Binance Multi-Currencies Automation Trading Strategy API Operation Guide

article originally from FMZ.COM if the code part is not clear to see, please come to here: https://www.fmz.com/bbs-topic/2720

Although the Binance.com has not been established for a long time, due to its excellent technology, the API is stable and efficient, the request frequency limit is also relaxed, and there are many coins and active transactions, which is already the preferred platform for spot trading. At present, there are more than 150 kinds of currencies that are priced by BTC, and they are still increasing, which makes it difficult to obtain many currency prices and K-line. This article will mainly introduce how to operate multi-currency strategies on the FMZ quantitative trading platform, and even for operating all currencies without problems, mainly for users with a certain knowledge foundation.

1. Get the market quote
If you want to operate 150 currencies at the same time, it is obviously inappropriate to use REST protocol to get the market quote. It will waste a lot of time after polling, and websocket can't subscribe to so many currencies at the same time. Binance.com realizes the problem of multi-variety strategy to obtain the market quote, and provides an aggregated market quote interface.

When directly use this REST interface (/api/v1/ticker/24hr)，must note that its weight is 40, meaning that one access is equivalent to ordinary of 40 times of access, even if you access this interface once in 5 or 6 seconds, it is also possible to exceed the limit.

Therefore, we need to access the websocket version of this interface, but be aware that due to the huge amount of data, the data is only fixed for 1s to push the data with market changes. For some unpopular currencies that have not been traded for a few minutes, it may not be pushed for a long time. Fixed push times are not suitable for high frequency strategies, but are sufficient for general multi-currency strategies. The specific code is as follows:

Code:

function main() {
var client = Dial("wss://stream.binance.com:9443/ws/!ticker@arr");
while (true){
var data = client.read();
var msg = JSON.parse(data);
updateTicker(msg);//The updateTicker function handles market quotes and transactions, which will be introduced below.
}
}

2. Preparation before the trading
Binance has many restrictions on trading, minimum transaction value, minimum transaction volume, price accuracy, and transaction volume accuracy. These need to be prepared in advance.

Defined global variables:

Code:

3. Update account and K line information
Update the account information function without real-time updates.

Code:

4.Trading related function

Code:

