In the previous article, we designed a multi-species contract spread monitoring strategy together. In this article, we will continue to improve this idea. Let's see if this idea is feasible, and run it with the OKEX V5 simulation bot to verify the strategy design. These processes are also required to be experienced in the process of cryptocurrency programmatic tradings and quantitative tradings. I hope that beginners can accumulate valuable experience.
Spoiler alert, the strategy is running, and I am a little excited!
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The overall design of the strategy is implemented in the simplest way. Although the details are not too demanding, you can still learn some tips from the code. The overall strategy code is less than 400 lines, so it will not be boring to read and understand. Of course, this is just a test DEMO, it takes a while to test it. So what I want to say is: the current strategy is only successful in opening positions, and various situations such as closing a position need to be tested and verified. BUGs in program design are inevitable, so testing and DEBUG are very important!
Back to the strategy design, based on the code in the previous article, the strategy is added:
- Data persistence design (use _G function to save data and restore data after restart)
- Added grid data structure for each monitored CFD pair (used to control hedging opening and closing positions)
- Implemented a simple hedging function to hedge open and close positions
- Added a total equity acquisition function to calculate floating profit and loss
- Added status bar data output display.
The above are the added functions. In order to simplify the design, the strategy is only designed for positive hedging (short long-term contracts, long near-term contracts). At present, the perpetual contract (near-term) has a negative fee rate, which just can long for the perpetual contract to see if it can increase the rate profits.
Let the strategy run for a while ~
After testing for about 3 days, the spread fluctuation is still feasible.
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Here we can see the profits of some funding rates.
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Share the source code of the strategy below:
var arrNearContractType = strNearContractType.split(",")
var arrFarContractType = strFarContractType.split(",")
var nets = null
var initTotalEquity = null
var OPEN_PLUS = 1
var COVER_PLUS = 2
function createNet(begin, diff, initAvgPrice, diffUsagePercentage) {
if (diffUsagePercentage) {
diff = diff * initAvgPrice
}
var oneSideNums = 3
var up = []
var down = []
for (var i = 0 ; i < oneSideNums ; i++) {
var upObj = {
sell : false,
price : begin + diff / 2 + i * diff
}
up.push(upObj)
var j = (oneSideNums - 1) - i
var downObj = {
sell : false,
price : begin - diff / 2 - j * diff
}
if (downObj.price <= 0) { // Price cannot be less than or equal to 0
continue
}
down.push(downObj)
}
return down.concat(up)
}
function createCfg(symbol) {
var cfg = {
extension: {
layout: 'single',
height: 300,
col: 6
},
title: {
text: symbol
},
xAxis: {
type: 'datetime'
},
series: [{
name: 'plus',
data: []
}]
}
return cfg
}
function formatSymbol(originalSymbol) {
var arr = originalSymbol.split("-")
return [arr[0] + "_" + arr[1], arr[0], arr[1]]
}
function main() {
if (isSimulate) {
exchange.IO("simulate", true) // Switch to simulation environment
Log("Only OKEX V5 API is supported, switch to OKEX V5 simulation bot:")
} else {
exchange.IO("simulate", false) // Switch to real bot
Log("Only OKEX V5 API is supported, switch to OKEX V5 simulation bot:")
}
if (exchange.GetName() != "Futures_OKCoin") {
throw "Support OKEX futures"
}
// Initialization
if (isReset) {
_G(null)
LogReset(1)
LogProfitReset()
LogVacuum()
