Topics

#backtest #binance #bitmex #bybit #crex #deribit #golang #hbdm #huobi #okex #quant #trading #websocket

Language breakdown

Go 97.4%

HTML 2.6%

▸ Files click to expand

README

CREX

中文 | English

CREX 是一个用Golang语言开发的量化交易库。支持tick级别数字币期货平台的回测和实盘。实盘与回测无缝切换，无需更改代码。

回测

示例 @backtest

交易结果

开源策略

https://github.com/coinrust/trading-strategies

主要特性

使用简单
Tick级别回测
实盘、回测公用策略代码
支持 WebSocket 共有和私有订阅
支持期货、现货回测
支持期货双向合约，正反向合约

支持交易所

CREX库当前支持以下8个加密货币交易市场和交易API

| logo | id | name | ver | ws | doc | | ------------------------------------------------------------------------------------------------------------------------------------------------ | -------------- | ------------------------------------------------------------------------- | --- | --- | ----------------------------------------------------------------- | | | binancefutures | Binance Futures | 1 | N | API | | | bitmex | BitMEX | 1 | Y | API | | | deribit | Deribit | 2 | Y | API | | | bybit | Bybit | 2 | Y | API | | | hbdm | Huobi DM | 1 | Y | API | | | hbdmswap | Huobi Swap | 1 | Y | API | | | okexfutures | OKEX Futures | 3 | Y | API | | | okexswap | OKEX Swap | 3 | Y | API |

示例

package main
import ( 	. "github.com/coinrust/crex" 	"github.com/coinrust/crex/exchanges" 	"log" 	"time" )
type BasicStrategy struct { 	StrategyBase }
func (s *BasicStrategy) OnInit() error { 	return nil }
func (s *BasicStrategy) OnTick() error { 	currency := "BTC" 	symbol := "BTC-PERPETUAL"
balance, err := s.Exchange.GetBalance(currency) 	if err != nil { 		log.Fatal(err) 	} 	log.Printf("balance: %#v", balance)
s.Exchange.GetOrderBook(symbol, 10)
s.Exchange.OpenLong(symbol, OrderTypeLimit, 5000, 10) 	s.Exchange.CloseLong(symbol, OrderTypeLimit, 6000, 10)
//Trailing Stop Market Order - Binance - sell stop loss order for long position 	callbackRate := 5.0 // from 0.1% until 5% allowed 	s.Exchange.PlaceOrder(symbol, Sell, OrderTypeTrailingStopMarket, 0.0, 10, 		OrderCallbackRateOption(callbackRate),  		OrderActivationPriceOption(5000.0), // optional - default as the latest price 		OrderReduceOnlyOption(true), 	)
s.Exchange.PlaceOrder(symbol, 		Buy, OrderTypeLimit, 1000.0, 10, OrderPostOnlyOption(true))
s.Exchange.GetOpenOrders(symbol) 	s.Exchange.GetPositions(symbol) 	return nil }
func (s *BasicStrategy) Run() error { 	// run loop 	for { 		s.OnTick() 		time.Sleep(1 * time.Second) 	} 	return nil }
func (s *BasicStrategy) OnExit() error { 	return nil }
func main() { 	exchange := exchanges.NewExchange(exchanges.Deribit, 		ApiProxyURLOption("socks5://127.0.0.1:1080"), // 使用代理 		//ApiAccessKeyOption("[accessKey]"), 		//ApiSecretKeyOption("[secretKey]"), 		ApiTestnetOption(true))
s := &BasicStrategy{}
s.Setup(TradeModeLiveTrading, exchange)
s.OnInit() 	s.Run() 	s.OnExit() }

