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https://github.com/poloniex/polo-futures-sample-strategies

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Host: GitHub
URL: https://github.com/poloniex/polo-futures-sample-strategies
Owner: poloniex
License: mit
Created: 2020-06-26T19:15:41.000Z (over 4 years ago)
Default Branch: master
Last Pushed: 2023-05-22T23:32:46.000Z (over 1 year ago)
Last Synced: 2024-04-15T01:22:42.703Z (10 months ago)
Language: Python
Homepage:
Size: 12.7 KB
Stars: 1
Watchers: 4
Forks: 0
Open Issues: 3
Metadata Files:
- Readme: README.md
- License: LICENSE

Awesome Lists containing this project

README

Poloniex Futures Strategy Pack
--------
--------

Sample algo-trade strategies for Poloniex futures.

DISCLAIMER:

```
USE AT YOUR OWN RISK. This code is intended for demonstration purposes only, the scripts contained demonstrate the basics of interacting with the Poloniex API through a practical example.
We do not endorse or recommend that you use these scripts or the sample strategies they contain in a production environment.
As these have not been backtested for profitability, you should expect to lose money if you use them.
Poloniex is not responsible for any losses you may incur when using these scripts.
```

Getting Started
--------

These instructions will get a copy of the project up and running on your local machine for development and testing purposes.

Prerequisites and Installation
--------

It is recommended to run this strategy in a virtual environment.

Install TA-LIB dependencies - https://github.com/mrjbq7/ta-lib#dependencies.

```bash
python3 -m venv tutorial-env
source ./tutorial-env/bin/activate
pip install -r requirements.txt
```

Get the code files with git.

Clone the repo into the path you will be using
```bash
git clone https://github.com/poloniex/polo-futures-sample-strategies.git
```

Configuration
--------

All trade configurations are done in the trading file. Account keys and passwords are set in environment variables.

WARNING: Do not leave secrets or passwords as plain text.

```python
# Trading parameters
SYMBOL = 'BTCUSDTPERP'
LEVERAGE = '25'
TRADE_SIZE = 50
MAX_SLIPPAGE = 0.025
```

Tweak the sensitivity of the algorithm or update the strategy in the `trade_signal` function

```python
self.rsif(14) # 14 RSI period window
self.bbp(20, 2, 2, 0) # 20 period Bollinger Band window
```

Running the tests
--------

Run `python sample-RSIBBP.py or python sample-MOM.py`

Bot should take a moment to open connections and subscribe to channels.

```
Latest Signals:
open high low close size RSI BBP Signal Position
ts
2020-06-08 19:35:00 9704.0 9707.0 9704.0 9707.0 10793 46.165048 0.258199 0 buy
2020-06-08 19:35:30 9702.0 9706.0 9702.0 9706.0 8596 44.709798 0.203153 0 buy
2020-06-08 19:36:00 9702.0 9704.0 9702.0 9704.0 6364 41.867217 0.098853 0 buy
2020-06-08 19:36:30 9704.0 9705.0 9702.0 9705.0 3562 43.791491 0.206852 0 buy
2020-06-08 19:37:00 9704.0 9704.0 9704.0 9704.0 2432 42.284161 0.170238 0 buy

```
If a position is open, the following is expected.
```
Current Position:
Position 475
Entry Price 9680.37
liquidation Price 9354.0
Unrealised Pnl 6.11%
```
Else, the default output is
```
Current Position:
Position 0
Entry Price 0
liquidation Price 0
Unrealised Pnl 0%
```