Place Orders on Time and Ready Basis Public

A plugin used for spot-futures paired trading, can be used in the trading terminal. Self-use tool, the default support is Deribit's futures order opening. Just fill in the contract name and expected price difference…

PythonTools & templates

Author: daniaoren
Complexity: Starter · 42 lines
Parameters: 5

Jump to code View in vault Original on FMZ

A plugin used for spot-futures paired trading, can be used in the trading terminal.

Self-use tool, the default support is Deribit's futures order opening. Just fill in the contract name and expected price difference in the contract according to the default value format.

If you want to support other exchanges, you may need to slightly modify it yourself.

Parameters

Name	Default	What it controls
ContractSwap	swap	Perpetual Contract
ContractFuture	quarter	Futures Contract
Amount	true	Order Quantity
DiffMin	6	Minimum orderable spread
RealTrade	false	Whether to place real orders

Source Python

def main():
	exchange.SetContractType(ContractSwap)
	TickerSwap = exchange.GetTicker()
	TickerSwap['BuyAmount'] = TickerSwap['Info']['result']['best_bid_amount']
	TickerSwap['SellAmount'] = TickerSwap['Info']['result']['best_ask_amount']
	exchange.SetContractType(ContractFuture)
	TickerFuture = exchange.GetTicker()
	TickerFuture['BuyAmount'] = TickerFuture['Info']['result']['best_bid_amount']
	TickerFuture['SellAmount'] = TickerFuture['Info']['result']['best_ask_amount']

	Diff = _N(TickerFuture['Buy'] - TickerSwap['Sell'],2)

	Msg = ''
	Msg += str(ContractSwap) +' '+ str(TickerSwap['Sell']) +' '+ str(TickerSwap['SellAmount'])+ '\n'
	Msg += str(ContractFuture) +' '+ str(TickerFuture['Buy']) +' '+ str(TickerFuture['BuyAmount']) + '\n'
	Msg += 'Spread: ' + str(Diff) + '\n'

	if Diff <= DiffMin:
		return 'Price difference ' + str(_N(Diff,2)) + ' Less than the set price difference '+str(DiffMin)+',Do not place an order' + '\n\nAdditional information\n' +Msg

	if TickerFuture['BuyAmount'] < Amount or TickerFuture['SellAmount'] < Amount:
		return 'The order quantity in a certain direction is less than the set order quantity '+str(Amount)+',Do not place an order' + '\n\nAdditional information\n' +Msg

	if not RealTrade:
		return 'Non-real Trading' + '\n' + Msg

	exchange.SetContractType(ContractSwap)
	exchange.SetDirection("buy")
	BuyOrderId = exchange.Buy(TickerSwap['Sell'] + 0.2, Amount)

	exchange.SetContractType(ContractFuture)
	exchange.SetDirection("sell")
	SellOrderId = exchange.Sell(TickerFuture['Buy'] - 0.2, Amount)

	BuyOrder = exchange.GetOrder(BuyOrderId)
	SellOrder = exchange.GetOrder(SellOrderId)

	TradeMsg = 'Transaction completed\n'
	TradeMsg += 'Buy Order ' + str(BuyOrder['ContractType']) + ' ' + str(BuyOrder['Price']) + ' ' + str(BuyOrder['DealAmount']) + '/' + str(BuyOrder['Amount']) + '\n'
	TradeMsg += 'Sell Order ' + str(SellOrder['ContractType']) + ' ' + str(SellOrder['Price']) + ' ' + str(SellOrder['DealAmount']) + '/' + str(SellOrder['Amount']) + '\n'
	TradeMsg += '\n\nAdditional information\n' +Msg
	return TradeMsg

Published by daniaoren on the FMZ strategy square · last modified 2021-02-24. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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