WebSocket 示例

package main
import ( 	. "github.com/coinrust/crex" 	"github.com/coinrust/crex/exchanges" 	"log" )
func main() { 	ws := exchanges.NewExchange(exchanges.OkexFutures, 		ApiProxyURLOption("socks5://127.0.0.1:1080"), // 使用代理 		//ApiAccessKeyOption("[accessKey]"), 		//ApiSecretKeyOption("[secretKey]"), 		//ApiPassPhraseOption("[passphrase]"), 		ApiWebSocketOption(true)) // 开启 WebSocket
market := Market{ 		Symbol: "BTC-USD-200626", 	} 	// 订阅订单薄 	ws.SubscribeLevel2Snapshots(market, func(ob *OrderBook) { 		log.Printf("%#v", ob) 	}) 	// 订阅成交记录 	ws.SubscribeTrades(market, func(trades []*Trade) { 		log.Printf("%#v", trades) 	}) 	// 订阅订单成交信息 	ws.SubscribeOrders(market, func(orders []*Order) { 		log.Printf("%#v", orders) 	}) 	// 订阅持仓信息 	ws.SubscribePositions(market, func(positions []*Position) { 		log.Printf("%#v", positions) 	})
select {} }

回测数据

1. 标准 CSV 数据格式

列定界符: , (逗号)
换行标记: \n (LF)
日期时间格式: Unix 时间戳 (ms)

时间格式

| 列名 | 描述 | | ---------------- |--------------------------------- | | t | Unix 时间戳 (ms) | | asks[0-X].price | 卖单价(升序) | | asks[0-X].amount | 卖单量 | | bids[0-X].price | 买单价(降序) | | bids[0-X].amount | 买单量 |

样本数据示例

t,asks[0].price,asks[0].amount,asks[1].price,asks[1].amount,asks[2].price,asks[2].amount,asks[3].price,asks[3].amount,asks[4].price,asks[4].amount,asks[5].price,asks[5].amount,asks[6].price,asks[6].amount,asks[7].price,asks[7].amount,asks[8].price,asks[8].amount,asks[9].price,asks[9].amount,bids[0].price,bids[0].amount,bids[1].price,bids[1].amount,bids[2].price,bids[2].amount,bids[3].price,bids[3].amount,bids[4].price,bids[4].amount,bids[5].price,bids[5].amount,bids[6].price,bids[6].amount,bids[7].price,bids[7].amount,bids[8].price,bids[8].amount,bids[9].price,bids[9].amount
1569888000143,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,1650,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,90,8300,71320,8299.5,310
1569888000285,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,1650,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
1569888000307,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,11010,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
1569888000309,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
1569888000406,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,8960,8307.5,11010,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
1569888000500,8304.5,7010,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
1569888000522,8304.5,10270,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185750,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310
1569888000527,8304.5,10270,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,68260,8308.5,120000,8309,38400,8309.5,8400,8304,185010,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,8301,18000,8300.5,5090,8300,71320,8299.5,310

2. MongoDB (推荐)

Database. for example: tick_db
Collection. for example: deribit:BTC-PERPETUAL
Document:

t: timestamp (ms) a: asks Array [[askprice0,askamount0],[askprice1,askamount1],...] b: bids Array [[bidprice0,askamount0],[bidprice1,bidamount1],...]

{"_id":{"$oid":"5eb946d88316c7a9c541705c"},"t":{"$numberLong":"1569888000143"},"a":[[8304.5,7010],[8305,60],[8305.5,1220],[8306,80],[8307,200],[8307.5,1650],[8308,68260],[8308.5,120000],[8309,38400],[8309.5,8400]],"b":[[8304,185750],[8303.5,52200],[8303,20600],[8302.5,4500],[8302,2000],[8301.5,18200],[8301,18000],[8300.5,90],[8300,71320],[8299.5,310]]}

数据处理示例

Example of importing data into a database:

script
cd ./cmd/deribit-data-to-db
go build
./deribit-data-to-db

TODO

Paper trading.

QQ群

QQ群: 932289088

捐赠

| METHOD | ADDRESS | |-------- |-------------------------------------------- | | BTC | 1Nk4AsGj5HEJ5csRenTUPab1sjUySCZ3Pq | | ETH | 0xa74eade7ea08a8c48d7de4d582fac145afc86e3d |

LICENSE

MIT ©coinrust

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