Log("Reset all data", "#FF0000")
}
// Initialization marker
var isFirst = true
// Profit print period
var preProfitPrintTS = 0
// Total equity
var totalEquity = 0
var posTbls = [] // Position table array
// Declare arrCfg
var arrCfg = []
_.each(arrNearContractType, function(ct) {
arrCfg.push(createCfg(formatSymbol(ct)[0]))
})
var objCharts = Chart(arrCfg)
objCharts.reset()
// Create object
var exName = exchange.GetName() + "_V5"
var nearConfigureFunc = $.getConfigureFunc()[exName]
var farConfigureFunc = $.getConfigureFunc()[exName]
var nearEx = $.createBaseEx(exchange, nearConfigureFunc)
var farEx = $.createBaseEx(exchange, farConfigureFunc)
// Pre-write the contract that require subscriptions
_.each(arrNearContractType, function(ct) {
nearEx.pushSubscribeSymbol(ct)
})
_.each(arrFarContractType, function(ct) {
farEx.pushSubscribeSymbol(ct)
})
while (true) {
var ts = new Date().getTime()
// Obtain market data
nearEx.goGetTickers()
farEx.goGetTickers()
var nearTickers = nearEx.getTickers()
var farTickers = farEx.getTickers()
if (!farTickers || !nearTickers) {
Sleep(2000)
continue
}
var tbl = {
type : "table",
title : "Long term-near term spread",
cols : ["Trading pair", "long term", "near term", "positive hedging", "negative hedging"],
rows : []
}
var subscribeFarTickers = []
var subscribeNearTickers = []
_.each(farTickers, function(farTicker) {
_.each(arrFarContractType, function(symbol) {
if (farTicker.originalSymbol == symbol) {
subscribeFarTickers.push(farTicker)
}
})
})
_.each(nearTickers, function(nearTicker) {
_.each(arrNearContractType, function(symbol) {
if (nearTicker.originalSymbol == symbol) {
subscribeNearTickers.push(nearTicker)
}
})
})
var pairs = []
_.each(subscribeFarTickers, function(farTicker) {
_.each(subscribeNearTickers, function(nearTicker) {
if (farTicker.symbol == nearTicker.symbol) {
var pair = {symbol: nearTicker.symbol, nearTicker: nearTicker, farTicker: farTicker, plusDiff: farTicker.bid1 - nearTicker.ask1, minusDiff: farTicker.ask1 - nearTicker.bid1}
pairs.push(pair)
tbl.rows.push([pair.symbol, farTicker.originalSymbol, nearTicker.originalSymbol, pair.plusDiff, pair.minusDiff])
for (var i = 0 ; i < arrCfg.length ; i++) {
if (arrCfg[i].title.text == pair.symbol) {
objCharts.add([i, [ts, pair.plusDiff]])
}
}
}
})
})
// Initialization
if (isFirst) {
isFirst = false
var recoveryNets = _G("nets")
var recoveryInitTotalEquity = _G("initTotalEquity")
if (!recoveryNets) {
// Check positions
_.each(subscribeFarTickers, function(farTicker) {
var pos = farEx.getFuPos(farTicker.originalSymbol, ts)
if (pos.length != 0) {
Log(farTicker.originalSymbol, pos)
throw "Initialized with a position"
}
})
_.each(subscribeNearTickers, function(nearTicker) {
var pos = nearEx.getFuPos(nearTicker.originalSymbol, ts)
if (pos.length != 0) {
Log(nearTicker.originalSymbol, pos)
throw "Initialized with a position"
}
})
// Construct nets
nets = []
_.each(pairs, function (pair) {
farEx.goGetAcc(pair.farTicker.originalSymbol, ts)
nearEx.goGetAcc(pair.nearTicker.originalSymbol, ts)
var obj = {
"symbol" : pair.symbol,
"farSymbol" : pair.farTicker.originalSymbol,
"nearSymbol" : pair.nearTicker.originalSymbol,
"initPrice" : (pair.nearTicker.ask1 + pair.farTicker.bid1) / 2,
"prePlus" : pair.farTicker.bid1 - pair.nearTicker.ask1,
"net" : createNet((pair.farTicker.bid1 - pair.nearTicker.ask1), diff, (pair.nearTicker.ask1 + pair.farTicker.bid1) / 2, true),
"initFarAcc" : farEx.getAcc(pair.farTicker.originalSymbol, ts),
"initNearAcc" : nearEx.getAcc(pair.nearTicker.originalSymbol, ts),
"farTicker" : pair.farTicker,
"nearTicker" : pair.nearTicker,
"farPos" : null,
"nearPos" : null,
}
nets.push(obj)
})
var currTotalEquity = getTotalEquity()
if (currTotalEquity) {
initTotalEquity = currTotalEquity
} else {
throw "Initialization to obtain total equity failed!"
