Next draw the real-time spread curve, to avoid overdrawing the line. Put the code that draws the curve of the real-time spread data in the balance check.
if (ts - lastKeepBalanceTS > keepBalanceCyc * 1000) {
nowAccs = _C(updateAccs, exchanges)
var isBalance = keepBalance(initAccs, nowAccs, [depthA, depthB])
cancelAll()
if (isBalance) {
lastKeepBalanceTS = ts
if (isTrade) {
var nowBalance = _.reduce(nowAccs, function(sumBalance, acc) {return sumBalance + acc.Balance}, 0)
var initBalance = _.reduce(initAccs, function(sumBalance, acc) {return sumBalance + acc.Balance}, 0)
LogProfit(nowBalance - initBalance, nowBalance, initBalance, nowAccs)
isTrade = false
}
}
$.PlotLine("A2B", depthA.Bids[0].Price - depthB.Asks[0].Price) // Draw real-time spread curves
$.PlotLine("B2A", depthB.Bids[0].Price - depthA.Asks[0].Price) // The first parameter is the name of the curve, and the second parameter is the value of the curve at the current moment, that is, the value in the Y-axis direction at the current moment
}
In this way, the drawing code is only 4 lines, allowing the strategy to have a graph displayed at runtime.
One-sided hedging function
As mentioned above, the spread trigger line has been modified into two, controlling the hedging trigger of A->B and B->A respectively. In this way, the previous order price algorithm cannot be used, and the method of adding slip price to the market price is used instead.
if (depthA.Bids[0].Price - depthB.Asks[0].Price > targetDiffPriceA2B && Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount) >= minHedgeAmount) { // A -> B market conditions are met
var priceSell = depthA.Bids[0].Price - slidePrice
var priceBuy = depthB.Asks[0].Price + slidePrice
var amount = Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount)
if (nowAccs[0].Stocks > minHedgeAmount && nowAccs[1].Balance * 0.8 / priceSell > minHedgeAmount) {
amount = Math.min(amount, nowAccs[0].Stocks, nowAccs[1].Balance * 0.8 / priceSell, maxHedgeAmount)
Log("trigger A->B:", depthA.Bids[0].Price - depthB.Asks[0].Price, priceBuy, priceSell, amount, nowAccs[1].Balance * 0.8 / priceSell, nowAccs[0].Stocks) // Tips
hedge(exB, exA, priceBuy, priceSell, amount)
cancelAll()
lastKeepBalanceTS = 0
isTrade = true
}
} else if (depthB.Bids[0].Price - depthA.Asks[0].Price > targetDiffPriceB2A && Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount) >= minHedgeAmount) { // B -> A market conditions are met
var priceBuy = depthA.Asks[0].Price + slidePrice
var priceSell = depthB.Bids[0].Price - slidePrice
var amount = Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount)
if (nowAccs[1].Stocks > minHedgeAmount && nowAccs[0].Balance * 0.8 / priceBuy > minHedgeAmount) {
amount = Math.min(amount, nowAccs[1].Stocks, nowAccs[0].Balance * 0.8 / priceBuy, maxHedgeAmount)
Log("trigger B->A:", depthB.Bids[0].Price - depthA.Asks[0].Price, priceBuy, priceSell, amount, nowAccs[0].Balance * 0.8 / priceBuy, nowAccs[1].Stocks) //Tips
hedge(exA, exB, priceBuy, priceSell, amount)
cancelAll()
lastKeepBalanceTS = 0
isTrade = true
}
}
Since the buying and selling prices are separated into two data, the hedging function hedge also needs to be modified.
function hedge(buyEx, sellEx, priceBuy, priceSell, amount) {
var buyRoutine = buyEx.Go("Buy", priceBuy, amount)
var sellRoutine = sellEx.Go("Sell", priceSell, amount)
Sleep(500)
buyRoutine.wait()
sellRoutine.wait()
}
There are also some minor adjustments based on these changes, which will not be repeated here. You can look at the code for details.
Interactively modify parameters such as hedging spread lines
Add interaction to the strategy, so that the strategy can modify the spread trigger line in real time. This is the design requirement of a semi-automatic strategy, which is also implemented here as a teaching demonstration.
The strategy interaction design is also very simple. First, add interaction controls to the strategy on the strategy editing page.
Added two controls, one called A2B and one called B2A. After entering a value in the control input box, click the button to the right of the input box. An instruction will be sent to the strategy immediately, for example: enter the value 123 in the input box, click the A2B button, and an instruction will be sent to the strategy immediately.
A2B:123
Design interactive detection and processing code in the strategy code.
// interact
var cmd = GetCommand() // Every time the loop is executed here, it checks whether there is an interactive command, and returns to an empty string if not.
if (cmd) { // An interactive command was detected, such as A2B:123
Log("command received:", cmd)
var arr = cmd.split(":") // Split out the interactive control name and the value in the input box, arr[0] is A2B, arr[1] is 123
if (arr[0] == "A2B") { // Determine whether the triggered interactive control is A2B
Log("Modify the parameters of A2B, ", diffAsPercentage ? "The parameter is the difference percentage" : "The parameter is the difference:", arr[1])
if (diffAsPercentage) {
hedgeDiffPercentageB2A = parseFloat(arr[1]) // Modify the trigger spread line
} else {
hedgeDiffPriceA2B = parseFloat(arr[1]) // Modify the trigger spread line
}
} else if (arr[0] == "B2A") { // Triggered control detected is B2A
Log("Modify the parameters of B2A, ", diffAsPercentage ? "The parameter is the difference percentage" : "The parameter is the difference:", arr[1])
if (diffAsPercentage) {
hedgeDiffPercentageA2B = parseFloat(arr[1])
} else {
hedgeDiffPriceB2A = parseFloat(arr[1])
}
}
}
Organize status bar information and display it in a table format
Make the status bar data display more organized and easy to observe.
var tbl = {
"type" : "table",
"title" : "data",
"cols" : ["exchange", "coin", "freeze coin", "denominated currency", "freeze denominated currency", "trigger spread", "current spread"],
"rows" : [],
}
tbl.rows.push(["A:" + exA.GetName(), nowAccs[0].Stocks, nowAccs[0].FrozenStocks, nowAccs[0].Balance, nowAccs[0].FrozenBalance, "A->B:" + targetDiffPriceA2B, "A->B:" + (depthA.Bids[0].Price - depthB.Asks[0].Price)])
tbl.rows.push(["B:" + exB.GetName(), nowAccs[1].Stocks, nowAccs[1].FrozenStocks, nowAccs[1].Balance, nowAccs[1].FrozenBalance, "B->A:" + targetDiffPriceB2A, "B->A:" + (depthB.Bids[0].Price - depthA.Asks[0].Price)])
LogStatus(_D(), "\n", "`" + JSON.stringify(tbl) + "`")
Backtesting
Backtesting is only a test strategy, a preliminary detection function, and many bugs can be tested out in the backtesting stage actually. It is not necessary to pay too much attention to the backtesting results. The final strategy still needs to be tested in the real environment.
Strategy source code: https://www.fmz.com/strategy/302834
From: https://blog.mathquant.com/2022/07/25/cryptocurrency-spot-hedging-strategy-design-2.html