- Square
- Python's chase and chase strategy (teach)
Python's chase and chase strategy (teach)
Author:
Inventors quantify - small dreams, Date: 2020-01-11 10:53:15
Tags:
'''backtest
start: 2019-02-20 00:00:00
end: 2020-01-10 00:00:00
period: 1m
exchanges: [{"eid":"OKEX","currency":"BTC_USDT"}]
'''
import time
basePrice = -1
ratio = 0.05
acc = _C(exchange.GetAccount)
lastCancelAll = 0
minStocks = 0.01
def CancelAll():
while True :
orders = _C(exchange.GetOrders)
for i in range(len(orders)) :
exchange.CancelOrder(orders[i]["Id"], orders[i])
if len(orders) == 0 :
break
Sleep(1000)
def main():
global basePrice, acc, lastCancelAll
exchange.SetPrecision(2, 3)
while True:
ticker = _C(exchange.GetTicker)
if basePrice == -1 :
basePrice = ticker.Last
if ticker.Last - basePrice > 0 and (ticker.Last - basePrice) / basePrice > ratio :
acc = _C(exchange.GetAccount)
if acc.Balance * ratio / ticker.Last > minStocks :
exchange.Buy(ticker.Last, acc.Balance * ratio / ticker.Last)
basePrice = ticker.Last
if ticker.Last - basePrice < 0 and (basePrice - ticker.Last) / basePrice > ratio :
acc = _C(exchange.GetAccount)
if acc.Stocks * ratio > minStocks :
exchange.Sell(ticker.Last, acc.Stocks * ratio)
basePrice = ticker.Last
ts = time.time()
if ts - lastCancelAll > 60 * 5 :
CancelAll()
lastCancelAll = ts
LogStatus(_D(), "\n", "行情信息:", ticker, "\n", "账户信息:", acc)
Sleep(500)
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