crex

package module
v1.1.5 Latest Latest
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 Go to latest Published: Apr 23, 2020 License: MIT Imports: 7 Imported by: 3

README

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CREX

中文 | English

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

实盘

示例 @live trading

主要特性

  • 使用简单
  • Tick级别回测
  • 支持 WebSocket

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
binance binancefutures Binance Futures 1 N API
bitmex bitmex BitMEX 1 Y API
deribit deribit Deribit 2 Y API
bybit bybit Bybit 2 Y API
huobi hbdm Huobi DM 1 Y API
huobi hbdmswap Huobi Swap 1 Y API
okex okexfutures OKEX Futures 3 Y API
okex okexswap OKEX Swap 3 Y API

示例

package main

import (
	. "github.com/coinrust/crex"
	"github.com/coinrust/crex/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)

	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) OnDeinit() 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.OnDeinit()
}

WebSocket 示例

package main

import (
	. "github.com/coinrust/crex"
	"github.com/coinrust/crex/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

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

TODO

  • Paper trading.

QQ群

QQ群: 932289088

捐赠

METHOD ADDRESS
BTC 1Nk4AsGj5HEJ5csRenTUPab1sjUySCZ3Pq
ETH 0xa74eade7ea08a8c48d7de4d582fac145afc86e3d

LICENSE

MIT ©coinrust

Documentation

Index

Constants

View Source 
const (
	ContractTypeNone = ""   // Non-delivery contract 非交割合约
	ContractTypeW1   = "W1" // week 当周合约
	ContractTypeW2   = "W2" // two week 次周合约
	ContractTypeM1   = "M1" // month 月合约
	ContractTypeQ1   = "Q1" // quarter 季度合约
	ContractTypeQ2   = "Q2" // two quarter 次季度合约
)

ContractType 合约类型

View Source 
const (
	PERIOD_1MIN   = "1m"
	PERIOD_3MIN   = "3m"
	PERIOD_5MIN   = "5m"
	PERIOD_15MIN  = "15m"
	PERIOD_30MIN  = "30m"
	PERIOD_60MIN  = "60m"
	PERIOD_1H     = "1h"
	PERIOD_2H     = "2h"
	PERIOD_3H     = "3h"
	PERIOD_4H     = "4h"
	PERIOD_6H     = "6h"
	PERIOD_8H     = "8h"
	PERIOD_12H    = "12h"
	PERIOD_1DAY   = "1d"
	PERIOD_3DAY   = "3d"
	PERIOD_1WEEK  = "1w"
	PERIOD_1MONTH = "1M"
	PERIOD_1YEAR  = "1y"
)

K线周期

View Source 
const (
	// StrategyOptionTag 选项Tag
	StrategyOptionTag = "opt"
)

Variables

View Source 
var (
	ErrNotImplemented    = errors.New("not implement")
	ErrWebSocketDisabled = errors.New("websocket disabled")
	ErrApiKeysRequired   = errors.New("api keys required")
)

Functions

This section is empty.

Types

type ApiOption added in v1.1.1 

type ApiOption func(p *Parameters)

func ApiAccessKeyOption added in v1.1.1 

func ApiAccessKeyOption(accessKey string) ApiOption

func ApiApiURLOption added in v1.1.4 

func ApiApiURLOption(apiURL string) ApiOption

func ApiDebugModeOption added in v1.1.1 

func ApiDebugModeOption(debugMode bool) ApiOption

func ApiHttpClientOption added in v1.1.1 

func ApiHttpClientOption(httpClient *http.Client) ApiOption

func ApiPassPhraseOption added in v1.1.1 

func ApiPassPhraseOption(passPhrase string) ApiOption

func ApiProxyURLOption added in v1.1.1 

func ApiProxyURLOption(proxyURL string) ApiOption

func ApiSecretKeyOption added in v1.1.1 

func ApiSecretKeyOption(secretKey string) ApiOption

func ApiTestnetOption added in v1.1.1 

func ApiTestnetOption(testnet bool) ApiOption

func ApiWebSocketOption added in v1.1.2 

func ApiWebSocketOption(enabled bool) ApiOption

func ApiWsURLOption added in v1.1.4 

func ApiWsURLOption(wsURL string) ApiOption

type Balance added in v1.1.1 

type Balance struct {
	Equity        float64 // 净值
	Available     float64 // 可用余额
	RealizedPnl   float64
	UnrealisedPnl float64
}

type Direction 

type Direction int

Direction 委托/持仓方向 

const (
	Buy  Direction = iota // 做多
	Sell                  // 做空
)

func (Direction) String 

func (d Direction) String() string

type Event 

type Event struct {
	// contains filtered or unexported fields
}

func (*Event) SetSymbol 

func (e *Event) SetSymbol(s string)

