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2. derbit 期权回测测试

derbit 期权回测测试

Author: 发明者量化, Date: 2020-08-06 17:41:45
Tags: Option

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/*backtest
start: 2020-06-08 00:00:00
end: 2020-08-05 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Deribit","currency":"BTC_USD"}]
*/

function main() {
    exchange.SetContractType('BTC-7AUG20-12750-C');
    var ticker = exchange.GetTicker();
    Log(ticker);
    exchange.SetDirection("sell");
    var orderId = exchange.Sell(ticker.Sell, 10);
    Log(exchange.GetAccount());
    Log(exchange.GetOrders());
    exchange.CancelOrder(orderId);
    Log(exchange.GetAccount());
    
    
    exchange.Sell(ticker.Buy, 10);
    Log(exchange.GetAccount());
    Log(exchange.GetPosition());
    ticker = exchange.GetTicker();
    exchange.SetDirection("closesell");
    exchange.Buy(ticker.Sell, 10);
    Log(exchange.GetAccount());
    Log(exchange.GetPosition());
    
    
    
    ticker = exchange.GetTicker();
    Log(ticker);
    exchange.SetDirection("buy");
    orderId = exchange.Buy(ticker.Buy, 10);
    Log(exchange.GetAccount());
    exchange.CancelOrder(orderId);
    Log(exchange.GetAccount());
    
    
    exchange.Buy(ticker.Sell, 10);
    Log(exchange.GetAccount());
    Log(exchange.GetPosition());
    ticker = exchange.GetTicker();
    exchange.SetDirection("closebuy");
    exchange.Sell(ticker.Buy, 10);
    Log(exchange.GetAccount());
    Log(exchange.GetPosition());
}

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741262008cjz 这是什么意思？设置一个symbol就可以用日常的方式获取数据的意思吗