CSuite

CSuite is a Python library enabling easy integration with Binance API for crypto market data analysis, trade execution and portfolio managment.

Available Modules

BConnector: The BConnector module offers direct conectivity to the Binance API for data retrival. It offers a number of options for fast and formated data retrival. This serves as the key component offering data for static processes (backtesting, risk managment) as well as real-time processes. Use of the client object is necessary across the library.

Account Managment: This module offers Account managment and monitoring capabilities, used to analyse a trading account with spot balance and/or trade history. Currently supporting monitoring (data retrival) just for Spot wallet but additional accounts coming soon.

Documentation

BConnector Functions

connect_client(filename)

The connect client function takes a formatted JSON file as input and returns a Binance client object. This returned object is necessary input in most following functions.

Spot

get_SpotKlines(client,symbol,interval)

Requires client (above), symbol in Binance ('BTCUSDT') pair format and, interval ('1m','5m','30m'...'3d'). Returns pandas DataFrame Timeseries.

batch_historic(client, symbols, interval, mode)

This function downloads historic data for multiple pairs at the same time, it works exactly the same as get_SpotKlines but requires mode field and symbols to be an array NOT string. The mode changes the return format.

Modes available:

1. Nominal ('N'): Returns timeseries of nominal prices
2. Return ('R'): Returns timeseries of pct_change() of prices
3. Volatility ('V'): Returns timeseries of rolling 7-day standard deviation of returns

Futures

get_FuturesKlines(client, symbol, interval)

First of the futures functions, works like get_SpotKlines(client,symbol,interval) but returns Binance futures prices.

get_FuturesSpread(client, symbol, interval):

This function returns the Spread between the futures and spot in % terms (already multiplied) for the last 100 data-points.

get_FuturesOI(client, symbol, interval):

This function returns the futures Open Interest for the last 100 data-points of the specified interval.

get_LiveSpread(client, symbol)

Returns current spot-futures sprad of pair in % terms, due to API limitations futures price is 5m average; please do not use this to trade in real-time.

get_FuturesLS(client, symbol, period)

Returns futures long-short ratio of pair in DataFrame format with 3 columns (Long (%), SHort (%), Long/Short Ratio).

get_FuturesFundingRate(client, ticker, period)

Returns futures funding rate (max 8h interval) as DataFrame.

Options

get_options_skew(client, maturity, strikes)

This function downloads BTC Vanillia Option data from Binance API. Requires single maturity and strike in String format. Returns DataFrame with Columns: 'strike', 'direction', 'bidIV', 'askIV', 'delta', 'gamma', 'theta', 'vega'.

Binance Maturity Format: YYMMDD -> e.g. 24/12/21 = 211224

get_omm_skew(client, maturities, strikes):

This function downloads BTC Vanillia Option data from Binance API. Requires multiple maturities and strikes in Array format. This function enables batch Options data download, all strikes for a maturity must be present. Returns DataFrame with Columns: 'strike', 'direction', 'bidIV', 'askIV', 'delta', 'gamma', 'theta', 'vega'.

Example Call: multi_expiry_skew = csuite.get_omm_skew(client,['211224','211231','220128'],[['35000','40000','42000','44000','46000','48000','50000','52000','54000','56000','58000','60000','65000','70000'],['32000','36000','40000','44000','48000','52000','56000','60000','65000','75000','80000'], ['30000','35000','40000','45000','50000','55000','60000','65000','70000','80000']])

IV_skew(data, price)

This function transforms the output of get_omm_skew (data/table format) into a symetric put-call Implied volatility array. It returns an array with the IV of Puts under the price and IV of Calls over the price. As price, pass current price.

Account Managment Functions

Spot Data

get_trade_history(client, symbol)

Calls client get_my_trades() function and converts JSON output into Pandas Frame. Returns order-book. Shows executed (filled) order trading book for requested symbol.

adjust_fx_trades(client, symbol)

Calls get_trade_history() function for two currencies, one base and one FX; currently supporting USDT/EUR. Returns parsed order-book. Shows the executed (filled) order trading book for the requested symbol for two currency pairs, all converted to base currency (USDT).

get_asset_status(client, symbol)

Calls adjust_fx_trades() function and parses response frame into a single status row with details on overall position performance. This reponse has 8 columns and describes the performance of retrived spot orders, with unrealized and realized gains. Show performance of asset in spot wallet by calulating purchase price from order book. ISSUES RETRIVING BUY, SELL & CONVERSION via Pay system.

get_account_snapshot(client, type):

Calls client account_snapshot() function and parses JSON into Pandas DataFrame. Returns snapshot (snap). Shows current open spot balances in Binance wallet.

get_spot_balances(client, snap):

Requires the snapshot from the above function as input, then runs get_asset_status() for listed assets and returns a built status frame. Shows status and performance of all assets present in snapshot.

wallet_composition(client, snap):

Requires snapshot. Returns value weighted portfolio in Pandas DataFrame format.

Limit Order Book

Spot Order Book

view_book(symbol, client)

Directly interfaces with the API to get a snapshot of the Limit Order Book (LOB) at a depth of 100 ticks (defualt). It parses JSON response and returns DataFrame and timestamp string. The return frame is in three column ladder design with bid_volume, quote and, ask_volume.

monitor_book(symbol, client, limit)

Function uses view_book() continously in a loop and returns LOB metrics: mid-point, spread, book balance, WA bid, WA ask, best bid. It 'monitors' the health of the book by writting down vitals in real-time. It works until it hits its loop limit specified by limit (int).