Binance Future Trader

Schema

.
├── Makefile
├── README.md
├── develop
│   ├── Makefile
│   ├── dockerfiles
│   │   ├── Dockerfile
│   │   └── requirements.txt
│   ├── src
│   │   ├── backtester
│   │   │   ├── __init__.py
│   │   │   ├── backtester_v1.py
│   │   │   ├── basic_backtester.py
│   │   │   └── utils.py
│   │   ├── common_utils_dev
│   │   │   ├── __init__.py
│   │   │   └── common_utils_dev.py
│   │   ├── dataset_builder
│   │   │   └── build_dataset.py
│   │   ├── rawdata_builder
│   │   │   ├── __init__.py
│   │   │   ├── build_rawdata.py
│   │   │   ├── candidate_assets.txt
│   │   │   └── download_kaggle_data.py
│   │   ├── reviewer
│   │   │   ├── __init__.py
│   │   │   ├── paramset.py
│   │   │   ├── reviewer_v1.py
│   │   │   └── utils.py
│   │   └── trainer
│   │       ├── datasets
│   │       │   └── dataset.py
│   │       ├── models
│   │       │   ├── __init__.py
│   │       │   ├── backbones
│   │       │   │   ├── __init__.py
│   │       │   │   └── backbone_v1.py
│   │       │   ├── basic_predictor.py
│   │       │   ├── criterions.py
│   │       │   ├── predictor_v1.py
│   │       │   └── utils.py
│   │       └── modules
│   │           ├── acts.py
│   │           └── block_1d
│   │               ├── __init__.py
│   │               ├── conv1d.py
│   │               ├── dense.py
│   │               ├── dense_block.py
│   │               ├── norms.py
│   │               ├── residual.py
│   │               ├── seblock.py
│   │               └── self_attention.py
│   └── storage
│       ├── dataset
│       └── experiments
└── services
    ├── Makefile
    ├── dockerfiles
    │   ├── Dockerfile
    │   └── requirements.txt
    ├── k8s
    │   ├── admin
    │   │   └── namespace.yml
    │   ├── deployments
    │   │   ├── data_collector.yml
    │   │   ├── database.yml
    │   │   └── trader.yml
    │   ├── deployments-template
    │   │   ├── data_collector-template.yml
    │   │   ├── database-template.yml
    │   │   └── trader-template.yml
    │   └── service
    │       └── service.yml
    ├── src
    │   ├── common_utils_svc
    │   │   ├── __init__.py
    │   │   └── common_utils_svc.py
    │   ├── config
    │   │   └── __init__.py
    │   ├── data_collector
    │   │   └── data_collector.py
    │   ├── database
    │   │   ├── database.py
    │   │   ├── models.py
    │   │   └── usecase.py
    │   ├── exchange
    │   │   └── custom_client.py
    │   ├── handler
    │   │   ├── __init__.py
    │   │   └── slack_handler.py
    │   └── trader
    │       ├── trader_v1.py
    │       └── utils.py
    └── storage
        └── database

Descriptions

Model

• Based on DenseNet.
• Add Squeeze and Excitation block before transition block
• Add Self-Attention block before transition block
• Use Activation function as SELU. selectable [Mish, tanhexp]
• Use Dropout block as Combine(AlphaDropout, SpatialDropout)
  • Dropout not only for time-series, but also for channels.

Performance

Backtesting setting Commisions: "entry": 0.04%, "exit": 0.02% or 0.04%, "spread": 0.04%

trade_winning_ratio    0.690894
trade_sharpe_ratio     2.100903
trade_avg_return       0.002093
max_drawdown          -0.204948
total_return           1.217380

Usages

Follow below steps.

• You can give additional variable to execute command with tag make <command> ARGS="--variable1 <value> --variable2 <value>"
• All code run on same container by reuse. Once if execute run container, it run continuously, and reused by other command.

For develop

✨make dev_run GPU_TYPE="<NVIDIA or AMD>": Run container to develop
✨make dev_download_kaggle_data ARGS="--username <kaggle_username> --key <kaggle_key>": Download historical pricing data

 - In here, I implemented kaggle data downloader, but never checked. I recommend to download files manually through website.  
 - Download from https://www.kaggle.com/jorijnsmit/binance-full-history, then store to <pwd>/develop/storage/dataset/rawdata/raw/spot/  
 - Download from https://www.kaggle.com/nicolaes/binance-futures, then store to <pwd>/develop/storage/dataset/rawdata/raw/future/

✨make dev_build_rawdata: Build cleaned rawdata
✨make dev_build_dataset: Build features and labels to train model
✨make dev_train: Train model
✨make dev_generate: Generate predictions in test-periods
✨make dev_review: Check Performance and find best parameters by backtesting in virtual-env to trading.
✨make dev_display_review: Display performance plots, it should be run after make dev_review is done.

additional
✨make dev_rm: You can delete the container
✨make dev_bash: You can enter the container

For service

✨make svc_install: Install requirements(kubectl, minikube), currently mac and linux environment is acceptable.
✨make svc_run: Run to trade in real environment.

 It ask the params to set. You can use default setting by just enter without any input.
 - LEVERAGE: How much use leverage
 - EXP_NAME: If you set variable of exp_name when model train, you should give.
 - REPORT_PREFIX: If you set varialbe of prefix when model review, you should give.
 - REPORT_BASE_CURRENCY: Currently only USDT is acceptable. just skip.
 - REPORT_ID: `You should set this, which parameter set is best on model reviews`
 - EXCHANGE_API_KEY: API_KEY of binance. You can set API_KEY of binance future test-net, when you want to check behavior in test-net.
 - EXCHANGE_SECRET_KEY: SECRET_KEY of binance. You can set SECRET_KEY of binance future test-net, when you want to check behavior in test-net.
 - TEST_MODE: Give True or False. Give False when test in test-net.

additional
✨make svc_rm: Delete only pods(containers)
✨make reapply: Update changes without delete.
✨make svc_delete: Delete minikube. Clean-up way. If once delete, it takes time to re-run.
✨make svc_pods: Check status of pods.
✨make svc_db_bash: Enter database container.
✨make svc_dc_bash: Enter datacollector container.
✨make svc_td_bash: Enter trader container.