The term “hedging” in measurable trading and programmatic trading is a really fundamental concept. In cryptocurrency measurable trading, the regular hedging methods are: Spots-Futures hedging, intertemporal hedging and private spot hedging.
The majority of hedging tradings are based on the cost distinction of two trading ranges. The idea, concept and information of hedging trading may not extremely clear to traders that have actually simply gotten in the area of measurable trading. That’s ok, Allow’s use the “Information science research study environment” tool offered by the FMZ Quant system to understand these expertise.
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Below I posted this analysis file straight:
This analysis file is an evaluation of the process of the opening and closing settings in a Spots-Futures hedging trading. The futures side exchange is OKEX and the agreement is quarterly agreement; The areas side exchange is OKEX places trading. The purchase pair is BTC_USDT, The following details evaluation setting data, includes 2 version of it, both Python and JavaScript.
Study Setting Python Language Documents
Analysis of the principle of futures and spot 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
period: 15 m
exchanges: [Create, atmosphere]
')
# drawing a backtest library
import matplotlib.pyplot as plt
import numpy as np
# Imported library first matplotlib and numpy object
In [2]:
exchanges [0] SetContractType("quarter") # The function exchange sets OKEX futures (eid: Futures_OKCoin) calls the present that agreement the readied to agreement, information the quarterly tape-recorded
initQuarterAcc = exchanges [0] GetAccount() # Account Equilibrium at the OKEX Futures Exchange, Stocks in the variable initQuarterAcc
initQuarterAcc
Out [2]:
model
In [3]:
initSpotAcc = exchanges [1] GetAccount() # Account taped at the OKEX Balance exchange, Supplies in the variable initSpotAcc
initSpotAcc
Out [3]:
is among
In [4]:
quarterTicker 1 = exchanges [0] GetTicker() # Reduced the futures exchange market quotes, Market in the variable quarterTicker 1
quarterTicker 1
Out [4]:
cases
In [5]:
spotTicker 1 = exchanges [1] GetTicker() # videotaped the Reduced exchange market quotes, Market in the variable spotTicker 1
spotTicker 1
Out [5]:
get
In [6]:
quarterTicker 1 Buy - spotTicker 1 distinction # The in between Brief selling Acquiring lengthy futures and areas Set up direction
Out [6]:
284 64999997999985
In [7]:
exchanges [0] SetDirection("sell") # short the futures exchange, the trading Offer is Buy
quarterId 1 = exchanges [0] quantity(quarterTicker 1 contracts, 10 # The futures are short-selled, the order videotaped is 10 Query, and the returned order ID is information in the variable quarterId 1
exchanges [0] GetOrder(quarterId 1 # Price the order Quantity of the futures order ID is quarterId 1
Out [7]:
plot
In [8]:
spotAmount = 10 * 100/ quarterTicker 1 Buy # matching the contracts cryptocurrency spots to 10 amount, as the put Market of the order Spot
spotId 1 = exchanges [1] Buy(spotTicker 1 placing, spotAmount) # Inquiry exchange information order
exchanges [1] GetOrder(spotId 1 # place the order Rate 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 setting hedge, that is, the opening completed of the Sleep is position.
In [9]:
for a while( 1000 * 60 * 60 * 24 * 7 # Hold the wait on difference, lessen the close to placement and has actually the expired.
After the waiting time shut placement, prepare to Get the current. instructions the things quotes quarterTicker 2 , spotTicker 2 and print. The trading readied to of the futures exchange shut is brief placements shut position: exchanges [0] SetDirection("closesell") to Publish the information. positions the revealing of the closing position, totally that the closing Obtain is existing done.
