Derbit Option Backtest Test
- Simulate Deribit options trading logic - Support buying and selling options - Because exercise needs to be combined with the futures price, exercise is not supported for the time being. Real orders can be exercised…
- Simulate Deribit options trading logic
- Support buying and selling options
- Because exercise needs to be combined with the futures price, exercise is not supported for the time being. Real orders can be exercised through the IO interface.
Source JavaScript
/*backtest
start: 2020-06-08 00:00:00
end: 2020-08-05 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Deribit","currency":"BTC_USD"}]
*/
function main() {
exchange.SetContractType('BTC-7AUG20-12750-C');
var ticker = exchange.GetTicker();
Log(ticker);
exchange.SetDirection("sell");
var orderId = exchange.Sell(ticker.Sell, 10);
Log(exchange.GetAccount());
Log(exchange.GetOrders());
exchange.CancelOrder(orderId);
Log(exchange.GetAccount());
exchange.Sell(ticker.Buy, 10);
Log(exchange.GetAccount());
Log(exchange.GetPosition());
ticker = exchange.GetTicker();
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, 10);
Log(exchange.GetAccount());
Log(exchange.GetPosition());
ticker = exchange.GetTicker();
Log(ticker);
exchange.SetDirection("buy");
orderId = exchange.Buy(ticker.Buy, 10);
Log(exchange.GetAccount());
exchange.CancelOrder(orderId);
Log(exchange.GetAccount());
exchange.Buy(ticker.Sell, 10);
Log(exchange.GetAccount());
Log(exchange.GetPosition());
ticker = exchange.GetTicker();
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, 10);
Log(exchange.GetAccount());
Log(exchange.GetPosition());
}Published by 发明者量化 on the FMZ strategy square · last modified 2020-08-07. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.
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