Go Crypto Trading

In the slides, we introduce the background of Bitcoin's origin, explain public finance, and why decentralized finance might work. Lastly, introduce BBGO's trading framework and the strategies.

Transcript

1. Yo-An Lin (c9s) 2020 Nov 1
   Go Crypto Trading
   Build your own crypto trading bot in few minutes.
   

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2. Cryptos? Really?
   

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3. 2008 Bitcoin
   

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4. Let’s go back to 2008
   

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6. Bank-based Financial System
   

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7. Public
   Finance
   

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8. How Government Bond Works
   Interest
   

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9. How Corporate Bond Works?
   Interest
   Issue corporate bond
   Corporate Fund
   Individuals
   Individuals
   Individuals
   

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10. How Junk Bond Works?
    Interest (high yield)
    Issue corporate bond
    Corporate
    
    (Low Credit Rating)
    Bank
    Investor
    High yield bond
    

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11. Securitization
    Bundled Mortgages
    Bank
    Investor
    Investor
    Investor
    

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12. Government National
    Mortgage Association
    吉利美
    

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13. Government
    Sponsored Enterprise
    房地美
    

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14. 名稱都有 Government
    

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15. 其實都是私⼈機構
    

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16. 房利美可以購買非政府擔保的房貸債權
    並證券化來發⾏抵押債券
    

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17. 吉⼒美只為抵押債券提供擔保
    沒有美國政府信⽤擔保
    

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19. Bank Run
    銀⾏擠兌
    

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20. QE
    Corporation
    
    (Low Credit Rating)
    Corporation
    Financial Institutions
    Lower Interest Rate
    

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22. Yes, Your Bank Can Fail
    

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23. This is not the first time
    

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24. 存在銀⾏裡的錢
    銀⾏會拿去投資
    

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25. 不同銀⾏的投資比例不同
    

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26. 虧錢的投資變成壞帳
    

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27. 授信弊案也會變成壞帳
    

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29. 1930 年經濟⼤蕭條
    

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30. Glass-Steagall Act
    格拉斯-斯蒂格爾法案
    

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31. 對美國銀⾏系統進⾏改⾰的法律，描述了
    1933年銀⾏法分離商業銀⾏和投資銀⾏
    業務的四個規定
    美國聯邦存款保險公司是依此法成立。這
    部法律的⽬的在於對投機採取⼀些控制措
    施。
    

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32. 允許聯邦儲備系統調節存儲帳號的利息，
    被1980年儲蓄機構解除管制和貨幣控制
    法取消
    禁⽌銀⾏控股公司擁有其它⾦融公司的規
    定被1999年11⽉12⽇⽣效的⾦融服務法
    現代化法案取消
    

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33. 那 2008 年之後呢?
    

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34. 沃爾克法則
    由美聯儲1979-1987年的前主席、前任美國
    總統經濟複蘇顧問委員會主席 Paul
    Volcker 提出
    

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35. 禁⽌銀⾏從事⾃營性質的投資業務
    禁⽌銀⾏擁有、投資或發起對沖基⾦和私募
    基⾦
    

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36. 那現在呢?
    

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39. 歷史⼀直在重演
    

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40. ⽤區塊鏈達成去中⼼化⾦融
    Decentralized Finance
    

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41. 由機器來⾃動處理轉帳、放貸
    

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43. 有⼈把 Bitcoin 視為
    

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44. 美元或歐元以外的避險資產
    

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46. Bitcoin 2019~2020 1w interval
    

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47. 為何要做加密貨幣交易?
    

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48. 傳統⾦融市場
    

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49. 開盤時間 收盤時間
    

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50. 交易額度限制
    

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51. 漲停跌停
    

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52. 相對封閉的市場
    

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53. 加密貨幣⾦融市場
    

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54. 24H 全年無休交易所
    

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55. 可隨時轉出轉入全球交易所
    

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56. 新世代的交易系統
    

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57. 以及更有效率的撮合引擎
    

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58. 相對透明的交易市場
    

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60. ☝
    

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61. 為什麼要⾃動交易?
    

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62. 情緒⼲擾交易
    

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67. 正確的交易⼼態 Trading Attitude
    

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68. 我對錢沒有興趣
    

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69. Algorithmic Trading
    

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70. Algorithmic trading is a method of executing orders using
    automated pre-programmed trading instructions accounting for
    variables such as time, price, and volume.
    
    This type of trading was developed to make use of the speed and
    data processing advantages that computers have over human
    traders.
    