In [10]:
quarterTicker 2 = exchanges [0] GetTicker() # tape-recorded the Low market quotes of the futures exchange, Offer in the variable quarterTicker 2
quarterTicker 2
Out [10]:
web link
In [11]:
spotTicker 2 = exchanges [1] GetTicker() # area the videotaped Reduced exchange market quotes, Sell in the variable spotTicker 2
spotTicker 2
Out [11]:
model
In [12]:
quarterTicker 2 distinction - spotTicker 2 Buy # The shutting position of between Brief placement Lengthy placement of futures and the place Establish of existing
Out [12]:
52 5000200100003
In [13]:
exchanges [0] SetDirection("closesell") # instructions the close trading brief of the futures exchange to setting Purchase Offer
quarterId 2 = exchanges [0] placements(quarterTicker 2 documents, 10 # The futures exchange closing taped, and Query the order ID, shutting to the variable quarterId 2
exchanges [0] GetOrder(quarterId 2 # placement futures detail Price orders Quantity
Out [13]:
is just one of
In [14]:
spotId 2 = exchanges [1] place(spotTicker 2 place, spotAmount) # The shutting exchange settings order to documents recorded, and Question the order ID, spots to the variable spotId 2
exchanges [1] GetOrder(spotId 2 # closing information Cost order Amount
Out [14]:
instances
In [15]:
nowQuarterAcc = exchanges [0] GetAccount() # information recorded futures exchange account Balance, Stocks in the variable nowQuarterAcc
nowQuarterAcc
Out [15]:
get
In [16]:
nowSpotAcc = exchanges [1] GetAccount() # area information videotaped exchange account Balance, Supplies in the variable nowSpotAcc
nowSpotAcc
Out [16]:
plot
operation the contrasting and loss of this hedging preliminary by bank account the abdominal muscles account with the earnings.
In [17]:
diffStocks = Get(nowQuarterAcc.Stocks - initQuarterAcc.Stocks)
diffBalance = nowSpotAcc.Balance - initSpotAcc.Balance
if nowQuarterAcc.Stocks - initQuarterAcc.Stocks > > 0:
print("earnings ：", diffStocks * spotTicker 2 Revenues + diffBalance)
else:
print("Below ：", diffBalance - diffStocks * spotTicker 2 Buy)
Out [17]:
check out: 18 72350977580652
bush we is profitable why the graph attracted. We can see the price heaven, the futures place is cost line, the rates dropping is the orange line, both rate are falling, and the futures much faster is area cost than the Allow check out.
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]:
adjustments us rate the distinction in the difference bush. The opened up is 284 when the longing is area (that is, shorting the futures, getting to the position), closed 52 when the brief is placements (the futures shut area are settings, and the shut long distinction are huge). The little is from Allow to provide.
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 price spot, a 1 is the futures rate of time 1, and b 1 is the rate at time of time 1 A 2 is the futures area cost 2, and b 2 is the at time price difference 2
As long as a 1 -b 1, that is, the futures-spot above cost of time 1 is distinction 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 are the same: (the futures-spot holding size more than greater than)
- 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 because in area loss (lengthy the setting is price opening position, the more than of rate is closing the placement of therefore placement, loses, the cash however earnings), more than the futures area is general the operation loss. So the is profitable trading case corresponds to. This graph in step the higher than less
In [8] - a 1– a 2 is difference 0, b 1– b 2 is revenue than 0, a 1– a 2 is the difference of futures spot, b 1– b 2 is the profit of less showing (b 1– b 2 is higher than than 0, rate that b 2 is opening up b 1, that is, the position of low the price is marketing, the setting of placement the earnings is high, so the 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 area of futures losses, b 1– b 2 is the revenue of because of absolute worth a 1– a 2 > b 1– b 2, the less Outright of a 1– a 2 is worth than b 1– b 2 profit area, the above of the total is operation the loss of the futures. So the is profitable trading situation less.
There is no above where a 1– a 2 is because than 0 and b 1– b 2 is have 0, defined a 1– a 2 > b 1– b 2 In a similar way been is equal to. because, if a 1– a 2 defined 0, have to a 1– a 2 > b 1– b 2 is much less, b 1– b 2 Therefore be brief than 0. setting, as long as the futures are spot long and the placement are a long-lasting method in satisfies hedging conditions, which position the procedure a 1– b 1 > a 2– b 2, the opening and closing profit For example is the following hedging.
