Hedge on Two Contracts

can automatically hedge two contracts immediately. Note that adding appropriate price slips may result in unfilled trades. For larger positions, multiple clicks can be made. The plug-in can be started with one click…

JavaScriptTools & templates

Author: 小草
Complexity: Starter · 23 lines
Parameters: 5

Jump to code View in vault Original on FMZ

can automatically hedge two contracts immediately. Note that adding appropriate price slips may result in unfilled trades. For larger positions, multiple clicks can be made.

The plug-in can be started with one click on the trading terminal, free of charge, and convenient for manual trading. Detailed introduction:https://www.fmz.com/digest-topic/5051

Parameters

Name	Default	What it controls
Contract_A	this_week	Trading ContractA \| Contract A
Contract_B	quarter	Trading ContractB \| Contract B
Amount	10	Open position quantity \| Open Amount
Slip	2	Slippage \| Slip Price
Reverse	false	Reverse transaction \| Reverse Direction

Source JavaScript


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())
}

Published by 小草 on the FMZ strategy square · last modified 2020-03-24. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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Parameters

Source JavaScript

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