Définir un montant pour l'investissement, tel que 10000 yuans. Définir un ratio de valeur de l'argent et du bitcoin, tel que 50:50; maintenir un rapport de valeur de l'argent et du bitcoin selon le prix actuel.
Si le capital initial est de 10 000 USD, le ratio entre les fonds et les bitcoins est de 30:70, et que l'on achète 7 000 USD de bitcoins lors de la première transaction (en supposant que le prix de la pièce soit de 1 000 USD et que l'on achète 7 pièces), le montant restant est de 3 000 USD, le ratio est de 30:70.
La prochaine période de négociation, supposons que le prix de la pièce de monnaie change à 1 500 dollars, la valeur totale change à 1 500 dollars.7 + 3000 = 13500, alors vous devez garder 13500.0.3 = 4050 yuans, alors vous devez vendre 4050 - 3000 = 1050 bitcoins, le nombre de bitcoins vendus est de 1050/1500 = 0.7, le reste de bitcoins en main est de 7 à 0.7 = 6.3, la valeur de la pièce est de 6.3 * 1500 = 9450 ; le ratio de fonds à la valeur de Bitcoin est de 4050: 9450 = 30: 70 ;
De même, lorsque le prix de la monnaie baisse, on achète pour maintenir la même proportion.
var initAccount = null; var initPrice = 0; var stockHold = 0; var moneyHold = 0; var lastOrderID = null; var prices = []; function AdjustFloat(v) { return Math.floor(v * 1000) / 1000; } function GetAccount() { var account = null; while (!(account = exchange.GetAccount())) { Log('Get Account Error'); Sleep(ErrorInterval); } return account; } function GetCurrentPrice() { var ticker = null; while (!(ticker = exchange.GetTicker())) { Log('Get Ticker Error'); Sleep(ErrorInterval); } return AdjustFloat(ticker.Last); } function GetOrders() { var orders = null; while (!(orders = exchange.GetOrders())) { Log('Get Orders Error'); Sleep(ErrorInterval); } return orders; } function CancelPendingOrders() { while (true) { var orders = GetOrders(); if (orders.length === 0) { return; } for (var i = 0; i < orders.length; i++) { exchange.CancelOrder(orders[i].Id); if (i < (orders.length - 1)) { Sleep(ErrorInterval); } } } } function GetStatus() { var price = GetCurrentPrice(); var initStockValue = InitStock + InitMoney / initPrice; var initMoneyValue = InitMoney + InitStock * initPrice; var stockValueNow = stockHold + moneyHold / price; var moneyValueNow = stockHold * price + moneyHold; var stockEarned = stockValueNow - initStockValue; var moneyEarned = moneyValueNow - initMoneyValue; var averagePrice = 0; var alpha = (stockHold - InitStock) * (price - initPrice); var beta = moneyEarned - alpha; var sum = 0; if (prices.length > 0) { for (var i = prices.length - 1; i >= 0; i--) { sum += prices[i]; } averagePrice = sum / prices.length; } var logString = 'Stock Holding:' + AdjustFloat(stockHold) + '\n'; logString += 'Money Holding:' + AdjustFloat(moneyHold) + '\n'; logString += 'Stock Earned:' + AdjustFloat(stockEarned) + '\n'; logString += 'Money Earned:' + AdjustFloat(moneyEarned) + '\n'; logString += 'History Average price:' + averagePrice + '\n'; logString += 'Current Price:' + price + '\n'; logString += 'Alpha:' + alpha + '\n'; logString += 'Beta:' + beta; LogProfit(moneyEarned); return logString; } function CaculateHoldings() { CancelPendingOrders(); if (lastOrderID) { var order = exchange.GetOrder(lastOrderID); Log('last order:', order); if (order.Status === ORDER_STATE_CLOSED) { if (order.Type === ORDER_TYPE_BUY) { //Buy stockHold += order.DealAmount; moneyHold -= order.DealAmount * order.Price; Log("Order Buy. stockHold +=:", order.DealAmount, ',Money -=:', order.DealAmount * order.Price); } else { //Sell stockHold -= order.DealAmount; moneyHold += order.DealAmount * order.Price; Log("Order Sell. stockHold -=:", order.DealAmount, ',Money +=:', order.DealAmount * order.Price); } } } } function OnTick() { var currentPrice = GetCurrentPrice(); prices.push(currentPrice); //Log('History prices:',prices); var stockValue = 0; var totalValue = 0; var ratio = 0; stockValue = stockHold * currentPrice; totalValue = stockValue + moneyHold; ratio = stockValue / totalValue; Log('Current Price:', currentPrice); Log('stockHold:', stockHold); Log('moneyHold:', moneyHold); Log('stockValue:', stockValue); Log('Current Ratio:', ratio); if (ratio > StockRatio) { //Sell Log('Current ratio > StockRatio'); var sellAmt = (stockValue - totalValue * StockRatio) / (currentPrice - SlidePrice); lastOrderID = exchange.Sell(currentPrice - SlidePrice, sellAmt); } else { //Buy Log('Current ratio < StockRatio'); var buyAmt = (totalValue * StockRatio - stockValue) / (currentPrice + SlidePrice); lastOrderID = exchange.Buy(currentPrice + SlidePrice, buyAmt); } Log('Order ID:', lastOrderID); CaculateHoldings(); } function main() { if (InitStock < 0) { Log('Stock less than zero.'); return; } if (InitMoney < 0) { Log('Money less than zero.'); } //if(InvestInterval < 0){ // Log('InvestInterval less than zero.'); //} if (ErrorInterval < 0) { Log('ErrorInterval less than zero.'); } if (StockRatio < 0 || StockRatio > 1) { Log('StockRatio should be a number from 0 to 1.'); } EnableLogLocal(true); SetFailover(true); exchange.IO("websocket"); Log(exchange.GetName(), exchange.GetCurrency()); initAccount = _G('InitAccount'); if (initAccount === null) { initAccount = GetAccount(); _G('InitAccount', initAccount); } Log('InitAccount', initAccount); initPrice = _G('InitPrice'); if (initPrice === null) { initPrice = GetCurrentPrice(); _G('InitPrice', initPrice); } Log('InitPrice', initPrice); if (UseAccount) { InitMoney = initAccount.Balance + initAccount.FrozenBalance; InitStock = initAccount.Stocks + initAccount.FrozenStocks; } Log('InitMoney:', InitMoney); Log('InitStock:', InitStock); stockHold = _G('StockHold'); if (stockHold === null) { stockHold = InitStock; Log('Set Stock Hold', stockHold); } moneyHold = _G('MoneyHold'); if (moneyHold === null) { moneyHold = InitMoney; Log('Set Money Hold', moneyHold); } if (_G('Prices') !== null) { prices = _G('Prices'); } while (true) { OnTick(); LogStatus(GetStatus()); Sleep(InvestInterval * 1000 * 60); } } function onexit() { _G('StockHold', stockHold); _G('MoneyHold', moneyHold); //_G('Prices',prices); Log('Set Stock Hold', stockHold); Log('Set Money Hold', moneyHold); Log('Set prices:', prices); Log('Robot Stopped!#ff0000@'); }