Algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex)

Last update: Dec 21, 2022

Related tags

Algorithms trading trading-bot algo-trading algotrading trading-strategies trading-algorithms orderbook cryptocurrency-trading bitcoin-trading bitcoin-trading-bots algorithm-trading algotrading-resources bitcoin-trading-bot cryptocurrency-trading-strategies algo-trading-strategies bitmex-bot algorithmic-trading-backtests orderbook-imbalance

Overview

Algorithmic trading backtests

Full examples of algorithmic trading for Bitcoin using order book imbalances computed with a deeper level inspired by some articles on the internet(reference link as follows).
This example covers from the backtest to the trading bot implementation based on different kinds of order book imbalance strategies for BitMEX and Binance(working).

This strategies show a better risk reward ratio even though the Buy-and-Hold has a higher cumulative return.

You can see all previous optimized parameters in the notebook and commit history.

xbtusd-strategy-portfolio

xbtusd-normalization-market-making-backtest-hedge

xbtusd-weighted-depth-orderbook-price-simple-backtest-hedge

References

Data

Crypto

https://www.tardis.dev
https://www.kaiko.com

Futures Exchanges

http://db-ec.jpx.co.jp/category/C440/
https://www.hkex.com.hk/eng/ods/historicalData.aspx
https://datamine.cmegroup.com/#/datasets/cme.mbo

Vendors

https://www.algoseek.com
https://www.dxfeed.com
http://www.tickdatamarket.com

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Comments

information

can we add an interface for equities? and how this was implemented in this https://www.reddit.com/r/algotrading/comments/p8e5wl/any_orderbook_traders/

opened by pradeephyd 4
Trading Fees in Backtest.

How are trading fees calculated in your backtests?

When trades are closed, is it through a market order or limit? If limit, is there some sort of stop-loss in place?

Thanks.

opened by chasemb 2
data source

Hi,

I was just trying to replicate your scripts crypto-scratch whose make use of data from tardis. I was able to download the sample data from this data provider but it appears to be not enough data to perform the entire analysis (in-out of sample periods).

I was wondering which data you are reading with the following command (e.g. xbtusd-normalization-market-making-backtest-hedge.ipynb ) :

df = pd.read_pickle('data2')

imbalace or trades? That you saved in a pickle object in the notebook : tardis-process.ipynb

Did you subscribe to tardis for additional data? what subscription plan would do the job (retrieving enough data to run your notebooks).

Any advice/recommendation is welcome. Thank you in advance. BTW nice job! Jean-Fabrice

opened by jeanfabrice94121 2
Quote mid price calculation

Can you explain how you calculate the new_bid and new_ask? What I don't get is how you compute the quote_mid_price. Does A stands for the quoted position?

Thank you in advance for your response.

opened by sanxy449 1

Owner

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