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Strategy vault / Grid

50 Line Grid Strategy Tutorial

JavaScript strategy by 发明者量化-小小梦.

JavaScriptGrid
Author
发明者量化-小小梦
Complexity
Starter · 50 lines
Parameters
5

The original spec has no written description. Read the source below.

Parameters

NameDefaultWhat it controls
directiontrueGrid direction
_GridNum10Number of grid nodes
_GridPointAmount0.1Order quantity per grid node
_GridPointDis20Grid node spacing
_GridCovDis50Grid node closing spread

Source JavaScript

var _StopLoss = 0
var _StopWin = 0
var _Grid = []

function UpdateGrid(nowBidsPrice, nowAsksPrice, direction){    // up 1, down -1
    if(_Grid.length == 0 || (direction == 1 && nowBidsPrice - _Grid[_Grid.length - 1].price > _GridPointDis) || 
        (direction == -1 && _Grid[_Grid.length - 1].price - nowAsksPrice > _GridPointDis)){

        var nowPrice = direction == 1 ? nowBidsPrice : nowAsksPrice
        _Grid.push({
            price: _Grid.length == 0 ? nowPrice : _Grid[_Grid.length - 1].price + _GridPointDis * direction,
            hold : {price: 0, amount: 0}, 
            coverPrice : _Grid.length == 0 ? nowPrice - direction * _GridCovDis : _Grid[_Grid.length - 1].price + _GridPointDis * direction - direction * _GridCovDis
        })

        var tradeInfo = direction == 1 ? $.Sell(_GridPointAmount) : $.Buy(_GridPointAmount)
        _Grid[_Grid.length - 1].hold.price = tradeInfo.price
        _Grid[_Grid.length - 1].hold.amount = tradeInfo.amount
        $.PlotFlag(new Date().getTime(), JSON.stringify(tradeInfo), "O")
    }
    if(_Grid.length > 0 && 
        ((direction == 1 && nowAsksPrice < _Grid[_Grid.length - 1].coverPrice) || (direction == -1 && nowBidsPrice > _Grid[_Grid.length - 1].coverPrice))){
        
        var coverInfo = direction == 1 ? $.Buy(_Grid[_Grid.length - 1].hold.amount) : $.Sell(_Grid[_Grid.length - 1].hold.amount)
        _Grid.pop()
        $.PlotFlag(new Date().getTime(), JSON.stringify(coverInfo), "C")
        _StopWin++
    } else if(_Grid.length > _GridNum){
        var coverfirstInfo = direction == 1 ? $.Buy(_Grid[0].hold.amount) : $.Sell(_Grid[0].hold.amount)
        _Grid.shift()
        $.PlotFlag(new Date().getTime(), JSON.stringify(coverfirstInfo), "C")
        _StopLoss++
    }

}

function main(){
    while(1){
        var ticker = _C(exchange.GetTicker)
        var records = _C(exchange.GetRecords)
        $.PlotRecords(records, "kline")
        UpdateGrid(ticker.Buy, ticker.Sell, direction)       
        var msg = ""
        for(var i = 0; i < _Grid.length; i++){
            msg += JSON.stringify(_Grid[i]) + "\n"
        }
        LogStatus(_D(), "_StopWin:", _StopWin, "_StopLoss:", _StopLoss, _C(exchange.GetAccount), "\n", "_Grid.length:", _Grid.length, "_GridNum:", _GridNum, "\n", msg)
        Sleep(500)
    }
}

Published by 发明者量化-小小梦 on the FMZ strategy square · last modified 2018-08-25. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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/agenkit build a grid bot with inventory caps and order deduplication from strategies/50-Line-Grid-Strategy-Tutorial.md
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  2. Paste the command into your agent and approve each phase
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