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* docs: Create new CODING_GUIDELINES doc Rids excess contribution instructions from other packages Adds AGENTS.md file for the AI overlords Rids unused templates Updates ADD_NEW_EXCHANGE.md with minor fixes * docs: Fix linter issues and minor adjustments based on Copilot feedback * docs: Update coding guidelines for API parameters and testing practices * docs: Remove redundant GoDoc references Adds copilot-instructions.md * docs: Update CODING_GUIDELINES with export recommendations and test commentary * docs: Fix formatting inconsistencies in ADD_NEW_EXCHANGE.md links * docs: Update struct naming conventions for request and response types * docs: Improve clarity and consistency in ADD_NEW_EXCHANGE.md and CODING_GUIDELINES.md * refactor: Simplify error handling in QueryOrder method
37 lines
2.1 KiB
Cheetah
37 lines
2.1 KiB
Cheetah
{{define "backtester eventhandlers strategies binancecashandcarry" -}}
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{{template "backtester-header" .}}
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## Binance Cash and carry strategy overview
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## Important
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This strategy was initially designed for the exchange FTX. It is currently being ported to Binance. It does not work at present.
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### Description
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Cash and carry is a strategy which takes advantage of the difference in pricing between a long-dated futures contract and a SPOT asset.
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By default, this cash and carry strategy will, upon the first data event, purchase BTC-USD SPOT asset from Binance exchange and then, once filled, raise a SHORT for BTC-20210924 FUTURES contract.
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On the last event, the strategy will close the SHORT position by raising a LONG of the same contract amount, thereby netting the difference in prices
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### Requirements
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- At this time of writing, this strategy is only compatible with Binance
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- This strategy *requires* `Simultaneous Signal Processing` aka [use-simultaneous-signal-processing](/backtester/config/README.md).
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- This strategy *requires* `Exchange Level Funding` aka [use-exchange-level-funding](/backtester/config/README.md).
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### Creating a strategy config
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- The long-dated futures contract will need to be part of the `currency-settings` of the contract
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- Funding for purchasing SPOT assets will need to be part of `funding-settings`
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- See the [example config](./config/strategyexamples/binance-cash-carry.strat)
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### Customisation
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This strategy does support strategy customisation in the following ways:
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| Field | Description | Example |
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| --- | ------- | --- |
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| openShortDistancePercentage | If there is no short position open, and the difference between FUTURES and SPOT pricing goes above this this percentage threshold, raise a SHORT order of the FUTURES contract | 10 |
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| closeShortDistancePercentage | If there is an open SHORT position on a FUTURES contract, and the difference in FUTURES and SPOT pricing goes below this percentage threshold, close the SHORT position | 1 |
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### External Resources
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- [This](https://ftxcashandcarry.com/) is a very informative site on describing what a cash and carry trade will look like
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{{template "donations" .}}
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{{end}}
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