Automatic grid trading with Futu API in HK market.
Unlike the normal grid trading strategy, this strategy trades two ETFs at the same time. Below demonstrate the strategy:
First let's define a few parameters.
| Parameter | Description | Value |
|---|---|---|
| symbol | The target stock symbol | "HK.07226" |
| ie_symbol | The inverse equity symbol, this equity always go reverse direction against the target stock. | "HK.07552" |
| grid_upper_limit_price | For the target stock, you expect the price will not be higher than this value | 6 |
| grid_lower_limit_price | For the target stock, you expect the price will not be lower than this value | 4 |
| grid_count | Number of grid, small value -> less trade and more profit per trade, large value -> more trade and less profit per trade | 10 |
| grid_lower_limit_position | The maximum position of target stock | 10000 |
| ie_max_position | The maximum position of inverse equity | 6000 |
At the beginning, assume that
| Symbol | Price | Position | Value |
|---|---|---|---|
| HK.07226 | 4 | 0 | 0 |
| HK.07552 | 10 | 0 | 0 |
| Cash | 50000 | ||
| Total asset | 50000 |
Since the target stock price hit the lower limit, the strategy hold the target stock with max position. i.e.
| Symbol | Price | Position | Value |
|---|---|---|---|
| HK.07226 | 4 | 10000 | 40000 |
| HK.07552 | 10 | 0 | 0 |
| Cash | 10000 | ||
| Total asset | 50000 |
Let the target stock price rises to 4.2, the inverse equity price falls to 9.5. Based on the strategy, decrease target stock position and increase inverse equity position.
| Symbol | Price | Position | Value |
|---|---|---|---|
| HK.07226 | 4.2 | 9000 | 37800 |
| HK.07552 | 9.5 | 600 | 5700 |
| Cash | 8500 (=10000 + 4.2 * 1000 - 9.5 * 600) | ||
| Total asset | 52000 |
Let the target stock price falls back to 4, the inverse equity price raises to 10. Based on the strategy, increase target stock position and decrease inverse equity position.
| Symbol | Price | Position | Value |
|---|---|---|---|
| HK.07226 | 4 | 10000 | 40000 |
| HK.07552 | 10 | 0 | 0 |
| Cash | 10500 (=8500 - 4 * 1000 + 10 * 600) | ||
| Total asset | 50500 |
As the target stock rises 5% (0.2) and falls 5% (0.2), you earn 1% revenue.
IMPORTANT: Since the strategy use market order for trading, the max money utilization must be under 90%. i.e. in the above example your cash must be greater than 45000.
-
Start Futu OpenD docker
-
Build image
docker-compose build
- Test the connection with Futu OpenD
docker-compose run futu-grid-trading python3 scripts/test_connection.py
Expected output:
test connection pass
- Customize production configurations
cp examples/example.config.yml vol/prod.config.yml
nano vol/prod.config.yml
- set environment variables
export PWD_UNLOCK=
export LOG_LEVEL=INFO
export DRY_RUN=False
- Start the service
docker-compose up -d
- Check the log file
tail -f ./vol/log/futu-grid-trading.log
Expected output:
Futu-grid-trading started