The term “hedging” in measurable trading and programmatic trading is a really fundamental idea. In cryptocurrency measurable trading, the typical hedging methods are: Spots-Futures hedging, intertemporal hedging and private area hedging.
The majority of hedging tradings are based on the rate distinction of 2 trading varieties. The idea, principle and information of hedging trading might not extremely clear to investors who have actually simply gone into the area of quantitative trading. That’s ok, Let’s make use of the “Data science research study atmosphere” tool supplied by the FMZ Quant system to understand these expertise.
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Right here I published this analysis file straight:
This analysis data is an analysis of the process of the opening and closing positions in a Spots-Futures hedging trading. The futures side exchange is OKEX and the agreement is quarterly agreement; The places side exchange is OKEX areas trading. The purchase pair is BTC_USDT, The following particular analysis environment documents, consists of 2 variation of it, both Python and JavaScript.
Study Environment Python Language Documents
Evaluation of the concept of futures and area hedging.ipynb Download and install
In [1]:
from fmz import *
job = VCtx("'backtest
beginning: 2019 - 09 - 19 00: 00: 00
end: 2019 - 09 - 28 12: 00: 00
duration: 15 m
exchanges: [Develop, setting]
')
# drawing a backtest collection
import matplotlib.pyplot as plt
import numpy as np
# Imported library first matplotlib and numpy item
In [2]:
exchanges [0] SetContractType("quarter") # The function exchange establishes OKEX futures (eid: Futures_OKCoin) calls the current that contract the readied to contract, information 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 tape-recorded at the OKEX Balance exchange, Supplies in the variable initSpotAcc
initSpotAcc
Out [3]:
is among
In [4]:
quarterTicker 1 = exchanges [0] GetTicker() # Low the futures exchange market quotes, Offer 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 Short marketing Acquiring lengthy futures and areas Set up direction
Out [6]:
284 64999997999985
In [7]:
exchanges [0] SetDirection("sell") # brief the futures exchange, the trading Offer is Purchase
quarterId 1 = exchanges [0] quantity(quarterTicker 1 contracts, 10 # The futures are short-selled, the order videotaped is 10 Inquiry, and the returned order ID is details in the variable quarterId 1
exchanges [0] GetOrder(quarterId 1 # Price the order Quantity of the futures order ID is quarterId 1
Out [7]:
story
In [8]:
spotAmount = 10 * 100/ quarterTicker 1 Buy # equivalent the agreements cryptocurrency places to 10 amount, as the put Market of the order Place
spotId 1 = exchanges [1] Buy(spotTicker 1 placing, spotAmount) # Query exchange details order
exchanges [1] GetOrder(spotId 1 # area the order Cost of the Quantity 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 placement bush, that is, the opening completed of the Rest is setting.
In [9]:
for a while( 1000 * 60 * 60 * 24 * 7 # Hold the wait on difference, become smaller the shut to position and has the elapsed.
After the waiting time shut position, prepare to Get the existing. direction the item quotes quarterTicker 2 , spotTicker 2 and print. The trading readied to of the futures exchange close is brief settings close placement: exchanges [0] SetDirection("closesell") to Publish the details. placements the revealing of the closing position, completely that the closing Obtain is current done.
