- Square
- 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
- 模拟derbit的期权买卖逻辑
- 支持买入卖入期权
- 因为行权需要与期货价格结合，暂不支持行权，实盘可通过IO接口进行行权
/*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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