Trading Pair Accuracy Calibration
JavaScript strategy by 斯巴达玩量化.
JavaScriptOther
The original spec has no written description. Read the source below.
Source JavaScript
/*
-- After the strategy references this template, use it directly $.Test() Call this method
-- main The function will not be triggered in the strategy, only serves as an entry point for template debugging
-- GetExPrecision The function's precision calibration only supports units place, and does not currently support trading pair precision of tens/hundreds/thousands...
-- [Warning] If the market depth is too low to accurately represent true accuracy, the function may lose its accuracy
*/
let gCache = {};
let scientificToNumber = function(num) {
if (/\d+\.?\d*e[\+\-]*\d+/i.test(num)) { //Regular expression to match numbers in scientific notation
var zero = '0', //
parts = String(num).toLowerCase().split('e'), //Split into coefficient and exponent
e = parts.pop(), //Store exponent
l = Math.abs(e), //Take absolute value,l-1That's it0Number of
sign = e / l, //Determine positive or negative
coeff_array = parts[0].split('.'); //Split the coefficient by decimal point
if (sign === -1) { //If it is a decimal
num = zero + '.' + new Array(l).join(zero) + coeff_array.join(''); //Concatenate strings, if it's a decimal, concatenate0Sum decimal point
} else {
var dec = coeff_array[1];
if (dec) l = l - dec.length; //If it is an integer, count the non-zero digits of the integer except the first digit into the number of digits, and reduce it accordingly.0Number of
num = coeff_array.join('') + new Array(l + 1).join(zero); //Concatenate strings; if it's an integer, no need to concatenate the decimal point
}
}
return num;
}
$.GetPrecision = function(depth) {
let maxLenAmt = 0;
let maxLenPrice = 0;
depth.Asks.forEach(function(ask) {
let price = scientificToNumber(ask["Price"]).toString();
if (price.indexOf('.') > -1) {
let priceP = price.split(".")[1].length;
if (priceP > maxLenPrice) {
maxLenPrice = priceP;
}
}
let amt = scientificToNumber(ask["Amount"]).toString();
if (amt.indexOf('.') > -1) {
let amtP = amt.split(".")[1].length;
if (amtP > maxLenAmt) {
maxLenAmt = amtP;
}
}
})
return [maxLenPrice, maxLenAmt];
}
// Return array [Price precision, Precision of quantity]
$.GetExPrecision = function(ex, force) {
if (IsVirtual()) {
return null;
}
let key = ex.GetName() + '_ex_precision_' + ex.GetCurrency();
let cache = gCache[key];
if (!force && cache) {
return cache;
}
let r = $.GetPrecision(_C(ex.GetDepth));
gCache[key] = r;
Log("Cache precision information locally", key, r);
return r;
}
function main() {
$.GetExPrecision(exchange, false);
}Published by 斯巴达玩量化 on the FMZ strategy square · last modified 2022-09-23. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.
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