Binance Futures Plugin

Binance is a Shanghai founded digital currency exchange that supports all major crypto currencies and crypto futures. The Binance Futures plugin is for trading cryptocurrency futures. For trading plain coins (spot market), use the Binance plugin.

If you already have a Binance account for the spot market, you can extend it to futures. You will need a new API key and secret for trading futures. This key will then also work for logging in to the spot market. Make sure that your account is in one-way mode (no hedging), since the plugin assumes single-side positions.

There are two Binance Futures plugins. One was developed by a Zorro user and is available on Github. The other one is included in the Zorro setup and described here. It requires Zorro S and an account list. It uses the Websocket API for streaming market data and the REST API for all other fuctions. There are two sorts of futures available that are treated slightkly differently: USDT futures, paid in dollar equivalents, and COIN futures, paid in crypto coins. Real mode uses the Binance production server, demo mode the test server. Thus, 4 different endpoints are available that can be set in the Server field of the account list:

USDT futures production endpoint: wss://fstream.binance.com
COIN futures production endpoint: wss://fstream.binance.com
USDT futures test endpoint: wss://fstream.binancefuture.com
COIN futures test endpoint: wss://fstream.binancefuture.com

Zorro login fields for Binance Futures:

Accounts.csv example entries:

Binance Futures symbols

Binance Fututures has inconsistent symbols across all endpoints, but the plugin takes care of this. It uses the below symbology:

Perpetual Futures: AAABBB, e.g. "BTCUSDT"
Expiring Futures: AAABBB-FUT-YYYYMMDD, e.g. "BTCUSDT-FUT-20210326"
Alternatively, use the contract functions for futures, using the currency pair "BTCUSDT" as the underlying.

Supported broker commands

The plugin supports the brokerCommand f function with the following commands:

• SET_PATCH
• GET_COMPLIANCE
• GET_MAXTICKS
• GET_HEARTBEAT
• GET_POSITION
• SET_SYMBOL
• GET_DELAY
• SET_DELAY
• GET_WAIT
• SET_WAIT
• GET_BOOK
• SET_ORDERTYPE (0:IOC, 1:FOK, 2:GTC)
• GET_FUTURES
• DO_CANCEL
• SET_SERVER

There are 2 plugin specific commands:

• 2001: Reconnects the websocket at any time for any reason.

• 2002: Returns number of milliseconds since the plugin received any message from the websocket server.

Remarks

• Maximum request rate. For limiting the request rate, use SET_DELAY for delaying client account and position requests. Don't use MaxRequests, since it would also throttle price requests that however have no limit due to the websocket implementation.
    
• Minimum request rate. The Binance server was reported to time out when no price requests are received for a certain time. On scripts with long bar periods, make sure to set TickTime so that a price request is sent every 5..10 seconds.
    
• Asset parameters. Spread, price, PIP, and LotAmount are available from the API. All other data must be manually entered as described under asset list. For assets with variable leverage, set up Leverage and MarginCost by script before entering a trade. Example USDT asset list entries, assuming 100:1 leverage and 0.25% commission:

  Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,Margin,Market,LotAmount,Commission,Symbol
  BTCUSDT,57125,3.5,0,0,0.01,0.00001000,-1,0,0.001,-0.25,BTCUSDT
  BTCUSDT-210326,57125,3.5,0,0,0.01,0.00001000,-1,0,0.001,-0.25,BTCUSDT-FUT-20210326
  ETHUSDT,1991,0.05,0,0,0.01,0.00001000,-1,0,0.001,-0.25,ETHUSDT
  ETHUSDT-210626,1991,0.05,0,0,0.01,0.00001000,-1,0,0.001,-0.25,ETHUSDT-FUT-20210326

  Example COIN asset list entries:
  

  Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,Margin,Market,LotAmount,Commission,Symbol
  BTCUSD,57125,3.5,0,0,0.1,0.00017505,-1,0,1,-0.25,BTCUSD
  BTCUSD-210326,57125,3.5,0,0,0.1,0.00017505,-1,0,1,-0.25,BTCUSD-FUT-20210326
  ETHUSD,1991,0.05,0,0,0.01,0.00005023,-1,0,1,-0.25,ETHUSD
  ETHUSD-210326,1991,0.05,0,0,0.01,0.00005023,-1,0,1,-0.25,ETHUSD-FUT-20210326

  In the above examples, the Name column uses a shortened version of the futures contract name. The Symbol column must follow the above nomenclature.
   
• Contract specifications. For USDT Futures the order volume is in units of base currency. LotAmount can be less than or greater than 1. For COIN Futures the order volume is per contract. A contract is worth a multiple of the counter currency, such as 10 USD, 100 USD, depending on the contract. LotAmount is normally 1.
   
• Funding. On the USDT exchange, you must have the counter currency to trade; on the COIN exchange, you must have the base currency to trade.
   
• Compliance. Binance Futures requires the NFA flag.
  
  
• Stability. Users reported irregular breakdowns of the Binance Futures server, causing loss of connection with the websocket API. Two commands have been added for reconnecting automatically by script in such a case, for instance in a tock function. Example: if(brokerCommand(2002,0) > 120000.) brokerCommand(2001,0); will reconnect when the connection was lost for more than 2 minutes.
  

See also:

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