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Miron edited this page Jun 26, 2022
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python -m atapiWelcome to the Algorithmic Trading API. Type help/? for commands.
ππ±πππ¦
help
Documented commands (type help <topic>):
========================================
algorithmic_factory correlation marketcap_summary returns stats_mcap
assets_close covariance mean_returns servertime weights_cwi
bye help normalized stats weights_ewi
circulating_supply marketcap optimal_weights stats_index weights_pwi
ππ±πππ¦
servertime
ββββββββββββββββββββββββββββββ
β Server Time β
β‘βββββββββββββββββββββββββββββ©
β 2022-06-19 06:03:38.442000 β
ββββββββββββββββββββββββββββββ
ππ±πππ¦
- It's important to sync your computer clock if you get an API error
circulating_supply
ββββββββββββββββββββββββββ
β Circulating Supply β
β‘βββββββββββββββββββββββββ©
β BTCUSDT 19070293 β
β LTCUSDT 70527581 β
β TRXUSDT 92522952036 β
β XRPUSDT 48343101197 β
β BNBUSDT 163276975 β
β ETHUSDT 121214254 β
ββββββββββββββββββββββββββ
ππ±πππ¦
assets_close
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Assets Close Prices β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT β
β Date β
β 2021-02-05 38290.24 1719.19 67.7005 0.45219 0.03624 155.05 β
β 2021-02-06 39186.94 1676.35 72.8356 0.44307 0.03507 155.57 β
β 2021-02-07 38795.69 1611.62 68.3542 0.41849 0.03597 150.76 β
β 2021-02-08 46374.87 1750.15 79.8374 0.45099 0.04042 167.28 β
β 2021-02-09 46420.42 1769.13 107.3469 0.47636 0.04608 181.49 β
... ... ... ... ... ... ...
β 2022-06-15 22583.72 1237.52 233.6000 0.34360 0.06302 50.65 β
β 2022-06-16 20401.31 1068.50 210.2000 0.31320 0.05923 44.78 β
β 2022-06-17 20468.81 1086.94 215.8000 0.32100 0.05989 47.60 β
β 2022-06-18 18970.79 995.13 197.0000 0.30750 0.06089 47.18 β
β 2022-06-19 18152.11 947.89 191.2000 0.30110 0.06019 45.65 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
marketcap_summary
ββββββββββββββββββββββββββββββ
β Crypto Market Cap β
β‘βββββββββββββββββββββββββββββ©
β Date β
β 2021-02-05 985798962167 β
β 2021-02-06 998032452258 β
β 2021-02-07 980549051589 β
β 2021-02-08 1146900981219 β
β 2021-02-09 1157314288861 β
... ...
β 2022-06-15 644838430386 β
β 2022-06-16 576676628649 β
β 2022-06-17 581750444446 β
β 2022-06-18 538394745839 β
β 2022-06-19 515627041438 β
ββββββββββββββββββββββββββββββ
ππ±πππ¦
marketcap
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Market Cap β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BNBUSDT BTCUSDT ETHUSDT LTCUSDT TRXUSDT XRPUSDT β
β Date β
β 2021-02-05 11053932846 730206095840 208390333334 10935301434 3353031782 21860266930 β
β 2021-02-06 11892376440 747306427573 203197514693 10971975776 3244779928 21419377847 β
β 2021-02-07 11160667005 739845175437 195351316031 10632738112 3328050585 20231104420 β
β 2021-02-08 13035609164 884382358737 212143126638 11797853750 3739777721 21802255209 β
β 2021-02-09 17527277108 885251010583 214443773179 12800050676 4263457630 23028719686 β
... ... ... ... ... ... ...
β 2022-06-15 38141501360 430678157430 150005063610 3572221978 5830796437 16610689571 β
β 2022-06-16 34320820145 389058959284 129517430399 3158225077 5480134449 15141059295 β
β 2022-06-17 35235171205 390346204061 131752621243 3357112856 5541199597 15518135484 β
β 2022-06-18 32165564075 361778523741 120623940583 3327491272 5633722549 14865503618 β
β 2022-06-19 31218557620 346166056268 114897779224 3219584073 5568956483 14556107770 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
weights_pwi
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Price Weighted Index β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT β
β Date β
β 2021-02-05 0.9517 0.0427 0.0017 0.0000 0.0000 0.0039 β
β 2021-02-06 0.9536 0.0408 0.0018 0.0000 0.0000 0.0038 β
β 2021-02-07 0.9549 0.0397 0.0017 0.0000 0.0000 0.0037 β
β 2021-02-08 0.9587 0.0362 0.0017 0.0000 0.0000 0.0035 β
β 2021-02-09 0.9575 0.0365 0.0022 0.0000 0.0000 0.0037 β
... ... ... ... ... ... ...
