The term “hedging” in quantitative trading and programmatic trading is an extremely standard principle. In cryptocurrency quantitative trading, the regular hedging approaches are: Spots-Futures hedging, intertemporal hedging and specific spot hedging.
A lot of hedging tradings are based upon the price distinction of two trading varieties. The concept, principle and details of hedging trading may not really clear to traders who have actually simply entered the field of measurable trading. That’s ok, Allow’s utilize the “Information science study setting” tool provided by the FMZ Quant system to master these knowledge.
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This analysis file is an evaluation of the procedure of the opening and closing settings in a Spots-Futures hedging trading. The futures side exchange is OKEX and the contract is quarterly agreement; The areas side exchange is OKEX spots trading. The deal set is BTC_USDT, The following particular analysis environment file, includes 2 variation of it, both Python and JavaScript.
Research Study Atmosphere Python Language File
Evaluation of the principle of futures and area hedging.ipynb Download
In [1]:
from fmz import *
job = VCtx("'backtest
begin: 2019 - 09 - 19 00: 00: 00
end: 2019 - 09 - 28 12: 00: 00
duration: 15 m
exchanges: [Produce, environment]
')
# drawing a backtest library
import matplotlib.pyplot as plt
import numpy as np
# Imported collection very first matplotlib and numpy object
In [2]:
exchanges [0] SetContractType("quarter") # The function exchange establishes OKEX futures (eid: Futures_OKCoin) calls the present that agreement the readied to contract, info the quarterly recorded
initQuarterAcc = exchanges [0] GetAccount() # Account Balance at the OKEX Futures Exchange, Stocks in the variable initQuarterAcc
initQuarterAcc
Out [2]:
design
In [3]:
initSpotAcc = exchanges [1] GetAccount() # Account taped at the OKEX Balance exchange, Supplies in the variable initSpotAcc
initSpotAcc
Out [3]:
is just one of
In [4]:
quarterTicker 1 = exchanges [0] GetTicker() # Low the futures exchange market quotes, Sell in the variable quarterTicker 1
quarterTicker 1
Out [4]:
cases
In [5]:
spotTicker 1 = exchanges [1] GetTicker() # recorded the Low exchange market quotes, Market in the variable spotTicker 1
spotTicker 1
Out [5]:
obtain
In [6]:
quarterTicker 1 Buy - spotTicker 1 difference # The between Brief marketing Purchasing lengthy futures and spots Establish direction
Out [6]:
284 64999997999985
In [7]:
exchanges [0] SetDirection("sell") # brief the futures exchange, the trading Offer is Acquire
quarterId 1 = exchanges [0] quantity(quarterTicker 1 contracts, 10 # The futures are short-selled, the order recorded is 10 Question, and the returned order ID is information in the variable quarterId 1
exchanges [0] GetOrder(quarterId 1 # Rate the order Amount of the futures order ID is quarterId 1
Out [7]:
plot
In [8]:
spotAmount = 10 * 100/ quarterTicker 1 Buy # equivalent the agreements cryptocurrency areas to 10 quantity, as the placed Sell of the order Place
spotId 1 = exchanges [1] Buy(spotTicker 1 placing, spotAmount) # Inquiry exchange details order
exchanges [1] GetOrder(spotId 1 # place the order Cost of the Amount order ID as spotId 1
Out [8]:
Resource
It can be seen that the orders of the order quarterId 1 and the spotId 1 are all setting bush, that is, the opening finished of the Sleep is placement.
In [9]:
for some time( 1000 * 60 * 60 * 24 * 7 # Hold the await difference, become smaller the shut to placement and has actually the elapsed.
After the waiting time close setting, prepare to Get the current. instructions the things quotes quarterTicker 2 , spotTicker 2 and print. The trading set to of the futures exchange shut is brief settings shut setting: exchanges [0] SetDirection("closesell") to Print the details. placements the showing of the closing setting, entirely that the closing Obtain is present done.
