binancecashandcarry

README

GoCryptoTrader Backtester: Binancecashandcarry package

This binancecashandcarry package is part of the GoCryptoTrader codebase.

This is still in active development

You can track ideas, planned features and what's in progress on this Trello board: https://trello.com/b/ZAhMhpOy/gocryptotrader.

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Binance Cash and carry strategy overview

Important

This strategy was initially designed for the exchange FTX. It is currently being ported to Binance. It does not work at present.

Description

Cash and carry is a strategy which takes advantage of the difference in pricing between a long-dated futures contract and a SPOT asset. By default, this cash and carry strategy will, upon the first data event, purchase BTC-USD SPOT asset from Binance exchange and then, once filled, raise a SHORT for BTC-20210924 FUTURES contract. On the last event, the strategy will close the SHORT position by raising a LONG of the same contract amount, thereby netting the difference in prices

Requirements

• At this time of writing, this strategy is only compatible with Binance
• This strategy requires Simultaneous Signal Processing aka use-simultaneous-signal-processing.
• This strategy requires Exchange Level Funding aka use-exchange-level-funding.

Creating a strategy config

• The long-dated futures contract will need to be part of the currency-settings of the contract
• Funding for purchasing SPOT assets will need to be part of funding-settings
• See the example config

Customisation

This strategy does support strategy customisation in the following ways:

Field	Description	Example
openShortDistancePercentage	If there is no short position open, and the difference between FUTURES and SPOT pricing goes above this this percentage threshold, raise a SHORT order of the FUTURES contract	10
closeShortDistancePercentage	If there is an open SHORT position on a FUTURES contract, and the difference in FUTURES and SPOT pricing goes below this percentage threshold, close the SHORT position	1

External Resources

• This is a very informative site on describing what a cash and carry trade will look like

Please click GoDocs chevron above to view current GoDoc information for this package

Contribution

Please feel free to submit any pull requests or suggest any desired features to be added.

When submitting a PR, please abide by our coding guidelines:

• Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
• Code must be documented adhering to the official Go commentary guidelines.
• Code must adhere to our coding style.
• Pull requests need to be based on and opened against the master branch.

Donations

If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:

bc1qk0jareu4jytc0cfrhr5wgshsq8282awpavfahc

Documentation

Index

• Constants
• type Strategy
  • func (s *Strategy) CloseAllPositions(holdings []holdings.Holding, prices []data.Event) ([]signal.Event, error)
  • func (s *Strategy) Description() string
  • func (s *Strategy) Name() string
  • func (s *Strategy) OnSignal(data.Handler, funding.IFundingTransferer, portfolio.Handler) (signal.Event, error)
  • func (s *Strategy) OnSimultaneousSignals(d []data.Handler, f funding.IFundingTransferer, p portfolio.Handler) ([]signal.Event, error)
  • func (s *Strategy) SetCustomSettings(customSettings map[string]interface{}) error
  • func (s *Strategy) SetDefaults()
  • func (s *Strategy) SupportsSimultaneousProcessing() bool

Constants

const (
	// Name is the strategy name
	Name = "binance-cash-carry"
)

Types

type Strategy

type Strategy struct {
	base.Strategy
	// contains filtered or unexported fields
}

Strategy is an implementation of the Handler interface

func (*Strategy) CloseAllPositions

func (s *Strategy) CloseAllPositions(holdings []holdings.Holding, prices []data.Event) ([]signal.Event, error)

CloseAllPositions is this strategy's implementation on how to unwind all positions in the event of a closure

func (*Strategy) Description

func (s *Strategy) Description() string

Description describes the strategy

func (*Strategy) Name

func (s *Strategy) Name() string

Name returns the name of the strategy

func (*Strategy) OnSignal

func (s *Strategy) OnSignal(data.Handler, funding.IFundingTransferer, portfolio.Handler) (signal.Event, error)

OnSignal handles a data event and returns what action the strategy believes should occur For rsi, this means returning a buy signal when rsi is at or below a certain level, and a sell signal when it is at or above a certain level

func (*Strategy) OnSimultaneousSignals

func (s *Strategy) OnSimultaneousSignals(d []data.Handler, f funding.IFundingTransferer, p portfolio.Handler) ([]signal.Event, error)

OnSimultaneousSignals analyses multiple data points simultaneously, allowing flexibility in allowing a strategy to only place an order for X currency if Y currency's price is Z

func (*Strategy) SetCustomSettings

func (s *Strategy) SetCustomSettings(customSettings map[string]interface{}) error

SetCustomSettings can override default settings

func (*Strategy) SetDefaults

func (s *Strategy) SetDefaults()

SetDefaults sets default values for overridable custom settings

func (*Strategy) SupportsSimultaneousProcessing

func (s *Strategy) SupportsSimultaneousProcessing() bool

SupportsSimultaneousProcessing this strategy only supports simultaneous signal processing