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binance_spot_execution_linear.py
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binance_spot_execution_linear.py
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from binance import Client
import time
import pandas as pd
import json
from pathlib import Path
def get_credentials():
root = Path(".")
file_path = f"{root}/credentials.json"
with open(file_path) as file:
file = file.read()
credentials = json.loads(file)
api_key = credentials["binance_api_key_spot"]
api_secret = credentials["binance_api_secret_spot"]
return api_key, api_secret
def auth():
api_key, api_secret = get_credentials()
binance_client = Client(testnet=False, api_key=api_key, api_secret=api_secret)
return binance_client
# CLI inputs
def select_ticker(tickers):
try:
input_ticker = input("select ticker >>> ")
ticker = tickers[input_ticker.upper()]
print(f"{ticker} selected")
return ticker
except:
print("Invalid ticker selected")
return None
def select_order_amount():
input_interval = input("select number of orders >>> ")
try:
input_interval = int(input_interval)
return input_interval
except:
print("Error selecting number of orders: input must be number")
return None
def select_usdt_size():
input_size = input("select size[usdt] >>> ")
try:
input_size = int(input_size)
return input_size
except:
print("Error selecting size: input must be number")
return None
def select_duration():
input_duration = input("select duration minutes >>> ")
try:
input_duration = int(input_duration)
return input_duration
except:
print("Error selecting positions size: input must be number")
return None
def select_side():
input_side = input("select side b=Buy, s=Sell >>> ")
if input_side.lower() == "b":
input_side = "Buy"
elif input_side.lower() == "s":
input_side = "Sell"
else:
print("Error with selecting side")
input_side = None
return input_side
# market data functions
def get_spot_tickers(client):
products = client.get_all_tickers()
tickers = {}
for row in products:
symbol = row["symbol"]
ticker = row["symbol"]
if "USDT" in symbol:
symbol = symbol.replace("USDT", "")
tickers[symbol] = ticker
return tickers
def get_last_price(client, ticker):
products = client.get_all_tickers()
for row in products:
if ticker == row["symbol"]:
last_price = float(row["price"])
return last_price
def get_instrument_info(client, ticker):
instrument_info = client.get_symbol_info(ticker)
min_notional = float(instrument_info["filters"][2]["minNotional"])
tick_size = float(instrument_info["filters"][0]["tickSize"])
decimals = str(tick_size)[::-1].find('.')
print(f"{ticker} | min: {min_notional} usd | decimals: {decimals}")
return min_notional, decimals
# ORDER/POSITION OVERVIEW FUNCTIONS
def get_spot_balances(client):
balances = client.get_account()["balances"]
products = client.get_all_tickers()
spot_positions = {}
coin_prices = {}
for row in products:
ticker = row["symbol"].replace("USDT", "")
price = float(row["price"]) # usd
coin_prices[ticker] = price
for balance in balances:
coin = balance["asset"]
coin_balance = float(balance["free"])
if coin_balance > 0:
if coin in coin_prices.keys() or coin in ["USDT", "USDC", "BUSD"]:
if coin in ["USDT", "USDC", "BUSD"]:
usd_value = coin_balance
else:
price = coin_prices[coin]
usd_value = round(coin_balance * price, 2)
if usd_value > 5:
spot_positions[coin] = {"coin_amount": coin_balance, "usd_value": usd_value}
return spot_positions
def display_positions(positions):
if positions:
positions_df = pd.DataFrame.from_dict(positions, orient="index")
print(positions_df.to_markdown())
else:
print("No open positions")
# ORDER EXECUTION functions
def market_order(client, tickers):
ticker = select_ticker(tickers)
side = select_side() # buy/sell
total_size = select_usdt_size() # usd amount
spot_positions = get_spot_balances(client)
error = False
if ticker is not None and side is not None and total_size is not None:
last_price = get_last_price(client, ticker)
min_notional, decimals = get_instrument_info(client, ticker)
order_amount = 10
seconds = 15
second_interval = seconds / order_amount
