In this case, the price of the currency is the same as the price of the other currency.https://www.fmz.com/digest-topic/6102
This policy manual should be read in its entirety and cannot be used without a brain. The policy code is for reference only and can be modified as needed. Feedback is welcome.
There are three contracts that exist simultaneously, namely the perpetual BTCUSD_PERP, the quarterly BTCUSD_200925 and the quarterly BTCUSD_201225.
Permanent contracts can be treated as cash, generally two contracts to hedge a total of three differences: in the current season-permanent, second-season-permanent, second-season-permanent. Butterfly rate requires the operation of three contracts, the difference is ((second-season-permanent) - ((second-season-permanent), i.e. difference = second-season + permanent-2* current season.
If the average of the spread is 100, the current spread is 200, and the number of subsequent orders is 2, the grid opening price is 30, then the holding at this time is: 6 next quarter gaps, 6 permanent gaps, 12 more in the season.
if(IsVirtual()){
throw '不能回测，回测参考研究文章 https://www.fmz.com/digest-topic/6102'
}
if(exchange.GetName() != 'Futures_Binance'){
throw '只支持币安期货交易所，和现货交易所不同，需要单独添加，名称为Futures_Binance'
}
if(Grid == 0){
throw '需要设置网格差价，需要覆盖8份手续费，可设置为当前价*fee*15'
}
exchange.SetBase("https://dapi.binance.com") //切换至交割合约
var exchange_info = HttpQuery('https://dapi.binance.com/dapi/v1/exchangeInfo')
if(!exchange_info){
throw '无法连接币安网络，需要非公用海外托管者'
}
exchange_info = JSON.parse(exchange_info)
trade_info = {} //合约基础信息
trade_contract = {NEXT_QUARTER:'',CURRENT_QUARTER:'',PERPETUAL:''} //需要交易的合约代码
for (var i=0; i<exchange_info.symbols.length; i++){
trade_info[exchange_info.symbols[i].symbol] = exchange_info.symbols[i]
if(exchange_info.symbols[i].baseAsset == Symbol && exchange_info.symbols[i].contractType in trade_contract && exchange_info.symbols[i].contractStatus == 'TRADING'){
trade_contract[exchange_info.symbols[i].contractType] = exchange_info.symbols[i].symbol
}
}
if(!(trade_contract.NEXT_QUARTER && trade_contract.CURRENT_QUARTER && trade_contract.PERPETUAL)){
throw '无法找到蝶式对冲的三个合约'
}
var pricePrecision = trade_info[trade_contract.PERPETUAL].pricePrecision //价格精度
var ticker = {}
var account = {}
var position = {}
var diff_mean = null //差价均价
if(_G('diff_mean') && _G('symbol') == Symbol){ //防止切换币种，差价出错
diff_mean = _G('diff_mean')
}else{
_G('symbol',Symbol)
}
var diff_buy = 0 //做多的差价
var diff_sell = 0 //做空的差价
Trade_value = _N(Trade_value, 0)
var init_asset = 0 //初始资金
if(_G('init_asset')){
init_asset = _G('init_asset')
}else{
updateAccount()
init_asset = parseFloat(account[Symbol].marginBalance)
_G('init_asset', init_asset)
}
var update_status_time = 0
var update_account_time = Date.now()
function onexit(){
_G('diff_mean', diff_mean)
}
function updateTicker(){
var bookTicker = HttpQuery('https://dapi.binance.com/dapi/v1/ticker/bookTicker')
try {
bookTicker = JSON.parse(bookTicker)
for(var i=0;i<bookTicker.length;i++){
ticker[bookTicker[i].symbol] = bookTicker[i]
}
} catch (e) {
Log('无法获取行情')
}
}
function updateAccount(){
var acc = exchange.IO("api", "GET", "/dapi/v1/account", "timestamp="+Date.now())
if(!acc){
Log('无法获取账户')
return
}
for(var i=0;i<acc.assets.length;i++){
account[acc.assets[i].asset] = acc.assets[i]
}
}
function updatePosition(){
var pos = exchange.IO("api", "GET", "/dapi/v1/positionRisk", "timestamp="+Date.now())
if(!pos){
Log('无法获取仓位')
return
}
for(var i=0;i<pos.length;i++){
position[pos[i].symbol] = pos[i]
}
}
function updateStatus(){
if(Date.now() - update_status_time < 4000){
return
}
update_status_time = Date.now()
if(Date.now() - update_account_time > 5*60*1000){
update_account_time = Date.now()
updateAccount()
LogProfit(_N(parseFloat(account[Symbol].marginBalance) - init_asset, 5))
}
$.PlotLine('buy', _N(diff_buy, pricePrecision))
$.PlotLine('sell', _N(diff_sell, pricePrecision))
$.PlotLine('mean', _N(diff_mean, pricePrecision+3))
var table1 = {type: 'table', title: '账户信息',
cols: ['账户余额', '未实现盈亏', '保证金余额', '可用余额', '维持保证金', '起始保证金', 'BNB', '初始余额', '收益', '平均差价', '做多差价', '做空差价', '下单量'],
rows: [[_N(parseFloat(account[Symbol].walletBalance),5), _N(parseFloat(account[Symbol].unrealizedProfit),5), _N(parseFloat(account[Symbol].marginBalance),5),
_N(parseFloat(account[Symbol].availableBalance),5), _N(parseFloat(account[Symbol].maintMargin),5), _N(parseFloat(account[Symbol].initialMargin),5),
_N(parseFloat(account.BNB.walletBalance),5), _N(init_asset,5),
_N(parseFloat(account[Symbol].marginBalance) - init_asset,5), _N(diff_mean, pricePrecision+1),
_N(diff_buy, pricePrecision),_N(diff_sell, pricePrecision), Trade_value
]]}
var table2 = {type: 'table', title: '对冲信息',
cols: ['合约', '持仓张数', 'Bid', 'Ask', '持仓价值', '杠杆', '开仓均价', '未实现盈亏'],
rows: []}
for(var contract in trade_contract){
var symbol = trade_contract[contract]
table2.rows.push([symbol, position[symbol].positionAmt, ticker[symbol].bidPrice, ticker[symbol].askPrice,
parseInt(position[symbol].positionAmt)*parseInt(trade_info[symbol].contractSize), position[symbol].leverage,
position[symbol].entryPrice, position[symbol].unRealizedProfit])
}
var logString = _D()+' 策略代码最后更新时间9月29日\n'
LogStatus(logString + '`' + JSON.stringify(table1) + '`'+'\n'+'`' + JSON.stringify(table2) + '`')
}
function trade(symbol, side, price, amount){
//IOC下单，未成交部分会自动撤销
exchange.Log(side == 'BUY' ? LOG_TYPE_BUY : LOG_TYPE_SELL, price, amount, ' buy: ' + _N(diff_buy, pricePrecision) + ' sell: '+ _N(diff_sell, pricePrecision) + ' mean: '+_N(diff_mean, pricePrecision+3))
exchange.IO("api", "POST","/dapi/v1/order","symbol="+symbol+"&side="+side+"&type=LIMIT&timeInForce=IOC&quantity="+amount+"&price="+price+"×tamp="+Date.now())
}
function onTicker(){
//由于是吃单，需要分别计算做多和做空的差价
diff_sell = parseFloat(ticker[trade_contract.NEXT_QUARTER].bidPrice) + parseFloat(ticker[trade_contract.PERPETUAL].bidPrice) -
2*parseFloat(ticker[trade_contract.CURRENT_QUARTER].askPrice)
diff_buy = parseFloat(ticker[trade_contract.NEXT_QUARTER].askPrice) + parseFloat(ticker[trade_contract.PERPETUAL].askPrice) -
2*parseFloat(ticker[trade_contract.CURRENT_QUARTER].bidPrice)
if(!diff_mean){diff_mean = (diff_buy+diff_sell)/2}
diff_mean = diff_mean*(1-Alpha) + Alpha*(diff_buy+diff_sell)/2 //差价均价的更新
var aim_buy_amount = -Trade_value*(diff_buy - diff_mean)/Grid
var aim_sell_amount = -Trade_value*(diff_sell - diff_mean)/Grid
if(aim_buy_amount - parseFloat(position[trade_contract.PERPETUAL].positionAmt) > Trade_value){ //做多差价，价格加了滑价
trade(trade_contract.PERPETUAL, 'BUY', _N(parseFloat(ticker[trade_contract.PERPETUAL].askPrice)*1.01, pricePrecision), _N(Math.min(aim_buy_amount-parseFloat(position[trade_contract.PERPETUAL].positionAmt),Ice_value),0))
}
if(aim_buy_amount - parseFloat(position[trade_contract.NEXT_QUARTER].positionAmt) > Trade_value){
trade(trade_contract.NEXT_QUARTER, 'BUY', _N(parseFloat(ticker[trade_contract.NEXT_QUARTER].askPrice)*1.01,pricePrecision), _N(Math.min(aim_buy_amount-parseFloat(position[trade_contract.NEXT_QUARTER].positionAmt),Ice_value),0))
}
if(-2*aim_buy_amount - parseFloat(position[trade_contract.CURRENT_QUARTER].positionAmt) < -2*Trade_value){
trade(trade_contract.CURRENT_QUARTER, 'SELL', _N(parseFloat(ticker[trade_contract.CURRENT_QUARTER].bidPrice)*0.99,pricePrecision), _N(2*Math.min(aim_buy_amount+parseFloat(position[trade_contract.CURRENT_QUARTER].positionAmt),Ice_value),0))
}
if(aim_sell_amount - parseFloat(position[trade_contract.PERPETUAL].positionAmt) < -Trade_value){ //做空差价
trade(trade_contract.PERPETUAL, 'SELL', _N(parseFloat(ticker[trade_contract.PERPETUAL].bidPrice)*0.99,pricePrecision), _N(Math.min(parseFloat(position[trade_contract.PERPETUAL].positionAmt)-aim_sell_amount,Ice_value),0))
}
if(aim_sell_amount - parseFloat(position[trade_contract.NEXT_QUARTER].positionAmt) < -Trade_value){
trade(trade_contract.NEXT_QUARTER, 'SELL', _N(parseFloat(ticker[trade_contract.NEXT_QUARTER].bidPrice)*0.99,pricePrecision), _N(Math.min(parseFloat(position[trade_contract.NEXT_QUARTER].positionAmt)-aim_sell_amount,Ice_value),0))
}
if(-2*aim_sell_amount - parseFloat(position[trade_contract.CURRENT_QUARTER].positionAmt) > 2*Trade_value){
trade(trade_contract.CURRENT_QUARTER, 'BUY', _N(parseFloat(ticker[trade_contract.CURRENT_QUARTER].askPrice)*1.01,pricePrecision), _N(-2*Math.min(aim_sell_amount-parseFloat(position[trade_contract.CURRENT_QUARTER].positionAmt),Ice_value),0))
}
}
function main() {
updateAccount()
updatePosition()
while(true){
updateTicker()
updatePosition()
onTicker()
updateStatus()
Sleep(1*1000)
}
}
Ding is singing.What's the reason for not having access to account information?
High suction low throwIf you want to calculate the difference on a buy-sell basis, is it possible to optimize, because the trade-value is probably much larger than the buy-sell amount, and then it becomes the actual cost is much higher than the buy-sell price.
Brand_MovedWhy does diff_sell take two bidPrice-askPrice and diff_buy takes two askPrice-bidPrice?
It's not like it's summer.It's not fair!
Oh, my God.The Holy Grail
gavin.abcThe grass god is a bully (Break)!!!
jingfengzThe Grass Goddess