Minimalist delta hedging script for Deribit

delta-hedge.py

import requests
import json
from time import sleep
from datetime import datetime

#settings
delta_band = .1 # how far can account delta drift from 0 either up or down
repeat_seconds = 5 # how often should the script loop to check for delta
delta_bias = 1 # 0=no bias, >0 positive price bias ok with additional BTC exposure

db_client_id = ""
db_client_secret = ""
db_api_url = "https://test.deribit.com/api/v2/"

db_access_token = ""

# help functions
def p(item):
  print(json.dumps(item, indent=4, sort_keys=True))

def db(url_fragment, json=""):
  resp = requests.get(db_api_url + url_fragment, json=json, headers={'Authorization': db_access_token}).json()
  try:
    return resp["result"]
  except:
    p(resp)
    return "ERRORx"

# hedging loop
while(True):
  sleep(repeat_seconds) 
  auth = db("public/auth?client_id=" + db_client_id + "&client_secret=" + db_client_secret + "&grant_type=client_credentials")
  db_access_token = "Bearer " + auth["access_token"]

  summary = db("/private/get_account_summary?currency=BTC&extended=true")
  btc_price = db("/public/get_index?currency=BTC")["BTC"]
  account_delta = summary["delta_total"]
  account_delta_with_bias = account_delta - delta_bias
  delta_hedge = round(abs(btc_price * account_delta_with_bias), -1)
  
  print("%s - Price: %s Account Delta: %s USD hedge amount: %s" % (datetime.now(), btc_price, account_delta, delta_hedge))
  
  # skip hedging if the amount is too small
  if delta_hedge < 10 or abs(account_delta_with_bias) < delta_band:
    continue
  
  # hedge the delta by buying or selling
  p(db("/private/" + ( "buy" if account_delta_with_bias < 0 else "sell"  ) + "?amount=" + str(delta_hedge) + "&instrument_name=BTC-PERPETUAL&type=market"))