Spot Index Balance Strategy V11 Used to Run Live Trading for a While But Now Suspected of a Bug Because Its No Longer Used and Im Too Lazy to Fix It
Index balancing strategy Python version
PythonOther
Index balancing strategy Python version
Parameters
| Name | Default | What it controls |
|---|---|---|
| symbols | BTC,ETH,BCH,LTC | trading pair |
| slip | 0.03 | Order slippage |
| percent | 0.2,0.2,0.2,0.2 | Value proportion of each trading pair |
| delta | 0.01 | Balance the difference by what level the difference reaches |
| Interval | 2 | Dormant Times |
| LogInterval | 600 | Profit update times |
| init_fund | -1 | Initial capital |
Source Python
import json
import time
import requests
import math
account = 0
updateProfitTime = 0
tradeInfo = {}
accountAssets = {}
ticker = {}
runtimeData = {}
Funding = 0
sbs = list(symbols.split(','))
pcts = list(percent.split(','))
for i in range(len(pcts)):
pcts[i] = float(pcts[i])
p_dic = {
'ETH':[2,4], 'BTC':[2,5], 'XRP':[4,0], 'TRX':[5,1], 'LTC':[1,3], 'BNB':[1,3]
} #Price and quantity precision, add as needed
SuccessColor = '#5cb85c' #Success color
DangerColor = '#ff0000' #Dangerous colors
WrningColor = '#f0ad4e' #Warning color
if IsVirtual():
Log('Cannot perform backtest')
exit()
if exchange.GetName() != 'Binance':
Log('Only supports Binance spot exchange!')
exit()
def init():
exchangeInfo = requests.get('https://api.binance.com/api/v1/exchangeInfo').json()
if exchangeInfo is None:
Log('Unable to connect to Binance network, requires an overseas host!!!')
exit()
for x in range(len(exchangeInfo['symbols'])):
for symbol in sbs:
if exchangeInfo['symbols'][x]['symbol'] == symbol+'USDT':
tradeInfo[symbol] = {'minQty': float(exchangeInfo['symbols'][x]['filters'][2]['minQty']) ,
'priceSize': int((math.log10(1.1/float(exchangeInfo['symbols'][x]['filters'][0]['tickSize'])))),'amountSize': int((math.log10(1.1/float(exchangeInfo['symbols'][x]['filters'][2]['stepSize']))))}
# Log('tradeInfo:',tradeInfo)
def UpdateAccount():
global accountAssets,Funding,account
acc = exchange.GetAccount()
if acc is None:
Log('Update account timeout!!!')
return
if _G('Funding') is None:
Funding = acc['Balance']
Log('Funding:',Funding)
_G('Funding',Funding)
else:
Funding = _G('Funding')
if init_fund >0:
Funding = init_fund
for x in range(len(acc['Info']['balances'])):
for symbol in sbs:
# Log(account['Info']['balances'])
if acc['Info']['balances'][x]['asset'] == symbol:
accountAssets[symbol] = acc['Info']['balances'][x]
accountAssets[symbol]['amount'] = float(accountAssets[symbol]['free']) + float(accountAssets[symbol]['locked'])
if acc['Info']['balances'][x]['asset'] == 'USDT':
# Log('USDT:',acc['Info']['balances'][x])
account = float(acc['Info']['balances'][x]['free']) + float(acc['Info']['balances'][x]['locked'])
# Log('accountAssets:',accountAssets)
def UpdateTick():
global ticker,account
try:
res = requests.get('https://api.binance.com/api/v3/ticker/bookTicker').json()
except:
Log('Market update timeout')
return
for x in range(len(res)):
for symbol in sbs:
if res[x]['symbol'] == symbol + 'USDT':
# Log('res[x]:',res[x])
ticker[symbol] = res[x]
ticker[symbol]['price'] = (float(ticker[symbol]['askPrice']) + float(ticker[symbol]['bidPrice'])) / 2
ticker[symbol]['value'] = accountAssets[symbol]['amount'] * ticker[symbol]['price']
# Log('ticker:',ticker)
# account = 0
for symbol in sbs:
account += _N(ticker[symbol]['value'],4)
def UpdateStatus():
global updateProfitTime
accountTable = {
'type': "table",
'title': "Profit statistics",
'cols': ["Operating days", "Initial capital", "Existing capital", "Total income", "Estimated annualized profit", "Estimated monthly profit", "Average daily profit""],
'rows': []
}
table = {
'type': 'table',
'title': 'Trading pair information',
'cols': [''Number', 'Cryptocurrency Information', 'Proportion %', 'Opening Quantity', 'Current Price', 'Position Value''],
'rows': []
}
totalProfit = account - Funding
profitColors = DangerColor