}
} else {
// Recovery
nets = recoveryNets
initTotalEquity = recoveryInitTotalEquity
}
}
// Retrieve the grid and check if the trading is triggered
_.each(nets, function(obj) {
var currPlus = null
_.each(pairs, function(pair) {
if (pair.symbol == obj.symbol) {
currPlus = pair.plusDiff
obj.farTicker = pair.farTicker
obj.nearTicker = pair.nearTicker
}
})
if (!currPlus) {
Log("Not found", obj.symbol, " 's spread")
return
}
// Check grid, add dynamically
while (currPlus >= obj.net[obj.net.length - 1].price) {
obj.net.push({
sell : false,
price : obj.net[obj.net.length - 1].price + diff * obj.initPrice,
})
}
while (currPlus <= obj.net[0].price) {
var price = obj.net[0].price - diff * obj.initPrice
if (price <= 0) {
break
}
obj.net.unshift({
sell : false,
price : price,
})
}
// Search grid
for (var i = 0 ; i < obj.net.length - 1 ; i++) {
var p = obj.net[i]
var upP = obj.net[i + 1]
if (obj.prePlus <= p.price && currPlus > p.price && !p.sell) {
if (hedge(nearEx, farEx, obj.nearSymbol, obj.farSymbol, obj.nearTicker, obj.farTicker, hedgeAmount, OPEN_PLUS)) { // Positive hedging opening position
p.sell = true
}
} else if (obj.prePlus >= p.price && currPlus < p.price && upP.sell) {
if (hedge(nearEx, farEx, obj.nearSymbol, obj.farSymbol, obj.nearTicker, obj.farTicker, hedgeAmount, COVER_PLUS)) { // Positive hedging closing position
upP.sell = false
}
}
}
obj.prePlus = currPlus // Record the current spread as a cache, and use it to judge whether it's above the SMA or below the SMA next time
// Add other chart outputs
})
if (ts - preProfitPrintTS > 1000 * 60 * 5) { // Print every 5 minutes
var currTotalEquity = getTotalEquity()
if (currTotalEquity) {
totalEquity = currTotalEquity
LogProfit(totalEquity - initTotalEquity, "&") // Print dynamic equity profits
}
// Check positions
posTbls = [] // Reset, update
_.each(nets, function(obj) {
var currFarPos = farEx.getFuPos(obj.farSymbol)
var currNearPos = nearEx.getFuPos(obj.nearSymbol)
if (currFarPos && currNearPos) {
obj.farPos = currFarPos
obj.nearPos = currNearPos
}
var posTbl = {
"type" : "table",
"title" : obj.symbol,
"cols" : ["contract code", "amount", "price"],
"rows" : []
}
_.each(obj.farPos, function(pos) {
posTbl.rows.push([pos.symbol, pos.amount, pos.price])
})
_.each(obj.nearPos, function(pos) {
posTbl.rows.push([pos.symbol, pos.amount, pos.price])
})
posTbls.push(posTbl)
})
preProfitPrintTS = ts
}
// Show grid
var netTbls = []
_.each(nets, function(obj) {
var netTbl = {
"type" : "table",
"title" : obj.symbol,
"cols" : ["grid"],
"rows" : []
}
_.each(obj.net, function(p) {
var color = ""
if (p.sell) {
color = "#00FF00"
}
netTbl.rows.push([JSON.stringify(p) + color])
})
netTbl.rows.reverse()
netTbls.push(netTbl)
})
LogStatus(_D(), "total equity:", totalEquity, "initial total equity:", initTotalEquity, "floating profit and loss:", totalEquity - initTotalEquity,
"\n`" + JSON.stringify(tbl) + "`" + "\n`" + JSON.stringify(netTbls) + "`" + "\n`" + JSON.stringify(posTbls) + "`")
Sleep(interval)
}
}
function getTotalEquity() {
var totalEquity = null
var ret = exchange.IO("api", "GET", "/api/v5/account/balance", "ccy=USDT")
if (ret) {
try {
totalEquity = parseFloat(ret.data[0].details[0].eq)
} catch(e) {
Log("Failed to obtain the total equity of the account!")
return null
}
}
return totalEquity
}
function hedge(nearEx, farEx, nearSymbol, farSymbol, nearTicker, farTicker, amount, tradeType) {
var farDirection = null
var nearDirection = null
if (tradeType == OPEN_PLUS) {
farDirection = farEx.OPEN_SHORT
nearDirection = nearEx.OPEN_LONG
} else {
farDirection = farEx.COVER_SHORT
nearDirection = nearEx.COVER_LONG
}
var nearSymbolInfo = nearEx.getSymbolInfo(nearSymbol)
var farSymbolInfo = farEx.getSymbolInfo(farSymbol)
nearAmount = nearEx.calcAmount(nearSymbol, nearDirection, nearTicker.ask1, amount * nearSymbolInfo.multiplier)
farAmount = farEx.calcAmount(farSymbol, farDirection, farTicker.bid1, amount * farSymbolInfo.multiplier)
if (!nearAmount || !farAmount) {
Log(nearSymbol, farSymbol, "Order amount calculation error:", nearAmount, farAmount)
return
}
nearEx.goGetTrade(nearSymbol, nearDirection, nearTicker.ask1, nearAmount[0])
farEx.goGetTrade(farSymbol, farDirection, farTicker.bid1, farAmount[0])
var nearIdMsg = nearEx.getTrade()
var farIdMsg = farEx.getTrade()
return [nearIdMsg, farIdMsg]
}
function onexit() {
Log("Execute the tail function", "#FF0000")
_G("nets", nets)
_G("initTotalEquity", initTotalEquity)
Log("save the data:", _G("nets"), _G("initTotalEquity"))
}
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Strategy public address: https://www.fmz.com/strategy/288559
The strategy uses a template class library written by myself, which is not public because it is not too good. The above strategy source code can be modified without using this template.
are interested, you can use an OKEX V5 simulation bot to test.
Oh! By the way, this strategy cannot be backtested~