SetSymbol returns the symbol string of the event

func (*Event) SetTime 

func (e *Event) SetTime(t time.Time)

SetTime returns the timestamp of an event

func (Event) Symbol 

func (e Event) Symbol() string

Symbol returns the symbol string of the event

func (Event) Time 

func (e Event) Time() time.Time

Time returns the timestamp of an event

type Exchange added in v1.1.2 

type Exchange interface {

	// 获取 Exchange 名称
	GetName() (name string)

	// 获取账号余额
	GetBalance(currency string) (result Balance, err error)

	// 获取订单薄(OrderBook)
	GetOrderBook(symbol string, depth int) (result OrderBook, err error)

	// 获取K线数据
	// period: 数据周期. 分钟或者关键字1m(minute) 1h 1d 1w 1M(month) 1y 枚举值：1 3 5 15 30 60 120 240 360 720 "5m" "4h" "1d" ...
	GetRecords(symbol string, period string, from int64, end int64, limit int) (records []Record, err error)

	// 设置合约类型
	// currencyPair: 交易对，如: BTC-USD(OKEX) BTC(HBDM)
	// contractType: W1,W2,Q1,Q2
	SetContractType(currencyPair string, contractType string) (err error)

	// 获取当前设置的合约ID
	GetContractID() (symbol string, err error)

	// 设置杠杆大小
	SetLeverRate(value float64) (err error)

	// 开多
	OpenLong(symbol string, orderType OrderType, price float64, size float64) (result Order, err error)

	// 开空
	OpenShort(symbol string, orderType OrderType, price float64, size float64) (result Order, err error)

	// 平多
	CloseLong(symbol string, orderType OrderType, price float64, size float64) (result Order, err error)

	// 平空
	CloseShort(symbol string, orderType OrderType, price float64, size float64) (result Order, err error)

	// 下单
	PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64, size float64,
		opts ...OrderOption) (result Order, err error)

	// 获取活跃委托单列表
	GetOpenOrders(symbol string) (result []Order, err error)

	// 获取委托信息
	GetOrder(symbol string, id string) (result Order, err error)

	// 撤销全部委托单
	CancelAllOrders(symbol string) (err error)

	// 撤销单个委托单
	CancelOrder(symbol string, id string) (result Order, err error)

	// 修改委托
	AmendOrder(symbol string, id string, price float64, size float64) (result Order, err error)

	// 获取持仓
	GetPositions(symbol string) (result []Position, err error)

	// 订阅成交记录
	SubscribeTrades(market Market, callback func(trades []Trade)) error

	// 订阅L2 OrderBook
	SubscribeLevel2Snapshots(market Market, callback func(ob *OrderBook)) error

	// 订阅委托
	SubscribeOrders(market Market, callback func(orders []Order)) error

	// 订阅持仓
	SubscribePositions(market Market, callback func(positions []Position)) error

	// 运行一次(回测系统调用)
	RunEventLoopOnce() (err error) // Run sim match for backtest only
}

Exchange 交易所接口

type Item 

type Item struct {
	Price  float64
	Amount float64
}

type LogItem 

type LogItem struct {
	Time    time.Time  `json:"time"`
	RawTime time.Time  `json:"raw_time"`
	Ask     float64    `json:"ask"`
	Bid     float64    `json:"bid"`
	Stats   []LogStats `json:"stats"`
}

func (*LogItem) Price 

func (i *LogItem) Price() float64

func (*LogItem) TotalEquity 

func (i *LogItem) TotalEquity() float64

type LogItems 

type LogItems []*LogItem

type LogStats 

type LogStats struct {
	Balance float64 `json:"balance"`
	Equity  float64 `json:"equity"`
}

type Market added in v0.9.9 

type Market struct {
	Symbol string // BTCUSDT(OKEX)/XBTUSD(BitMEX)/...
}

Market 市场信息

type Order 

type Order struct {
	ID           string      `json:"id"`            // ID
	Symbol       string      `json:"symbol"`        // 标
	Price        float64     `json:"price"`         // 价格
	StopPx       float64     `json:"stop_px"`       // 触发价
	Size         float64     `json:"size"`          // 委托数量
	AvgPrice     float64     `json:"avg_price"`     // 平均成交价
	FilledAmount float64     `json:"filled_amount"` // 成交数量
	Direction    Direction   `json:"direction"`     // 委托方向
	Type         OrderType   `json:"type"`          // 委托类型
	PostOnly     bool        `json:"post_only"`     // 只做Maker选项
	ReduceOnly   bool        `json:"reduce_only"`   // 只减仓选项
	Status       OrderStatus `json:"status"`        // 委托状态
}

