GoCryptoTrader Backtester: Binancecashandcarry package

This binancecashandcarry package is part of the GoCryptoTrader codebase.

This is still in active development

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Binance Cash and carry strategy overview

Important

This strategy was initially designed for the exchange FTX. It is currently being ported to Binance. It does not work at present.

Description

Cash and carry is a strategy which takes advantage of the difference in pricing between a long-dated futures contract and a SPOT asset. By default, this cash and carry strategy will, upon the first data event, purchase BTC-USD SPOT asset from Binance exchange and then, once filled, raise a SHORT for BTC-20210924 FUTURES contract. On the last event, the strategy will close the SHORT position by raising a LONG of the same contract amount, thereby netting the difference in prices

Requirements

At this time of writing, this strategy is only compatible with Binance
This strategy requires Simultaneous Signal Processing aka use-simultaneous-signal-processing.
This strategy requires Exchange Level Funding aka use-exchange-level-funding.

Creating a strategy config

The long-dated futures contract will need to be part of the currency-settings of the contract
Funding for purchasing SPOT assets will need to be part of funding-settings
See the example config

Customisation

This strategy does support strategy customisation in the following ways:

Field	Description	Example
openShortDistancePercentage	If there is no short position open, and the difference between FUTURES and SPOT pricing goes above this this percentage threshold, raise a SHORT order of the FUTURES contract	10
closeShortDistancePercentage	If there is an open SHORT position on a FUTURES contract, and the difference in FUTURES and SPOT pricing goes below this percentage threshold, close the SHORT position	1

External Resources

This is a very informative site on describing what a cash and carry trade will look like

Please click GoDocs chevron above to view current GoDoc information for this package

Contribution

Please feel free to submit any pull requests or suggest any desired features to be added.

When submitting a PR, please abide by our coding guidelines:

Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
Code must be documented adhering to the official Go commentary guidelines.
Code must adhere to our coding style.
Pull requests need to be based on and opened against the master branch.

Donations

If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:

bc1qk0jareu4jytc0cfrhr5wgshsq8282awpavfahc

# README