172 lines
4.1 KiB
Markdown
172 lines
4.1 KiB
Markdown
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> Name
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动态平衡-做市策略
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> Author
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FawkesPan
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> Strategy Arguments
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|Argument|Default|Description|
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|DELAY|5|平衡间隔|
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|PRICE_INCREMENT|1e-06|最小价格变化|
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|AMOUNT_INCREMENT|0.01|最小数量变化|
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|AMOUNT_MINIMUM|0.01|最低交易数量|
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|SPREAD|0.3|挂单价格间隔|
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> Source (javascript)
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``` javascript
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/*
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Rebalance With MarketMake
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Copyright 2018 FawkesPan
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Contact : i@fawkex.me / Telegram@FawkesPan
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GNU General Public License v3.0
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*/
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var Coin = ''
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var Fiat = ''
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var RefreshLoop = 0
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var Account = ''
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var Depth = ''
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var Orders = ''
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var BuyWeighted = 0
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var SellWeighted = 0
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var MidPrice = 0
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var InitialBalance = exchange.GetAccount().Balance + exchange.GetAccount().Stocks * exchange.GetDepth().Bids[0].Price
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function CancelPendingOrders() {
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for (var j = 0; j < Orders.length; j++) {
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exchange.CancelOrder(Orders[j].Id, Orders[j])}
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}
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function UpdateAll() {
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Account = exchange.GetAccount()
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Depth = exchange.GetDepth()
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Orders = exchange.GetOrders()
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//Log("UpdateAll")
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}
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function UpdatePrice() {
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//MidPrice = (Depth.Asks[0].Price+Depth.Bids[0].Price)/2
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BuyWeighted = Depth.Asks[0].Price * (1+SPREAD/100)
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SellWeighted = Depth.Bids[0].Price * (1-SPREAD/100)
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//Log("UpdatePrice")
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}
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function onTick(){
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// 刷新账户余额及行情数据
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//Log("UpdateAll")
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UpdateAll()
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var Buy = Depth.Asks[0].Price
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var Sell = Depth.Bids[0].Price
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// 计算加权价格
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//Log("UpdatePrice")
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UpdatePrice()
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// 检查当前存在订单
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if (Orders.length==2){
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return
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}
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if (Orders.length>2){
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CancelPendingOrders()
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UpdateAll()
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}
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// 处理单一订单
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if (Orders.length==1){
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Order = Orders[0]
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Price=Order.Price
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if (Order.Type==0){
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if (Price/(1-SPREAD/100) > Sell){
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return
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}else{
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CancelPendingOrders()
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UpdateAll()
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}
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}else{
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if (Price/(1+SPREAD/100) < Buy){
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return
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}else{
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CancelPendingOrders()
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UpdateAll()
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}
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}
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}
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// 计算所持仓位价值
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var ValueByBuy = Account.Stocks * BuyWeighted
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var ValueBySell = Account.Stocks * SellWeighted
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Log(Coin + " Value By Weighted Ask - " + Fiat +" Balance : " + (ValueByBuy-Account.Balance))
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Log(Fiat + " Balance - " + Coin +" Value By Weighted Bid : " +(Account.Balance-ValueBySell))
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//Log(ValueByBuy)
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//Log(ValueBySell)
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// 所持币价值高于定价货币 卖出所持的币
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if (ValueByBuy > Account.Balance){
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ToBeSold = (ValueByBuy - Account.Balance)/2/BuyWeighted
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if (ToBeSold > AMOUNT_MINIMUM){
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ToBeSold = _N(Math.ceil(ToBeSold / AMOUNT_INCREMENT) * AMOUNT_INCREMENT)
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Log("将要售出的 " + Coin + " 数量：" + ToBeSold)
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exchange.Sell(BuyWeighted,ToBeSold)
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}
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}
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// 所持定价货币价值高于所持币 买入币
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if (ValueBySell < Account.Balance){
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ToBeBought = (Account.Balance - ValueBySell)/2/SellWeighted
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if (ToBeBought > AMOUNT_MINIMUM){
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ToBeBought = _N(Math.ceil(ToBeBought / AMOUNT_INCREMENT) * AMOUNT_INCREMENT)
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Log("将要购买的 " + Coin + " 数量：" + ToBeBought)
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exchange.Buy(SellWeighted,ToBeBought)
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}
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}
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Log(Fiat + " 数量：" + Account.Balance)
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Log(Coin + " 数量：" + Account.Stocks)
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RefreshLoop = RefreshLoop+1
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if (RefreshLoop>60) {
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var Profit = _N(Account.Stocks*Sell) + _N(Account.Balance) - _N(InitialBalance)
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LogProfit(Profit)
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RefreshLoop = 0
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}
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}
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function main(){
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var Pair = exchange.GetCurrency()
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LogReset()
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LogProfitReset()
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LogProfit(0)
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UpdateAll()
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CancelPendingOrders()
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Coin = Pair.split("_")[0]
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Fiat = Pair.split("_")[1]
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while (true){
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try {
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onTick()
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} catch (err) {
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Log(err)
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}
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Sleep(DELAY*1000)
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}
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}
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```
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> Detail
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https://www.fmz.com/strategy/113618
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> Last Modified
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2018-09-18 21:02:19
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