Order 委托

func (*Order) IsOpen 

func (o *Order) IsOpen() bool

IsOpen 是否活跃委托

type OrderBook 

type OrderBook struct {
	Symbol string
	Time   time.Time
	Asks   []Item
	Bids   []Item
}

func (*OrderBook) Ask 

func (o *OrderBook) Ask() (result Item)

Ask 卖一

func (*OrderBook) AskPrice 

func (o *OrderBook) AskPrice() (result float64)

AskPrice 卖一价

func (*OrderBook) Bid 

func (o *OrderBook) Bid() (result Item)

Bid 买一

func (*OrderBook) BidPrice 

func (o *OrderBook) BidPrice() (result float64)

BidPrice 买一价

func (*OrderBook) Price 

func (o *OrderBook) Price() float64

Price returns the middle of Bid and Ask.

type OrderOption added in v1.1.3 

type OrderOption func(p *OrderParameter)

订单选项

func OrderPostOnlyOption added in v1.1.3 

func OrderPostOnlyOption(postOnly bool) OrderOption

被动委托选项

func OrderPriceTypeOption added in v1.1.3 

func OrderPriceTypeOption(priceType string) OrderOption

OrderPriceType 选项

func OrderReduceOnlyOption added in v1.1.3 

func OrderReduceOnlyOption(reduceOnly bool) OrderOption

只减仓选项

func OrderStopPxOption added in v1.1.3 

func OrderStopPxOption(stopPx float64) OrderOption

触发价格选项

type OrderParameter added in v1.1.3 

type OrderParameter struct {
	StopPx     float64
	PostOnly   bool
	ReduceOnly bool
	PriceType  string
}

func ParseOrderParameter added in v1.1.3 

func ParseOrderParameter(opts ...OrderOption) *OrderParameter

type OrderStatus 

type OrderStatus int

OrderStatus 委托状态 

const (
	OrderStatusCreated         OrderStatus = iota // 创建委托
	OrderStatusRejected                           // 委托被拒绝
	OrderStatusNew                                // 委托待成交
	OrderStatusPartiallyFilled                    // 委托部分成交
	OrderStatusFilled                             // 委托完全成交
	OrderStatusCancelPending                      // 委托取消
	OrderStatusCancelled                          // 委托被取消
	OrderStatusUntriggered                        // 等待触发条件委托单
	OrderStatusTriggered                          // 已触发条件单
)

func (OrderStatus) String 

func (s OrderStatus) String() string

type OrderType 

type OrderType int

OrderType 委托类型 

const (
	OrderTypeMarket     OrderType = iota // 市价单
	OrderTypeLimit                       // 限价单
	OrderTypeStopMarket                  // 市价止损单
	OrderTypeStopLimit                   // 限价止损单
)

func (OrderType) String 

func (t OrderType) String() string

type Parameters added in v1.1.1 

type Parameters struct {
	DebugMode  bool
	HttpClient *http.Client
	ProxyURL   string // example: socks5://127.0.0.1:1080 | http://127.0.0.1:1080
	ApiURL     string
	WsURL      string
	Testnet    bool
	AccessKey  string
	SecretKey  string
	Passphrase string
	WebSocket  bool // Enable websocket option
}

type Position 

type Position struct {
	Symbol    string    `json:"symbol"`     // 标
	OpenTime  time.Time `json:"open_time"`  // 开仓时间
	OpenPrice float64   `json:"open_price"` // 开仓价
	Size      float64   `json:"size"`       // 仓位大小
	AvgPrice  float64   `json:"avg_price"`  // 平均价
}

Position 持仓

func (*Position) Amount 

func (p *Position) Amount() float64

Amount 持仓量

func (*Position) IsLong 

func (p *Position) IsLong() bool

IsLong 是否多仓

func (*Position) IsOpen 

func (p *Position) IsOpen() bool

IsOpen 是否持仓

func (*Position) IsShort 

func (p *Position) IsShort() bool

IsShort 是否空仓

func (*Position) Side 

func (p *Position) Side() Direction

type Record added in v0.9.8 

type Record struct {
	Symbol    string    `json:"symbol"`    // 标
	Timestamp time.Time `json:"timestamp"` // 时间
	Open      float64   `json:"open"`      // 开盘价
	High      float64   `json:"high"`      // 最高价
	Low       float64   `json:"low"`       // 最低价
	Close     float64   `json:"close"`     // 收盘价
	Volume    float64   `json:"volume"`    // 量
}

