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2. rest version of OKEX cross-currency hedging strategy

rest version of OKEX cross-currency hedging strategy

Author: Inventors quantify - small dreams, Date: 2019-04-17 13:30:36
Tags: Study

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function Hedge (isOpen, priceA, priceB) {
    exchanges[0].SetDirection(isOpen ? "sell" : "closesell")
    exchanges[1].SetDirection(isOpen ? "buy" : "closebuy");
    (function (routineA, routineB) {
        Log(routineA.wait(), routineB.wait(), priceA, priceB)
    })(exchanges[0].Go(isOpen ? "Sell" : "Buy", priceA, _ContractNum), exchanges[1].Go(isOpen ? "Buy" : "Sell", priceB, _ContractNum));
}

var slidePrice = 5
function main () {
    var tickerA, tickerB 
    var arr = []
    for (var i = 0 ; i < _Count ; i++) {
        arr.push({open: _Begin + i * _Add, cover: _Begin + i * _Add - _Profit, isHold: false})
    }
    exchanges[0].SetContractType("quarter")
    exchanges[1].SetContractType("this_week")
    while (1) {
        var tab = {type: "table", title: "状态", cols: ["节点信息"], rows: []}
        tickerA = exchanges[0].GetTicker()
        tickerB = exchanges[1].GetTicker()

        if (tickerA && tickerB) {
            $.PlotLine("差价:A所-B所", tickerA.Last - tickerB.Last)
            for (var j = 0 ; j < arr.length; j++) {
                if (tickerA.Buy - tickerB.Sell > arr[j].open && !arr[j].isHold) {
                    Hedge(true, tickerA.Buy - slidePrice, tickerB.Sell + slidePrice)
                    arr[j].isHold = true
                }
                if (tickerA.Sell - tickerB.Buy < arr[j].cover && arr[j].isHold) {
                    Hedge(false, tickerA.Sell + slidePrice, tickerB.Buy - slidePrice)
                    arr[j].isHold = false 
                }
                tab.rows.push([JSON.stringify(arr[j])])
            }
        }
        LogStatus(_D(), "\n `" + JSON.stringify(tab) + "`")
        Sleep(500)
    }
}

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I love Jimmy.Exchanges[0].Go ((() is not mentioned in the documentation of this function. Where did it come from, what does it mean?

ll1998Hi, author, can you tell me if this tactic still works?

fmzeroWhere's the teaching video?

I love Jimmy.Oh, thank you, I saw it, I learned it.

Inventors quantify - small dreamsThe API documentation is available at http://www.fmz.com/api#exchange.go...

Inventors quantify - small dreamsStrategy is a teaching strategy, practical use. It can be modified, expanded, optimized.

Inventors quantify - small dreamsThe source code is very simple and easy to understand.