Referring to the JavaScript spreadsheet platform balancing policy
This requires building a warehouse, say you have $5,000 in the account, and a coin, and if the value of the coin is greater than the balance in the account is $5,000 and the spread is greater than the depreciation, say the coin is now worth $6,000, you sell it, say $6,000-$5,000, or $6,000-$2,000, or $6,000/$2,000, or $6,000/$2,000, or $6,000/$2,000, or $6,000/$2,000, or $5,000/$4,000, or $4,000/$2,000, or $4,000/$2,000, or $5,000/$4,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $5,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000/$2,000, or $4,000
The article's address:https://www.fmz.com/bbs-topic/4986
'''backtest
start: 2019-12-01 00:00:00
end: 2020-02-01 11:00:00
period: 1m
exchanges: [{"eid":"OKEX","currency":"BTC_USDT","stocks":1}]
'''
InitAccount = None
def CancelPendingOrders():
ret = False
while True:
orders = _C(exchange.GetOrders)
if len(orders) == 0 :
return ret
for j in range(len(orders)):
exchange.CancelOrder(orders[j].Id)
ret = True
if j < len(orders) - 1:
Sleep(Interval)
return ret
def onTick():
acc = _C(exchange.GetAccount)
ticker = _C(exchange.GetTicker)
spread = ticker.Sell - ticker.Buy
diffAsset = (acc.Balance - (acc.Stocks * ticker.Sell)) / 2
ratio = diffAsset / acc.Balance
LogStatus("ratio:", ratio, _D())
if abs(ratio) < threshold:
return False
if ratio > 0 :
buyPrice = _N(ticker.Sell + spread, ZPrecision)
buyAmount = _N(diffAsset / buyPrice, XPrecision)
if buyAmount < MinStock:
return False
exchange.Buy(buyPrice, buyAmount, diffAsset, ratio)
else :
sellPrice = _N(ticker.Buy - spread, ZPrecision)
sellAmount = _N(-diffAsset / sellPrice, XPrecision)
if sellAmount < MinStock:
return False
exchange.Sell(sellPrice, sellAmount, diffAsset, ratio)
return True
def main():
global InitAccount, LoopInterval
InitAccount = _C(exchange.GetAccount)
LoopInterval = max(LoopInterval, 1)
while True:
if onTick():
Sleep(1000)
CancelPendingOrders()
Log(_C(exchange.GetAccount))
Sleep(LoopInterval * 1000)