Extended Exchange Pseudo Delta-Neutral Bot

A Python trading bot designed for extended.exchange that maintains a pseudo delta-neutral exposure by going long BTC perpetuals while shorting ETH perpetuals using a data-driven hedge ratio. The bot focuses on farming trading volume while attempting to control directional risk through continual rebalancing and stop-loss management.

✨ Features

• Pseudo Delta-Neutral Positioning – Long BTC and short ETH with automatic sizing driven by historical correlations.
• Data-Driven Hedge Ratio – Computes a minimum-variance hedge ratio from the last 365 days of daily returns.
• Persistent State – Persists hedge ratio, open position snapshots, and timestamps to state.json for seamless restarts.
• Startup Reconciliation – Validates saved state against live exchange positions before trading begins.
• Configurable Stop-Loss – Automatically closes both legs when unrealised losses breach a configurable threshold.
• Graceful Shutdown – Intercepts SIGINT/SIGTERM (e.g., Ctrl+C) and exits without closing positions to avoid unintended flattening.

⚙️ Prerequisites

• Python 3.11+
• Extended Exchange API key/secret with trading permissions

Install Python dependencies with:

python -m venv .venv
source .venv/bin/activate
pip install -r requirements.txt

🔐 Configuration

The bot reads configuration from environment variables or an optional JSON config file (pass via --config). Environment variable defaults are shown below:

Variable	Description	Default
EXTENDED_API_URL	REST API base URL	https://api.extended.exchange
EXTENDED_API_KEY	API key	required for trading
EXTENDED_API_SECRET	API secret	required for trading
BTC_SYMBOL	BTC market symbol	BTC-PERP
ETH_SYMBOL	ETH market symbol	ETH-PERP
BASE_POSITION_SIZE	Target BTC size in contracts	0.01
LOOKBACK_DAYS	Candle lookback for hedge ratio	365
REBALANCE_INTERVAL	Seconds between rebalance cycles	300
HEDGE_REFRESH_INTERVAL	Seconds between hedge ratio refreshes	3600
STOP_LOSS_PCT	Max tolerated unrealised loss per leg (e.g. 0.08 = 8%)	0.08
MIN_ORDER_SIZE	Minimum trade size (prevents tiny orders)	0.0001
POSITION_TOLERANCE	Size tolerance before resyncing saved state	1e-4
BOT_STATE_PATH	Location of the persistent state file	state.json

The JSON configuration file uses identical keys and overrides environment variables when supplied.

🚀 Running the Bot

python bot.py --log-level INFO

During startup the bot:

1. Loads configuration and the persisted state.json (creating a new one if absent).
2. Recomputes the hedge ratio and reconciles saved position snapshots with on-exchange positions.
3. Enters the main loop that periodically:
   • Refreshes the hedge ratio on the configured cadence.
   • Rebalances BTC/ETH positions to the pseudo delta-neutral target.
   • Checks for stop-loss breaches and flattens both legs when triggered.
   • Persists state to disk for restart resilience.

Stop the bot with Ctrl+C. Positions remain open; the bot saves the last known state and exits cleanly.

🧪 Notes & Limitations

• This is not a perfect delta-neutral strategy. Correlations drift and the hedge ratio can change materially.
• Make sure your account has sufficient margin to support both legs and potential drawdowns.
• Always test on a demo environment (if available) before deploying with real capital.
• Review the Extended Exchange API documentation for authentication requirements and rate limits.

📂 Project Structure

├── bot.py                 # CLI entry-point
├── extended_bot
│   ├── __init__.py        # Package exports
│   ├── client.py          # REST client wrapper
│   ├── config.py          # Configuration dataclass + loaders
│   ├── hedge.py           # Hedge ratio utilities
│   ├── state.py           # State persistence helpers
│   └── strategy.py        # Strategy orchestration
├── requirements.txt       # Python dependencies
└── state.json             # Created automatically at runtime

Happy hedging! 🛡️