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

交易结果

开源策略

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

	//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

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

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],...]

{"_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:

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

TODO

• Paper trading.

QQ群

QQ群: 932289088

捐赠

METHOD	ADDRESS
BTC	1Nk4AsGj5HEJ5csRenTUPab1sjUySCZ3Pq
ETH	0xa74eade7ea08a8c48d7de4d582fac145afc86e3d

LICENSE

MIT ©coinrust