Type/to search

Deribit期权Delta动态对冲策略(教学)

Study
8
Follow
1364
Followers

Deribit期权Delta动态对冲策略(教学)

文章地址:https://www.fmz.com/bbs-topic/6726

Source
JavaScript
// 构造函数
function createManager(e, subscribeList, msg) {
	var self = {}
    self.supportList = ["Futures_Binance", "Huobi", "Futures_Deribit"]  // 支持的交易所的

    // 对象属性
    self.e = e
    self.msg = msg
    self.name = e.GetName()
    self.type = self.name.includes("Futures_") ? "Futures" : "Spot"
    self.label = e.GetLabel()
    self.quoteCurrency = ""  
Strategy parameters
Strategy parameters
是否切换为模拟盘
模拟盘基地址
Delta对冲步长
是否清空日志
Commands
设置期权合约
setContractType
买入期权合约
buyOption
卖出期权合约
sellOption
设置对冲阈值
setHedgeDeltaStep
Comment
All comments (2)

    求一个回测配置说明

    5 years ago

    这个策略无法回测的,数据获取基于交易所接口,可以用Deribit的模拟盘环境。

    5 years ago
  • 1
iPhone Download
Forums
PINE Language
© 2015 - ∞ INVENTOR PTE LTD (SG)