引用自JavaScript版单平台均衡策略
这个需要建仓，比如账户有5000块钱，跟1个币，如果币的价值大于账户的余额5000了并且差价超过阀值，比如币现在值6000块钱，就卖掉(6000-5000)/6000/2个币，说明币升值了，把钱兑换回来，如果币贬值了，比如4000块钱了，就买入(5000-4000)/4000/2个币, 币跌的时候买一些回来，如果再涨了，就再卖掉，好像天平一样，两边不同的对冲，所以我命名为均衡策略
'''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)