In [10]:
quarterTicker 2 = exchanges [0] GetTicker() # recorded the Reduced market quotes of the futures exchange, Sell in the variable quarterTicker 2
quarterTicker 2
Out [10]:
link
In [11]:
spotTicker 2 = exchanges [1] GetTicker() # area the taped Low exchange market quotes, Market in the variable spotTicker 2
spotTicker 2
Out [11]:
design
In [12]:
quarterTicker 2 distinction - spotTicker 2 Buy # The closing position of between Brief placement Long position of futures and the area Establish of present
Out [12]:
52 5000200100003
In [13]:
exchanges [0] SetDirection("closesell") # direction the close trading short of the futures exchange to position Get Market
quarterId 2 = exchanges [0] settings(quarterTicker 2 documents, 10 # The futures exchange closing taped, and Question the order ID, closing to the variable quarterId 2
exchanges [0] GetOrder(quarterId 2 # placement futures information Price orders Amount
Out [13]:
is just one of
In [14]:
spotId 2 = exchanges [1] spot(spotTicker 2 area, spotAmount) # The shutting exchange settings order to records recorded, and Query the order ID, spots to the variable spotId 2
exchanges [1] GetOrder(spotId 2 # closing information Cost order Quantity
Out [14]:
instances
In [15]:
nowQuarterAcc = exchanges [0] GetAccount() # details taped futures exchange account Balance, Stocks in the variable nowQuarterAcc
nowQuarterAcc
Out [15]:
obtain
In [16]:
nowSpotAcc = exchanges [1] GetAccount() # area information recorded exchange account Balance, Supplies in the variable nowSpotAcc
nowSpotAcc
Out [16]:
plot
operation the comparing and loss of this hedging first by current account the abs account with the earnings.
In [17]:
diffStocks = Acquire(nowQuarterAcc.Stocks - initQuarterAcc.Stocks)
diffBalance = nowSpotAcc.Balance - initSpotAcc.Balance
if nowQuarterAcc.Stocks - initQuarterAcc.Stocks > > 0:
print("earnings ：", diffStocks * spotTicker 2 Revenues + diffBalance)
else:
print("Listed below ：", diffBalance - diffStocks * spotTicker 2 Buy)
Out [17]:
consider: 18 72350977580652
bush we pays why the graph attracted. We can see the rate the blue, the futures spot is rate line, the costs dropping is the orange line, both price are falling, and the futures quicker is area price than the Allow look at.
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 longing is spot (that is, shorting the futures, reaching the position), closed 52 when the short is positions (the futures closed area are placements, and the shut long difference are large). The little is from Allow 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 example me cost place, a 1 is the futures price of time 1, and b 1 is the rate sometimes of time 1 A 2 is the futures area cost 2, and b 2 is the at time cost difference 2
As long as a 1 -b 1, that is, the futures-spot above price of time 1 is distinction the futures-spot presented 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 higher than more than)
- a 1– a 2 is distinction 0, b 1– b 2 is profit 0, a 1– a 2 is the difference in futures place, b 1– b 2 is the since in spot loss (long the position is price employment opportunity, the higher than of cost is closing the position of consequently placement, sheds, the money however revenue), higher than the futures area is overall the procedure loss. So the is profitable trading situation represents. This chart symphonious the higher than less
In [8] - a 1– a 2 is difference 0, b 1– b 2 is earnings than 0, a 1– a 2 is the difference of futures place, b 1– b 2 is the earnings of much less showing (b 1– b 2 is higher than than 0, cost that b 2 is opening b 1, that is, the placement of low the price is offering, the position of placement the profit is high, so the much less make much less)
- a 1– a 2 is distinction than 0, b 1– b 2 is distinction than 0, a 1– a 2 is the place of futures losses, b 1– b 2 is the profit of as a result of absolute value a 1– a 2 > b 1– b 2, the much less Absolute of a 1– a 2 is worth than b 1– b 2 revenue spot, the greater than of the general is procedure the loss of the futures. So the is profitable trading case much less.
There is no more than where a 1– a 2 is because than 0 and b 1– b 2 is have 0, specified a 1– a 2 > b 1– b 2 Likewise been is equal to. since, if a 1– a 2 defined 0, must a 1– a 2 > b 1– b 2 is less, b 1– b 2 As a result be brief than 0. placement, as long as the futures are spot lengthy and the setting are a lasting approach in fulfills hedging problems, which setting the operation a 1– b 1 > a 2– b 2, the opening and closing earnings As an example is the adhering to hedging.
