中文 ZH
在 GitHub 上查看

合成借贷利率

该策略利用衍生品市场产生的合成借贷利率与链上借贷收益之间的差异。通过在低利率场所借入并在高利率场所出借，系统捕捉利差。

为保持市场中性，仓位定期再平衡，并通过利率变化阈值和流动性过滤控制风险。

细节

  • 数据：永续合约资金费率、DeFi 借贷利率。
  • 入场：当利差超过阈值时在低利率处借入、高利率处出借。
  • 出场：利差回归或流动性下降时平仓。
  • 工具：永续合约和 DeFi 平台。
  • 风险：利差上限与流动性止损。
// SyntheticLendingRatesStrategy.cs
// -----------------------------------------------------------------------------
// Uses change in synthetic lending-rate intensity derived from price momentum
// to take directional positions.
// Compares short-term and long-term moving averages as a proxy for
// synthetic lending-rate shifts. Buys when short-term momentum increases,
// sells when it decreases, with cooldown management.
// -----------------------------------------------------------------------------
// Date: 2 Aug 2025
// -----------------------------------------------------------------------------
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Trades based on changes in synthetic lending-rate intensity derived from price momentum.
/// </summary>
public class SyntheticLendingRatesStrategy : Strategy
{
	private readonly StrategyParam<int> _shortPeriod;
	private readonly StrategyParam<int> _longPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Short-term momentum period.
	/// </summary>
	public int ShortPeriod
	{
		get => _shortPeriod.Value;
		set => _shortPeriod.Value = value;
	}

	/// <summary>
	/// Long-term momentum period.
	/// </summary>
	public int LongPeriod
	{
		get => _longPeriod.Value;
		set => _longPeriod.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// The type of candles to use for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	private ExponentialMovingAverage _shortEma;
	private ExponentialMovingAverage _longEma;
	private decimal _prevShortValue;
	private decimal _prevLongValue;
	private int _cooldownRemaining;

	public SyntheticLendingRatesStrategy()
	{
		_shortPeriod = Param(nameof(ShortPeriod), 5)
			.SetDisplay("Short Period", "Short-term momentum period", "Parameters");

		_longPeriod = Param(nameof(LongPeriod), 20)
			.SetDisplay("Long Period", "Long-term momentum period", "Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 30)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_shortEma = null;
		_longEma = null;
		_prevShortValue = 0;
		_prevLongValue = 0;
		_cooldownRemaining = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_shortEma = new ExponentialMovingAverage { Length = ShortPeriod };
		_longEma = new ExponentialMovingAverage { Length = LongPeriod };

		SubscribeCandles(CandleType)
			.Bind(_shortEma, _longEma, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal shortValue, decimal longValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_shortEma.IsFormed || !_longEma.IsFormed)
		{
			_prevShortValue = shortValue;
			_prevLongValue = longValue;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevShortValue = shortValue;
			_prevLongValue = longValue;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevShortValue = shortValue;
			_prevLongValue = longValue;
			return;
		}

		// Synthetic intensity: short-term momentum relative to long-term
		var currentIntensity = shortValue - longValue;
		var prevIntensity = _prevShortValue - _prevLongValue;

		// Intensity increasing (short EMA rising faster) -> buy signal
		if (currentIntensity > 0 && prevIntensity <= 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));

			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Intensity decreasing (short EMA falling relative to long) -> sell signal
		else if (currentIntensity < 0 && prevIntensity >= 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));

			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_prevShortValue = shortValue;
		_prevLongValue = longValue;
	}
}