/crex

An Algorithmic Trading Library for Crypto-Assets in Golang. Support BitMEX, Deribit, Bybit, Huobi DM, OKEX Futures and more.

Primary LanguageGoMIT LicenseMIT

CREX

README | English README

CREX

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。

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

回测

示例 @backtest

实盘

示例 @live trading

主要特性

  • 使用简单
  • Tick级别回测
  • 支持实盘

支持交易所

交易所 回测 实盘 Broker
BitMEX Yes Yes Sim / Live
Deribit Yes Yes Sim / Live
Bybit No Yes Live
Huobi DM No Yes Live
OKEX Futures No Yes Live
OKEX Swap No Yes Live

示例

package main

import (
	. "github.com/coinrust/crex"
	"github.com/coinrust/crex/brokers"
	"log"
	"time"
)

type BasicStrategy struct {
	StrategyBase
}

func (s *BasicStrategy) OnInit() {

}

func (s *BasicStrategy) OnTick() {
	currency := "BTC"
	symbol := "BTC-PERPETUAL"

	accountSummary, err := s.Brokers[0].GetAccountSummary(currency)
	if err != nil {
		log.Fatal(err)
	}
	log.Printf("accountSummary: %#v", accountSummary)

	s.Brokers[0].GetOrderBook(symbol, 10)

	//s.Brokers[0].PlaceOrder(symbol, Buy, OrderTypeLimit, 1000.0, 10, true, false)

	s.Brokers[0].GetOpenOrders(symbol)
	s.Brokers[0].GetPosition(symbol)
}

func (s *BasicStrategy) OnDeinit() {

}

func main() {
	accessKey := "[AccessKey]"
	secretKey := "[SecretKey]"
	broker := brokers.NewBroker(brokers.Deribit, accessKey, secretKey, true, map[string]string{})
	s := &BasicStrategy{}
	s.Setup(TradeModeLiveTrading, broker)

	// run loop
	for {
		s.OnTick()
		time.Sleep(1 * time.Second)
	}
}

TODO

  • Paper trading.

QQ群

QQ群: 932289088

捐赠

欢迎支持项目，金额随意:

METHOD ADDRESS
BTC 1Nk4AsGj5HEJ5csRenTUPab1sjUySCZ3Pq
ETH 0xa74eade7ea08a8c48d7de4d582fac145afc86e3d

LICENSE

MIT ©coinrust