Simon Moisy
1af0aab5fa
- Introduced a new module for live trading based on the Multi-Pair Divergence Strategy. - Implemented configuration classes for OKX API and multi-pair settings. - Developed data feed functionality to fetch real-time OHLCV and funding data for multiple assets. - Created a trading bot orchestrator to manage trading cycles, including entry and exit signals based on ML model predictions. - Added comprehensive logging and error handling for robust operation. - Included a README with setup instructions and usage guidelines for the new module.
146 lines
4.1 KiB
Markdown
146 lines
4.1 KiB
Markdown
# Multi-Pair Divergence Live Trading
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This module implements live trading for the Multi-Pair Divergence Selection Strategy on OKX perpetual futures.
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## Overview
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The strategy scans 10 cryptocurrency pairs for spread divergence opportunities:
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1. **Pair Universe**: Top 10 assets by market cap (BTC, ETH, SOL, XRP, BNB, DOGE, ADA, AVAX, LINK, DOT)
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2. **Spread Z-Score**: Identifies when pairs are divergent from their historical mean
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3. **Universal ML Model**: Predicts probability of successful mean reversion
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4. **Dynamic Selection**: Trades the pair with highest divergence score
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## Prerequisites
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Before running live trading, you must train the model via backtesting:
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```bash
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uv run python scripts/run_multi_pair_backtest.py
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```
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This creates `data/multi_pair_model.pkl` which the live trading bot requires.
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## Setup
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### 1. API Keys
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Same as single-pair trading. Set in `.env`:
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```env
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OKX_API_KEY=your_api_key
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OKX_SECRET=your_secret
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OKX_PASSWORD=your_passphrase
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OKX_DEMO_MODE=true # Use demo for testing
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```
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### 2. Dependencies
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All dependencies are in `pyproject.toml`. No additional installation needed.
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## Usage
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### Run with Demo Account (Recommended First)
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```bash
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uv run python -m live_trading.multi_pair.main
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```
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### Command Line Options
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```bash
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# Custom position size
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uv run python -m live_trading.multi_pair.main --max-position 500
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# Custom leverage
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uv run python -m live_trading.multi_pair.main --leverage 2
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# Custom cycle interval (in seconds)
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uv run python -m live_trading.multi_pair.main --interval 1800
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# Combine options
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uv run python -m live_trading.multi_pair.main --max-position 1000 --leverage 3 --interval 3600
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```
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### Live Trading (Use with Caution)
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```bash
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uv run python -m live_trading.multi_pair.main --live
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```
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## How It Works
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### Each Trading Cycle
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1. **Fetch Data**: Gets OHLCV for all 10 assets from OKX
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2. **Calculate Features**: Computes Z-Score, RSI, volatility for all 45 pair combinations
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3. **Score Pairs**: Uses ML model to rank pairs by divergence score (|Z| x probability)
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4. **Check Exits**: If holding, check mean reversion or SL/TP
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5. **Enter Best**: If no position, enter the highest-scoring divergent pair
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### Entry Conditions
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- |Z-Score| > 1.0 (spread diverged from mean)
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- ML probability > 0.5 (model predicts successful reversion)
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- Funding rate filter passes (avoid crowded trades)
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### Exit Conditions
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- Mean reversion: |Z-Score| returns to ~0
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- Stop-loss: ATR-based (default ~6%)
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- Take-profit: ATR-based (default ~5%)
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## Strategy Parameters
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| Parameter | Default | Description |
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|-----------|---------|-------------|
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| `z_entry_threshold` | 1.0 | Enter when \|Z-Score\| > threshold |
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| `z_exit_threshold` | 0.0 | Exit when Z reverts to mean |
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| `z_window` | 24 | Rolling window for Z-Score (hours) |
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| `prob_threshold` | 0.5 | ML probability threshold for entry |
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| `funding_threshold` | 0.0005 | Funding rate filter (0.05%) |
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| `sl_atr_multiplier` | 10.0 | Stop-loss as ATR multiple |
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| `tp_atr_multiplier` | 8.0 | Take-profit as ATR multiple |
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## Files
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### Input
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- `data/multi_pair_model.pkl` - Pre-trained ML model (required)
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### Output
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- `logs/multi_pair_live.log` - Trading logs
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- `live_trading/multi_pair_positions.json` - Position persistence
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- `live_trading/multi_pair_trade_log.csv` - Trade history
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## Architecture
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```
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live_trading/multi_pair/
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__init__.py # Module exports
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config.py # Configuration classes
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data_feed.py # Multi-asset OHLCV fetcher
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strategy.py # ML scoring and signal generation
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main.py # Bot orchestrator
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README.md # This file
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```
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## Differences from Single-Pair
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| Aspect | Single-Pair | Multi-Pair |
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|--------|-------------|------------|
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| Assets | ETH only (BTC context) | 10 assets, 45 pairs |
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| Model | ETH-specific | Universal across pairs |
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| Selection | Fixed pair | Dynamic best pair |
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| Stops | Fixed 6%/5% | ATR-based dynamic |
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## Risk Warning
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This is experimental trading software. Use at your own risk:
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- Always start with demo trading
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- Never risk more than you can afford to lose
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- Monitor the bot regularly
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- The model was trained on historical data and may not predict future performance
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