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GitHub go.mod Go version license build status

CREX

中文 | English

CREX A real-time quantitative trading library in Golang.

Backtesting

See @backtest

Trade results:

Open-source trading strategies

https://github.com/coinrust/trading-strategies

Main Features

  • easy to use.
  • Tick level backtest.
  • Public policy code for firm offer and backtest.
  • support WebSocket public and private subscriptions.
  • support futures and spot back testing.
  • support two-way futures contracts, forward and reverse contracts

Supported Exchanges

The CREX library currently supports the following 8 cryptocurrency exchange markets and trading APIs:

logo id name ver ws doc
binance binancefutures Binance Futures 1 N API
bitmex bitmex BitMEX 1 Y API
deribit deribit Deribit 2 Y API
bybit bybit Bybit 2 Y API
huobi hbdm Huobi DM 1 Y API
huobi hbdmswap Huobi Swap 1 Y API
okex okexfutures OKEX Futures 3 Y API
okex okexswap OKEX Swap 3 Y API

Example

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 example

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 {}
}

1. Standard CSV data types formats

  • columns delimiter: , (comma)
  • new line marker: \n (LF)
  • date time format: Unix time (ms)

Data format

column name description
t Unix time (ms)
asks[0-X].price asks prices in ascending order
asks[0-X].amount asks amounts in ascending order
bids[0-X].price bids prices in descending order
bids[0-X].amount bids amounts in descending order

Sample data rows preview

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 (recommend)

  • 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]]}

Data processing example

Example of importing data into a database:

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

TODO

  • Paper trading.

QQ group

QQ group: 932289088

Donate

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LICENSE

MIT ©coinrust