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。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/516310460/trade-api"
"github.com/516310460/trade-api/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/516310460/trade-api"
"github.com/516310460/trade-api/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 [[ask_price_0,ask_amount_0],[ask_price_1,ask_amount_1],...] b: bids Array [[bid_price_0,ask_amount_0],[bid_price_1,bid_amount_1],...]
{"_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:
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
