Good stuff! In the mean while the trading bot was doing it's thing. No serious bug arose during the week, but I was right about the ask/bid delta price being a problem. It caused a 17% decrease in my funds instead of the calculated 12% increase! If I am unable to mitigate, this could be a show-stopper.
First I'll try LERP'ing when placing orders (while collecting some more data for future analysis). For example, I'll first place a buy order at the general bid. If that doesn't go through (in a minute), I'll place the buy order price at lerp(bid,ask,0.1), etc. I'll reverse the LERP in the selling case. This process, in itself, could affect the price if the volume is high enough (on a low-trade instrument), but it can't be any worse than it already is. I hope.
There are other things that could increase profit, but the question remains how much optimization I'm able to muster. Going from -17 to +12 is no small feat indeed.
