trading bot running on binance isolated margin
use at own risk
requires python >= 3.8
dependencies, install with pip:
python3.8 -m pip install matplotlib pandas websockets ccxt
released freely -- anybody may copy, redistribute, modify, use for commercial, non-commercial, educational or non-educational purposes, censor, claim as one's own or otherwise do or not do whatever without permission from anybody
usage:
binance account needs isolated margin enabled for each symbol to trade
add api key and secret as json file in dir api_key_secret/binance/your_user_name.json
formatted like this: ["KEY", "SECRET"]
make a copy of settings/binance_isolated_margin/default.json
rename the copy your_user_name.json and make changes
it will use the account's trade history to make trading decisions
if using an account with recent trade history and you wish to start fresh, consider changing "snapshot_timestamp_millis" from 0 to current unix time in milliseconds, see more below
run in terminal: python3.8 passivbot_isolated_margin.py your_user_name
open backtesting_notes_shared_equity.ipynb with jupyter notebook for backtesting
overview
the bot's purpose is to accumulate btc
it can be used actively according to user's judgement of market conditions, but is designed and intended to work passively, i.e. "set and forget"
it simultaneously longs and shorts (optionally long only or short only) any btc quoted market
it favors neither direction, but allocates equal volume to shorts and longs
it longs by making small bids and shorts by borrowing coin from binance and making small asks
it listens to websocket stream and updates its orders continuously
it will look back in its own trade history to determine exit price and amount
it exits positions in both directions at volume weighted average entry price with a given markup
e.g.
long_exit_price = sum(long_entry_costs) / sum(long_entry_amounts) * (1 + markup)
shrt_exit_price = sum(shrt_entry_costs) / sum(shrt_entry_amounts) * (1 - markup)
after each new entry, the corresponding exit order's price and amount are updated
if it runs out of btc for long entries, it will borrow btc, repaying after long position is filled
inversely, when the short exit position is filled, it repays the coin debt
here follow example illustrations of behavior
blue dots are small long buys, red dots are big long sells, red line is long entry vwap which resets after each exit
red dots are small short sells, blue dots are big short buys, blue line is short entry vwap which resets after each exit
the size of its entries scale with account equity
about the settings:
{
"default": {
"min_entry_delay_hours": 6.0, # min n hours between same side entries
"ema_spans_minutes": [15, ... 1080], # no bid is higher than min(emas),
# no ask is lower than max(emas)
"entry_spread": 0.001, # no entry bid is higher than min(emas) * (1 - entry_spread)
# no entry ask is lower than max(emas) * (1 + entry_spread)
"entry_vol_modifier_exponent": 10, # entry size is multiplied by the following
"min_exit_cost_multiplier": 10, # max(1.0, min(min_exit_cost_multiplier / 2,
# vwap_last_price_ratio**entry_vol_modifier_exponent))
# where vwap_last_price_ratio = (long_vwap / last_price) or (last_price / shrt_vwap)
"long": true, # whether or not to long
"shrt": true, # whether or not to short
"max_leverage": 10, # exchange's credit limit takes precendence
"max_markup_pct": 0.1, # markup starts at 10%, declines to 0.5% over 18 days,
"min_markup_pct": 0.005, # resets after each exit
"n_days_to_min_markup": 18, # set n_days_to_min_markup = 0 for constant 0.5% markup
"max_memory_span_days": 90, # my_trades older than 90 days are forgotten
"snapshot_timestamp_millis": 0 # my_trades older than snapshot are forgotten
"phase_out": false, # if true, will stop new entries after exit
},
"global": {
"max_entry_acc_val_pct_per_hour": 0.002 # max allowed percentage of total account value per side per hour
},
"symbols": { # symbols to trade
"AAA/BTC": {
"long": true,
"shrt": false,
"max_leverage": 5 # any key/value set under "symbols" will override corresponding default setting
},
"BBB/BTC": {
"min_markup_pct": 0.006,
"snapshot_timestamp_millis": 1604421894519
},
"CCC/BTC": {
"phase_out": true
},
"DDD/BTC": {},
"EEE/BTC": { # if both long and shrt are false, will liquidate any holdings to btc over time
"long": false,
"shrt": false
}
},
"user": "user_name"
}
it will automatically place and delete orders, borrow and repay
it will only make orders, never (except by accident) take orders
it maintains up to 5 orders per market pair
one long entry: small bid
one long exit: big ask
one short entry: small ask
one short exit: big bid
one liquidation order in case of mismatch between balance and analysis of past trades