total_coin_size = round(total_size / last_price, decimals)
order_size = round(total_coin_size / order_amount, decimals)
if order_size * last_price < min_notional:
print(f"Error: ordes size below minimum size >>> min notional is {min_notional} usd")
error = True
if side == "Buy":
if "USDT" in spot_positions.keys():
usdt_amount = spot_positions["USDT"]["usd_value"]
if usdt_amount < total_size:
print("Not enough USDT for selected size")
error = True
else:
error = True
print("No USDT available for buying")
if not error:
filled_usdt_amount = 0
filled_coin_amount = 0
fills = []
while filled_usdt_amount < total_size:
filled_order = client.order_market_buy(symbol=ticker, quantity=order_size)
for fill in filled_order["fills"]:
fills.append(fill)
total_qty = 0
total_price_qty = 0
for fill in fills:
price = float(fill["price"])
qty = float(fill["qty"])
price_qty = price * qty
total_qty += qty
total_price_qty += price_qty
avg_fill = round(total_price_qty / total_qty, decimals)
filled_usdt_amount += float(filled_order["cummulativeQuoteQty"])
filled_coin_amount += float(filled_order["executedQty"])
print(f"fast twap running >>> Buy: {round(filled_usdt_amount, decimals)} / {total_size} usd | total avg price: {avg_fill}")
if "USDT" in get_spot_balances(client).keys():
spot_balances = float(get_spot_balances(client)["USDT"]["coin_amount"])
else:
spot_balances = 0
last_price = get_last_price(client, ticker)
if (order_size * last_price + filled_usdt_amount) > total_size:
remaining_size = total_size - filled_usdt_amount
if remaining_size > min_notional:
order_size = round(remaining_size / last_price ,decimals)
else:
print(f"remaining size to low >>> unfilled size: {round(remaining_size, decimals)} usd")
break
if spot_balances < order_size:
if spot_balances > min_notional:
order_size = spot_balances
else:
print(f"remaining size to low >>> unfilled size: {round(spot_balances, decimals)} coins")
break
time.sleep(second_interval)
elif side == "Sell":
if ticker.replace("USDT", "") in spot_positions.keys():
usdt_amount = spot_positions[ticker.replace("USDT", "")]["usd_value"]
if usdt_amount < total_size:
print("Not enough coins for selected size")
error = True
else:
error = True
print(f"No available coins for selected ticker: {ticker}")
if not error:
filled_usdt_amount = 0
filled_coin_amount = 0
fills = []
while filled_usdt_amount < total_size:
filled_order = client.order_market_sell(symbol=ticker, quantity=order_size)
for fill in filled_order["fills"]:
fills.append(fill)
total_qty = 0
total_price_qty = 0
for fill in fills:
price = float(fill["price"])
qty = float(fill["qty"])
price_qty = price * qty
total_qty += qty
total_price_qty += price_qty
avg_fill = round(total_price_qty / total_qty, decimals)
filled_usdt_amount += float(filled_order["cummulativeQuoteQty"])
filled_coin_amount += float(filled_order["executedQty"])
print(f"fast twap running >>> Sell: {round(filled_usdt_amount, decimals)} / {total_size} usd | total avg price: {avg_fill}")
if ticker.replace("USDT", "") in get_spot_balances(client):
spot_balances = float(get_spot_balances(client)[ticker.replace("USDT", "")]["coin_amount"])
else:
spot_balances = 0
last_price = get_last_price(client, ticker)
if (order_size * last_price + filled_usdt_amount) > total_size:
remaining_size = total_size - filled_usdt_amount
if remaining_size > min_notional:
order_size = round(remaining_size / last_price ,decimals)
else:
print(f"remaining size to low >>> unfilled size: {round(remaining_size, decimals)} usd")
break
if spot_balances < order_size:
if spot_balances > min_notional:
order_size = spot_balances
else:
print(f"remaining size to low >>> unfilled size: {round(spot_balances, decimals)} coins")
break
time.sleep(second_interval)
def basic_twap(client, tickers):
"""
Basic linear: you specify, order number, position size, duration and side, position is then opened in linear fashion with same intervals and size per interval
"""
ticker = select_ticker(tickers)
order_amount = select_order_amount() # number or orders
side = select_side() # buy/sell
total_size = select_usdt_size() # usd amount