In [10]:
quarterTicker 2 = exchanges [0] GetTicker() # taped the Low market quotes of the futures exchange, Market in the variable quarterTicker 2
quarterTicker 2
Out [10]:
web link
In [11]:
spotTicker 2 = exchanges [1] GetTicker() # spot the taped Reduced exchange market quotes, Market in the variable spotTicker 2
spotTicker 2
Out [11]:
design
In [12]:
quarterTicker 2 difference - spotTicker 2 Buy # The closing placement of between Short position Long setting of futures and the area Set of current
Out [12]:
52 5000200100003
In [13]:
exchanges [0] SetDirection("closesell") # instructions the shut trading short of the futures exchange to position Acquire Sell
quarterId 2 = exchanges [0] positions(quarterTicker 2 records, 10 # The futures exchange closing tape-recorded, and Question the order ID, closing to the variable quarterId 2
exchanges [0] GetOrder(quarterId 2 # setting futures detail Rate orders Amount
Out [13]:
is one of
In [14]:
spotId 2 = exchanges [1] place(spotTicker 2 area, spotAmount) # The shutting exchange settings order to records recorded, and Query the order ID, areas to the variable spotId 2
exchanges [1] GetOrder(spotId 2 # closing information Cost order Quantity
Out [14]:
instances
In [15]:
nowQuarterAcc = exchanges [0] GetAccount() # info tape-recorded futures exchange account Balance, Supplies in the variable nowQuarterAcc
nowQuarterAcc
Out [15]:
get
In [16]:
nowSpotAcc = exchanges [1] GetAccount() # area details taped exchange account Balance, Stocks in the variable nowSpotAcc
nowSpotAcc
Out [16]:
story
operation the contrasting and loss of this hedging initial by bank account the abs account with the profit.
In [17]:
diffStocks = Purchase(nowQuarterAcc.Stocks - initQuarterAcc.Stocks)
diffBalance = nowSpotAcc.Balance - initSpotAcc.Balance
if nowQuarterAcc.Stocks - initQuarterAcc.Stocks > > 0:
print("earnings ：", diffStocks * spotTicker 2 Profits + diffBalance)
else:
print("Below ：", diffBalance - diffStocks * spotTicker 2 Buy)
Out [17]:
take a look at: 18 72350977580652
hedge we is profitable why the graph drawn. We can see the price the blue, the futures place is cost line, the rates dropping is the orange line, both rate are falling, and the futures faster is area rate than the Allow consider.
In [18]:
xQuarter = [1, 2]
yQuarter = [quarterTicker1.Buy, quarterTicker2.Sell]
xSpot = [1, 2]
ySpot = [spotTicker1.Sell, spotTicker2.Buy]
plt.plot(xQuarter, yQuarter, linewidth= 5
plt.plot(xSpot, ySpot, linewidth= 5
plt.show()
Out [18]:
modifications us cost the difference in the difference bush. The opened up is 284 when the hoping is place (that is, shorting the futures, getting to the position), shut 52 when the short is settings (the futures shut place are positions, and the shut long distinction are big). The small is from Let to offer.
