Strategies

期货一键对冲插件Hedge-on-two-contracts

小草 · javascript · Portfolio and Arbitrage · 2020-03-24 10:52:08

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Portfolio and Arbitrage Tools and Appendix All Regimes · Inferred

Trigger

ReverseInferred

Filter

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Sizing

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Risk control

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Exit

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Context terms

Futures Contract Hedge

No English write-up in the source (no author description).

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Parameters

Parameters	Default	Description
Contract_A	this_week	交易合约A
Contract_B	quarter	交易合约B
Amount	10	开仓数量
Slip	2	滑价
Reverse	false	反向交易

Source code (22 lines)


function main(){
    exchange.SetContractType(Reverse ? Contract_B : Contract_A)
    var ticker_A = exchange.GetTicker()
    if(!ticker_A){return 'Unable to get quotes'}
    exchange.SetDirection('buy')
    var id_A = exchange.Buy(ticker_A.Sell+Slip, Amount)
    exchange.SetContractType(Reverse ? Contract_B : Contract_A)
    var ticker_B = exchange.GetTicker()
    if(!ticker_B){return 'Unable to get quotes'}
    exchange.SetDirection('sell')
    var id_B = exchange.Sell(ticker_B.Buy-Slip, Amount)
    if(id_A){
        exchange.SetContractType(Reverse ? Contract_B : Contract_A)
        exchange.CancelOrder(id_A)
    }
    if(id_B){
        exchange.SetContractType(Reverse ? Contract_B : Contract_A)
        exchange.CancelOrder(id_B)
    }
    return 'Position: ' + JSON.stringify(exchange.GetPosition())
}