/*backtest start: 2022-01-15 00:00:00 end: 2023-01-21 00:00:00 period: 1h basePeriod: 15m exchanges: [{“eid”:“Futures_Binance”,“currency”:“ETH_USDT”}] */
//信号结构 var Template = { Flag: “45M103Buy”, // 标识,可随意指定 Exchange: 1, // 指定交易所交易对 Currency: “ETH_USDT”, // 交易对 ContractType: “swap”, // 合约类型,swap,quarter,next_quarter,现货填写spot Price: “-1”, // 开仓或者平仓价格,-1为市价 Action: “long”, // 交易类型[ buy:现货买入 , sell:现货卖出 , long:期货做多 , short:期货做空 , closesell:期货买入平空 , closebuy:期货卖出平多] Amount: “0”, // 交易量 }
var BaseUrl = “https://www.fmz.com/api/v1” // FMZ扩展API接口地址 var RobotId = _G() // 当前实盘ID var Success = “#5cb85c” // 成功颜色 var Danger = “#ff0000” // 危险颜色 var Warning = “#f0ad4e” // 警告颜色 var buffSignal = []
// 校验信号消息格式 function DiffObject(object1, object2) { const keys1 = Object.keys(object1) const keys2 = Object.keys(object2) if (keys1.length !== keys2.length) { return false } for (let i = 0; i < keys1.length; i++) { if (keys1[i] !== keys2[i]) { return false } } return true }
function CheckSignal(Signal) { Signal.Price = parseFloat(Signal.Price) Signal.Amount = parseFloat(Signal.Amount) if (Signal.Exchange <= 0 || !Number.isInteger(Signal.Exchange)) { Log(“交易所最小编号为1,并且为整数”, Danger) return } if (Signal.Amount <= 0 || typeof(Signal.Amount) != “number”) { Log(“交易量不能小于0,并且为数值类型”, typeof(Signal.Amount), Danger) return } if (typeof(Signal.Price) != “number”) { Log(“价格必须是数值”, Danger) return } if (Signal.ContractType == “spot” && Signal.Action != “buy” && Signal.Action != “sell”) { Log(“指令为操作现货,Action错误,Action:”, Signal.Action, Danger) return } if (Signal.ContractType != “spot” && Signal.Action != “long” && Signal.Action != “short” && Signal.Action != “closesell” && Signal.Action != “closebuy”) { Log(“指令为操作期货,Action错误,Action:”, Signal.Action, Danger) return } return true }
function commandRobot(url, accessKey, secretKey, robotId, cmd) { // https://www.fmz.com/api/v1?access_key=xxx&secret_key=xxx&method=CommandRobot&args=[xxx,+""] url = url + ‘?access_key=’ + accessKey + ‘&secret_key=’ + secretKey + ‘&method=CommandRobot&args=[’ + robotId + ‘,+""]’ var postData = { method:‘POST’, data:cmd } var headers = “User-Agent: Mozilla/5.0 (Macintosh; Intel Mac OS X 10_9_3) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/35.0.1916.153 Safari/537.36\nContent-Type: application/json” var ret = HttpQuery(url, postData, “”, headers) Log(“模拟TradingView的webhook请求,发送用于测试的POST请求:”, url, “body:”, cmd, “应答:”, ret) }
function createManager() { var self = {} self.tasks = []
self.process = function() {
var processed = 0
if (self.tasks.length > 0) {
_.each(self.tasks, function(task) {
if (!task.finished) {
processed++
self.pollTask(task)
}
})
if (processed == 0) {
self.tasks = []
}
}
}
self.newTask = function(signal) {
// {"Flag":"45M103Buy","Exchange":1,"Currency":"BTC_USDT","ContractType":"swap","Price":"10000","Action":"buy","Amount":"0"}
var task = {}
task.Flag = signal["Flag"]
task.Exchange = signal["Exchange"]
task.Currency = signal["Currency"]
task.ContractType = signal["ContractType"]
task.Price = signal["Price"]
task.Action = signal["Action"]
task.Amount = signal["Amount"]
task.exchangeIdx = signal["Exchange"] - 1
task.pricePrecision = null
task.amountPrecision = null
task.error = null
task.exchangeLabel = exchanges[task.exchangeIdx].GetLabel()
task.finished = false
Log("创建任务:", task)
self.tasks.push(task)
}
self.getPrecision = function(n) {
var precision = null
var arr = n.toString().split(".")
