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快速了解时间加权策略

一.什么是时间加权策略?

时间加权是一种大额订单拆分后分时吃单的策略。

用户在进行大额交易时,为避免对市场造成过大冲击,需要将大单委托自动拆为多笔委托。这个策略会按照用户设置的间隔时间来触发委托,委托时根据当前的最新买一/卖一价和用户设置的价格距离来计算委托价格,然后委托小单来吃单交易。(如果吃单没有完全成交则直接撤单,即IOC订单逻辑)

时间加权快捷入口

二.实例教学

2.1 设置参数

某用户希望在10,500USDT以下尽快买入BTC合约,同时也不希望过于影响盘面增加买入成本,此时其设置时间加权委托:

吃单价优于盘口:1%

吃单限制价:10,500 USDT

时间间隔:20s

单笔数量:500张

委托总量:10,000张

2.2 策略运行

下单后,系统将会自动开始进行定时的分批委托,假设当前时刻的盘口情况如下图:

按照用户设置的价格范围,最高买入价格为当前买1价10029.99*(1+价格范围1.0%)=10130.29USDT,则统计所有低于10130.29USDT的卖单总数量570+1+200+1+1+1+1=775,然后乘以随机数0.5~1中的任意数,该笔委托的数量=对手单数量*随机比例(0.5~1)=775*63%=488.25张。判断小于用户设置的单笔数量500张,则此时程序委托买入的子单:委托价格10130.29 USDT,数量488张。如果吃单没有完全成交则直接撤单,即所以子单均为IOC订单。

策略会根据用户设置的时间间隔*随机比例(0.5~1)来自动连续委托,直至策略的总成交量达到客户设置的总委托数量。

当程序计算出的委托价格高于用户设定的吃单限制价时,程序将会自动按照用户设定的吃单限制价进行委托;

当程序计算出的委托数量大于用户设定的单笔数量时,程序将会自动按照用户设定的单笔数量*随机比例(0.5~1)进行委托;

当市场的最新成交价格高于吃单限制价(即10,500USDT)时暂停委托,在最新成交价格重新低于10,500USDT后恢复委托;

在策略总成交量等于其总委托数量时策略会停止委托并结束运行。

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