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期限套利,因操作低频,非自动化。只提供值得交易的币种,以及年化收益率apy。 Arbitrage with a time limit, due to low-frequency operations and non-automation. Only provides tradable cryptocurrencies and annual percentage yield (APY).

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简介

平台基于binance交易所
主文件:calc_basis_coin.py 运行后会在钉钉群按照年化降序输出值得交易的币种,并给与简单评价 计算的年化已经考虑了交易成本

注意

需要修改config中fund_rate_config.json 的 key和 secure_key 信息
lib/dingding.py 中的API信息,在群里添加机器儿(也可以删除钉钉这部分,直接输出)

原理简介

基于期现交割合约的价差套利,做买一倍币,卖1倍币本位的交易,除交易所跑路外,100%无风险,交割期结束前平仓.
肉眼观察,回测历史数据,非深熊有10%年化,牛市年化可达15-20%,深熊几乎没有价差,无法开仓.

输出结果举例

  • symbol rate mean_rate message
  • ADAUSD_241227 11.77% 10.97% 平淡
  • ADAUSD_240927 11.44% 11.15% 平淡
  • BTCUSD_241227 11.10% 12.01% 平淡
  • LTCUSD_240927 10.91% 12.92% 没油水
  • ETHUSD_241227 10.56% 11.54% 没油水
  • LTCUSD_241227 10.30% 11.88% 没油水
  • ETHUSD_240927 9.37% 12.25% 没油水
  • XRPUSD_241227 9.22% 10.94% 没油水
  • BTCUSD_240927 8.56% 11.07% 没油水
  • XRPUSD_240927 8.51% 11.51% 没油水
  • LINKUSD_241227 8.36% 10.97% 没油水
  • LINKUSD_240927 8.17% 11.82% 没油水
  • BCHUSD_241227 4.33% 6.76% 没油水
  • DOTUSD_240927 2.16% 4.68% 没油水
  • DOTUSD_241227 1.69% 4.51% 没油水
  • BNBUSD_241227 -2.10% -2.33% 没油水
  • BCHUSD_240927 -8.76% 4.52% 没油水
  • BNBUSD_240927 -8.86% -7.09% 没油水

详细原理解释:

https://zhuanlan.zhihu.com/p/690522832

其他

1.交割合约规则(建议阅读):https://www.binance.com/zh-CN/support/faq/%E4%BA%A4%E5%89%B2%E5%90%88%E7%B4%84%E7%9A%84%E6%B8%85%E7%AE%97%E8%88%87%E4%BA%A4%E5%89%B2-a3401595e1734084959c61491bc0dbe3

About

期限套利,因操作低频,非自动化。只提供值得交易的币种,以及年化收益率apy。 Arbitrage with a time limit, due to low-frequency operations and non-automation. Only provides tradable cryptocurrencies and annual percentage yield (APY).

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