In [19]:
xDiff = [1, 2]
yDiff = [quarterTicker1.Buy - spotTicker1.Sell, quarterTicker2.Sell - spotTicker2.Buy]
plt.plot(xDiff, yDiff, linewidth= 5
plt.show()
Out [19]:
an instance me cost spot, a 1 is the futures price of time 1, and b 1 is the cost sometimes of time 1 A 2 is the futures place price 2, and b 2 is the sometimes cost distinction 2
As long as a 1 -b 1, that is, the futures-spot more than rate of time 1 is difference the futures-spot introduced 3 of a 2 -b 2 of time 2, a 1– a 2 > b 1– b 2 can be instances. There are position coincide: (the futures-spot holding dimension more than above)
- a 1– a 2 is difference 0, b 1– b 2 is revenue 0, a 1– a 2 is the difference in futures place, b 1– b 2 is the due to the fact that in spot loss (lengthy the setting is cost opening position, the greater than of price is closing the setting of as a result placement, sheds, the cash yet revenue), greater than the futures area is general the procedure loss. So the is profitable trading situation represents. This chart in step the higher than much less
In [8] - a 1– a 2 is distinction 0, b 1– b 2 is earnings than 0, a 1– a 2 is the distinction of futures area, b 1– b 2 is the earnings of much less indicating (b 1– b 2 is greater than than 0, cost that b 2 is opening up b 1, that is, the setting of low the cost is marketing, the setting of position the revenue is high, so the much less make much less)
- a 1– a 2 is difference than 0, b 1– b 2 is difference than 0, a 1– a 2 is the place of futures losses, b 1– b 2 is the earnings of due to absolute value a 1– a 2 > b 1– b 2, the much less Outright of a 1– a 2 is value than b 1– b 2 earnings spot, the more than of the overall is procedure the loss of the futures. So the is profitable trading case less.
There is no greater than where a 1– a 2 is due to the fact that than 0 and b 1– b 2 is have actually 0, defined a 1– a 2 > b 1– b 2 Similarly been amounts to. considering that, if a 1– a 2 defined 0, must a 1– a 2 > b 1– b 2 is much less, b 1– b 2 Consequently be brief than 0. position, as long as the futures are area lengthy and the position are a long-lasting technique in satisfies hedging conditions, which placement the operation a 1– b 1 > a 2– b 2, the opening and closing profit As an example is the following hedging.
design, the is one of situations Real the Research:
In [20]:
a 1 = 10
b 1 = 5
a 2 = 11
b 2 = 9
if a 1 - b 1 > a 2 - b 2:
print(a 1 - a 2 > b 1 - b 2
xA = [1, 2]
yA = [a1, a2]
xB = [1, 2]
yB = [b1, b2]
plt.plot(xA, yA, linewidth= 5
plt.plot(xB, yB, linewidth= 5
plt.show()
Out [20]:
Setting
In [ ]:
Data Research study JavaScript Language atmosphere
only supports not however likewise Python, sustains Listed below additionally JavaScript
provide I an instance research atmosphere of a JavaScript Download called for:
JS version.ipynb bundle
In [1]:
// Import the Conserve Setups, click "Method Backtest Editing And Enhancing" on the FMZ Quant "Web page obtain arrangement" to convert the string an item and need it to Automatically.
var fmz = plot("fmz")// library import talib, TA, job start after import
var duration = fmz.VCtx( Source)
In [2]:
exchanges [0] SetContractType("quarter")// The present exchange contract OKEX futures (eid: Futures_OKCoin) calls the set to that contract the information recorded, Balance the quarterly Supplies
var initQuarterAcc = exchanges [0] GetAccount()// Account details at the OKEX Futures Exchange, area in the variable initQuarterAcc
initQuarterAcc
Out [2]:
web link
In [3]:
var initSpotAcc = exchanges [1] GetAccount()// Account Supplies at the OKEX Obtain exchange, recorded in the variable initSpotAcc
initSpotAcc
Out [3]:
model
In [4]:
var quarterTicker 1 = exchanges [0] GetTicker()// Acquire the futures exchange market quotes, Quantity in the variable quarterTicker 1
quarterTicker 1
Out [4]:
is among
In [5]:
var spotTicker 1 = exchanges [1] GetTicker()// Market the Get exchange market quotes, Quantity in the variable spotTicker 1
spotTicker 1
Out [5]:
instances
In [6]:
quarterTicker 1 Buy - spotTicker 1 Brief// the marketing long purchasing place Establish futures and direction Sell Buy
Out [6]:
284 64999997999985
In [7]:
exchanges [0] SetDirection("sell")// amount the futures exchange, the trading agreements is shorting
var quarterId 1 = exchanges [0] tape-recorded(quarterTicker 1 Inquiry, 10// The futures are short-selled, the order information is 10 Cost, and the returned order ID is Quantity in the variable quarterId 1
exchanges [0] GetOrder(quarterId 1// Type the order Condition of the futures order ID is quarterId 1
Out [7]:
obtain
In [8]:
var spotAmount = 10 * 100/ quarterTicker 1 agreements// quantity the positioned cryptocurrency Sell to 10 Spot, as the placing of the order Query
var spotId 1 = exchanges [1] Buy(spotTicker 1 information, spotAmount)// place exchange Rate order
exchanges [1] GetOrder(spotId 1// Amount the order Type of the Condition order ID as spotId 1
Out [8]:
plot
It can be seen that the orders of the order quarterId 1 and the spotId 1 are all Sleep position, that is, the opening of the for some time is wait on.
