Algorithmic Crypto Trading with TWAP on Binance

Introduction

This repository contains a Python script that demonstrates algorithmic trading using the Time-Weighted Average Price (TWAP) strategy on the Binance cryptocurrency exchange. The script leverages the Binance API to fetch real-time price data and execute market orders accordingly. The TWAP algorithm aims to minimize market impact by splitting large orders into smaller ones over specified time intervals.

Prerequisites

• Python 3.x
• Binance API key and secret

Installation

Install required packages: pip install python-binance

Usage

1. Replace API_KEY and API_SECRET in the script with your Binance API credentials.
2. Set the desired trading pair symbol, target order quantity, and interval.
3. Run the script: python twap_algorithm.py

Algorithm Explanation

Order Execution Algorithms

Order execution algorithms are sets of rules designed to minimize market impact and improve average fill price when executing large orders. In this script, we focus on the Time-Weighted Average Price (TWAP) algorithm.

Time-Weighted Average Price (TWAP)

The TWAP algorithm divides a large order into smaller segments and executes them uniformly over a specified time period. This approach reduces the impact on market prices and aims to obtain an advantageous average fill price.

The TWAP algorithm described in this script follows these steps:

• Calculate the quantity to be traded in each interval.
• Fetch the current average price of the trading pair.
• Execute a market order for the calculated interval quantity.
• Repeat until the total order quantity is fulfilled.

Configuration

Adjust the following parameters in the twap_algorithm.py script to customize your trading strategy:

• symbol: The trading pair symbol (e.g., 'BTCUSDT').
• target_quantity: The total order quantity.
• interval_minutes: The time interval for order execution in minutes.

Error Handling

This script provides a basic implementation for educational purposes. In a production environment, you must implement comprehensive error handling, risk management, and API rate limiting mechanisms to ensure the safety of your funds and compliance with exchange rules.

Contributing

Contributions to this repository are welcome. If you have improvements or bug fixes, please submit a pull request.