网格挂单加马丁倍数递增.md

Name

网格挂单加马丁倍数递增

Author

Zer3192

Strategy Arguments

Argument	Default	Description
baseSpacing	10	加仓距离
baseAmount	0.01	基础仓位下单量
ratio	1.1	仓位增长系数
interval	500	轮询间隔
symbol	swap	合约代码
profitTarget	10	目标利润差价
MarginLevel	50	杠杆设置

Source (javascript)

/*backtest
start: 2017-06-26 00:00:00
end: 2022-02-16 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/
var MarginLevel=20
exchange.SetMarginLevel(MarginLevel)
function cancelAll() {
    while (true) {
        var orders = _C(exchange.GetOrders)
        if (orders.length == 0) { 
            break 
        }
        for (var i = 0 ; i < orders.length ; i++) {
            exchange.CancelOrder(orders[i].Id, orders[i])
            Sleep(interval)
        }
    }
}


function getLong(arr, kind) {
    var ret = null 
    for (var i = 0 ; i < arr.length ; i++) {
        if (arr[i].Type == (kind == "pos" ? PD_LONG : ORDER_TYPE_BUY)) {
            ret = arr[i]
        }
    }
    return ret
}

function pendingBidOrders(firstPrice) {
    var index = 0
    var bet=ratio
    var n = baseAmount
    while (true) {
        var pos = _C(exchange.GetPosition)
        var price = firstPrice - index * baseSpacing
         n=n*ratio
        index++
        exchange.SetDirection("buy")
        exchange.Buy(price, amount=n)        
        if (pos.length != 0) {
            var longPos = getLong(pos, "pos")
            if (longPos) {
                exchange.SetDirection("closebuy")
                exchange.Sell(longPos.Price + profitTarget, longPos.Amount)
            }
        }
        while (true) {
            Sleep(interval)
            if (!getLong(_C(exchange.GetOrders), "orders")) {
                cancelAll()
                break
            }
            if (!getLong(_C(exchange.GetPosition), "pos")) {
                cancelAll()
                return 
            }
        }
    }
}

function main() {
    exchange.SetContractType(symbol)
    while (true) {
        pendingBidOrders(_C(exchange.GetTicker).Last)
    }
}

Detail

https://www.fmz.com/strategy/353659

Last Modified

2022-04-11 05:44:21