BTC 和 ETH 的 跨品种对冲 思路测试 DEMO 根据价格比 画出 图表，分析 价格比 变化，寻找套利空间。 策略可行性 未知， 有兴趣的 同学可以研究一下~
by littleDream
/*exchanges
A : BTC
B : ETH
*/
var RateUpDateTime = new Date().getTime()
var UpDateCyc = 60 * 60 * 1000
var SumInCyc = 0
var AddCounts = 1
var RateArray = []
var BTC_hold_amount = 0
var ETH_hold_amount = 0
var IDLE = 0
var PLUS = 1
var STATE = IDLE
var fee_btc = {
buy : 0.2, // 0.2 % , 千分之四
sell : 0.2
}
var fee_eth = {
buy : 0.2,
sell : 0.2
}
var ModeStr = ["BOLL", "SMA"][Mode]
function CalcPriceForNoFee(price, fee, type){
if(type == "buy"){
return price * (1 - fee / 100)
}else if(type == "sell"){
return price * (1 + fee / 100)
}
}
function loop(nowTime){
var depthA = exchanges[0].GetDepth()
var depthB = exchanges[1].GetDepth()
var sma120 = null
var sma10 = null
var boll = null
if(!depthA || !depthB || depthA.Asks.length == 0 || depthA.Bids.length == 0 || depthB.Asks.length == 0 || depthB.Bids.length == 0){
return
}
var Rate = CalcPriceForNoFee((depthA.Bids[0].Price + depthA.Asks[0].Price) / 2, 0.2, "buy") / CalcPriceForNoFee((depthB.Bids[0].Price + depthB.Asks[0].Price) / 2, 0.2, "sell")
if(nowTime - RateUpDateTime > UpDateCyc){
RateArray.push(Rate)
$.PlotLine("avgRate", RateArray[RateArray.length - 2], RateUpDateTime)
if(RateArray.length > 60){
if(ModeStr == "SMA"){
sma120 = talib.SMA(RateArray, 60)
sma10 = talib.SMA(RateArray, 10)
$.PlotLine("sma120", sma120[sma120.length - 2], RateUpDateTime)
$.PlotLine("sma10", sma10[sma10.length - 2], RateUpDateTime)
}else if(ModeStr == "BOLL"){
boll = TA.BOLL(RateArray, 20, 2.5)
$.PlotLine("up", boll[0][boll[0].length - 2], RateUpDateTime)
$.PlotLine("down", boll[2][boll[2].length - 2], RateUpDateTime)
}
}
RateUpDateTime += UpDateCyc
SumInCyc = 0
AddCounts = 1
}else{
SumInCyc += Rate
AddCounts++
RateArray[RateArray.length - 1] = (SumInCyc / AddCounts)
$.PlotLine("avgRate", RateArray[RateArray.length - 1], RateUpDateTime)
if(RateArray.length > 60){
if(ModeStr == "SMA"){
sma120 = talib.SMA(RateArray, 60)
sma10 = talib.SMA(RateArray, 10)
$.PlotLine("sma120", sma120[sma120.length - 1], RateUpDateTime)
$.PlotLine("sma10", sma10[sma10.length - 1], RateUpDateTime)
}else if(ModeStr == "BOLL"){
boll = TA.BOLL(RateArray, 20, 2.5)
$.PlotLine("up", boll[0][boll[0].length - 1], RateUpDateTime)
$.PlotLine("down", boll[2][boll[2].length - 1], RateUpDateTime)
}
}
}
if(ModeStr == "SMA"){
if(STATE == IDLE && (sma120 && sma10) && sma120[sma120.length - 2] > sma10[sma10.length - 2] && sma120[sma120.length - 1] < sma10[sma10.length - 1]){
// PLUS
var SellInfo = $.Sell(exchanges[1], 5)
var sumMoney = SellInfo.price * SellInfo.amount
var amount = _N(sumMoney / depthA.Asks[0].Price, 2)
var BuyInfo = $.Buy(exchanges[0], amount)
ETH_hold_amount = SellInfo.amount
BTC_hold_amount = amount
STATE = PLUS
// throw "stop" // ceshi
}
if(STATE == PLUS && (sma120 && sma10) && sma120[sma120.length - 2] < sma10[sma10.length - 2] && sma120[sma120.length - 1] > sma10[sma10.length - 1]){
// COVER
var BuyInfo = $.Buy(exchanges[1], ETH_hold_amount)
var SellInfo = $.Sell(exchanges[0], BTC_hold_amount)
ETH_hold_amount = 0
BTC_hold_amount = 0
STATE = IDLE
Log(exchanges[0].GetAccount(), exchanges[1].GetAccount())
}
}
}
function main() {
var AccountA = exchanges[0].GetAccount()
var AccountB = exchanges[1].GetAccount()
Log("AccountA:", AccountA, "AccountB:", AccountB)
while(true){
var beginTime = new Date().getTime()
loop(beginTime)
Sleep(500)
}
}
dayTrader2018 麻烦问下，上文代码中的这个函数PlotLine是从哪里来的？是干什么用的
cooboy 敢想敢写，厉害
cooboy 敢想敢写，厉害
Loga 梦总威武
发明者量化-小小梦 “画线类库” 模板 里面的 导出函数 ，实现代码在 模板里。
发明者量化-小小梦 主要是不费事， 简单几句写出来 看看 可行否，顺便当个范例。