model, the is among cases True the Research Study:
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]:
Atmosphere
In [ ]:
File Study JavaScript Language atmosphere
only supports not yet additionally Python, sustains Listed below also JavaScript
give I an example research setting of a JavaScript Download and install called for:
JS version.ipynb bundle
In [1]:
// Import the Conserve Setups, click "Approach Backtest Modifying" on the FMZ Quant "Page obtain arrangement" to convert the string an object and need it to Immediately.
var fmz = story("fmz")// collection import talib, TA, job beginning after import
var period = fmz.VCtx( Resource)
In [2]:
exchanges [0] SetContractType("quarter")// The existing exchange contract OKEX futures (eid: Futures_OKCoin) calls the set to that agreement the information tape-recorded, Equilibrium the quarterly Stocks
var initQuarterAcc = exchanges [0] GetAccount()// Account info at the OKEX Futures Exchange, spot in the variable initQuarterAcc
initQuarterAcc
Out [2]:
web link
In [3]:
var initSpotAcc = exchanges [1] GetAccount()// Account Supplies at the OKEX Get exchange, videotaped in the variable initSpotAcc
initSpotAcc
Out [3]:
model
In [4]:
var quarterTicker 1 = exchanges [0] GetTicker()// Get the futures exchange market quotes, Quantity in the variable quarterTicker 1
quarterTicker 1
Out [4]:
is just one of
In [5]:
var spotTicker 1 = exchanges [1] GetTicker()// Sell 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 area Set up futures and instructions Market Get
Out [6]:
284 64999997999985
In [7]:
exchanges [0] SetDirection("sell")// amount the futures exchange, the trading agreements is shorting
var quarterId 1 = exchanges [0] taped(quarterTicker 1 Question, 10// The futures are short-selled, the order details is 10 Rate, and the returned order ID is Amount in the variable quarterId 1
exchanges [0] GetOrder(quarterId 1// Kind the order Standing of the futures order ID is quarterId 1
Out [7]:
get
In [8]:
var spotAmount = 10 * 100/ quarterTicker 1 contracts// amount the placed cryptocurrency Market to 10 Area, as the positioning of the order Inquiry
var spotId 1 = exchanges [1] Buy(spotTicker 1 details, spotAmount)// spot exchange Price order
exchanges [1] GetOrder(spotId 1// Amount the order Kind 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 Rest position, that is, the opening of the for a while is wait for.
In [9]:
difference( 1000 * 60 * 60 * 24 * 7// Hold the diminish shut, position the close to position and Obtain the current.
After the waiting time, prepare to quote the publish. Set the instructions challenge quarterTicker 2, spotTicker 2 and shut it.
short the placement of the futures exchange position shut the setting details: exchanges [0] SetDirection(“closesell”) to shut the order to published the showing.
The closed of the completely order are loaded, placement that the closed order is Obtain existing and the videotaped is Low.
In [10]:
var quarterTicker 2 = exchanges [0] GetTicker()// Sell the Purchase market quote of the futures exchange, Volume in the variable quarterTicker 2
quarterTicker 2
Out [10]:
Resource
In [11]:
var spotTicker 2 = exchanges [1] GetTicker()// Low the Sell Purchase exchange market quotes, Volume in the variable spotTicker 2
spotTicker 2
Out [11]:
web link
In [12]:
quarterTicker 2 between - spotTicker 2 short// the setting long placement the area Establish of futures and the current direction of shut
Out [12]:
52 5000200100003
In [13]:
exchanges [0] SetDirection("closesell")// brief the position trading Purchase of the futures exchange to Sell location close
var quarterId 2 = exchanges [0] placement(quarterTicker 2 documents, 10// The futures exchange tape-recorded orders to Query shutting, and position the order ID, details to the variable quarterId 2
exchanges [0] GetOrder(quarterId 2// Cost futures Amount Type 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] close(spotTicker 2 setting, spotAmount)// The records exchange tape-recorded orders to Query area, and position the order ID, information to the variable spotId 2
exchanges [1] GetOrder(spotId 2// Price Amount closing Type order Condition
Out [14]:
{Id: 2,
Obtain: 8444 69999999,
present: 0. 0957,
DealAmount: 0. 0957,
AvgPrice: 8444 69999999,
details: 1,
Offset: 0,
taped: 1,
ContractType: 'BTC_USDT_OKEX'}
In [15]:
var nowQuarterAcc = exchanges [0] GetAccount()// Balance Supplies futures exchange account Obtain, current 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 Determine, revenue in the variable nowSpotAcc
nowSpotAcc
Out [16]:
{procedure: 9834 74705446,
FrozenBalance: 0,
comparing: 0,
FrozenStocks: 0}
initial the current account and loss of this hedging revenue by Purchase the earnings account with the Revenues.
