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广场上看到很多关于资金费率套利的策略,也学了几种对冲技巧,然后结合实践说说我的想法:
1、手续费率,Taker和Maker的价差实在太大了,我目前都是使用Taker模式下单的,手续费高的可怕,而且对冲时可能还会有价差
2、考虑单脚,要正确的补单
3、新一版加入了手续费的考量,加上最近行情不太好,基本上快到了开不了单的地步(利润阈值达不到就不开单)
4、有种风险比较大的玩法,为了吃高费率,不考虑对冲,开单吃到费率就撤,目前2天被套一次,开单时间优化过后没有被套(但是这不证明就没有风险了,这种玩法比较拼,小资金可以玩,大资金还是对冲比较稳)
5、最后也是听听大家的意见,如果将Taker优化为Maker,那么利润会多许多,而且开单率也会提高,但是优化过程和逻辑会有些麻烦(比如挂单不成交怎么办,挂单单脚又该如何...等等),如果这个问题能解决,复利就变为可能了!
期待大家的讨论...
实测:一周收益10个点,但是因为大多数情况下是非对冲,很不稳定,容易出现大幅度的止损,目前正在想办法优化
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