Statistical Arbitrage on Cryptocurrencies

Dependencies:

• pip install python-binance
• pip install python-dotenv

Related API documentation:

• https://docs.binance.us/
• https://binance-docs.github.io/apidocs/spot/en/
• https://github.com/sammchardy/python-binance
• https://python-binance.readthedocs.io/en/latest/
• https://www.binance.com/en/support/faq/how-to-test-my-functions-on-binance-testnet-ab78f9a1b8824cf0a106b4229c76496d

To get historical price data from Binance in the crypto_pairs_scratch.ipynb file:

• Make an account on binance.us
• Once your account is set up, follow these steps to create your api keys
  • In particular, make sure that you've enabled 2FA, you've made a deposit in your account, and that your account is verified
• After you have your api keys, make a file called .env at the same level as crypto_pairs_scratch.ipynb
• Your .env file should have 2 lines:
  • binanceAPIKey=YourAPIKeyThatYouCopiedFromBinance
  • binanceSecretKey=YourSecretKeyThatYouCopiedFromBinance
• Make sure to add the .env file to your gitignore
• You should now be able to run the code in crypto_pairs_scratch.ipynb (make sure that you have pip installed python-binance and python-dotenv)

Testing your algorithm

• Enable testnet: https://www.binance.com/en/support/faq/how-to-test-my-functions-on-binance-testnet-ab78f9a1b8824cf0a106b4229c76496d
• Generate your testnet API keys and follow steps as above
• Set your .env file to have:
  • binanceAPIKey_testnet=YourAPIKeyThatYouCopiedFromBinance
  • binanceSecretKey_testnet=YourSecretKeyThatYouCopiedFromBinance
• Don't specify any tld in your Client initialization call
  • For production, you may specify tld=us if you are running the program from the US IP address