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| Copyright (c) 2012-2021 Scott Chacon and others | ||
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| Permission is hereby granted, free of charge, to any person obtaining | ||
| a copy of this software and associated documentation files (the | ||
| "Software"), to deal in the Software without restriction, including | ||
| without limitation the rights to use, copy, modify, merge, publish, | ||
| distribute, sublicense, and/or sell copies of the Software, and to | ||
| permit persons to whom the Software is furnished to do so, subject to | ||
| the following conditions: | ||
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| The above copyright notice and this permission notice shall be | ||
| included in all copies or substantial portions of the Software. | ||
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| THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, | ||
| EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF | ||
| MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND | ||
| NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE | ||
| LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION | ||
| OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION | ||
| WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. |
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| # passivbot_futures | ||
| <h1 align="center"> | ||
| passivbot_futures | ||
| </h1> | ||
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| **Version: 3.3.3** | ||
|  | ||
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| trading bot running on bybit and binance futures using hedge mode when possible | ||
| ## Trading bot running on Bybit and Binance Futures using hedge mode when possible | ||
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| use at own risk | ||
| :warning: **Use at own risk** :warning: | ||
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| requires python >= 3.8 | ||
| ## Overview | ||
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| dependencies, install with pip: | ||
| The bot's purpose is to accumulate tokens over time | ||
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| `pip install -r requirements.txt` | ||
| It is a market maker bot working in futures markets, making multiple post only limit orders above and below current | ||
| price | ||
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| discord | ||
| It listens to websocket live stream of trades, and updates its orders continuously | ||
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| https://discord.gg/QAF2H2UmzZ | ||
| If there is a long position, it creates reentry bids below pos price, and reduce-only asks above pos price: | ||
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| telegram | ||
| `reentry_bid_price = pos_price * (1 - grid_spacing * (1 + (position_margin / wallet_balance) * grid_coefficient))` | ||
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| https://t.me/passivbot_futures | ||
| If there is a short position, it creates reentry asks above pos price, and reduce-only closing bids below pos price: | ||
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| for a repository of settings and their backtesting results, see | ||
| `reentry_ask_price = pos_price * (1 + grid_spacing * (1 + (position_margin / wallet_balance) * grid_coefficient))` | ||
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| https://github.com/JohnKearney1/PassivBot-Configurations | ||
| In hedge mode, stop loss works thusly: | ||
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| for more detailed documentation on this project, see the wiki at: | ||
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| https://github.com/enarjord/passivbot_futures/wiki | ||
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| bybit ref: | ||
| https://www.bybit.com/en-US/register?affiliate_id=16464&language=en-US&group_id=0&group_type=1 | ||
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| binance ref: | ||
| https://www.binance.cc/en/register?ref=TII4B07C | ||
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| ------------------------------------------------------------------ | ||
| change log | ||
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| 2021-03-12 v3.0.0 | ||
| - binance hedge mode implemented (bybit not yet supported) | ||
| - emas removed | ||
| - stop loss removed | ||
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| 2021-03-18 v3.0.1 | ||
| - hedge mode backtester implemented | ||
| - emas added back | ||
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| 2021-03-21 v3.1.0 | ||
| - removed setting min_close_qty_multiplier | ||
| - added setting close_qty_pct, which complements entry_qty_pct | ||
| - rewrote iter_long/shrt_closes | ||
| - fixed memory leak bug | ||
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| 2021-03-23 v3.2.0 | ||
| - implemented particle swarm optimizationg algorithm, replacing jackrabbit | ||
| - bybit hedge mode with inverse futures | ||
| - removed config param close_qty_pct | ||
| - removed config param balance_pct | ||
| - removed config param max_markup | ||
| - added config param markup_range | ||
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| 2021-03-25 v3.2.1 | ||
| - bug fixes | ||
| - bybit backtester improvements and bug fixes | ||
| - numba is now enabled by default, use --nojit to disable numba | ||
| - several renamings | ||
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| 2021-03-30 v3.3.0 | ||
| - bybit usdt linear perpetual and bybit inverse perpetual markets now supported | ||
| - new downloader for historical backtesting data | ||
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| 2021-04-01 v3.3.1 | ||
| - binance inverse futures coin margined markets now supported | ||
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| 2021-04-05 v3.3.2 | ||
| - changed api key format. put api key/secret in api-keys.json in main dir. | ||
| - changed name of live_settings dir to live_configs, removed subdirs binance/bybit | ||
| - changed how to use start_bot.py. see updated startup instructions | ||
| - improved backtester multiprocessing memory usage | ||
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| 2021-04-05 v3.3.3 | ||
| - added stop loss | ||
| - todo: backtester with stop loss | ||
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| see `changelog.txt` for earlier changes | ||
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| ------------------------------------------------------------------ | ||
| ``` | ||
| if diff(liq_price, last_price) < stop_loss_liq_diff: | ||
| if available margin: | ||
| enter opposite side | ||
| else: | ||
| close same side at a loss | ||
| ``` | ||
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| 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 | ||
| In both cases liq price will be pushed away | ||
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| ------------------------------------------------------------------ | ||
| ### Requirements | ||
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| usage: | ||
| - Python >= 3.8 | ||
| - [requirements.txt](requirements.txt) dependencies | ||
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| supports exchanges bybit futures and binance futures, using hedge mode when supported | ||
| ### Setup dependencies | ||
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| add api key and secret in file `api-keys.json` | ||
| ```bash | ||
| pip install -r requirements.txt | ||
| ``` | ||
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| run in terminal: `python3 start_bot.py {account_name} {symbol} {path/to/config.json}` | ||
| ### Usage: | ||
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| for example | ||
| #### Supports exchanges Bybit futures and Binance futures, using hedge mode when supported | ||
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| `python3 start_bot.py binance_01 XMRUSDT live_configs/binance_default.json` | ||
| 1. Add your api key and secret in file [api-keys.json](api-keys.json) | ||
| 2. ```bash | ||
| python3 start_bot.py {account_name} {symbol} {path/to/config.json} | ||
| ``` | ||
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| run in docker: modify command with exchange and user_name in docker-compose and start with `docker-compose up -d` (-d for background run). all code and files generated are in original git folder. | ||
| Example: | ||
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| for graceful stopping of the bot, set do_long and do_shrt both to false, and bot will continue as normal, opening no new positions, until all existing positions are closed | ||
| ```bash | ||
| python3 start_bot.py binance_01 XMRUSDT live_configs/binance_default.json | ||
| ``` | ||
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| ------------------------------------------------------------------ | ||
| overview | ||
| #### Run with docker | ||
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| the bot's purpose is to accumulate tokens over time | ||
| Modify command with exchange and user_name in [docker-compose.yml](docker-compose.yml) and start | ||
| with `docker-compose up -d` (-d for background run). All code and files generated are in original git folder. | ||
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| it is a market maker bot working in futures markets, making multiple post only limit orders above and below current price | ||
| #### Stopping bot | ||
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| it listens to websocket live stream of trades, and updates its orders continuously | ||
| For graceful stopping of the bot, set `do_long`and `do_shrt` both to `false`, and bot will continue as normal, opening | ||
| no new positions, until all existing positions are closed. | ||
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| if there is a long position, it creates reentry bids below pos price, and reduce-only asks above pos price | ||
| ### Documentation [WIP], see the wiki at: | ||
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| reentry_bid_price = pos_price * (1 - grid_spacing * (1 + (position_margin / wallet_balance) * grid_coefficient)) | ||
| https://github.com/enarjord/passivbot_futures/wiki | ||
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| if there is a short position, it creates reentry asks above pos price, and reduce-only closing bids below pos price | ||
| ### Support | ||
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| reentry_ask_price = pos_price * (1 + grid_spacing * (1 + (position_margin / wallet_balance) * grid_coefficient)) | ||
| [](https://t.me/passivbot_futures) | ||
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| in hedge mode, stop loss works thusly: | ||
| ``` | ||
| if diff(liq_price, last_price) < stop_loss_liq_diff: | ||
| if available margin: | ||
| enter opposite side | ||
| else: | ||
| close same side at a loss | ||
| ``` | ||
| [](https://discord.gg/QAF2H2UmzZ) | ||
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| in both cases liq price will be pushed away | ||
| ### Resources | ||
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| - Repository of settings and their backtesting results: https://github.com/JohnKearney1/PassivBot-Configurations | ||
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| ------------------------------------------------------------------ | ||
| ### [Changelog](changelog.md) | ||
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| a backtester is included | ||
| ### License | ||
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| go to `backtest_configs/{config_name}.hjson` and adjust | ||
| 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. | ||
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| run with | ||
| ## Backtester | ||
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| `python3 backtest.py {config_name}` | ||
| A backtester is included | ||
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| will use numba's just in time compiler by default to speed up backtesting | ||
| 1. go to `backtest_configs/{config_name}.hjson` and adjust it | ||
| 2. run with `python3 backtest.py {config_name}` | ||
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| add argument --nojit to disable numba: | ||
| Will use numba's just in time compiler by default to speed up backtesting, add argument `--nojit` to disable numba: | ||
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| `python3 backtest.py {config_name} --nojit` | ||
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| see wiki for more info on backtesting | ||
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| ------------------------------------------------------------------ | ||
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| about live settings, bybit example: | ||
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| { | ||
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| "config_name": "BTCUSD_default", # arbitrary name given to settings. | ||
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| "qty_pct": 0.005, # percentage of balance * leverage used as min order qty. | ||
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| "ddown_factor": 0.02, # next reentry_qty is max(initial_entry_qty, abs(pos_size) * ddown_factor). | ||
| # if set to 1.0, each reentry qty will be equal to 1x pos size, i.e. doubling pos size after every reentry. | ||
| # if set to 1.5, each reentry qty will be equal to 1.5x pos size. | ||
| # if set to 0.0, each reentry qty will be equal to initial_entry_qty. | ||
| "ema_span": 10000, # tick ema is not based on ohlcvs, but calculated based on sequence of raw trades. | ||
| "ema_spread": 0.001 # if no pos, bid = min(ema * (1 - spread), highest_bid) and ask = max(ema * (1 + spread), lowest_ask) | ||
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| "do_long": true, # if true, will allow long positions | ||
| "do_shrt": true # if true, will allow short posisions | ||
| "grid_coefficient": 245.0, # next entry price is pos_price * (1 +- grid_spacing * (1 + (pos_margin / balance) * grid_coefficient)). | ||
| "grid_spacing": 0.0026, # | ||
| "leverage": 100, # leverage (irrelevant in bybit because cross mode in is always max leverage). | ||
| "logging_level": 0, # if logging_level > 0, | ||
| # will log positions, open orders, order creations and order cancellations in logs/{exchange}/{config_name}.log. | ||
| See [wiki](https://github.com/enarjord/passivbot_futures/wiki) for more info on backtesting | ||
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| "min_markup": 0.0002, # when there's a position, bot makes a grid of n_close_orders whose prices are | ||
| "markup_range": 0.0159, # evenly distributed between min_markup and (min_markup + markup_range), and whose qtys are pos_size // n_close_orders. | ||
| "n_close_orders": 20, # max n close orders. | ||
| "n_entry_orders": 8, # max n entry orders. | ||
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| "stop_loss_liq_diff": 0.2 # if difference between liq price and last price is less than 20%, ... | ||
| "stop_loss_pos_pct": 0.01 # ... if available margin, increase opposite side pos by 1%, otherwise reduce same side pos by 1% | ||
| "symbol": "BTCUSD" # only one symbol at a time. | ||
| ## Live settings | ||
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| } | ||
| - [Binance](live_configs/binance_default.json) | ||
| - [Bybit](live_configs/bybit_default.json) | ||
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| ------------------------------------------------------------------ | ||
| ## Support the project | ||
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| feel free to make a donation to show support of the work | ||
| ### Feel free to make a donation to show support of the work | ||
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| XMR: 49gUQ1jasDK23tJTMCvP4mQUUwndeLWAwSgdCFn6ovmRKXZAjQnVp2JZ2K4UuDDdYMNam1HE8ELZoWdeJPRfYEa9QSEK6XZ | ||
| - XMR: `49gUQ1jasDK23tJTMCvP4mQUUwndeLWAwSgdCFn6ovmRKXZAjQnVp2JZ2K4UuDDdYMNam1HE8ELZoWdeJPRfYEa9QSEK6XZ` | ||
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| Nano: nano_1nf3knbhapee5ruwg7i8sqekx3zmifdeijr8495t9kgp3uyunik7b9cuyhf5 | ||
| - Nano: `nano_1nf3knbhapee5ruwg7i8sqekx3zmifdeijr8495t9kgp3uyunik7b9cuyhf5` | ||
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| EOS: nbt4rhnhpjan | ||
| - EOS: `nbt4rhnhpjan` | ||
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| XLM: GDSTC6KQR6BCTA7BH45B3MTSY52EVZ4UZTPZEBAZHJMJHTUQQ5SM57S7 | ||
| - XLM: `GDSTC6KQR6BCTA7BH45B3MTSY52EVZ4UZTPZEBAZHJMJHTUQQ5SM57S7` | ||
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| USDT TRC20 (binance): TJr3KYY8Bz7wRU7QLwoYQHk88LcaBJqQN5 | ||
| - USDT TRC20 (Binance): `TJr3KYY8Bz7wRU7QLwoYQHk88LcaBJqQN5` | ||
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| bybit ref: | ||
| https://www.bybit.com/en-US/register?affiliate_id=16464&language=en-US&group_id=0&group_type=1 | ||
| ### Referrals | ||
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| binance ref: | ||
| https://www.binance.cc/en/register?ref=TII4B07C | ||
| - [Bybit](https://www.bybit.com/en-US/register?affiliate_id=16464&language=en-US&group_id=0&group_type=1) | ||
| - [Binance](https://www.binance.cc/en/register?ref=TII4B07C) |
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