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71. Quantitative analysis is the use of mathematical and statistical
    methods (mathematical finance) in finance. Those working in the field
    are quantitative analysts (or, in financial jargon, a quant).
    

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73. James Simons
    American mathematician,
    Billionaire hedge fund manager,
    Former research staff of the
    Communications Research
    Division of the Institute for
    Defense Analyses (IDA)
    

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74. ⽂藝復興是全世界名氣最響的對沖基⾦公司之⼀，其創始⼈詹姆斯·
    ⻄蒙斯 (James Simons) 堪稱傳奇⼈物。他有很多外號，比如“華爾
    街最賺錢的數學家”、“全球最賺錢的基⾦經理”、“量化交易之
    ⽗”等。
    Renaissance Technologies
    

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75. 根據彭博社億萬富翁指數 (Bloomberg Billionaire Index) 顯⽰，Simons 在 2016
    年的⾝家⼤約值 155 億美元左右。根據 Hedge Fund Research 報導，James
    Simons 在 2016 年的收入為 16 億美元，位於世界對沖基⾦經理收入榜單⾸位。
    

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76. ⼤獎章對沖基⾦
    
    成立於 1988 年。“⼤獎章”是⼀個典型的量化“⿊盒⼦”基⾦，其交易策
    略都是基於複雜的電腦程式碼和演算法，外⼈無從知道它的交易規
    則。
    Medallion
    

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77. The Man Who Solved the Market:
    How Jim Simons Launched the
    Quant Revolution
    

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78. 交易策略 Trading Strategy
    

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79. 選擇交易商品
    

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80. 定義進場與出場條件
    

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81. • Market neutral strategy
    
    • Swing trading strategy
    
    • News trading strategy
    
    • Signal trading strategy
    
    • Day trading
    
    • ……
    

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82. Market Neutral Strategy
    

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83. Pure Market Making
    

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84. Place Sell Order
    Place Buy Order
    

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85. Cross Exchange Market Making
    

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86. Hedging is a strategy for reducing exposure to investment risk.
    An investor can hedge the risk of one investment by taking an
    offsetting position in another investment. The values of the
    offsetting investments should be inversely correlated.
    

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87. Cross Exchange Market Making
    

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88. Cross Exchange Market Making
    

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89. SELL
    BUY
    BUY BACK
    SELL
    Hedge
    Low Risk
    

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90. Swing Trading
    

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92. Grid Trading
    

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94. Bollinger-Band Grid Trading
    

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95. upper price
    lower price
    

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96. BBGO
    The Open Source Crypto Trading Framework
    

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97. BBGO
    Trading framework
    • Open Source & Transparency - you run what you can see.
    
    • KISS principle designed framework - simple, easy to use for users.
    
    • Minimalist design strategy interface - ~20 lines go code to implement a new
    strategy.
    
    • One config to rule them all.
    
    • Multi-exchange session support.
    
    • Run multiple strategies in one process.
    

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99. Exchange
    RESTful API
    WebSocket
    FIX protocol
    BBGO
    Balance Update
    Trade Update
    Order Update
    Place Order
    Matching Engine
    Order Book
    Strategy #1
    Strategy #2
    Strategy #3
    Public Market Data
    

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100. Public Market Data?
     

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102. Bid Orders Ask Orders
     

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103. 買單掛的價格未成交，會被掛在買單簿上 = maker 賣單掛的價格未成交，會被掛在賣單簿上 = maker
     

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104. Best Bid Best Ask
     

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105. Best Bid
     Sell Order @ 16,342.75
     賣單直接與買單成交 = taker
     

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106. Best Ask
     Buy Order @ 16,342.76
     買單直接與第⼀檔賣單成交 = taker
     

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107. One Config File to Run Multiple
     Strategies
     

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108. exchangeStrategies:
     - on: binance
     bollgrid:
     symbol: BTCUSDT
     interval: 5m
     gridNumber: 20
     quantity: 0.01
     profitSpread: 30.0
     策略可以掛在任何⼀個交易所
     

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109. exchangeStrategies:
     - on: binance
     bollgrid:
     symbol: BTCUSDT
     interval: 5m
     gridNumber: 20
     quantity: 0.01
     profitSpread: 30.0
     策略設定檔
     

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110. 基礎風險控制
     

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111. riskControls:
     sessionBased:
     # "binance" is the session name that you want to configure the risk control
     binance:
     # orderExecutor is one of the risk control
     orderExecutor:
     # symbol-routed order executor
     bySymbol:
     BTCUSDT:
     # basic risk control order executor
     basic:
     minQuoteBalance: 100.0
     maxBaseAssetBalance: 3.0
     minBaseAssetBalance: 0.0
     maxOrderAmount: 1000.0
     下單的風險控管
     

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112. 開發⾃⼰的交易策略?
     Writing your own trading strategy?
     