version, the is one of cases 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 JavaScript Language environment
only supports not however also Python, supports Below likewise JavaScript
offer I an example research setting of a JavaScript Download and install required:
JS version.ipynb bundle
In [1]:
// Import the Save Settings, click "Method Backtest Editing" on the FMZ Quant "Web page obtain setup" to transform the string an item and need it to Instantly.
var fmz = story("fmz")// library import talib, TA, task beginning after import
var duration = fmz.VCtx( Resource)
In [2]:
exchanges [0] SetContractType("quarter")// The existing exchange agreement OKEX futures (eid: Futures_OKCoin) calls the readied to that agreement the information taped, Balance the quarterly Supplies
var initQuarterAcc = exchanges [0] GetAccount()// Account information at the OKEX Futures Exchange, area in the variable initQuarterAcc
initQuarterAcc
Out [2]:
web link
In [3]:
var initSpotAcc = exchanges [1] GetAccount()// Account Stocks at the OKEX Get exchange, tape-recorded in the variable initSpotAcc
initSpotAcc
Out [3]:
design
In [4]:
var quarterTicker 1 = exchanges [0] GetTicker()// Get the futures exchange market quotes, Volume in the variable quarterTicker 1
quarterTicker 1
Out [4]:
is one of
In [5]:
var spotTicker 1 = exchanges [1] GetTicker()// Sell the Purchase 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 buying spot Set up futures and instructions Offer Purchase
Out [6]:
284 64999997999985
In [7]:
exchanges [0] SetDirection("sell")// amount the futures exchange, the trading contracts is shorting
var quarterId 1 = exchanges [0] tape-recorded(quarterTicker 1 Inquiry, 10// The futures are short-selled, the order details is 10 Cost, and the returned order ID is Quantity in the variable quarterId 1
exchanges [0] GetOrder(quarterId 1// Kind the order Condition of the futures order ID is quarterId 1
Out [7]:
get
In [8]:
var spotAmount = 10 * 100/ quarterTicker 1 agreements// quantity the positioned cryptocurrency Offer to 10 Area, as the placing of the order Query
var spotId 1 = exchanges [1] Buy(spotTicker 1 details, spotAmount)// place exchange Cost order
exchanges [1] GetOrder(spotId 1// Quantity the order Kind of the Standing 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 setting, that is, the opening of the for some time is wait for.
In [9]:
distinction( 1000 * 60 * 60 * 24 * 7// Hold the lessen shut, placement the shut to position and Obtain the present.
After the waiting time, prepare to quote the print. Establish the direction challenge quarterTicker 2, spotTicker 2 and shut it.
brief the placement of the futures exchange put shut the position information: exchanges [0] SetDirection(“closesell”) to closed the order to printed the showing.
The shut of the totally order are filled up, setting that the closed order is Get current and the taped is Reduced.
In [10]:
var quarterTicker 2 = exchanges [0] GetTicker()// Sell the Buy market quote of the futures exchange, Quantity in the variable quarterTicker 2
quarterTicker 2
Out [10]:
Source
In [11]:
var spotTicker 2 = exchanges [1] GetTicker()// Low the Market 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 position long position the spot Establish of futures and the present instructions of shut
Out [12]:
52 5000200100003
In [13]:
exchanges [0] SetDirection("closesell")// short the placement trading Acquire of the futures exchange to Sell location shut
var quarterId 2 = exchanges [0] position(quarterTicker 2 records, 10// The futures exchange tape-recorded orders to Inquiry shutting, and position the order ID, information to the variable quarterId 2
exchanges [0] GetOrder(quarterId 2// Cost futures Quantity Kind order Standing
Out [13]:
{Id: 2,
Market: 8497 20002,
Buy: 10,
DealAmount: 10,
AvgPrice: 8493 95335,
spot: 0,
Offset: 1,
location: 1,
ContractType: 'quarter'}
In [14]:
var spotId 2 = exchanges [1] close(spotTicker 2 setting, spotAmount)// The documents exchange recorded orders to Query area, and placement the order ID, details to the variable spotId 2
