BinanceFuturesZorroPlugin

BinanceFuturesZorroPlugin is a plugin for Zorro, an institutional-grade development tool for financial research and automatic trading system.

Install

To install the plugin, download the latest release and place BinanceFutures.dll and cacert.pem into the Plugin folder under Zorro's root path.

How to Use

• First generate a API Key in Binance website.
• Create accounts.csv and fill your created ID to User table and fill Secret to Pass table.

Name	Broker	Account	User	Pass	Assets	CCY	Real	NFA	Plugin	Source
BinanceFuturesUSDT	Binance Futures USDT	USDT	---	---	AssetsBinanceFutures	USDT	1	1	BinanceFutures
BinanceFuturesCoin1	Binance Futures BTC	BTC	---	---	AssetsBinanceFutures	BTC	1	1	BinanceFutures
BinanceFuturesCoin2	Binance Futures ETH	ETH	---	---	AssetsBinanceFutures	ETH	1	1	BinanceFutures

• Create AssetsBinacneFutures.csv (Binance does not use PIP/PIPCost, but we have to use a mapping value to calculate profit and equity. I'm still testing)

Name	Price	Spread	RollLong	RollShort	PIP	PIPCost	MarginCost	Leverage	LotAmount	Commission	Symbol
BTCUSDT	9244.42	0.01	0	0	1	0.001	0	20	0.001	0	BTCUSDT
ETHUSDT	458.8	0.01	0	0	1	0.001	0	20	0.001	0	ETHUSDT
BTCUSD_PERP	9244.42	0.01	0	0	1	0.000001	0	20	1	0	BTCUSD_PERP
ETHUSD_PERP	458.8	0.01	0	0	1	1	0	20	1	0	ETHUSD_PERP

• In Zorro, select BinanceFutures.

Features

• Following Zorro Broker API functions has been implemented:

  • BrokerOpen
  • BrokerHTTP
  • BrokerLogin
  • BrokerTime
  • BrokerAccount
    • Only Support Balance, TradeVal and MarginVal
    • If you forget to fill account value in accounts.csv, it uses Asset to know what account balance.
  • BrokerAsset
    • Only Support traded price and traded volume.
    • Add websocket streaming support to lower number of API requests and support high resolution ticks.(Thanks for AndrewAMD's help)
    • Traded volume use 1 minute timeframe defaultly. So it needs to set BarPeriod from BrokerCommand.

      #define SET_TRADEVOLINTERVAL   2004
      brokerCommand(SET_TRADEVOLINTERVAL, BarPeriod);

  • BrokerHistory2
    • Support download all the histories, so wait patiently for downloading.
    • Store "taker buy volume" value to T6 fVal instead of Spreads.
  • BrokerTrade
  • BrokerBuy2
    • Support MARKET and LIMIT order
  • BrokerSell2
    • Enable it for NFA=0, still need to test.
  • BrokerCommand

    • GET_COMPLIANCE

      • Always return 2(no hedging)

    • SET_DIAGNOSTICS

    • SET_AMOUNT

    • GET_MAXTICKS

    • GET_MAXREQUESTS

      • always return 0 for no limit.

    • GET_POSITION

      • return Balance

    • SET_SYMBOL

    • SET_ORDERTYPE

    • GET_BROKERZONE

    • DO_CANCEL

    • SET_HWND

    • SET_COMMENT

      • Currently I use it to set telegram's commends.

    • SET_TGTOKEN (private API)

      • Support telegram token

    • SET_TGCHATID (private API)

      • Support telegram chat id

      brokerCommand(SET_TGTOKEN, "1234567890:AABBCCDDEEFFGGHH");
      brokerCommand(SET_TGCHATID, 123456789);
      brokerCommand(SET_COMMENT, "Telegrame Test");

    • ENABLE_TESTNET (private API)

      • Enable testnet for Binance Futures

    • SET_TRADEVOLINTERVAL (private API)

      • Private API need to define first

      #define SET_TGTOKEN            2001 
      #define SET_TGCHATID           2002
      #define ENABLE_TESTNET         2003
      #define SET_TRADEVOLINTERVAL   2004
      #define ENABLE_SPOTPRICE       2005
      
      brokerCommand(SET_TRADEVOLINTERVAL, BarPeriod);

    • ENABLE_SPOTPRICE (private API)

      • Enable Binance SPOT price ticks, volume, and history downloading instead of Binance Futures
      • Currenly it only supports for Binance Futures USDT

      brokerCommand(ENABLE_SPOTPRICE, 1);

TO-DO List

• Please report bugs to fix.

Sponsor

• You can register new Binance Futures account from my link, and then you can get 10% refund from your commission.
• You can also donate USDT/BTC/ETH to sponsor me directly.
  • My BTC Address:
    • 3BYVUVfZJTUXWGKsjjucWKdScKTSJRw8Ck
  • My ERC20 USDT/ETH Address:
    • 0x10C85D6AE5266E2Af2cFAA688B5348c4c7119062
• Thanks a lot