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mmt-trading-systems

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MMT Trading Systems

MMT 交易系统

Rules for building trading bots, arbitrage systems, and market analysis tools with MMT.
使用MMT构建交易机器人、套利系统和市场分析工具的规则。

Bot Architecture

机器人架构

  • Event-Driven Architecture: WS as event source, separate data/logic/execution layers
  • State Management: local orderbook state, candle aggregation, position tracking
  • Multi-Symbol Monitoring: multi-pair watching, subscription fan-out, correlation
  • 事件驱动架构：以WS作为事件源，分离数据/逻辑/执行层
  • 状态管理：本地订单簿状态、K线聚合、仓位跟踪
  • 多币种监控：多交易对监控、订阅扇出、关联分析

Arbitrage

套利

  • Cross-Exchange Detection: price discrepancy detection via multi-exchange data
  • Execution Patterns: signal generation from MMT, external execution
  • 跨交易所检测：通过多交易所数据检测价格差异
  • 执行模式：由MMT生成信号，外部执行

Real-Time Analysis

实时分析

  • Orderbook Management: depth channel, snapshot+delta, sequence tracking
  • Trade Stream Processing: trade aggregation, VWAP, large trade detection
  • Heatmap Analysis: liquidity walls, split index, support/resistance
  • 订单簿管理：深度通道、快照+增量、序列跟踪
  • 交易流处理：交易聚合、VWAP、大额交易检测
  • 热力图分析：流动性墙、拆分指数、支撑/阻力位

Risk Management

风险管理

  • Position Management: funding rates, liquidation data, exposure monitoring
  • Rate Limit Budgeting: budget allocation across bot components
  • 仓位管理：资金费率、清算数据、风险敞口监控
  • 速率限制预算：在机器人组件间分配预算

Backtesting

回测

  • Historical Data Fetching: paginating REST data, time range chunking
  • Candle Reconstruction: custom timeframes from base candles, OHLCVT math
  • 历史数据获取：REST数据分页、时间范围分块
  • K线重构：基于基础K线生成自定义时间周期、OHLCVT计算