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

实盘

示例 @live trading

主要特性

• 使用简单
• Tick级别回测
• 支持 WebSocket

支持交易所

name	id	ver	doc
Binance Futures	binancefutures	1	API
BitMEX	bitmex	1	API
Deribit	deribit	2	API
Bybit	bybit	2	API
Huobi DM	hbdm	1	API
Huobi Swap	hbdmswap	1	API
OKEX Futures	okexfutures	3	API
OKEX Swap	okexswap	3	API

示例

package main

import (
	. "github.com/coinrust/crex"
	"github.com/coinrust/crex/brokers"
	"log"
	"time"
)

type BasicStrategy struct {
	StrategyBase
}

func (s *BasicStrategy) OnInit() {

}

func (s *BasicStrategy) OnTick() {
	currency := "BTC"
	symbol := "BTC-PERPETUAL"

	accountSummary, err := s.Broker.GetAccountSummary(currency)
	if err != nil {
		log.Fatal(err)
	}
	log.Printf("accountSummary: %#v", accountSummary)

	s.Broker.GetOrderBook(symbol, 10)

	s.Broker.PlaceOrder(symbol,
		Buy, OrderTypeLimit, 1000.0, 10, 1, true, false, nil)

	s.Broker.GetOpenOrders(symbol)
	s.Broker.GetPosition(symbol)
}

func (s *BasicStrategy) OnDeinit() {

}

func main() {
	accessKey := "[accessKey]"
	secretKey := "[secretKey]"
	broker := brokers.New(brokers.Deribit,
		accessKey, secretKey, true, map[string]string{})

	s := &BasicStrategy{}
	s.Setup(TradeModeLiveTrading, broker)

	// run loop
	for {
		s.OnTick()
		time.Sleep(1 * time.Second)
	}
}

WebSocket 示例

package main

import (
	. "github.com/coinrust/crex"
	"github.com/coinrust/crex/brokers"
	"log"
)

func main() {
	wsURL := "wss://api.hbdm.com/ws" // "wss://api.btcgateway.pro/ws"
	params := map[string]string{}
	params["wsURL"] = wsURL

	ws := brokers.NewWS(brokers.HBDM,
		"[accessKey]", "[secretKey]", false, params)

	// 订单薄事件方法
	ws.On(WSEventL2Snapshot, func(ob *OrderBook) {
		log.Printf("ob: %#v", ob)
	})
	// 成交记录事件方法
	ws.On(WSEventTrade, func(trades []Trade) {
		log.Printf("trades: %#v", trades)
	})

	// 订单事件方法
	ws.On(WSEventOrder, func(order *Order) {
		log.Printf("order: %#v", order)
	})
	// 持仓事件方法
	ws.On(WSEventPosition, func(position *Position) {
		log.Printf("position: %#v", position)
	})

	// 订阅订单薄
	ws.SubscribeLevel2Snapshots(Market{
		ID:     "BTC",
		Params: ContractTypeW1,
	})
	// 订阅成交记录
	ws.SubscribeTrades(Market{
		ID:     "BTC",
		Params: ContractTypeW1,
	})
	// 订阅订单成交信息
	ws.SubscribeOrders(Market{
		ID:     "BTC",
		Params: ContractTypeW1,
	})
	// 订阅持仓信息
	ws.SubscribePositions(Market{
		ID:     "BTC",
		Params: ContractTypeW1,
	})

	select {}
}

回测数据

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

TODO

• Paper trading.

QQ群

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捐赠

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METHOD	ADDRESS
BTC	1Nk4AsGj5HEJ5csRenTUPab1sjUySCZ3Pq
ETH	0xa74eade7ea08a8c48d7de4d582fac145afc86e3d

LICENSE

MIT ©coinrust