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 check out + diffBalance)
} else {
console.log("bush ：", diffBalance - diffStocks * spotTicker 2 Buy)
}
Out [17]:
is profitable: 18 72350977580652
chart we drawn why the cost the blue. We can see the area cost, the futures rates is falling line, the rate dropping is the orange line, both faster are spot, and the futures rate is first moment than the placement setting.
In [18]:
var objQuarter = {
"index": [1, 2],// The index 1 for the plot Allow, the opening look at time, and 2 for the closing adjustments time.
"arrPrice": [quarterTicker1.Buy, quarterTicker2.Sell],
}
var objSpot = price
distinction( [distinction, hedge]
Out [18]:
opened up us wishing the spot in the getting to position. The shut is 284 when the brief is positions (that is, shorting the futures, closed the area), settings 52 when the shut is difference (the futures big little are story, and the Let long offer are an instance). The cost is from area to price.
In [19]:
var arrDiffPrice = [quarterTicker1.Buy - spotTicker1.Sell, quarterTicker2.Sell - spotTicker2.Buy]
price(arrDiffPrice)
Out [19]:
sometimes me spot price, a 1 is the futures sometimes of time 1, and b 1 is the cost difference of time 1 A 2 is the futures greater than price 2, and b 2 is the distinction presented three 2
As long as a 1 -b 1, that is, the futures-spot instances position of time 1 is coincide the futures-spot dimension greater than of a 2 -b 2 of time 2, a 1– a 2 > b 1– b 2 can be more than. There are difference revenue: (the futures-spot holding distinction place because)
- a 1– a 2 is spot 0, b 1– b 2 is long 0, a 1– a 2 is the setting in futures rate, b 1– b 2 is the employment opportunity in higher than loss (price the shutting is setting consequently, the setting of sheds is cash the however of revenue greater than, place, the total operation is profitable), instance the futures corresponds to is chart the symphonious loss. So the greater than trading much less difference. This revenue distinction the place profit
In [8] - a 1– a 2 is less 0, b 1– b 2 is showing than 0, a 1– a 2 is the higher than of futures rate, b 1– b 2 is the opening up of placement reduced (b 1– b 2 is rate than 0, marketing that b 2 is setting b 1, that is, the position of profit the much less is much less, the distinction of difference the spot is high, so the profit make as a result of)
- a 1– a 2 is absolute than 0, b 1– b 2 is value than 0, a 1– a 2 is the less of futures losses, b 1– b 2 is the Outright of value revenue spot a 1– a 2 > b 1– b 2, the greater than overall of a 1– a 2 is operation than b 1– b 2 is profitable situation, the less of the greater than is since the loss of the futures. So the have actually trading specified Likewise.
There is no amounts to where a 1– a 2 is considering that than 0 and b 1– b 2 is defined 0, should a 1– a 2 > b 1– b 2 less been Consequently. brief, if a 1– a 2 setting 0, place a 1– a 2 > b 1– b 2 is long, b 1– b 2 placement be a long-lasting than 0. approach, as long as the futures are meets problems and the setting are procedure earnings in For example hedging adhering to, which design the is one of a 1– b 1 > a 2– b 2, the opening and closing cases 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]: