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  • FMZ Mobile APP Trading Terminal, empowering your quantitative trading experience
    FMZ Mobile APP Trading Terminal, empowering your quantitative trading experience
    In the field of quantitative trading, simple and easy-to-use quantitative trading tools have always been one of the keys to achieving wealth growth and risk
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-10-30 11:57:31
    comments   0     hits   878
  • FMZ手机APP交易终端,赋能你的量化交易体验
    FMZ手机APP交易终端,赋能你的量化交易体验
    在量化交易领域,简单易用的量化交易工具一直是实现财富增长和风险管理的关键之一。然而,随着市场的竞争愈加激烈,传统的交易工具已不再足以应对快速变化的市场需求。为了广大量化交易者在这个不断演进的数字资产世界中保持竞争优势,FMZ手机APP上新增了一项重大功能:交易终端。这一功能不仅将提高您的交易效率,还将赋
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-10-27 16:06:15
    comments   2     hits   2266
  • Analysis and instructions for use about built-in function _Cross
    Analysis and instructions for use about built-in function _Cross
    Analysis and instructions for use about built-in function _Cross The _Cross function in the Global Functions section of the API documentation is use
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-10-07 15:35:44
    comments   0     hits   748
  • 用微笑曲线对比特币期权进行Delta对冲
    用微笑曲线对比特币期权进行Delta对冲
    用微笑曲线对比特币期权进行Delta对冲 摘要 我们使用一组隐含微笑曲线和其他微笑调整的Delta来分析比特币期权的稳健动态Delta对冲。这些Delta要么是无模型的,从某种意义上说,它们对于每个尺度不变的随机和/或局部波动率模型都是相同的,要么是基于简单的制度依赖参数化的局部波动率。
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-08-16 14:53:25
    comments   0     hits   2749
  • Thoughts on High-Frequency Trading Strategies (5)
    Thoughts on High-Frequency Trading Strategies (5)
    Thoughts on High-Frequency Trading Strategies (5) In the previous article, various methods for calculating mid-price were introduced, and a revised mid
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-08-10 15:57:27
    comments   0     hits   1030
  • Thoughts on High-Frequency Trading Strategies (4)
    Thoughts on High-Frequency Trading Strategies (4)
    Thoughts on High-Frequency Trading Strategies (4) The previous article demonstrated the need for dynamically adjusting parameters and how to evaluate t
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-08-10 13:44:30
    comments   0     hits   923
  • 高频交易策略的思考(5)
    高频交易策略的思考(5)
    上篇文章初步介绍了各种中间价的计算方法,并给出了一种中间价的修订,本文继续深入这个话题。 所需数据 订单流数据和十档的深度数据,来自于实盘收集,更新频率都是100ms。实盘的只包含买一卖一盘口数据是实时更新的,为了简洁,暂时不用。考虑到数据太大,只保留了10万行深度数据,并且把逐档行情也独立为单独的
    avatar of 小草
    小草 2023-08-09 18:13:16
    comments   3     hits   4101
  • 高频交易策略的思考(4)
    高频交易策略的思考(4)
    上篇文章通过研究订单到达间隔,展示了为什么要动态调整对参数以及如何评价估计的好坏。本篇文章将聚焦深度数据,研究中间价mid-price(或者叫fair-price,micro-price等等)。 深度数据 币安提供了最优报价的历史数据下载,包含best_bid_price:最优买价,即最大的买价,be
    avatar of 小草
    小草 2023-08-08 22:31:47
    comments   2     hits   2861
  • Thoughts on High-Frequency Trading Strategies (3)
    Thoughts on High-Frequency Trading Strategies (3)
    Thoughts on High-Frequency Trading Strategies (3) In the previous article, I introduced how to model cumulative trading volume and analyzed the phenomen
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-08-08 10:05:19
    comments   0     hits   959
  • 高频交易策略的思考(3)
    高频交易策略的思考(3)
    上篇文章,我介绍了如何建模累计成交量,以及简单对价格冲击现象进行了分析。本篇文章还将围绕着trades订单数据继续分析。这两天YGG上线币安U本位合约,价格波动很大,甚至成交量一度超过了BTC,今天就那它进行分析。 订单时间间隔 一般情况下都假设订单到达的时间符合泊松过程,这里有一篇文章介绍了[泊松过程
    avatar of 小草
    小草 2023-08-07 18:17:28
    comments   0     hits   2642
  • Thoughts on High-Frequency Trading Strategies (2)
    Thoughts on High-Frequency Trading Strategies (2)
    Thoughts on High-Frequency Trading Strategies (2) Accumulated Trading Amount Modeling In the previous article, we derived an expression for the pr