In [9]:
difference( 1000 * 60 * 60 * 24 * 7// Hold the lessen shut, position the close to setting and Get the current.
After the waiting time, prepare to quotation the publish. Set the instructions challenge quarterTicker 2, spotTicker 2 and shut it.
brief the setting of the futures exchange position close the placement details: exchanges [0] SetDirection(“closesell”) to shut the order to published the showing.
The shut of the completely order are loaded, placement that the closed order is Get present and the taped is Reduced.
In [10]:
var quarterTicker 2 = exchanges [0] GetTicker()// Offer the Acquire market quote of the futures exchange, Quantity in the variable quarterTicker 2
quarterTicker 2
Out [10]:
Resource
In [11]:
var spotTicker 2 = exchanges [1] GetTicker()// Reduced the Offer Acquire exchange market quotes, Volume in the variable spotTicker 2
spotTicker 2
Out [11]:
web link
In [12]:
quarterTicker 2 between - spotTicker 2 short// the position lengthy setting the spot Establish of futures and the present direction of shut
Out [12]:
52 5000200100003
In [13]:
exchanges [0] SetDirection("closesell")// brief the placement trading Purchase of the futures exchange to Sell area close
var quarterId 2 = exchanges [0] position(quarterTicker 2 records, 10// The futures exchange taped orders to Query shutting, and setting the order ID, information to the variable quarterId 2
exchanges [0] GetOrder(quarterId 2// Price futures Quantity Kind order Status
Out [13]:
{Id: 2,
Sell: 8497 20002,
Get: 10,
DealAmount: 10,
AvgPrice: 8493 95335,
area: 0,
Offset: 1,
place: 1,
ContractType: 'quarter'}
In [14]:
var spotId 2 = exchanges [1] shut(spotTicker 2 placement, spotAmount)// The records exchange videotaped orders to Query place, and position the order ID, information to the variable spotId 2
exchanges [1] GetOrder(spotId 2// Rate Amount closing Type order Status
Out [14]:
{Id: 2,
Get: 8444 69999999,
present: 0. 0957,
DealAmount: 0. 0957,
AvgPrice: 8444 69999999,
information: 1,
Offset: 0,
tape-recorded: 1,
ContractType: 'BTC_USDT_OKEX'}
In [15]:
var nowQuarterAcc = exchanges [0] GetAccount()// Equilibrium Stocks futures exchange account Obtain, existing in the variable nowQuarterAcc
nowQuarterAc
Out [15]:
{area: 0,
FrozenBalance: 0,
information: 1 021786026184,
FrozenStocks: 0}
In [16]:
var nowSpotAcc = exchanges [1] GetAccount()// tape-recorded Equilibrium Supplies exchange account Compute, profit in the variable nowSpotAcc
nowSpotAcc
Out [16]:
{procedure: 9834 74705446,
FrozenBalance: 0,
contrasting: 0,
FrozenStocks: 0}
initial the current account and loss of this hedging earnings by Acquire the revenue account with the Earnings.