twap_duration = select_duration() # minutes
spot_positions = get_spot_balances(client)
error = False
if ticker is not None and side is not None and total_size is not None:
last_price = get_last_price(client, ticker)
min_notional, decimals = get_instrument_info(client, ticker)
seconds = twap_duration * 60
second_interval = seconds / order_amount
total_coin_size = round(total_size / last_price, decimals)
order_size = round(total_coin_size / order_amount, decimals)
if order_size * last_price < min_notional:
print(f"Error: ordes size below minimum size >>> min notional is {min_notional} usd")
error = True
if side == "Buy":
if "USDT" in spot_positions.keys():
usdt_amount = spot_positions["USDT"]["usd_value"]
if usdt_amount < total_size:
print("Not enough USDT for selected size")
error = True
else:
error = True
print("No USDT available for buying")
if not error:
filled_usdt_amount = 0
filled_coin_amount = 0
fills = []
while filled_usdt_amount < total_size:
filled_order = client.order_market_buy(symbol=ticker, quantity=order_size)
for fill in filled_order["fills"]:
fills.append(fill)
total_qty = 0
total_price_qty = 0
for fill in fills:
price = float(fill["price"])
qty = float(fill["qty"])
price_qty = price * qty
total_qty += qty
total_price_qty += price_qty
avg_fill = round(total_price_qty / total_qty, decimals)
filled_usdt_amount += float(filled_order["cummulativeQuoteQty"])
filled_coin_amount += float(filled_order["executedQty"])
print(f"twap running >>> Buy: {round(filled_usdt_amount, decimals)} / {total_size} usd | total avg price: {avg_fill}")
if "USDT" in get_spot_balances(client).keys():
spot_balances = float(get_spot_balances(client)["USDT"]["coin_amount"])
else:
spot_balances = 0
last_price = get_last_price(client, ticker)
if (order_size * last_price + filled_usdt_amount) > total_size:
remaining_size = total_size - filled_usdt_amount
if remaining_size > min_notional:
order_size = round(remaining_size / last_price ,decimals)
else:
print(f"remaining size to low >>> unfilled size: {round(remaining_size, decimals)} usd")
break
if spot_balances < order_size:
if spot_balances > min_notional:
order_size = spot_balances
else:
print(f"remaining size to low >>> unfilled size: {round(spot_balances, decimals)} coins")
break
time.sleep(second_interval)
elif side == "Sell":
if ticker.replace("USDT", "") in spot_positions.keys():
usdt_amount = spot_positions[ticker.replace("USDT", "")]["usd_value"]
if usdt_amount < total_size:
print("Not enough coins for selected size")
error = True
else:
error = True
print(f"No available coins for selected ticker: {ticker}")
if not error:
filled_usdt_amount = 0
filled_coin_amount = 0
fills = []
while filled_usdt_amount < total_size:
filled_order = client.order_market_sell(symbol=ticker, quantity=order_size)
for fill in filled_order["fills"]:
fills.append(fill)
total_qty = 0
total_price_qty = 0
for fill in fills:
price = float(fill["price"])
qty = float(fill["qty"])
price_qty = price * qty
total_qty += qty
total_price_qty += price_qty
avg_fill = round(total_price_qty / total_qty, decimals)
filled_usdt_amount += float(filled_order["cummulativeQuoteQty"])
filled_coin_amount += float(filled_order["executedQty"])
print(f"twap running >>> Sell: {round(filled_usdt_amount, decimals)} / {total_size} usd | total avg price: {avg_fill}")
if ticker.replace("USDT", "") in get_spot_balances(client):
spot_balances = float(get_spot_balances(client)[ticker.replace("USDT", "")]["coin_amount"])
else:
spot_balances = 0
last_price = get_last_price(client, ticker)
if (order_size * last_price + filled_usdt_amount) > total_size:
remaining_size = total_size - filled_usdt_amount
if remaining_size > min_notional:
order_size = round(remaining_size / last_price ,decimals)
else:
print(f"remaining size to low >>> unfilled size: {round(remaining_size, decimals)} usd")
break
if spot_balances < order_size:
if spot_balances > min_notional:
order_size = spot_balances
else:
print(f"remaining size to low >>> unfilled size: {round(spot_balances, decimals)} coins")
break
time.sleep(second_interval)