Record 表示K线数据

type Stats 

type Stats struct {
	Start           time.Time     `json:"start"`
	End             time.Time     `json:"end"`
	Duration        time.Duration `json:"duration"`
	EntryPrice      float64       `json:"entry_price"`
	ExitPrice       float64       `json:"exit_price"`
	EntryEquity     float64       `json:"entry_equity"`
	ExitEquity      float64       `json:"exit_equity"`
	BaHReturn       float64       `json:"bah_return"`     // Buy & Hold Return
	BaHReturnPnt    float64       `json:"bah_return_pnt"` // Buy & Hold Return
	EquityReturn    float64       `json:"equity_return"`
	EquityReturnPnt float64       `json:"equity_return_pnt"`
}

Stats Backtesting Statistics

func (*Stats) PrintResult 

func (s *Stats) PrintResult()

type Strategy 

type Strategy interface {
	SetSelf(self Strategy) error
	Setup(mode TradeMode, exchanges ...Exchange) error
	TradeMode() TradeMode
	SetOptions(options map[string]interface{}) error
	Run() error
	OnInit() error
	OnTick() error
	OnDeinit() error
}

Strategy interface

type StrategyBase 

type StrategyBase struct {
	Exchanges []Exchange
	Exchange  Exchange
	// contains filtered or unexported fields
}

StrategyBase Strategy base class

func (*StrategyBase) GetOptions added in v1.1.4 

func (s *StrategyBase) GetOptions() (optionMap map[string]*StrategyOption)

GetOptions Returns the options of strategy

func (*StrategyBase) SetOptions added in v1.1.4 

func (s *StrategyBase) SetOptions(options map[string]interface{}) error

SetOptions Sets the options for the strategy

func (*StrategyBase) SetSelf added in v1.1.4 

func (s *StrategyBase) SetSelf(self Strategy) error

SetSelf 设置 self 对象

func (*StrategyBase) Setup 

func (s *StrategyBase) Setup(mode TradeMode, exchanges ...Exchange) error

Setup Setups the exchanges

func (*StrategyBase) TradeMode added in v1.1.4 

func (s *StrategyBase) TradeMode() TradeMode

type StrategyOption added in v1.1.4 

type StrategyOption struct {
	Name         string      `json:"name"`
	Description  string      `json:"description"`
	Type         string      `json:"type"`
	Value        interface{} `json:"value"`
	DefaultValue interface{} `json:"default_value"`
}

StrategyOption 策略参数

type Trade added in v0.9.10 

type Trade struct {
	ID        string    `json:"id"`     // ID
	Direction Direction `json:"type"`   // 主动成交方向
	Price     float64   `json:"price"`  // 价格
	Amount    float64   `json:"amount"` // 成交量(张)，买卖双边成交量之和
	Ts        int64     `json:"ts"`     // 订单成交时间 unix time (ms)
	Symbol    string    `json:"omitempty"`
}

Trade 成交记录

type TradeMode 

type TradeMode int

TradeMode 策略模式 

const (
	TradeModeBacktest TradeMode = iota
	TradeModePaperTrading
	TradeModeLiveTrading
)

func (TradeMode) String 

func (t TradeMode) String() string

type WSEvent added in v0.9.9 

type WSEvent int

WS 事件 

const (
	WSEventTrade WSEvent = iota + 1
	WSEventL2Snapshot
	WSEventBalance
	WSEventOrder
	WSEventPosition
	WSEventError
	WSEventDisconnected
	WSEventReconnected
)

WS 事件枚举

type WebSocket added in v0.9.9 

type WebSocket interface {
	SubscribeTrades(market Market, callback func(trades []Trade)) error
	SubscribeLevel2Snapshots(market Market, callback func(ob *OrderBook)) error
	//SubscribeBalances(market Market, callback func(balance *Balance)) error
	SubscribeOrders(market Market, callback func(orders []Order)) error
	SubscribePositions(market Market, callback func(positions []Position)) error
}

WebSocket 代表WS连接

Source Files

View all Source files

Directories

Path Synopsis
examples
backtest
hbdm-ws
hbdmswap-ws
live
okex-futures-ws
okex-swap-ws
binancefutures
bitmex
bitmexsim
bybit
deribit
deribitsim
hbdm
hbdmswap
okexfutures
okexswap

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