β 2022-06-15 0.9369 0.0513 0.0097 0.0000 0.0000 0.0021 β
β 2022-06-16 0.9391 0.0492 0.0097 0.0000 0.0000 0.0021 β
β 2022-06-17 0.9381 0.0498 0.0099 0.0000 0.0000 0.0022 β
β 2022-06-18 0.9387 0.0492 0.0097 0.0000 0.0000 0.0023 β
β 2022-06-19 0.9387 0.0490 0.0099 0.0000 0.0000 0.0024 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
- Self Rebalancing
weights_ewi
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Equal Weighted Index β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT β
β Date β
β 2021-02-05 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2021-02-06 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2021-02-07 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2021-02-08 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2021-02-09 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
... ... ... ... ... ... ...
β 2022-06-15 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2022-06-16 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2022-06-17 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2022-06-18 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
β 2022-06-19 0.1667 0.1667 0.1667 0.1667 0.1667 0.1667 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
- sell winners, buy loosers
weights_cwi
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Capital Weighted Index β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BNBUSDT BTCUSDT ETHUSDT LTCUSDT TRXUSDT XRPUSDT β
β Date β
β 2021-02-05 0.0112 0.7407 0.2114 0.0111 0.0034 0.0222 β
β 2021-02-06 0.0119 0.7488 0.2036 0.0110 0.0033 0.0215 β
β 2021-02-07 0.0114 0.7545 0.1992 0.0108 0.0034 0.0206 β
β 2021-02-08 0.0114 0.7711 0.1850 0.0103 0.0033 0.0190 β
β 2021-02-09 0.0151 0.7649 0.1853 0.0111 0.0037 0.0199 β
... ... ... ... ... ... ...
β 2022-06-15 0.0591 0.6679 0.2326 0.0055 0.0090 0.0258 β
β 2022-06-16 0.0595 0.6747 0.2246 0.0055 0.0095 0.0263 β
β 2022-06-17 0.0606 0.6710 0.2265 0.0058 0.0095 0.0267 β
β 2022-06-18 0.0597 0.6720 0.2240 0.0062 0.0105 0.0276 β
β 2022-06-19 0.0605 0.6713 0.2228 0.0062 0.0108 0.0282 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
- most economic - self-rebalancing
- outperform against portfolio proportional to total MC
- free float (total considered)
normalized
βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Normalized Returns, Price Weighed, Equal Weighted, Capitalization Weighted β
β‘ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT PWI EWI CWI β
β Date β
β 2021-02-05 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 β
β 2021-02-06 102.3419 97.5081 107.5850 97.9831 96.7715 100.3354 102.1363 100.3530 101.2106 β
β 2021-02-07 101.3200 93.7430 100.9656 92.5474 99.2550 97.2332 100.9798 97.4084 99.4115 β
β 2021-02-08 121.1141 101.8008 117.9273 99.7346 111.5342 107.8878 120.2322 108.9612 114.9103 β
β 2021-02-09 121.2330 102.9049 158.5615 105.3451 127.1523 117.0526 120.4964 119.4061 115.8783 β
... ... ... ... ... ... ... ... ... ...
β 2022-06-15 58.9804 71.9827 345.0492 75.9858 173.8962 32.6669 59.9162 48.9010 38.7904 β
β 2022-06-16 53.2807 62.1514 310.4852 69.2629 163.4382 28.8810 53.9988 43.7511 34.4493 β
β 2022-06-17 53.4570 63.2240 318.7569 70.9879 165.2594 30.6998 54.2334 44.7972 34.7498 β
β 2022-06-18 49.5447 57.8837 290.9875 68.0024 168.0188 30.4289 50.2340 42.6270 32.0552 β
β 2022-06-19 47.2409 54.7868 281.3864 66.3659 165.6733 29.3583 47.8887 41.1323 30.5371 β
βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
stats_index
βββββββββββββββββββββββββββ
β Anualized Risk & Return β
β‘ββββββββββββββββββββββββββ©
β Return Risk β
β BTCUSDT -0.5489 0.7653 β
β ETHUSDT -0.4404 0.9742 β
β BNBUSDT 0.7573 1.2698 β
β XRPUSDT -0.3001 1.2533 β
β TRXUSDT 0.3695 1.1682 β
β LTCUSDT -0.8971 1.1212 β
β PWI -0.5389 0.7709 β
β EWI -0.6503 0.9873 β
β CWI -0.8683 0.8242 β
βββββββββββββββββββββββββββ
ππ±πππ¦
mean_returns
ββββββββββββββββββββββ
β Daily Mean Returns β
β‘βββββββββββββββββββββ©
β BTCUSDT -0.0015 β
β ETHUSDT -0.0012 β
β BNBUSDT 0.0021 β
β XRPUSDT -0.0008 β
β TRXUSDT 0.0010 β
β LTCUSDT -0.0025 β
β TP 0.0021 β
ββββββββββββββββββββββ
ππ±πππ¦
optimal_weights
βββββββββββββββββββ
β Optimal Weights β
β‘ββββββββββββββββββ©
β BTCUSDT 0 β
β ETHUSDT 0 β
β BNBUSDT 1 β
β XRPUSDT 0 β
β TRXUSDT 0 β
β LTCUSDT 0 β
βββββββββββββββββββ
ππ±πππ¦
- Tangency portfolio (sequential least squares programming)
covariance
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Annualized Covariance β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT TP β
β BTCUSDT 0.5856 0.6178 0.6689 0.6459 0.6053 0.6830 0.6689 β
β ETHUSDT 0.6178 0.9491 0.8852 0.8636 0.7834 0.9013 0.8852 β
β BNBUSDT 0.6689 0.8852 1.6124 1.0278 0.9037 0.9992 1.6124 β
β XRPUSDT 0.6459 0.8636 1.0278 1.5707 1.0282 1.0902 1.0278 β
β TRXUSDT 0.6053 0.7834 0.9037 1.0282 1.3648 0.9408 0.9037 β
β LTCUSDT 0.6830 0.9013 0.9992 1.0902 0.9408 1.2571 0.9992 β
β TP 0.6689 0.8852 1.6124 1.0278 0.9037 0.9992 1.6124 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
returns
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Log Returns β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT TP β
β Date β
β 2021-02-06 0.0231 -0.0252 0.0731 -0.0204 -0.0328 0.0033 0.0731 β
β 2021-02-07 -0.0100 -0.0394 -0.0635 -0.0571 0.0253 -0.0314 -0.0635 β
β 2021-02-08 0.1784 0.0825 0.1553 0.0748 0.1166 0.1040 0.1553 β
β 2021-02-09 0.0010 0.0108 0.2961 0.0547 0.1311 0.0815 0.2961 β
β 2021-02-10 -0.0354 -0.0162 0.1835 0.0570 0.0045 0.0004 0.1835 β
... ... ... ... ... ... ... ...
