bitmex-recipe-weekly-rebalance

name	bitmex-recipe-weekly-rebalance
description	Weekly rebalance to maintain target position allocations.

Weekly Portfolio Rebalance

Each week, compare your actual position sizes against target allocations and place orders to bring them back in line.

Always validate on testnet first: prefix commands with bitmex --testnet until the strategy behaves as expected.

Prerequisites

• BITMEX_API_KEY and BITMEX_API_SECRET set.
• jq and bc installed.
• Define target allocations as a fraction of total wallet balance.

Steps

1. Get current positions

bitmex position list -o json \
  | jq '[.[] | {symbol, currentQty, markValue, unrealisedPnl}]'

2. Get total wallet balance

WALLET=$(bitmex wallet balance -o json | jq '.amount')
echo "Total wallet: $WALLET satoshis"

3. Calculate target sizes

Example: 60% XBTUSD, 25% ETHUSD, 15% SOLUSDT of total notional:

XBTUSD_MARK=$(bitmex market instrument --symbol XBTUSD -o json | jq '.[0].markPrice')
ETHUSD_MARK=$(bitmex market instrument --symbol ETHUSD -o json | jq '.[0].markPrice')

# Convert wallet from satoshis to USD equivalent
WALLET_USD=$(echo "scale=2; $WALLET / 100000000 * $XBTUSD_MARK" | bc)

TARGET_XBTUSD=$(echo "scale=0; $WALLET_USD * 0.60 / 1" | bc)
TARGET_ETHUSD=$(echo "scale=0; $WALLET_USD * 0.25 / 1" | bc)

4. Calculate drift and rebalance orders

CURRENT_XBTUSD=$(bitmex position list -o json \
  | jq '[.[] | select(.symbol == "XBTUSD")] | .[0].currentQty // 0')

DELTA=$(echo "$TARGET_XBTUSD - $CURRENT_XBTUSD" | bc)
echo "XBTUSD drift: $DELTA contracts"

5. Place rebalance orders (validate first, then submit)

# If delta is positive, buy the difference; if negative, sell
if (( $(echo "$DELTA > 0" | bc -l) )); then
  bitmex order buy XBTUSD $(echo "$DELTA" | xargs printf "%.0f") \
    --order-type Limit --price $(echo "$XBTUSD_MARK * 1.0001" | bc | xargs printf "%.0f") \
    --validate -o json
elif (( $(echo "$DELTA < 0" | bc -l) )); then
  bitmex order sell XBTUSD $(echo "-1 * $DELTA" | bc | xargs printf "%.0f") \
    --order-type Limit --price $(echo "$XBTUSD_MARK * 0.9999" | bc | xargs printf "%.0f") \
    --validate -o json
fi

Replace --validate with --yes after reviewing the output.

6. Verify after rebalance

bitmex position list -o json \
  | jq '[.[] | {symbol, currentQty, markValue}]'

Notes

• Use a 5% drift threshold to avoid over-trading: only rebalance a leg if drift exceeds 5% of target.
• Schedule for low-volatility hours (e.g. Sunday 04:00 UTC) to reduce slippage.