//Cancel current trading pair orders
function CancelPendingOrders() {
var orders = _C(exchange.GetOrders);
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);
}
}
//Cancel all trading pair orders
function cancellAll(){
try{
var openOrders = exchange.IO('api', 'GET', '/api/v3/openOrders');
for (var i=0; i var order = openOrders[i];
var currency = order.symbol.slice(0,order.symbol.length-baseCoin.length) + '_' + baseCoin;
exchange.IO("currency", currency);
exchange.CancelOrder(order.orderId);
}
}
catch(err){
Log('Cancel order failed');
}
for (var symbol in accountInfo){
accountInfo[symbol].state = 0;
accountInfo[symbol].buyprice = 0;
accountInfo[symbol].sellPrice = 0;
}
}
//Placing the buying long order
function toBuy(){
//The currencies you need to buy are stored in the buyList
if (buyList.length == 0){
return;
}
for (var i=0; i var symbol = buyList[i];
//Slippage is the "selling price 1" plus minimum trading unit, may not be completely executed immediately, you can modify it yourself
var buyPrice = accountInfo[symbol].ask + accountInfo[symbol].tickerSize;
buyPrice = _N(buyPrice, parseInt((Math.log10(1.1/accountInfo[symbol].tickerSize))));//Meet price accuracy
var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency);//Switch trading pair
//If you have placed an order and the price is same as this one, do not operate.
if (accountInfo[symbol].state && accountInfo[symbol].bid == accountInfo[symbol].buyprice){
continue;
}else{
//Order placed first will be cancelled first
if (accountInfo[symbol].state == 1){
CancelPendingOrders();
accountInfo[symbol].state = 0;
accountInfo[symbol].buyprice = 0;
}
var amount = (accountInfo[symbol].free + accountInfo[symbol].frozen)*buyPrice; //Value of existing currency
var needBuyBTC = HoldAmount - amount;//HoldAmount is a global parameter, which require value of the hold
var buyAmount = needBuyBTC/buyPrice;
buyAmount = _N(scale*buyAmount, parseInt((Math.log10(1.1/accountInfo[symbol].stepSize))));//Order quantity accuracy
//Meet minimum transaction volume and minimum transaction value requirements
if (buyAmount > accountInfo[symbol].minQty && buyPrice*buyAmount > accountInfo[symbol].minNotional){
if (accountInfo[baseCoin].free < buyPrice*buyAmount){return;}//Have enough base currency to buy
var id = exchange.Buy(buyPrice, buyAmount, currency);//Final order
if(id){
accountInfo[symbol].buyprice = buyPrice;
accountInfo[symbol].state = 1;
}
}
}
//If the buying orders are too much, it need a pause, Binance allows 10 orders every 1s maximum
if(buyList.length > 5){
Sleep(200)
}
}
}
//Placing the selling orders principles are similar to the buying orders
function toSell(){
if (sellList.length == 0){
return;
}
for (var i=0; i var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency);
var sellPrice = accountInfo[symbol].bid - accountInfo[symbol].tickerSize;
sellPrice = _N(sellPrice, parseInt((Math.log10(1.1/accountInfo[symbol].tickerSize))));
if (accountInfo[symbol].state == 1 && accountInfo[symbol].bid != accountInfo[symbol].buyprice){
CancelPendingOrders();
accountInfo[symbol].state = 0;
accountInfo[symbol].sellPrice = 0;
}
var sellAmount = accountInfo[symbol].free;
sellAmount = _N(Math.min(scale*sellAmount,accountInfo[symbol].free), parseInt((Math.log10(1.1/accountInfo[symbol].stepSize))));
if (sellAmount > accountInfo[symbol].minQty && sellPrice*sellAmount > accountInfo[symbol].minNotional){
var id = exchange.Sell(sellPrice, sellAmount, currency);
if(id){
accountInfo[symbol].state = 1;
accountInfo[symbol].sellPrice = sellPrice;
}
}
if(sellList.length > 5){
Sleep(200)
}
}
}

5.Trading logic

The trading is very simple, just push the currency of the buying and selling to the buyList and sellList.

Code:

function checkTrade(){
buyList = []
sellList = []
for(var symbol in accountInfo){
if(symbol == baseCoin){
continue
}
var length = accountInfo[symbol].records.length
//Simple moving average, this is a simple demonstration example, don't use it at the real market.
var fast = TA.MA(accountInfo[symbol].records, FastPeriod)[length-1]
var slow = TA.MA(accountInfo[symbol].records, SlowPeriod)[length-1]
if(accountInfo[symbol].value > 2*accountInfo[symbol].minNotional && fast < 0.99*slow){
sellList.push(symbol)
}
//HoldAmount strategy parameter
if(accountInfo[symbol].value < 0.9*HoldAmount && fast > 1.01*slow){
buyList.push(symbol)
}
}
}

6.Update robot interface status and ticker
How to display so many trading currencies is also a problem. Fortunately, the FMZ Quantitative Platform provides a complete table functions. It can also be sorted by number, which is simple and convenient. Every time the websocket pushes the ticker, it is updated because of the event-driven, transactional and various update logic.

Code:

7.Executive summary

Code:

function main() {
cancellAll();
initRecords()
updateAccount();
updateTotalBTC()
Log('Total transaction digital currency:', Object.keys(accountInfo).length-1);
updateStatus();
var client = Dial("wss://stream.binance.com:9443/ws/!ticker@arr");
while (true){
var data = client.read();
var msg = JSON.parse(data);
updateTicker(msg);
}
}

8.Summary

This article mainly shows a basic Binance multi-currency trading framework, which mainly includes how to store trading information, how to synthesize K-line according to ticker, how to place an order, how to display strategy charts, and trigger trading based on ticker push events. There are a lot of places that can be changed and customized. The whole is extracted from my personal strategy. It may imply a bug and is only for users who have a certain knowledge foundation.

article originally from FMZ.COM if the code part is not clear to see, please come to here: https://www.fmz.com/bbs-topic/2720

Topic: Binance Multi-Currencies Automation Trading Strategy API Operation Guide (Read 103 times)