if (arr.length == 1) {
precision = 0
} else if (arr.length == 2) {
precision = arr[1].length
}
return precision
}
self.pollTask = function(task) {
var e = exchanges[task.exchangeIdx]
var name = e.GetName()
var isFutures = true
e.SetCurrency(task.Currency)
if (task.ContractType != "spot" && name.indexOf("Futures_") != -1) {
// 非现货,则设置合约
e.SetContractType(task.ContractType)
} else if (task.ContractType == "spot" && name.indexOf("Futures_") == -1) {
isFutures = false
} else {
task.error = "指令中的ContractType与配置的交易所对象类型不匹配"
return
}
var depth = e.GetDepth()
if (!depth || !depth.Bids || !depth.Asks) {
task.error = "订单薄数据异常"
return
}
if (depth.Bids.length == 0 && depth.Asks.length == 0) {
task.error = "盘口无订单"
return
}
_.each([depth.Bids, depth.Asks], function(arr) {
_.each(arr, function(order) {
var pricePrecision = self.getPrecision(order.Price)
var amountPrecision = self.getPrecision(order.Amount)
if (Number.isInteger(pricePrecision) && !Number.isInteger(self.pricePrecision)) {
self.pricePrecision = pricePrecision
} else if (Number.isInteger(self.pricePrecision) && Number.isInteger(pricePrecision) && pricePrecision > self.pricePrecision) {
self.pricePrecision = pricePrecision
}
if (Number.isInteger(amountPrecision) && !Number.isInteger(self.amountPrecision)) {
self.amountPrecision = amountPrecision
} else if (Number.isInteger(self.amountPrecision) && Number.isInteger(amountPrecision) && amountPrecision > self.amountPrecision) {
self.amountPrecision = amountPrecision
}
})
})
if (!Number.isInteger(self.pricePrecision) || !Number.isInteger(self.amountPrecision)) {
task.err = "获取精度失败"
return
}
e.SetPrecision(self.pricePrecision, self.amountPrecision)
// buy:现货买入 , sell:现货卖出 , long:期货做多 , short:期货做空 , closesell:期货买入平空 , closebuy:期货卖出平多
var direction = null
var tradeFunc = null
if (isFutures) {
switch (task.Action) {
case "long":
direction = "buy"
tradeFunc = e.Buy
break
case "short":
direction = "sell"
tradeFunc = e.Sell
break
case "closesell":
direction = "closesell"
tradeFunc = e.Buy
break
case "closebuy":
direction = "closebuy"
tradeFunc = e.Sell
break
}
if (!direction || !tradeFunc) {
task.error = "交易方向错误:" + task.Action
return
}
e.SetDirection(direction)
} else {
if (task.Action == "buy") {
tradeFunc = e.Buy
} else if (task.Action == "sell") {
tradeFunc = e.Sell
} else {
task.error = "交易方向错误:" + task.Action
return
}
}
var id = tradeFunc(task.Price, task.Amount)
if (!id) {
task.error = "下单失败"
}
task.finished = true
}
return self
}
var manager = createManager() function HandleCommand(signal) { // 检测是否收到交互指令 if (signal) { Log(“收到交互指令:”, signal) // 收到交互指令,打印交互指令 } else { return // 没有收到时直接返回,不做处理 }
// 检测交互指令是否是测试指令,测试指令可以由当前策略交互控件发出来进行测试
if (signal.indexOf("TestSignal") != -1) {
signal = signal.replace("TestSignal:", "")
// 调用FMZ扩展API接口,模拟Trading View的webhook,交互按钮TestSignal发送的消息:{"Flag":"45M103Buy","Exchange":1,"Currency":"BTC_USDT","ContractType":"swap","Price":"10000","Action":"buy","Amount":"0"}
commandRobot(BaseUrl, FMZ_AccessKey, FMZ_SecretKey, RobotId, signal)
} else if (signal.indexOf("evalCode") != -1) {
var js = signal.split(':', 2)[1]
Log("执行调试代码:", js)
eval(js)
} else {
// 处理信号指令
objSignal = JSON.parse(signal)
if (DiffObject(Template, objSignal)) {
Log("接收到交易信号指令:", objSignal)
buffSignal.push(objSignal)
// 检查交易量、交易所编号
if (!CheckSignal(objSignal)) {
return
}
// 创建任务
manager.newTask(objSignal)
} else {
Log("指令无法识别", signal)
}
}
}
function main() { Log(“WebHook地址:”, “https://www.fmz.com/api/v1?access_key=” + FMZ_AccessKey + “&secret_key=” + FMZ_SecretKey + “&method=CommandRobot&args=[” + RobotId + ‘,+""]’, Danger) Log(“交易类型[ buy:现货买入 , sell:现货卖出 , long:期货做多 , short:期货做空 , closesell:期货买入平空 , closebuy:期货卖出平多]”, Danger) Log(“指令模板:”, JSON.stringify(Template), Danger)
while (true) {
try {
// 处理交互
HandleCommand(GetCommand())
// 处理任务
manager.process()
if (buffSignal.length > maxBuffSignalRowDisplay) {
buffSignal.shift()
}
var buffSignalTbl = {
"type" : "table",
"title" : "信号记录",
"cols" : ["Flag", "Exchange", "Currency", "ContractType", "Price", "Action", "Amount"],
"rows" : []
}
for (var i = buffSignal.length - 1 ; i >= 0 ; i--) {
buffSignalTbl.rows.push([buffSignal[i].Flag, buffSignal[i].Exchange, buffSignal[i].Currency, buffSignal[i].ContractType, buffSignal[i].Price, buffSignal[i].Action, buffSignal[i].Amount])
}
LogStatus(_D(), "\n", "`" + JSON.stringify(buffSignalTbl) + "`")
Sleep(1000 *SleePinterval )
} catch (error) {
Log("e.name:", error.name, "e.stack:", error.stack, "e.message:", error.message)
Sleep(1000 * 5)
}
}
}
提供帮助(点击头像可联系) exchange.GetPosition(),获取当前持仓信息。若持多仓大于0时,则不下单。
发明者量化-小小梦 策略设计这个具体只能根据自己需求编写了,可以在平台策略广场里找些策略做参考。
Jetter 好的。谢谢! 代码是这样吗? var nowRefPosAmount = getPosAmount(_C(exchange.GetPosition), ct) var x = owRefPosAmount.long var y = owRefPosAmount.short 那个ct要不要?
Jetter 好的。谢谢!