Customizable HFT Trading Bot Development -- 2

Technical Specification for Developing a Customizable HFT Trading Bot Project Goal To develop a high-frequency trading (HFT) bot for the futures market that analyzes order book imbalances and market orders, automatically opens positions, and manages them based on user-defined settings and parameters. Core Functionality 1. Order Book Analysis - Process data for 20 levels of the order book. - Calculate the overall imbalance between buy and sell orders. - Adjustable imbalance threshold (default: 60%). 2. Market Order Analysis - Assess activity of buyers and sellers using market orders. - Adjustable time interval for analysis. - Threshold values for market order activity to confirm signals. 3. Combined Analysis - Ensure two conditions are met: 1. Imbalance in the order book. 2. Imbalance in market orders. - Open a position only when both conditions align. 4. Position Management - Automatically open positions when the conditions are met. - Position size is defined as a fixed dollar amount from the account balance. - Adjustable leverage setting. - Automatically set stop-loss and take-profit levels immediately after a position is opened. Customizable Parameters 1. Order Book Imbalance: Threshold for determining dominant side (default: 60%). 2. Market Order Analysis Interval: Adjustable timeframes, e.g., 1, 5, or 10 seconds. 3. Position Size: Fixed dollar amount from the account balance. 4. Leverage: User-defined (e.g., 1x, 5x, 10x). 5. Stop-Loss and Take-Profit: Defined as percentages of the entry price. Additional Feature 1. Manual and Automatic Modes: - Manual settings for strategy testing. - Fully automated trading mode. 2. Error Handling: - Automatic reconnection in case of API issues. Technical Requirements 1. Programming Language: Python. 2. Exchange API: Binance Futures API. 3. Performance: Optimize for minimal latency in data processing and order execution. 4. Interface: Web-based interface for bot management. Deliverables A fully functional trading bot that: - Accurately analyzes order book and market order imbalances. - Automatically opens and manages positions. - Provides risk management through customizable stop-loss and take-profit settings.