β 2022-06-15 0.0200 0.0234 0.0464 0.0668 0.1254 0.0930 0.0464 β
β 2022-06-16 -0.1016 -0.1469 -0.1056 -0.0926 -0.0620 -0.1232 -0.1056 β
β 2022-06-17 0.0033 0.0171 0.0263 0.0246 0.0111 0.0611 0.0263 β
β 2022-06-18 -0.0760 -0.0882 -0.0911 -0.0430 0.0166 -0.0089 -0.0911 β
β 2022-06-19 -0.0476 -0.0550 -0.0336 -0.0244 -0.0141 -0.0358 -0.0336 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
- Includes tangency portfolio
correlation
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Correlation Coefficient β
β‘βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT TP β
β BTCUSDT 1.0000 0.8287 0.6883 0.6735 0.6771 0.7960 0.6883 β
β ETHUSDT 0.8287 1.0000 0.7156 0.7073 0.6884 0.8251 0.7156 β
β BNBUSDT 0.6883 0.7156 1.0000 0.6458 0.6092 0.7018 1.0000 β
β XRPUSDT 0.6735 0.7073 0.6458 1.0000 0.7023 0.7758 0.6458 β
β TRXUSDT 0.6771 0.6884 0.6092 0.7023 1.0000 0.7182 0.6092 β
β LTCUSDT 0.7960 0.8251 0.7018 0.7758 0.7182 1.0000 0.7018 β
β TP 0.6883 0.7156 1.0000 0.6458 0.6092 0.7018 1.0000 β
ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
stats
βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
β Anualized Modern Portfolio Theory Metrics β
β‘ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ©
β Return Risk Sharpe Var SysVar UnsysVar beta CAPM alpha β
β BTCUSDT -0.5489 0.7653 -0.7578 0.5856 0.6689 -0.0833 0.4148 0.3323 -0.8812 β
β ETHUSDT -0.4404 0.9742 -0.4839 0.9491 0.8852 0.0639 0.5490 0.4297 -0.8701 β
β BNBUSDT 0.7573 1.2698 0.5719 1.6124 1.6124 -0.0000 1.0000 0.7573 0.0000 β
β XRPUSDT -0.3001 1.2533 -0.2642 1.5707 1.0278 0.5429 0.6374 0.4939 -0.7940 β
β TRXUSDT 0.3695 1.1682 0.2898 1.3648 0.9037 0.4611 0.5604 0.4380 -0.0685 β
β LTCUSDT -0.8971 1.1212 -0.8278 1.2571 0.9992 0.2579 0.6197 0.4810 -1.3781 β
β TP 0.7573 1.2698 0.5719 1.6124 1.6124 0.0000 1.0000 0.7573 0.0000 β
βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
- beta < 1 for non-cyclical / defensive assets
- S&P 500 has average Sharpe of 1
stats_mcap
βββββββββββββββββββββββββββββββββββββββββ
β Market Cap Portfolio β
β‘ββββββββββββββββββββββββββββββββββββββββ©
β Return Risk SysVar beta β
β BTCUSDT -0.5489 0.7653 0.6044 0.9212 β
β ETHUSDT -0.4404 0.9742 0.7295 1.1118 β
β BNBUSDT 0.7573 1.2698 0.7821 1.1919 β
β XRPUSDT -0.3001 1.2533 0.7568 1.1533 β
β TRXUSDT 0.3695 1.1682 0.6900 1.0515 β
β LTCUSDT -0.8971 1.1212 0.7783 1.1862 β
β MCAP -0.5328 0.8100 0.6562 1.0000 β
βββββββββββββββββββββββββββββββββββββββββ
ππ±πππ¦
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