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。
- 列定界符: , (逗号)
- 换行标记: \n (LF)
- 日期时间格式: Unix 时间戳 (ms)
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 |
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
示例 @backtest
- 使用简单
- Tick级别回测
- 支持实盘
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 |
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)
}
}
- Paper trading.
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---|---|
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