Loading ...

跨平台套利新手测试

Author: cnxzcxy, Date: 2018-09-07 17:14:53
Tags: Hedge


/*backtest
start: 2018-01-01 00:00:00
end: 2018-08-01 14:00:00
period: 1h
exchanges: [{"eid":"Bitfinex","currency":"ETH","balance":5000,"stocks":10},{"eid":"OKCoin_EN","currency":"ETH","balance":5000,"stocks":10}]
*/
var buyExchange;
var sellExchange;

function calc(sellExchange, buyExchange){
        var date = _D();
        sellDepth = sellExchange.GetDepth();
        sellAccount = sellExchange.GetAccount();
        sellPrice = sellDepth.Bids[1].Price;
        sellAmount = sellDepth.Bids[1].Amount;
        
        buyDepth = buyExchange.GetDepth();
        buyAccount = buyExchange.GetAccount();
        buyPrice = buyDepth.Asks[1].Price;
        buyAmount = buyDepth.Asks[1].Amount;
        
        amount = (sellAmount > buyAmount) ? buyAmount : sellAmount;
        amount = (amount > sellAccount.Stocks) ? sellAccount.Stocks : amount;
        amount = (amount > buyAccount.Balance / buyPrice) ? buyAccount.Balance / buyPrice : amount;
        priceRate = sellPrice / buyPrice;
        if(amount > 0){
            if(priceRate >= minRate){
                buyExchange.Buy(-1, amount);
                sellExchange.Sell(-1, amount);
                Log(date);
                Log("卖出:", sellExchange.GetName(), "卖出价格:", sellPrice, "买入:", buyExchange.GetName(), " 买入价格:", buyPrice, " 比例:", priceRate, " 总量:", amount);
                Log('统计资产...');
                Log('交易所:', exchanges[0].GetName(), ' 账户:', exchanges[0].GetAccount());
                Log('交易所:', exchanges[1].GetName(), ' 账户:', exchanges[1].GetAccount());
            }
        }
    
}

function main(){
    while(true){
        calc(exchanges[0], exchanges[1]);
        calc(exchanges[1], exchanges[0]);
    }

}


Related

More