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-08-04 17:17:30
    comments   0     hits   977
  • 高频交易策略的思考(2)
    高频交易策略的思考(2)
    文章主要探讨高频交易策略,重点研究累计成交量建模和价格冲击。文章通过分析单笔成交、固定间隔的价格冲击以及成交量对价格的影响,提出了一个初步的最优挂单位置模型。此模型基于对成交量和价格冲击的理解,试图找到最优的交易位置。对模型的假设进行了深入讨论,并通过比较实际与模型预测的期望收益,对最优挂单位置进行了初步评估。 #
    avatar of 小草
    小草 2023-08-04 16:14:27
    comments   1     hits   3386
  • Thoughts on High-Frequency Trading Strategies (1)
    Thoughts on High-Frequency Trading Strategies (1)
    Thoughts on High-Frequency Trading Strategies (1) I have written two articles on high-frequency trading of digital currencies, namely “[Digital Currency
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-08-04 13:47:39
    comments   0     hits   1041
  • 高频交易策略的思考(1)
    高频交易策略的思考(1)
    文章探讨了数字货币高频交易策略,包括利润来源(主要来自市场剧烈波动和交易所手续费返佣),挂单位置和仓位控制的问题,以及用帕累托分布对成交量进行建模的方法。此外,还引用了币安提供的逐笔成交和最优挂单数据进行回测,并计划在后续文章中深入讨论高频交易策略的其他问题。 以前我曾经写过两篇关于数字货币高频交易的两篇文
    avatar of 小草
    小草 2023-08-03 16:14:16
    comments   3     hits   4814
  • Futu Securities Configuration Description Document
    Futu Securities Configuration Description Document
    Futu Securities Configuration Description Document The FMZ Quant Trading Platform now supports Futu Securities’ live and simulated trading. The FMZ Qu
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-08-03 14:21:00
    comments   0     hits   828
  • FMZ Quant Uniswap V3 Exchange Pool Liquidity Related Operations Guide (Part 1)
    FMZ Quant Uniswap V3 Exchange Pool Liquidity Related Operations Guide (Part 1)
    FMZ Quant Uniswap V3 Exchange Pool Liquidity Related Operations Guide (Part 1) NonfungiblePositionManager Contract in Uniswap V3 When we add liqui
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-21 09:22:33
    comments   0     hits   994
  • FMZ量化Uniswap V3兑换池流动性相关操作指南(一)
    FMZ量化Uniswap V3兑换池流动性相关操作指南(一)
    Uniswap V3中的NonfungiblePositionManager合约 当我们向Uniswap V3流动性池(交易对池)中添加流动性之后,NonfungiblePositionManager合约就会返回一个铸造好的NFT给我们作为流动性添加的凭证。 第一步我们先使用路由合约获取到对应的Nonfung
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-14 17:36:55
    comments   1     hits   1467
  • Constructing Interactive Button Functions in the Strategy Status Bar
    Constructing Interactive Button Functions in the Strategy Status Bar
    Constructing Interactive Button Functions in the Strategy Status Bar Description in API Documentation ”` // You can also construct a button in
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-13 14:14:38
    comments   0     hits   870
  • Strategy Interface Parameter Settings
    Strategy Interface Parameter Settings
    Strategy Interface Parameter Settings 5 interface parameters Interface parameters are set in the Str
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-13 14:11:46
    comments   0     hits   896
  • FMZ Cryptocurrency Quantitative Platform WebSocket Usage Guide (Detailed Explanation of the Upgraded Dial Function)
    FMZ Cryptocurrency Quantitative Platform WebSocket Usage Guide (Detailed Explanation of the Upgraded Dial Function)
    FMZ Cryptocurrency Quantitative Platform WebSocket Usage Guide (Detailed Explanation of the Upgraded Dial Function) Most cryptocurrency exchanges suppo
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-13 14:03:32
    comments   0     hits   951
  • Crash Course in Python in X Minutes
    Crash Course in Python in X Minutes
    ”` Single line remark ”“” Multi-line strings can use three quotation marks to pack, which can also be regarded as multi-line remarks “””
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-13 13:45:10
    comments   0     hits   960
  • Crash Course in JavaScript in X Minutes
    Crash Course in JavaScript in X Minutes
    Crash Course in JavaScript in X Minutes Introduction to Grammar ”` // The “console.log” in the text can be replaced by the Log function in the d
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-13 13:38:47
    comments   0     hits   872
  • Regarding how to place BitMEX Post-Only Limit Orders and Batch Orders using IO (an example)
    Regarding how to place BitMEX Post-Only Limit Orders and Batch Orders using IO (an example)
    Regarding how to place BitMEX Post-Only Limit Orders and Batch Orders using IO (an example) Use the IO function and refer to the BitMEX documentation fo
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-12 17:19:15
    comments   0     hits   767
  • Open source FMZ Quant TA library, learn to use (with Javascript/Python/C++ versions)
    Open source FMZ Quant TA library, learn to use (with Javascript/Python/C++ versions)
    Open source FMZ Quant TA library, learn to use (with JavascriptPythonC++ versions) The code is the best commentary, how can you say you know how to use
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-12 15:55:21
    comments   0     hits   1002
  • FMZ Quant Trading Platform Custom Protocol Access to Customized Exchanges
    FMZ Quant Trading Platform Custom Protocol Access to Customized Exchanges
    FMZ Quant Trading Platform Custom Protocol Access to Customized Exchanges Custom Protocol Usage Documentation You can use this general protocol
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-12 15:29:54
    comments   0     hits   840
  • FMZ Has Launched Python Local Backtest Engine
    FMZ Has Launched Python Local Backtest Engine
    FMZ Has Launched Python Local Backtest Engine FMZ backtest engine python package supports python2 and python3; supports Windows, Linux, Mac OS sys
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-12 15:22:42
    comments   0     hits   1073
  • Advanced tutorials for FMZ Quant platform strategy writing
    Advanced tutorials for FMZ Quant platform strategy writing
    Before learning this tutorial, you need to study Get Started with FMZ Quant Platform and [Elementary Tutorial
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-12 14:49:24
    comments   0     hits   1048
  • Application of the "__Thread" function in JavaScript strategy design
    Application of the "__Thread" function in JavaScript strategy design
    Application of the “__Thread” function in JavaScript strategy design In the initial design of FMZ strategy, if asynchronous concurrent operations are re
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-07 13:56:17
    comments   0     hits   951
  • JavaScript策略设计中的__Thread函数应用
    JavaScript策略设计中的__Thread函数应用
    JavaScript策略设计中的__Thread函数应用 在最初的FMZ策略设计中,如果需要使用异步并发的操作只能使用exchange.Go()函数来实现FMZ封装接口的并发,无法并发执行一些自定义的操作(函数)。虽然这种设计让策略程序执行起来效率提高不少,但是对于原生编程语言中有过并发设计经验的
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-07-04 16:35:42
    comments   3     hits   1139
  • Teach you to design template class library to get K-line data of specified length
    Teach you to design template class library to get K-line data of specified length
    Teach you to design template class library to get K-line data of specified length When designing trend strategies, it is often necessary to have a suff
    avatar of 发明者量化-小小梦
    发明者量化-小小梦 2023-06-29 17:27:59
    comments   0     hits   909
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