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期现成对下单_Public.md

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Name

期现成对下单_Public

Author

daniaoren

Strategy Description

用于期现成对下单的插件，可在交易终端里使用。

自用工具，默认支持的是Deribit的期现开单，在合约中按默认值的格式填入合约名称、期望的差价即可

如果要支持其它交易所可能要自己小改一下。

Strategy Arguments

Argument Default Description
ContractSwap swap 永续合约
ContractFuture quarter 期货合约
Amount true 下单量
DiffMin 6 最小可下单差价
RealTrade false 是否真实下单

Source (python)

def main():
	exchange.SetContractType(ContractSwap)
	TickerSwap = exchange.GetTicker()
	TickerSwap['BuyAmount'] = TickerSwap['Info']['result']['best_bid_amount']
	TickerSwap['SellAmount'] = TickerSwap['Info']['result']['best_ask_amount']
	exchange.SetContractType(ContractFuture)
	TickerFuture = exchange.GetTicker()
	TickerFuture['BuyAmount'] = TickerFuture['Info']['result']['best_bid_amount']
	TickerFuture['SellAmount'] = TickerFuture['Info']['result']['best_ask_amount']

	Diff = _N(TickerFuture['Buy'] - TickerSwap['Sell'],2)

	Msg = ''
	Msg += str(ContractSwap) +' '+ str(TickerSwap['Sell']) +' '+ str(TickerSwap['SellAmount'])+ '\n'
	Msg += str(ContractFuture) +' '+ str(TickerFuture['Buy']) +' '+ str(TickerFuture['BuyAmount']) + '\n'
	Msg += '差价: ' + str(Diff) + '\n'

	if Diff <= DiffMin:
		return '差价为 ' + str(_N(Diff,2)) + ' 小于设定价差 '+str(DiffMin)+'，不下单' + '\n\n附加信息\n' +Msg

	if TickerFuture['BuyAmount'] < Amount or TickerFuture['SellAmount'] < Amount:
		return '某方向挂单量小于设定下单量 '+str(Amount)+'，不下单' + '\n\n附加信息\n' +Msg

	if not RealTrade:
		return '非真实交易' + '\n' + Msg

	exchange.SetContractType(ContractSwap)
	exchange.SetDirection("buy")
	BuyOrderId = exchange.Buy(TickerSwap['Sell'] + 0.2, Amount)

	exchange.SetContractType(ContractFuture)
	exchange.SetDirection("sell")
	SellOrderId = exchange.Sell(TickerFuture['Buy'] - 0.2, Amount)

	BuyOrder = exchange.GetOrder(BuyOrderId)
	SellOrder = exchange.GetOrder(SellOrderId)

	TradeMsg = '交易完成\n'
	TradeMsg += '买单 ' + str(BuyOrder['ContractType']) + ' ' + str(BuyOrder['Price']) + ' ' + str(BuyOrder['DealAmount']) + '/' + str(BuyOrder['Amount']) + '\n'
	TradeMsg += '卖单 ' + str(SellOrder['ContractType']) + ' ' + str(SellOrder['Price']) + ' ' + str(SellOrder['DealAmount']) + '/' + str(SellOrder['Amount']) + '\n'
	TradeMsg += '\n\n附加信息\n' +Msg
	return TradeMsg

Detail

https://www.fmz.com/strategy/232006

Last Modified

2021-02-24 21:04:40