huobi_futures_python HFT Framework

The examples directory contains demonstration code for three different Huobi contract types:

1. Huobi Futures (交割合约)
2. Huobi Perpetual (永续合约)
3. Huobi Options (期权合约)

Each example consists of two primary files:

• config.json: Contains typical configuration settings for the contracts, such as symbol configurations.
• strategy.py: Demonstrates a complete trading lifecycle, including subscribing to market data (quotes), subscribing to order pushes, position pushes, account pushes, and executing RESTful API calls for order cancellation.

To use MongoDB, add a MONGODB object to your config.json. You can then use alpha.utils.mongo to perform database operations asynchronously.

"MONGODB": {
    "host": "127.0.0.1",
    "port": 27017,
    "username": "root",
    "password": "root"
}

from alpha.utils import mongo

# Example: Updating a kline document
await mongo.MongoDBBase('quant', 'kline').find_one_and_update(
    {'platform': kline.platform, 'symbol': kline.symbol, 'timestamp': kline.timestamp, 'kline_type': kline.kline_type},
    {'$set': {'open': kline.open, 'high': kline.high, 'close': kline.close, 'low': kline.low, 'volume': kline.volume, 'amount': kline.amount}},
    upsert=True, 
    return_document=True
)

This strategy is a simplified option market-making implementation. It operates by placing buy and sell orders based on the mark_price plus a defined spread. The strategy periodically cancels and replaces orders based on the latest mark price.

To manage risk, the strategy monitors the total portfolio Delta. If the absolute total Delta exceeds a specified threshold, the strategy automatically hedges the position using Huobi perpetual contracts to bring the total Delta back toward zero.

The strategy maintains a Delta-neutral position using the following logic:

1. Option Delta ($D_o$): Calculated as the sum of the position Delta ($D_p$) and the option account equity in BTC ($M_o$). $D_o = D_p + M_o$

2. Perpetual Contract Delta ($D_s$): Calculated using account equity ($M_s$), long position size in BTC ($L_s$), short position size in BTC ($S_s$), and current price ($P_s$). $D_s = M_s + \frac{L_s \cdot 100}{P_s} - \frac{S_s \cdot 100}{P_s}$

3. Total Delta ($D$): The sum of option and perpetual deltas. $D = D_o + D_s$

4. Hedging Execution: If $|D| \ge \text{threshold}$:

   • If $D \ge 0$: Sell short $\text{int}(D \cdot P_s / 100)$ contracts in perpetuals.
   • If $D < 0$: Buy long $\text{int}(|D| \cdot P_s / 100)$ contracts in perpetuals.

To run the provided demonstration strategies, follow these steps:

1. Clone the repository.
2. Navigate to the directory.
3. Configure your Huobi API credentials in Example/config.json:
   • Set access_key to your Huobi API access key.
   • Set secret_key to your Huobi API secret key.
4. Execute the strategy using the provided shell script.

git clone https://github.com/hbdmapi/huobi_futures_Python.git
cd huobi_futures_Python
# Edit Example/config.json with your access_key and secret_key
bash run.sh

To run the provided Huobi Swap demo, follow these steps:

1. Clone the repository:

   git clone https://github.com/hbdmapi/huobi_futures_Python.git

2. Navigate to the swap example directory:
   ```bash
cd huobi_futures_Python/examples/huobi_swap

3. Configure your credentials in config.json:
   • Set access_key to your Huobi API access key.
   • Set secret_key to your Huobi API secret key.
   • Update host and wss addresses if necessary.
4. Execute the demo script:

   bash run.sh

**Note:** The demo strategy is a simple sell short and close short implementation and must be modified for production use.

```bash
git clone https://github.com/hbdmapi/huobi_futures_Python.git
cd huobi_futures_Python/examples/huobi_swap
# Edit config.json with access_key and secret_key
bash run.sh

To run a demonstration of the market data, order, and account push functionality (including order cancellation), follow these steps:

1. Navigate to the specific example directory (Futures, Perpetual, or Options).
2. Configure the config.json file with your required settings.
3. Execute the provided shell script to start the demonstration.

bash run.sh

The framework requires a json formatted configuration file to start. All configuration parameters are optional and use uppercase letters for their keys.

{
    "LOG": { ... },
    "PROXY": "http://127.0.0.1:1087",
    "MARKETS": [ ... ]
}

The system requires Python 3.5.3 or higher. You can install the library directly from the GitHub repository using pip.

pip install git+https://github.com/hbdmapi/huobi_futures_Python.git

Ensure you are using Python 3.5.3 or above. You can install the package directly from the GitHub repository using pip.

pip install git+https://github.com/hbdmapi/huobi_futures_Python.git