- Square
- 动态平衡alpha
动态平衡alpha
Author:
中本大料, Date: 2018-09-06 07:49:48
Tags:
Balance
var threshold = 0.05
var LoopInterval = 60
var Minstock = 0.001
var XPrecision = 4
var ZPrecision = 8
//撤单函数
function CancelPendingOrders() {
Sleep(1000);
var ret = false;
while (true) {
var orders = null;
while (!(orders = exchange.GetOrders())) {
Sleep(1000);
}
if(orders.length == 0){
return ret;
}
for (var j = 0; j< orders.length; j++){
exchange.CancelOrder(orders[j].Id);
ret = true;
if(j<(orders.length-1)){
Sleep(1000);
}
}
}
}
//下单函数
function onTick() {
var acc = _C(exchange.GetAccount); //获取账户信息
var ticker = _C(exchange.GetTicker); //获取Ticker数据
var spread = ticker.Sell - ticker.Buy; //获取Ticker数据的买卖价差
var diffAsset = (acc.Balance - (acc.Stocks * ticker.Sell)) / 2;//账户余额与当前持仓价值的差值的0.5倍
var ratio = diffAsset / acc.Balance;
LogStatus('ratio:'.ratio, _D()); //打印ratio和当前时间
if (Math.abs(ratio) < threshold) { //如果ratio的绝对值小于指定阈值
print("spread")
return false; //返回false
}
if (ratio > 0) { //如果ratio大于0;
var buyPrice = _N(ticker.Sell + spread, ZPrecision);
var buyAmount = _N(diffAsset / buyPrice, XPrecision);
if (buyAmount < Minstock) { //如果下单量小于最小交易量
return false;
}
exchange.Buy(buyPrice, buyAmount, diffAsset, ratio);//买入下单
}else{
var sellPrice = _N(ticker.Buy - spread, ZPrecision);//计算下单价格
var sellAmount = _N(-diffAsset / sellPrice, XPrecision);//计算下单量
if(sellAmount < Minstock){
return false;
}
exchange.Sell(sellPrice, sellAmount, diffAsset, ratio); //卖出下单
}
return true;
}
//主函数
function main() {
//SetErrorFilter("GetRecords:|GetOrders:|GetDepth:|GetAccount|:Buy|Sell|timeout"); //过滤非重要信息
while (true) {
if (onTick()) {
CancelPendingOrders();
Log(_C(exchange.GetAccount));
}
Sleep(LoopInterval * 1000);
}
}
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