bitmex-dca-strategy

name	bitmex-dca-strategy
version	1.0.0
description	Dollar cost averaging on bitmex-cli: testnet-first, fixed qty per interval, limit orders, and position cap enforcement.
metadata	{"openclaw":{"category":"finance"},"requires":{"bins":["bitmex"]},"depends":["bitmex-shared","bitmex-order-execution","bitmex-position-risk","bitmex-fee-optimization"]}

bitmex-dca-strategy

DCA on BitMEX perpetuals: buy a fixed quantity at regular intervals regardless of price, using limit orders to potentially reduce costs with maker orders.

Always test with --testnet first for at least 5 cycles before using real funds.

Strategy Parameters

Parameter	Example	Description
SYMBOL	XBTUSD	Perpetual contract
QTY_PER_INTERVAL	100	Contracts per DCA slice
INTERVAL_SECONDS	3600	1 hour between buys
MAX_POSITION	5000	Hard cap on total long exposure
STOP_LOSS_PCT	0.15	Close if unrealised loss exceeds 15%

Testnet First

export BITMEX_API_KEY="testnet-key"
export BITMEX_API_SECRET="testnet-secret"

# Run 3 testnet cycles to verify logic
for i in 1 2 3; do
  PRICE=$(bitmex --testnet market orderbook XBTUSD --depth 1 -o json 2>/dev/null | \
    jq '[.[] | select(.side == "Buy")] | .[0].price')
  bitmex --testnet order buy XBTUSD 100 --price "$PRICE" \
    --order-type Limit --exec-inst ParticipateDoNotInitiate \
    -o json 2>/dev/null | jq '{orderID, price, ordStatus}'
  sleep 5
done

DCA Loop

SYMBOL="XBTUSD"
QTY=100
MAX_POSITION=5000
INTERVAL=3600  # seconds

while true; do
  # 1. Check position cap
  CURRENT=$(bitmex position list --symbol $SYMBOL -o json 2>/dev/null | \
    jq -r '.[0].currentQty // 0')
  if [ "$CURRENT" -ge "$MAX_POSITION" ]; then
    echo "Position cap reached ($CURRENT >= $MAX_POSITION), skipping"
    sleep $INTERVAL
    continue
  fi

  # 2. Check margin health
  AVAIL=$(bitmex account margin --currency XBt -o json 2>/dev/null | \
    jq -r '.availableMargin // 0')
  if [ "$AVAIL" -lt 100000 ]; then
    echo "Insufficient margin ($AVAIL sats), skipping"
    sleep $INTERVAL
    continue
  fi

  # 3. Place limit order at best bid
  BID=$(bitmex market orderbook $SYMBOL --depth 1 -o json 2>/dev/null | \
    jq '[.[] | select(.side == "Buy")] | .[0].price')
  echo "DCA buy $QTY $SYMBOL @ $BID"
  bitmex order buy $SYMBOL $QTY \
    --price "$BID" \
    --order-type Limit \
    --exec-inst ParticipateDoNotInitiate \
    -o json 2>/dev/null | jq '{orderID, price, ordStatus}'

  sleep $INTERVAL
done

Track Average Entry Price

For inverse instruments (e.g. XBTUSD), the correct average entry is a cost-weighted harmonic mean: total_qty / sum(qty/price). Standard VWAP (sum(qty*price) / total_qty) overstates the average slightly and diverges from the exchange-reported figure. For linear instruments (e.g. XBTUSDT), standard VWAP is correct.

# Inverse instruments (XBTUSD, etc.)
bitmex execution trade-history --symbol XBTUSD --reverse --count 100 -o json 2>/dev/null | \
  jq '
    [.[] | select(.side == "Buy" and .execType == "Trade")] |
    {
      count: length,
      total_qty: (map(.lastQty) | add),
      avg_entry: (
        (map(.lastQty) | add) /
        (map(.lastQty / .lastPx) | add)
        | (. * 100 | round) / 100
      )
    }
  '

Stop Loss Enforcement

STOP_LOSS_PCT=0.15

POS=$(bitmex position list --symbol XBTUSD -o json 2>/dev/null | jq '.[0]')
QTY=$(echo "$POS" | jq -r '.currentQty // 0')
AVG_ENTRY=$(echo "$POS" | jq -r '.avgEntryPrice // 0')
MARK=$(echo "$POS" | jq -r '.markPrice // 0')

if [ "$QTY" -gt 0 ] && [ "$AVG_ENTRY" != "0" ]; then
  LOSS_PCT=$(echo "scale=4; ($AVG_ENTRY - $MARK) / $AVG_ENTRY" | bc -l)
  if [ "$(echo "$LOSS_PCT > $STOP_LOSS_PCT" | bc -l)" = "1" ]; then
    echo "Stop loss triggered: loss $LOSS_PCT > $STOP_LOSS_PCT — closing position"
    bitmex order close-position XBTUSD -o json 2>/dev/null
  fi
fi

Promote to Live

Only after confirming on testnet:

1. Average fill prices are consistent with market
2. Position cap is enforced correctly
3. Stop loss triggers and closes position fully
4. Margin checks prevent over-allocation

Switch by updating env vars to live API keys. Start with QTY=10 (10% of intended size) for the first live session.