Hedge_BTC-ETH-Demo.md

Name

Hedge_BTC-ETH-Demo

Author

小小梦

Strategy Description

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

Strategy Arguments

Argument	Default	Description
Mode	0	模式: BOLL

Source (javascript)

/*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)
    }

}

Detail

https://www.fmz.com/strategy/48536

Last Modified

2017-07-25 13:19:52