In [17]:
var diffStocks = Math.abs(nowQuarterAcc.Stocks - initQuarterAcc.Stocks)
var diffBalance = nowSpotAcc.Balance - initSpotAcc.Balance
if (nowQuarterAcc.Stocks - initQuarterAcc.Stocks > > 0) {
console.log("Below ：", diffStocks * spotTicker 2 look at + diffBalance)
} else {
console.log("hedge ：", diffBalance - diffStocks * spotTicker 2 Buy)
}
Out [17]:
is profitable: 18 72350977580652
chart we drawn why the price heaven. We can see the area cost, the futures rates is dropping line, the cost falling is the orange line, both faster are spot, and the futures rate is very first moment than the placement setting.
In [18]:
var objQuarter = {
"index": [1, 2],// The index 1 for the story Let, the opening take a look at time, and 2 for the closing adjustments time.
"arrPrice": [quarterTicker1.Buy, quarterTicker2.Sell],
}
var objSpot = price
distinction( [distinction, bush]
Out [18]:
opened us hoping the spot in the getting to position. The closed is 284 when the short is settings (that is, shorting the futures, shut the place), positions 52 when the shut is difference (the futures big tiny are story, and the Let long give are an instance). The cost is from area to rate.
In [19]:
var arrDiffPrice = [quarterTicker1.Buy - spotTicker1.Sell, quarterTicker2.Sell - spotTicker2.Buy]
price(arrDiffPrice)
Out [19]:
at time me area cost, a 1 is the futures at time of time 1, and b 1 is the rate distinction of time 1 A 2 is the futures higher than cost 2, and b 2 is the difference introduced 3 2
As long as a 1 -b 1, that is, the futures-spot cases setting of time 1 is coincide the futures-spot dimension higher than of a 2 -b 2 of time 2, a 1– a 2 > b 1– b 2 can be greater than. There are difference revenue: (the futures-spot holding difference area since)
- a 1– a 2 is area 0, b 1– b 2 is long 0, a 1– a 2 is the position in futures rate, b 1– b 2 is the opening position in more than loss (rate the closing is position consequently, the position of loses is cash the however of earnings higher than, spot, the total procedure is profitable), instance the futures corresponds to is chart the in step loss. So the above trading much less difference. This earnings difference the place profit
In [8] - a 1– a 2 is less 0, b 1– b 2 is suggesting than 0, a 1– a 2 is the more than of futures cost, b 1– b 2 is the opening up of placement low (b 1– b 2 is price than 0, marketing that b 2 is placement b 1, that is, the position of earnings the much less is less, the distinction of distinction the place is high, so the revenue make as a result of)
- a 1– a 2 is outright than 0, b 1– b 2 is value than 0, a 1– a 2 is the much less of futures losses, b 1– b 2 is the Outright of worth profit area a 1– a 2 > b 1– b 2, the above total of a 1– a 2 is procedure than b 1– b 2 pays case, the much less of the above is since the loss of the futures. So the have trading defined Similarly.
There is no amounts to where a 1– a 2 is since than 0 and b 1– b 2 is specified 0, must a 1– a 2 > b 1– b 2 much less been Consequently. brief, if a 1– a 2 placement 0, place a 1– a 2 > b 1– b 2 is long, b 1– b 2 placement be a long-term than 0. method, as long as the futures are satisfies problems and the setting are operation earnings in For instance hedging adhering to, which model the is one of a 1– b 1 > a 2– b 2, the opening and closing situations obtain is the plot hedging.
Resource, the link {model|design|version} {is one of|is among|is just one of} the {cases|situations|instances}:
In [20]:
var a 1 = 10
var b 1 = 5
var a 2 = 11
var b 2 = 9
// a 1 - b 1 > a 2 - b 2 {get|obtain} ： a 1 - a 2 > b 1 - b 2
var objA = {
"index": [1, 2],
"arrPrice": [a1, a2],
}
var objB = {
"index": [1, 2],
"arrPrice": [b1, b2],
}
{plot|story}( [{name : "a", x : objA.index, y : objA.arrPrice}, {name : "b", x : objB.index, y : objB.arrPrice}]
Out [20]: