- Square
- Dynamic Balance Strategy (2018-12-14 09:33:03)
Dynamic Balance Strategy (2018-12-14 09:33:03)
Author:
ruby, Date: 2018-08-11 11:07:03
Tags:
Balance
var InitAccount = null;
function onTick(){
var acc = _C(exchange.GetAccount);
var ticker = _C(exchange.GetTicker);
var spread = ticker.Sell - ticker.Buy;
var diffAsset = (acc.Balance - (acc.Stocks * ticker.Sell))/2;
var ratio = diffAsset / acc.Balance;
LogStatus('ratio:', ratio, _D());
if(Math.abs(ratio) < threshold){
return false;
}
if(ratio > 0){
var buyPrice = _N(ticker.Sell + spread, ZPrecision);
var buyAmount = _N(diffAsset / buyPrice, XPrecision);
if(buyAmount < MinStock){
return false;
}
exchange.Buy(buyPrice, buyAmount);
} else {
var sellPrice = _N(ticker.Buy - spread, ZPrecision);
var sellAmount = _N(-diffAsset / sellPrice, XPrecision);
if (sellAmount < MinStock) {
return false;
}
exchange.Sell(sellPrice, sellAmount, diffAsset, ratio);
}
return true;
}
function CancelPendingOrders(){
var ret = false;
while(true){
var orders = null;
while(!(orders = exchange.GetOrders())){
Sleep(Interval);
}
if(orders.length == 0){
return ret;
}
for(var j = 0; j < orders.length; j++){
exchange.CancelOrder(orders[j],Id);
ret = true;
if(j < (orders.length - 1)){
Sleep(Interval);
}
}
}
}
function main() {
InitAccount = _C(exchange.GetAccount);
while(true){
if(onTick()){
Sleep(1000);
CancelPendingOrders();
Log(_C(exchange.GetAccount));
}
Sleep(LoopInterval * 1000);
}
}
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