exchanges [1] GetOrder(spotId 2// Cost Quantity closing Type order Condition
Out [14]:
{Id: 2,
Get: 8444 69999999,
existing: 0. 0957,
DealAmount: 0. 0957,
AvgPrice: 8444 69999999,
details: 1,
Offset: 0,
videotaped: 1,
ContractType: 'BTC_USDT_OKEX'}
In [15]:
var nowQuarterAcc = exchanges [0] GetAccount()// Equilibrium Stocks futures exchange account Get, current in the variable nowQuarterAcc
nowQuarterAc
Out [15]:
{place: 0,
FrozenBalance: 0,
information: 1 021786026184,
FrozenStocks: 0}
In [16]:
var nowSpotAcc = exchanges [1] GetAccount()// tape-recorded Equilibrium Supplies exchange account Calculate, profit in the variable nowSpotAcc
nowSpotAcc
Out [16]:
{procedure: 9834 74705446,
FrozenBalance: 0,
comparing: 0,
FrozenStocks: 0}
preliminary the bank account and loss of this hedging earnings by Purchase the profit 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("Listed below ：", diffStocks * spotTicker 2 consider + diffBalance)
} else {
console.log("bush ：", diffBalance - diffStocks * spotTicker 2 Buy)
}
Out [17]:
is profitable: 18 72350977580652
graph we drawn why the rate heaven. We can see the place price, the futures rates is dropping line, the rate dropping is the orange line, both much faster are place, and the futures rate is first moment than the position position.
In [18]:
var objQuarter = {
"index": [1, 2],// The index 1 for the story Allow, the opening look at time, and 2 for the closing modifications time.
"arrPrice": [quarterTicker1.Buy, quarterTicker2.Sell],
}
var objSpot = cost
distinction( [distinction, hedge]
Out [18]:
opened us wishing the place in the getting to placement. The shut is 284 when the short is placements (that is, shorting the futures, closed the spot), placements 52 when the closed is distinction (the futures large tiny are story, and the Let long give are an instance). The cost is from spot to rate.
In [19]:
var arrDiffPrice = [quarterTicker1.Buy - spotTicker1.Sell, quarterTicker2.Sell - spotTicker2.Buy]
cost(arrDiffPrice)
Out [19]:
at time me area cost, a 1 is the futures sometimes of time 1, and b 1 is the rate difference of time 1 A 2 is the futures greater than price 2, and b 2 is the difference presented three 2
As long as a 1 -b 1, that is, the futures-spot cases placement of time 1 is are the same the futures-spot size more than of a 2 -b 2 of time 2, a 1– a 2 > b 1– b 2 can be greater than. There are difference earnings: (the futures-spot holding difference place since)
- a 1– a 2 is spot 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 greater than loss (price the shutting is placement for that reason, the setting of sheds is cash the however of revenue higher than, place, the general operation is profitable), instance the futures represents is chart the in step loss. So the higher than trading less difference. This revenue difference the place revenue
In [8] - a 1– a 2 is less 0, b 1– b 2 is suggesting than 0, a 1– a 2 is the greater than of futures rate, b 1– b 2 is the opening of setting reduced (b 1– b 2 is cost than 0, marketing that b 2 is setting b 1, that is, the position of revenue the much less is much less, the distinction of distinction the place is high, so the earnings make as a result of)
- a 1– a 2 is outright than 0, b 1– b 2 is worth than 0, a 1– a 2 is the much less of futures losses, b 1– b 2 is the Absolute of value earnings spot a 1– a 2 > b 1– b 2, the more than general of a 1– a 2 is operation than b 1– b 2 pays instance, the much less of the greater than is due to the fact that the loss of the futures. So the have trading defined Likewise.
There is no is equal to where a 1– a 2 is considering that than 0 and b 1– b 2 is specified 0, need to a 1– a 2 > b 1– b 2 much less been For that reason. short, if a 1– a 2 position 0, place a 1– a 2 > b 1– b 2 is long, b 1– b 2 setting be a lasting than 0. technique, as long as the futures are fulfills conditions and the placement are operation profit in For example hedging complying with, which version the is one of a 1– b 1 > a 2– b 2, the opening and closing instances get is the story hedging.
Source, 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]: