# crex

**Repository Path**: qmarliu/crex

## Basic Information

- **Project Name**: crex
- **Description**: No description available
- **Primary Language**: Go
- **License**: Not specified
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 0
- **Created**: 2021-10-08
- **Last Updated**: 2024-11-26

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

<div align=center><img src="https://raw.githubusercontent.com/qmarliu/crex/master/images/logo.png" /></div>

<p align="center">
  <a href="https://github.com/golang/go">
    <img alt="GitHub go.mod Go version" src="https://img.shields.io/github/go-mod/go-version/qmarliu/crex">
  </a>

  <a href="https://github.com/qmarliu/crex/master/LICENSE">
    <img src="https://img.shields.io/github/license/mashape/apistatus.svg" alt="license">
  </a>
  <a href="https://www.travis-ci.com/qmarliu/crex">
    <img src="https://www.travis-ci.com/qmarliu/crex.svg?branch=master" alt="build status">
  </a>
</p>

# CREX

[中文](README.md) | [English](README_en.md)

**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](https://github.com/qmarliu/crex/blob/master/examples/backtest/main.go)

### 交易结果
<div align=center><img src="https://raw.githubusercontent.com/qmarliu/crex/master/images/trade_result.png" /></div>
<div align=center><img src="https://raw.githubusercontent.com/qmarliu/crex/master/images/trade_history_report.png" /></div>

## 开源策略
[https://github.com/qmarliu/trading-strategies](https://github.com/qmarliu/trading-strategies)

## 主要特性
* 使用简单
* Tick级别回测
* 实盘、回测公用策略代码
* 支持 WebSocket 共有和私有订阅
* 支持期货、现货回测
* 支持期货双向合约，正反向合约

## 支持交易所
CREX库当前支持以下8个加密货币交易市场和交易API

| logo                                                                                                                                             | id             | name                                                                      | ver | ws  | doc                                                               |
| ------------------------------------------------------------------------------------------------------------------------------------------------ | -------------- | ------------------------------------------------------------------------- | --- | --- | ----------------------------------------------------------------- |
| [![binance](https://raw.githubusercontent.com/qmarliu/crex/master/images/binance.jpg)](https://www.binance.com/cn/register?ref=10916733)        | binancefutures | [Binance Futures](https://www.binance.com/cn/register?ref=10916733)       | 1   | N   | [API](https://binance-docs.github.io/apidocs/futures/cn/)         |
| [![bitmex](https://raw.githubusercontent.com/qmarliu/crex/master/images/bitmex.jpg)](https://www.bitmex.com/register/o0Duru)                    | bitmex         | [BitMEX](https://www.bitmex.com/register/o0Duru)                          | 1   | Y   | [API](https://www.bitmex.com/app/apiOverview)                     |
| [![deribit](https://raw.githubusercontent.com/qmarliu/crex/master/images/deribit.jpg)](https://www.deribit.com/reg-7357.93)                     | deribit        | [Deribit](https://www.deribit.com/reg-7357.93)                            | 2   | Y   | [API](https://docs.deribit.com/)                                  |
| [![bybit](https://raw.githubusercontent.com/qmarliu/crex/master/images/bybit.jpg)](https://www.bybit.com/app/register?ref=qQggy)                | bybit          | [Bybit](https://www.bybit.com/app/register?ref=qQggy)                     | 2   | Y   | [API](https://bybit-exchange.github.io/docs/inverse/)             |
| [![huobi](https://raw.githubusercontent.com/qmarliu/crex/master/images/huobi.jpg)](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5) | hbdm           | [Huobi DM](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5)   | 1   | Y   | [API](https://docs.huobigroup.com/docs/dm/v1/cn/)                 |
| [![huobi](https://raw.githubusercontent.com/qmarliu/crex/master/images/huobi.jpg)](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5) | hbdmswap       | [Huobi Swap](https://www.huobi.io/zh-cn/topic/invited/?invite_code=7hzc5) | 1   | Y   | [API](https://docs.huobigroup.com/docs/coin_margined_swap/v1/cn/) |
| [![okex](https://raw.githubusercontent.com/qmarliu/crex/master/images/okex.jpg)](https://www.okex.com/join/1890951)                             | okexfutures    | [OKEX Futures](https://www.okex.com/join/1890951)                         | 3   | Y   | [API](https://www.okex.me/docs/zh/#futures-README)                |
| [![okex](https://raw.githubusercontent.com/qmarliu/crex/master/images/okex.jpg)](https://www.okex.com/join/1890951)                             | okexswap       | [OKEX Swap](https://www.okex.com/join/1890951)                            | 3   | Y   | [API](https://www.okex.me/docs/zh/#swap-README)                   |

## 示例
```golang
package main

import (
	. "github.com/qmarliu/crex"
	"github.com/qmarliu/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 示例
```golang
package main

import (
	. "github.com/qmarliu/crex"
	"github.com/qmarliu/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 {}
}
```

## 回测数据
### 1. 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
```csv
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 (推荐)
* 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],...]
```json
{"_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]]}
```

### 数据处理示例
Example of importing data into a database:
```shell script
cd ./cmd/deribit-data-to-db
go build
./deribit-data-to-db
```

## TODO
* Paper trading.

## QQ群
QQ群: [932289088](https://jq.qq.com/?_wv=1027&k=5rg0FEK)

## 捐赠
| METHOD  | ADDRESS                                     |
|-------- |-------------------------------------------- |
| BTC     | 1Nk4AsGj5HEJ5csRenTUPab1sjUySCZ3Pq          |
| ETH     | 0xa74eade7ea08a8c48d7de4d582fac145afc86e3d  |

## LICENSE
MIT [©qmarliu](https://github.com/qmarliu)