runday = runtimeData['dayDiff']
if runday == 0:
runday = 1
if totalProfit > 0:
profitColors = SuccessColor
dayProfit = totalProfit / runday #Average daily profit
dayRate = totalProfit / Funding * 100
accountTable['rows'].append([
runday,
Funding,
account,
str(_N(totalProfit / Funding * 100, 2)) + "% = $" + str(_N(totalProfit, 2)) + (profitColors),
str(_N(dayRate * 365, 2)) + "% = $" + str(_N(dayProfit * 365, 2)) + (profitColors),
str(_N(dayRate * 30, 2)) + "% = $" + str(_N(dayProfit * 30, 2)) + (profitColors),
str(_N(dayRate, 2)) + "% = $" + str(_N(dayProfit, 2)) + (profitColors)
])
i=1
for symbol in sbs:
table['rows'].append([
i,
symbol,
str(_N(ticker[symbol]['value'] / account * 100, 4 )),
str(_N(accountAssets[symbol]['amount'],tradeInfo[symbol]['amountSize'])),
str(_N(ticker[symbol]['price'],tradeInfo[symbol]['priceSize'])),
str(_N(ticker[symbol]['value'],4))
])
i += 1
retData = runtimeData['str'] + '\n' + "Last Update: " + _D() + '\n' + 'This strategy is adapted fromXMaxZoneExpert's spot balance strategy-0.0.1v,Original strategy URL:https://www.fmz.com/strategy/322357' + '\n'
LogStatus(retData+ '`' + json.dumps(accountTable) + '`\n'+ '`' + json.dumps(table) + '`\n')
if int(time.time()*1000) - updateProfitTime > LogInterval * 1000:
balance = account - Funding
LogProfit(_N(balance, 3))
updateProfitTime = int(time.time()*1000)
def Process():
# Log('Real-time funds:',account)
for i in range(len(sbs)):
pct = float(ticker[sbs[i]]['value']) / float(account)
# Log(symbol,'amount:',amount,1 / len(sbs))
if pct > (pcts[i] + delta):
# Log('SELL',pct)
amount = _N( ( (pct-pcts[i] ) * account / float(ticker[sbs[i]]['price'])),tradeInfo[sbs[i]]['amountSize'])
if amount >= tradeInfo[sbs[i]]['minQty'] and float(amount)*float(ticker[sbs[i]]['value']) > 10:
Log(sbs[i] ,'Funding:',Funding,'value:',ticker[sbs[i]]['value'])
# Trade(sbs[i],'SELL',_N(float(ticker[sbs[i]]['askPrice']), int(tradeInfo[sbs[i]]['priceSize'])), amount)
exchange.SetCurrency(sbs[i]+'_USDT')
exchange.SetPrecision(p_dic[sbs[i]][0], p_dic[sbs[i]][1])
exchange.Sell(float(ticker[sbs[i]]['bidPrice'])*(1-slip), amount)
if pct < (pcts[i] - delta):
# Log('Buy', pct)
amount = _N( ( (pcts[i]-pct ) * account / float(ticker[sbs[i]]['price'])),tradeInfo[sbs[i]]['amountSize'])
if amount >= tradeInfo[sbs[i]]['minQty'] and float(amount)*float(ticker[sbs[i]]['value']) > 10:
Log(sbs[i] ,'Funding:',Funding,'value:',ticker[sbs[i]]['value'])
# Trade(sbs[i],'BUY',_N(float(ticker[sbs[i]]['bidPrice']), tradeInfo[sbs[i]]['priceSize']), amount)
exchange.SetCurrency(sbs[i]+'_USDT')
exchange.SetPrecision(p_dic[sbs[i]][0], p_dic[sbs[i]][1])
exchange.Buy(float(ticker[sbs[i]]['bidPrice'])*(1+slip), amount)
def StartTime():
StartTime = _G('StartTime')
if StartTime is None:
StartTime = _D()
_G('StartTime',StartTime)
return StartTime
def RunTime():
ret = {}
startTime = StartTime()
nowTime = _D()
dateDiff = (time.mktime(time.strptime(nowTime,'%Y-%m-%d %H:%M:%S')) - time.mktime(time.strptime(startTime,'%Y-%m-%d %H:%M:%S')) ) * 1000 #Calculate the time difference
dayDiff = math.floor(dateDiff / (24 * 3600 * 1000))
lever1 = dateDiff % (24 * 3600 * 1000 )
hours = math.floor(lever1 / (3600 * 1000))
lever2 = lever1 % (3600 * 1000)
minutes = math.floor(lever2 / (60 * 1000))
ret['dayDiff'] = dayDiff
ret['hours'] = hours
ret['minutes'] = minutes
ret['str'] = 'Running time:' + str(dayDiff) + 'Sky/Heaven' + str(hours) + 'Hour' + str(minutes) + 'Minute'
return ret
def main():
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|reused|Unknown")
global runtimeData
while True:
runtimeData = RunTime()
#Update account and positions
UpdateAccount()
#Update Quotes
UpdateTick()
#Main logic of strategy
Process()
#Update chart
UpdateStatus()
#Dormant Time
Sleep(Interval * 1000)
Published by GCC on the FMZ strategy square · last modified 2021-12-04. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.
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