hits this number, no new buys are placed anywhere in the budget. Set to 0 to disable the portfolio gate.
PAIR_EXP_BUDGET range (range 0..1) 0.6 Per-pair exposure ceiling expressed as a fraction of equity (0.60 = 60%). Independent of portfolio cap. Set to 0 to disable.
NO_CLOSE_MARKET boolean False On exchanges that don't expose closeMarket reliably, set this to true to force the compat wrapper to route every close through sellMarket / buyMarket instead.
CONSEC_RESET_CYCLES range (range 0..500) 0 If the consecutive-loss circuit breaker is tripped, automatically clear it after this many cycles. 0 disables auto-reset (manual reset only).
DISABLE_BREAKER_WINDDOWN boolean False By default, when a breaker trips the strategy cancels open orders and tries to scratch out any small inventory. Set to true to disable this and just freeze in place until you reset manually.
RESET_BREAKER_ONCE boolean False Set to true once to clear any tripped circuit breaker (consecutive-loss / daily-loss). The strategy auto-clears this flag after the reset fires so you don't have to remove it.
RESET_STATS_ONCE boolean False Set to true once to zero out wins, losses, consecutive losses, peak equity, max drawdown, trade count, and daily-loss lock. Total PnL is preserved. The flag auto-clears after the reset fires.
QUANTRODUCTION_TRACE boolean False Master switch for the diagnostic tracer. When on, every gate decision and breaker event is recorded so you can see exactly why the strategy did or did not act this cycle.
TRACE_ALL boolean False When the tracer is on, this widens it to capture every event (placement, fill, gate). When off, only meaningful state changes are captured.
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