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Tutorial: Simple Futures Trading

In this tutorial you will learn the basics of how to use our Python API. It will cover:

  • subscribing to our realtime WebSocket market stream with public trading data (order books, trades, etc.)
  • connecting to our realtime WebSocket user stream to subscribe to your private data (your account changes, order updates, etc.) and to send commands to the exchange (place/cancel orders, etc.)
  • making basic trading decisions in reaction to received data

1. Imports

In order to use Quedex API, we need to import basic data structures, stream factories and utilities from twisted and autobahn.

from quedex_api import (
  Exchange,
  MarketStream,
  MarketStreamListener,
  MarketStreamClientFactory,
  Trader,
  UserStream,
  UserStreamListener,
  UserStreamClientFactory,
)

from twisted.internet import reactor, ssl
from autobahn.twisted.websocket import connectWS

2. Setting up streams

Next, we will create basic entities required to connect to Quedex - Exchange and Trader. These are provided with the public PGP key of Quedex and your encrypted PGP private key, which are read from files and hardcoded API url and account id. Please read Getting Credentials to learn where to take your credentials from.

quedex_public_key = open("keys/quedex-public-key.asc", "r").read()
exchange = Exchange(quedex_public_key, 'wss://api.quedex.net')

trader_private_key = open("keys/trader-private-key.asc", "r").read()
trader = Trader('83745263748', trader_private_key)
trader.decrypt_private_key('aaa')

Now we may create the streams, which will be used to communicate with the exchange.

user_stream = UserStream(exchange, trader)
market_stream = MarketStream(exchange)

3. Trading Strategy

In this step, we will define user-supplied listeners which will be later attached to UserStream and MarketStream and which will receive messages that arrive on the WebSockets. For the sake of example, our MarketStreamListener will implement a dummy trading strategy which will trade the first futures instrument it finds (see on_instrument_data) and will place a sell order whenever the bid price is higher than 10000 USD per BTC (see on_order_book).

Notice that we are guaranteed to know the selected_instrument_id before we receive any order book -instrument_data is the first message that arrives on market stream (see documentation of MarketStreamListener) and processing of this event will finish before any other starts, thanks to Twisted's threading model.

selected_futures_id = None
sell_threshold = 10000
order_id = 0

def get_order_id():
  global order_id
  order_id += 1
  return order_id

class SimpleMarketListener(MarketStreamListener):
  def on_instrument_data(self, instrument_data):
    global selected_futures_id
    futures = [instrument for instrument in instrument_data['data'].values() if instrument['type'] == 'inverse_futures'][0]
    selected_futures_id = futures['instrument_id']

  def on_order_book(self, order_book):
    if order_book['instrument_id'] != selected_futures_id:
      return
    bids = order_book['bids']
    # if there are any buy orders and best price is MARKET or above threshold
    if bids and (not bids[0][0] or float(bids[0][0]) > sell_threshold):
      user_stream.place_order({
        'instrument_id': selected_futures_id,
        'client_order_id':  get_order_id(),
        'side': 'sell',
        'quantity': 1000,
        'limit_price': bids[0][0],
        'order_type': 'limit',
      })

Once defined, we add the listener to market_stream.

market_stream.add_listener(SimpleMarketListener())

We've implemented only two methods of MarketStreamListener, but we could implement more, if we wanted to make decisions based on different data (e.g. on_quotes, on_trade, see MarketStreamListener documentation).

4. Risk Control

Tight risk control is essential in every algo strategy. We will now define UserStreamListener which records every open position (see on_open_position) and tries to close positions by throwing orders at market prices if balance of our account falls bellow 3.1415927 BTC (see on_account_state).

open_positions = {}
balance_threshold = 3.1415927

class SimpleUserListener(UserStreamListener):
  def on_open_position(self, open_position):
    open_positions[open_position['instrument_id']] = open_position

  def on_account_state(self, account_state):
    if float(account_state['balance']) < balance_threshold:
       # panic
       orders = []
       for open_position in open_positions.values():
        order_side = 'buy' if open_position['side'] == 'short' else 'sell'
        orders.append({
          'type': 'place_order',
          'instrument_id': open_position['instrument_id'],
          'client_order_id':  get_order_id(),
          'side': order_side,
          'quantity': open_position['quantity'],
          # pretend "market" order
          'limit_price': '0.01' if order_side == 'sell' else '1000000',
          'order_type': 'limit',
        })
        # use batch whenever a number of orders is placed at once
        user_stream.batch(orders)

And the defined listener is added to user_stream.

user_stream.add_listener(SimpleUserListener())

Again, we've implemented only two methods of UserStreamListener, but in a real-life scenario we would also have to control which of our orders get placed (see on_order_placed/ on_order_place_failed), which get filled (see on_order_filled), etc.

5. Connecting to WebSocket and running the strategy

Once we've created the streams and defined our domain logic, we are ready to connect to the WebSockets. Please notice that we must wait for UserStream to be initialized before we start receiving messages on MarketStream, because we want to send orders on UserStream when events on MarketStream arrive - this is achieved by connecting MarketStream when UserStreamListener.on_ready callback is called.

class ReadyStateUserListener(UserStreamListener):
  def on_ready(self):
    connectWS(MarketStreamClientFactory(market_stream), ssl.ClientContextFactory())
user_stream.add_listener(ReadyStateUserListener())

connectWS(UserStreamClientFactory(user_stream), ssl.ClientContextFactory())

And finally, let's run all the components with Twisted's reactor.

reactor.run()

6. Not covered in this tutorial

The following topics haven't been covered in this tutorial for clarity, but should be handled in a real-world scenario:

  • error handling - on_error methods of both UserStreamListener and MarketStreamListener should be implemented (see their documentation for details); you might also want to employ defensive programming when handling events that arrive on the WebSockets,
  • reconnecting - the WebSockets may get disconnected due to networking problems or the exchange temporarily going down for maintenance (e.g. during updates); you should reconnect them in such a case; this may be done in one of the following ways:
    • calling connectWS() in on_disconnect methods of UserStreamListener and MarketStreamListener,
    • implementing your own WebSocketClientClientFactory which also inherits from Twisted's ReconnectingClientFactory as shown in Autobahn's example.

7. Disclaimer

This tutorial does not constitute any investment advice. By running the code presented here, you are not guaranteed to earn any bitcoins (rather the opposite).