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Simple Iceberg order to buy

Author: botvsing, Date: 2018-10-13 11:10:27
Tags: Study Trade-aided Iceberg

Very simple, just for learn. Code is best annotation.

冰山委托买入,将订单分成小笔M买入,避免冲击市场,是很好的简单入门比特币量化交易的学习策略


function main(){
    var initAccount = _C(exchange.GetAccount)
    while(true){
        var account = _C(exchange.GetAccount)
        var dealAmount = account.Stocks - initAccount.Stocks
        var ticker = _C(exchange.GetTicker)
        if(BUYAMOUNT - dealAmount > BUYSIZE){
            var id = exchange.Buy(ticker.Sell, BUYSIZE)
            Sleep(INTERVAL*1000)
            if(id){
                exchange.CancelOrder(id) // May cause error log when the order is completed, which is all right.
            }else{
                throw 'buy error'
            }
        }else{
            account = _C(exchange.GetAccount)
            var avgCost = (initAccount.Balance - account.Balance)/(account.Stocks - initAccount.Stocks)
            Log('Iceberg order to buy is done, avg cost is ', avgCost) // including fee cost
            return
        }
        
    }
}

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