omg 基差清算模擬

omg-basis-liquidation-calculator.py

# coding=utf-8
import os,sys
import time

liqperc = 0.05 # 清算線，抓安全一點 5%
initialCapital = 10000 
omg_1231_entry_price = 13.91 # omg 1231 開倉價
omg_perp_entry_price = 15.378 # omg perp 開倉價

basis = abs(omg_perp_entry_price - omg_1231_entry_price) / omg_perp_entry_price
basis_increment = 0.005

for lvg in range(1,10):
    size_omg1231 = initialCapital * lvg / omg_1231_entry_price
    size_omgPerp = initialCapital * lvg / omg_perp_entry_price
    
    # 績差遞增，只要假設一邊拉開就行，另一腳價格可以無視
    ibasis = basis
    for i in range(50):
        ibasis += basis_increment * i
        fake_perp_price = (1 + ibasis) * omg_perp_entry_price
        _pnl = (size_omgPerp + size_omg1231) * (omg_perp_entry_price - fake_perp_price)
        margin_ratio = (initialCapital + _pnl)/initialCapital
        print('cur lvg :'+str(lvg)+ ' cur basis '+str(ibasis*100)+ '% curr capital=' + str(initialCapital + _pnl) + ' margin_ratio '+str(margin_ratio) )
        if(margin_ratio < liqperc):
            print('got liquidated at ' + str( ibasis * 100 ) + '%')