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113. You Only Need Two Methods
     

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114. type Strategy struct {
     Symbol string `json:"symbol"`
     }
     func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
     }
     func (s *Strategy) Run(ctx context.Context,
     orderExecutor bbgo.OrderExecutor,
     session *bbgo.ExchangeSession) error {
     return nil
     }
     

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115. Connecting Your Strategy
     

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116. func init() {
     bbgo.RegisterStrategy("skeleton", &Strategy{})
     }
     type Strategy struct {
     Symbol string `json:"symbol"`
     }
     func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
     session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
     }
     func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
     session.Stream.OnKLineClosed(func(kline types.KLine) {
     _, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
     Symbol: kline.Symbol,
     Side: types.SideTypeBuy,
     Type: types.OrderTypeMarket,
     Quantity: 0.01,
     })
     if err != nil {
     log.WithError(err).Error("submit order error")
     }
     })
     return nil
     }
     註冊交易策略
     

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117. func init() {
     bbgo.RegisterStrategy("skeleton", &Strategy{})
     }
     type Strategy struct {
     Symbol string `json:"symbol"`
     }
     func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
     session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
     }
     func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
     session.Stream.OnKLineClosed(func(kline types.KLine) {
     _, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
     Symbol: kline.Symbol,
     Side: types.SideTypeBuy,
     Type: types.OrderTypeMarket,
     Quantity: 0.01,
     })
     if err != nil {
     log.WithError(err).Error("submit order error")
     }
     })
     return nil
     }
     策略的 struct, ⽤來讀設定
     

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118. func init() {
     bbgo.RegisterStrategy("skeleton", &Strategy{})
     }
     type Strategy struct {
     Symbol string `json:"symbol"`
     }
     func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
     session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
     }
     func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
     session.Stream.OnKLineClosed(func(kline types.KLine) {
     _, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
     Symbol: kline.Symbol,
     Side: types.SideTypeBuy,
     Type: types.OrderTypeMarket,
     Quantity: 0.01,
     })
     if err != nil {
     log.WithError(err).Error("submit order error")
     }
     })
     return nil
     }
     策略訂閱 K-line 資料
     

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119. func init() {
     bbgo.RegisterStrategy("skeleton", &Strategy{})
     }
     type Strategy struct {
     Symbol string `json:"symbol"`
     }
     func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
     session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
     }
     func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
     session.Stream.OnKLineClosed(func(kline types.KLine) {
     _, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
     Symbol: kline.Symbol,
     Side: types.SideTypeBuy,
     Type: types.OrderTypeMarket,
     Quantity: 0.01,
     })
     if err != nil {
     log.WithError(err).Error("submit order error")
     }
     })
     return nil
     }
     K-line 結束就下單
     

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120. 內建布林網格通道策略
     Built-in Bollinger Grid Strategy
     

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121. 網格到底賺錢嗎?
     

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122. 固定價格區間網格
     

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123. 固定價位網格獲利能⼒
     

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124. BTC HODL
     

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125. 抱著 BTC 不動
     都賺得比固定網格多
     

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126. 鄉⺠曬單通常都曬 ETH
     因為波動比 BTC ⼩
     

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127. 答案是可以
     但是可以賺更多嗎?
     

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128. 讓網格不要再進場
     

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129. 價格拉升速度快突破 EWMA 很多的時候預計會有拉回，不要再下買單
     

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130. 獲利多⼀倍
     

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131. Thank You
     

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132. Disclaimer:
     TradeAtYourOwnRisk
     

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133. 投資⼀定有風險，基⾦投資有賺有賠，申購前應詳閱公開說明書。
     

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134. 可能沒時間 Q & A
     但可以來我們公司找我討論
     

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136. 全台第⼀家加密貨幣實體⾨市
     ⾨市⼈員與客⼾⾯對⾯介紹交易
     平台產品
     同時活動展演廳不定時會舉辦區
     塊鏈主題講座與知識課程，活絡
     加密貨幣社群與開拓新會員。
     

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137. MAX 9USDT
     REFERAL
     https://bit.ly/max-9usdt
     

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