冰山委托买入简单版

教学 辅助交易 冰山
创建日期: 2018-10-13 11:10:27 最后修改: 2020-03-20 16:24:13
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avatar of 小草 小草
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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

策略源码
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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avatar of 小草
小草
仅为教学目的,最简单的冰山策略。
2019-12-12 11:05:37