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https://github.com/coinrust/crex

A Golang cryptocurrency trading API & Library. Support Binance, BitMEX, Deribit, Bybit, Huobi DM, OKEX Futures and more.
https://github.com/coinrust/crex

backtest binance bitmex bybit crex deribit golang hbdm huobi okex quant trading websocket

Last synced: 13 days ago
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A Golang cryptocurrency trading API & Library. Support Binance, BitMEX, Deribit, Bybit, Huobi DM, OKEX Futures and more.

Host: GitHub
URL: https://github.com/coinrust/crex
Owner: coinrust
License: mit
Created: 2020-02-15T03:28:24.000Z (over 4 years ago)
Default Branch: master
Last Pushed: 2022-10-06T01:34:02.000Z (about 2 years ago)
Last Synced: 2024-05-22T15:31:16.930Z (6 months ago)
Topics: backtest, binance, bitmex, bybit, crex, deribit, golang, hbdm, huobi, okex, quant, trading, websocket
Language: Go
Homepage:
Size: 1.82 MB
Stars: 485
Watchers: 18
Forks: 151
Open Issues: 0
Metadata Files:
- Readme: README.md
- License: LICENSE
- Security: SECURITY.md

Awesome Lists containing this project

awesome-go-quant - crex - A Golang cryptocurrency trading API & Library. Support Binance, BitMEX, Deribit, Bybit, Huobi DM, OKEX Futures and more. (Golang / Trading & Backtesting)

README

        




  

    

  

  

    

  

  

    

  



# CREX

[中文](README.md) | [English](README_en.md)

**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](https://github.com/coinrust/crex/blob/master/examples/backtest/main.go)

### 交易结果





## 开源策略

[https://github.com/coinrust/trading-strategies](https://github.com/coinrust/trading-strategies)

## 主要特性

* 使用简单

* Tick级别回测

* 实盘、回测公用策略代码

* 支持 WebSocket 共有和私有订阅

* 支持期货、现货回测

* 支持期货双向合约，正反向合约

## 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](https://raw.githubusercontent.com/coinrust/crex/master/images/binance.jpg)](https://www.binance.com/cn/register?ref=10916733)        | binancefutures | [Binance Futures](https://www.binance.com/cn/register?ref=10916733)       | 1   | N   | [API](https://binance-docs.github.io/apidocs/futures/cn/)         |

| [![bitmex](https://raw.githubusercontent.com/coinrust/crex/master/images/bitmex.jpg)](https://www.bitmex.com/register/o0Duru)                    | bitmex         | [BitMEX](https://www.bitmex.com/register/o0Duru)                          | 1   | Y   | [API](https://www.bitmex.com/app/apiOverview)                     |

| [![deribit](https://raw.githubusercontent.com/coinrust/crex/master/images/deribit.jpg)](https://www.deribit.com/reg-7357.93)                     | deribit        | [Deribit](https://www.deribit.com/reg-7357.93)                            | 2   | Y   | [API](https://docs.deribit.com/)                                  |

| [![bybit](https://raw.githubusercontent.com/coinrust/crex/master/images/bybit.jpg)](https://www.bybit.com/app/register?ref=qQggy)                | bybit          | [Bybit](https://www.bybit.com/app/register?ref=qQggy)                     | 2   | Y   | [API](https://bybit-exchange.github.io/docs/inverse/)             |

| [![huobi](https://raw.githubusercontent.com/coinrust/crex/master/images/huobi.jpg)](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5) | hbdm           | [Huobi DM](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5)   | 1   | Y   | [API](https://docs.huobigroup.com/docs/dm/v1/cn/)                 |

| [![huobi](https://raw.githubusercontent.com/coinrust/crex/master/images/huobi.jpg)](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5) | hbdmswap       | [Huobi Swap](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5) | 1   | Y   | [API](https://docs.huobigroup.com/docs/coin_margined_swap/v1/cn/) |

| [![okex](https://raw.githubusercontent.com/coinrust/crex/master/images/okex.jpg)](https://www.okex.com/join/1890951)                             | okexfutures    | [OKEX Futures](https://www.okex.com/join/1890951)                         | 3   | Y   | [API](https://www.okex.me/docs/zh/#futures-README)                |

| [![okex](https://raw.githubusercontent.com/coinrust/crex/master/images/okex.jpg)](https://www.okex.com/join/1890951)                             | okexswap       | [OKEX Swap](https://www.okex.com/join/1890951)                            | 3   | Y   | [API](https://www.okex.me/docs/zh/#swap-README)                   |

## 示例

```golang

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)

	//Trailing Stop Market Order - Binance - sell stop loss order for long position

	callbackRate := 5.0 // from 0.1% until 5% allowed

	s.Exchange.PlaceOrder(symbol, Sell, OrderTypeTrailingStopMarket, 0.0, 10,

		OrderCallbackRateOption(callbackRate), 

		OrderActivationPriceOption(5000.0), // optional - default as the latest price

		OrderReduceOnlyOption(true),

	)

	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) OnExit() 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.OnExit()

}

```

## WebSocket 示例

```golang

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

### 1. 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

```csv

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

```

### 2. MongoDB (推荐)

* Database. for example: tick_db

* Collection. for example: deribit:BTC-PERPETUAL

* Document:

t: timestamp (ms)

a: asks Array [[ask_price_0,ask_amount_0],[ask_price_1,ask_amount_1],...]

b: bids Array [[bid_price_0,ask_amount_0],[bid_price_1,bid_amount_1],...]

```json

{"_id":{"$oid":"5eb946d88316c7a9c541705c"},"t":{"$numberLong":"1569888000143"},"a":[[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]],"b":[[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]]}

```

### 数据处理示例

Example of importing data into a database:

```shell script

cd ./cmd/deribit-data-to-db

go build

./deribit-data-to-db

```

## TODO

* Paper trading.

## QQ群

QQ群: [932289088](https://jq.qq.com/?_wv=1027&k=5rg0FEK)

## 捐赠

| METHOD  | ADDRESS                                     |

|-------- |-------------------------------------------- |

| BTC     | 1Nk4AsGj5HEJ5csRenTUPab1sjUySCZ3Pq          |

| ETH     | 0xa74eade7ea08a8c48d7de4d582fac145afc86e3d  |

## LICENSE

MIT [©coinrust](https://github.com/coinrust)