Grid Trader

A fully autonomous stock and crypto grid trader. Supports multi-asset and multi-account deployment, allowing you to simultaneously deploy Grid Traders using separate CPU cores. GridTrader is lightweight, whose only dependency is Alpaca's trade execution API, as all other operations are computed locally.

See GridTrader in action! (Alpaca was having some data/execution errors during the recording, resulting in enforced sleep messages. Assuming all Alpaca systems are functional, only grid values and order submission logs are displayed.)

Latest new feature: effortless support for multiple brokers.

Below is an example deployment of two grid traders, for Bitcoin and Ethereum.

import gridtrader

def main():
    """Top level main execution function."""
    eth_trader = gridtrader.GridTrader(
        symbol = 'ETH/USD',
        trading_range = (2950, 2975),
        grids_amount = 26,
        broker = 'alpaca',
        quantity = 26
    )

    btc_trader = gridtrader.GridTrader(
        symbol = 'BTC/USD',
        trading_range = (15200, 15300),
        grids_amount = 51,
        broker = 'coinbase'
        quantity = 51
    )

    # Start the GridTraders simultaneously
    mp.Process(target=eth_trader.deploy).start()
    mp.Process(target=btc_trader.deploy).start()

Easy setup

1. Clone the repository and run bash scripts/configurate.sh (Mac/Linux) to create a blank template keys.ini file.
2. Add keys to this file as you see fit (see the section on multiple brokers).
3. Ensure you have Python 3.10. Create a venv with python3.10 -m venv venv. Activate it with source venv/bin/activate, and install dependencies with pip install -r requirements.txt.
4. Edit main.py to customize your deployments.
5. Run with python main.py.

Features

All features listed below are fully functional and have been tested in deployment in early 2022.

Simultaneous Deployment

Multiple grid traders (for the same or different assets) can be deployed simultaneously, using different cores (multiprocessing). This allows each individual bot to run with a full performance capacity.

It's recommended to leave one core free per grid trader, as grid traders distribute order execution tasks to further separate core, thereby allowing it continue actively monitoring the underlying, unhindered.

Below is an example of creating and running two bots simultaneous in individual cores.

def main():
    """Top level main execution function."""
    # Deploy Bitcoin
    btc_trader = GridTrader(
        symbol = 'BTCUSD',
        trading_range = (41800, 42400),
        grids_amount = 31,
        account_allocation = 0.5
    )
    mp.Process(target = btc_trader.deploy).start()

    # Deploy Ethereum
    btc_trader = GridTrader(
        symbol = 'ETHUSD',
        trading_range = (2750, 2850),
        grids_amount = 31,
        broker = 'alpaca',
        account_allocation = 0.5
    )
    mp.Process(target = btc_trader.deploy).start()

Grid traders print order information to console when they place trades. This still works with multiprocessing.

Multiple brokers

Choose a broker, any broker. Your keys.ini file will have space for API keys for several brokers. If you only input keys for one broker, GridTrader will interpret it as your 'preferred' broker and operate entirely within that account. If you provide keys for multiple brokers, you can instantiate GridTraders with the broker keyword argument and provide the string name of your broker. For example, pass in broker = 'alpaca' to one GridTrader and broker = 'coinbase' to another to have GridTraders simultaneously operating in both accounts. No further action is necessary; the brokers module handles all differences in broker API architectures.

Position Sizing

Grid Traders can be deployed either using notional values or quantities. Notional values will submit fractional orders to meet the dollar value of the account_allocation. A quantity, however, will be constant.

It's crucial to note that account_allocation and quantity are mutually exclusive. At least one of them must be provided, but both cannot.

Below are all the parameters for Grid Trader along with their necessities and behaviors.

Parameter	Necessity	Behavior
symbol	Required	String - the symbol Grid Trader will trade. Should be given alongside asset_class.
trading_range	Required	Tuple - two items. The first is the range bottom, the second is the range top.
grids_amount	Required	Integer - the number of grids for the bot to split the range equally into. Inclusive. So, to split a $100 range into 10 equal zones, pass grids_amount = 11.
broker	Optional	String - The name of the broker you wish the GridTrader to use. See multiple brokers for more on this, and why it's optional.
account_allocation	Mutually exclusive with quantity	Float - the proportion of the account that should be allocated to the entire strategy. If every single grid is triggered, this is the maximum amount a portfolio will be used.
quantity	Mutually exclusive with account_allocation	Int - the number of shares to be allocated to the strategy. Note that this will still result in orders being divided by grid.
top_profit_stop	Optional	Float - the maximum take-profit for sells and stop-loss for buys. If Grid Trader breaks the range high, this is the stop-out/profit exit point. Defaults to one grid higher than the grid range.
bottom_profit_stop	Optional	Float - the minimum take-profit for sells and stop-loss for buys. If Grid Trader breaks the range high, this is the stop-out/profit exit point. Defaults to one grid lower than the grid range.

Default Bot Creation

Because the GridTrader classes requires so many inputs, some of which are mutually exclusive, the GridTrader.from_defaults constructor class method can be useful. It takes only a few parameters, infers/calculates the others, and returns a GridTrader object ready for deployment.

The main benefit of this function, however, is that it automatically outputs a bot whose range is perfectly centered around the symbol's current price.

Arguments for GridTrader.from_defaults:

Parameter	Necessity	Behavior
symbol	Required	String - the symbol Grid Trader will trade.
grid_height	Required	Float - half the total width of the range. This function outputs a bot whose range is perfectly centered around the symbol's current price.
grids_amount	Optional	Int - the number of grids to be divided in the range. Defaults to 21.
account_allocation	Mutually exclusive with quantity	Float - the proportion of the account that should be allocated to the entire strategy. If every single grid is triggered, this is the maximum amount a portfolio will be used.
broker	Optional	String - The name of the broker you wish the GridTrader to use. See multiple brokers for more on this, and why it's optional.
quantity	Mutually exclusive with account_allocation	Int - the number of shares to be allocated to the strategy. Note that this will still result in orders being divided by grid.

Creating and deploying a bot using the GridTrader.from_defaults function:

def main():
    # Deploy Ethereum with default bot function
    eth_trader = GridTrader.from_defaults(
        symbol = 'ETHUSD',
        grid_height = 75,
        grids_amount = 15,
        quantity = 7
    )
    mp.Process(target = eth_trader.deploy).start()

File Structure

main.py

User script. Create all desired GridTrader, and optionally, instantiate any Alpaca REST objects for accounts not specified in keys.ini. Then, use mp.Process(target=btc_trader.deploy).start() to start each grid trader.

keys.ini

Contains broker credentials. Note that you're only required to provide keys for a minimum of one broker. Read the section on multiple brokers to understand why you would provide keys for more than one broker.

[Alpaca]
api_key = KEY
api_secret = SECRET
base_url = BASE_URL_ENDPOINT

[Coinbase]
api_key = KEY
api_secret = SECRET

A sample keys.ini file is provided in the repository. After cloning, you can either rename this file to "keys.ini" or use the provided script (on Mac/Linux).

bash scripts/configurate.sh

requirements.txt

All the package requirements for running Grid Trader. Note that Grid Trader was developed using Python 3.10.6. Currently, the only dependency is Alpaca's trading API, as all mathematical operations are calculated locally. To install all dependencies:

python3.10 -m pip install -r requirements.txt