GdaxZorroPlugin

GdaxZorroPlugin is a plugin for Zorro, an institutional-grade development tool fro financial research and automatic traiding system. It provides connectivity to Coinbase Pro cryptocurriency exchange.

Install

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

How to Use

• First generate a API Key in Coinbase Pro website.
• In Zorro, select Gdax.
• Enter the API Key_Passphrase in the User ID input box
• Enter the Secret Key in the Password input box.

Features

• Support Limit, Market order types

  // By default, enterLong/enterShort places a Market order
  enterLong(5);   // long 5 lot at Market price
  enterShort(5);  // short 5 lot at Market price
  
  // Place a limit
  OrderLimit = 100.00;  // set a Limit price first
  enterLong(5);   // place 5 lot at 100.00

• Support FOK, IOC, GTC, TimeInForce types.

  // By default, limit order has FOK TimeInfoForce type
  // Use borkerCommand(SET_ORDERTYPE, tif) to change TimeInForce.
  // Valid TimeInForce value is
  //  1 - FOK
  //  2 - GTC
  //  3 - IOC
  //
  // NOTE: brokemand(SET_ORDERTYPE, 0) will be ignored, this is because Zorro always call brokerCommand(SET_ORDERTYPE, 0) before setting limit price.
  
  brokerCommand(SET_ORDERTYPE, 2);  // set TIF to GTC
  OrderLimit = 100.00;
  enterShort(5);    // Sell 5 lot GTC order at limit price 100.00

• Support LastQuote/LastTrade price type

  // By default, it use ask/bid price mode
  // Use brokerCommand(SET_PRICETYPE, 2) to change price type to trades
  brokerCommand(SET_PRICETYPE, 2) // Set price type to trades
  brokerCommand(SET_PRICETYPE, 1 /*or 0*/) // Set price type to ask/bid quote

• Support Position(Balance) retrieval

  // get balance for specific currency
  brokerCommand(GET_POSITION, "BTC");

• Set PostOnly limit order flag through custom brokerCommand

  // set PostOnly to true
  brokerCommand(2000, true);

• Generate AssetList file through custom borkerCommand

  brokerCommand(2001, char *symbols);

  symbols - One or more symbols separated by comma. If symbols = 0, all symbols will be included. An AssetCoinbasePro.csv file will be generated in the Log diredtory.

  Exemple:
  // GenerateAlpacaAssetList.c
  function main() {
    brokerCommand(2001, "BTC-USD,ETH-USD");  // Generate AssetsAlpaca.csv contains BTC-USD, ETH-USD symbols
  }

• 1 lot equals the base_increment of the product. The Strategy needs to make sure that the order size satisfies the base_min_size.

  // For example,the base_increment of BTC/USD is 0.00000001, the base_min_size of BTC/USD is 0.0001.
  // Following code buys 0.0001 BTC at market price
  asset("BTC/USD");
  Lots = 10000;     // order size is Lots * base_increment, 10000 * 0.00000001
  enterLong();

• Following Zorro Broker API functions has been implemented:

  • BrokerOpen
  • BrokerHTTP
  • BrokerLogin
  • BrokerTime
  • BrokerAsset
  • BrokerHistory2
  • BrokerBuy2
  • BrokerTrade
  • BrokerSell2
  • BrokerCommand
    • GET_COMPLIANCE
    • GET_MAXTICKS
    • GET_MAXREQUESTS
    • GET_LOCK
    • GET_POSITION
    • GET_PRICETYPE
    • GET_UUID
    • SET_SYMBOL
    • SET_ORDERTYPE
    • SET_PRICETYPE
    • SET_DIAGNOSTICS
    • SET_UUID

Build From Source

Bug Report

If you find any issue or have any suggestion, please report in GitHub issues.