( Be aware there are some PSQL database settings needed. I'll update later.)
python -m pip install -r requirements.txt
export USER_HOME=<set_a_tmp_directory_for_data_cache>
[Options]:
| Command | Shorthand | Function |
|---|---|---|
./buy.sh |
place single options order | |
./cancel.sh |
cancel an option order | |
python bbroker/check_status.py |
./status.sh |
check options account positions, pnl, etc. |
python brisk/pricing.py --contract BTC-240607-56500-C --user_cost 585 |
check the pnl against spot price movement | |
python strategy/straddle.py --left BTC-240807-56500-C --right BTC-240807-56500-P --size=0.1 |
pnl monitor of trading a straddle | |
python strategy/straddle.py --left BTC-240807-56500-C --right BTC-240807-56500-P --size=0.1 --user_premium 95.5 |
pnl calc of a straddle position | |
./atm.sh btc |
fetch and sort the options on Binance, 1) list the most interested contracts, and 2) sort the ATM contracts by OI (can be compared with data on https://www.coinglass.com/options) | |
./scan_atms_data.sh |
prepare market data via websocket for ATM straddle contracts | |
./scan_atms.sh |
calc the premium and PNL of ATM straddle pairs (need to run ./scan_atms_data.sh in background first) | |
./scan_atms_gamma.sh |
scan pre-fetched (generated by ./atms.sh btc) ATM bitcoin contracts, sorted by GAMMA, IVs' are also included | |
python strategy/gamma_scalping/gamma_scalping_sell_call.py |
Gamma-scalping P&L (simulated with GBM) | |
python brisk/pricing.py --contracts BTC-240921-62000-P,BTC-240921-62000-C |
Pricing pair of Call/Put options, against spot prices grid every $100, and tracking Contract rt prices & deviation (of the ask prices) from Black-Scholes fair prices. | |
| `````` |
[Perp] (DOGE/USDT):
| Command | Shorthand | Function |
|---|---|---|
./perp_trading/doge/check.sh |
./pp |
check current perp positions & pnl |
./perp_trading/doge/buyup.sh |
./pu |
("u" stands for "upward") send a order pair: buy at best ask, sell at 50bps above |
./perp_trading/doge/selldown.sh |
./pd |
("d" stands for "downward") send a order pair: sell at best bid, buy at 50bps below |
./perp_trading/doge/cancel.sh |
./pc |
cancel orders by order IDs, comma separated. |
./perp_trading/doge/instant_pair.sh |
./ps |
send an order pair: at 25bps each side |
| `````` |
[Spot]:
| Command | Shorthand | Function |
|---|---|---|
python spot_trading/grid.py --ric BTC-USDT --uniform_grid_gap 50 |
grid generator, 50bps gap | |
cd spot_trading/doge;./c |
cancel a comma-separated list of orderID (current orderIDs can be obtained by ./p command) | |
cd spot_trading/<crypto>;./c |
for any crypto indicated in the '<>' enclosed | |
python spot_trading/kline_trend.py --use_cached --span=1d --period=90 |
STL timeseries decomposition to detect trend & seasonal movement | |
./price_ranges_indicated_by_binance_options_market-makers.sh |
prices range indicated by Options market-makers (Note: only mm can sell options on Binance for now) | |
| `````` |
Example#1 (Long straddle):
cd src
source setup.sh
python strategy/straddle.py --left BTC-240313-71000-P --right BTC-240313-71000-C --size=0.1
python strategy/straddle.py --left BNB-240301-385-P --right BNB-240301-400-C --size=1
Example#2 (Gamma scalping):
cd src
source setup.sh
python strategy/gamma_scalping.py
Debug mode:
export BINANCE_DEBUG=1
Example#3 (Spot/Forward grid trading):
(The beauty of the grid trading is in general, the choice of trading price at the moment is NOT sensitive. AVG(ohlc) is chosed in algo.)
cd src
python strategy/grid_trading.py --ric BTC/USDT --nominal=0.01 --stop_loss=0 (realtime data)
python strategy/grid_trading.py --ric BTC/USDT --nominal=0.01 --stop_loss=0 --test (using cached data)
python strategy/grid_trading.py --ric BTC/USDT --nominal=0.01 --stop_loss=0 --random_sets (try a few subsets of data)
python strategy/grid_trading.py --ric BTC/USDT --nominal=0.01 --stop_loss=-0.2 (stop-loss -20%)
python strategy/grid_trading.py --ric BTC/USDT --nominal=0.01 --stop_loss=-0.2 --max_pos=100 (use max_pos to mimic sizing)
Example #4 (Term-structure of C/P pair, ignoring volatility changes, and interest rate)
python brisk/pricing.py --contracts BTC-240506-59000-C,BTC-240506-59000-P
Notes:
Only support BTC,BNB, and DOGE contracts, for now.
Ref: https://www.fidelity.com/learning-center/investment-products/options/options-strategy-guide/long-strangle
python strategy/gamma_scalping/app.py
python signals/reversal_from_volume_hikes.py --syms btc,doge,sol --volt 68
Comparison of "Volume hiking strategy" and "Plain buy&hold strategy":
