1. Quadrat
2. Der Eisbrecher

Der Eisbrecher

Schriftsteller:Null, Datum: 2016-01-23
Tags:Hochfrequenz

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var TradeType = null;
var OrgAccount = null;
var Counter = {s : 0, f: 0, m: 0};
var LastProfit = 0;
var AllProfit = 0;
var LastTicker = null;
var maxHold = 0;

function _N(v, precision) {
    if (typeof(precision) != 'number') {
        precision = 4;
    }
    var d = parseFloat(v.toFixed(Math.max(10, precision+5)));
    s = d.toString().split(".");
    if (s.length < 2 || s[1].length <= precision) {
        return d;
    }

    var b = Math.pow(10, precision);
    return Math.floor(d*b)/b;
}

function EnsureCall(e, method) {
    var r;
    while (!(r = e[method].apply(this, Array.prototype.slice.call(arguments).slice(2)))) {
        Sleep(Interval);
    }
    return r;
}

function StripOrders(e, orderId) {
    var order = null;
    if (typeof(orderId) == 'undefined') {
        orderId = null;
    }
    while (true) {
        var dropped = 0;
        var orders = EnsureCall(e, 'GetOrders');
        for (var i = 0; i < orders.length; i++) {
            if (orders[i].Id == orderId) {
                order = orders[i];
            } else {
                var extra = "";
                if (orders[i].DealAmount > 0) {
                    extra = "成交: " + orders[i].DealAmount;
                } else {
                    extra = "未成交";
                }
                e.CancelOrder(orders[i].Id, orders[i].Type == ORDER_TYPE_BUY ? "买单" : "卖单", extra);
                dropped++;
            }
        }
        if (dropped == 0) {
            break;
        }
        Sleep(300);
    }
    return order;
}

function updateProfit(e, account, ticker) {
    if (typeof(account) == 'undefined') {
        account = GetAccount(e);
    }
    if (typeof(ticker) == 'undefined') {
        ticker = EnsureCall(e, "GetTicker");
    }
    var profit = _N(LastProfit + (((account.Stocks + account.FrozenStocks) - (OrgAccount.Stocks + OrgAccount.FrozenStocks)) * ticker.Last) + ((account.Balance + account.FrozenBalance) - (OrgAccount.Balance + OrgAccount.FrozenBalance)), 4);
    LogProfit(profit, "币数:", _N(account.Stocks + account.FrozenStocks, 4), "钱数:", _N(account.Balance + account.FrozenBalance, 4));
    return profit;
}


var preMsg = "";
function GetAccount(e, waitFrozen) {
    if (typeof(waitFrozen) == 'undefined') {
        waitFrozen = false;
    }
    var account = null;
    var alreadyAlert = false;
    while (true) {
        account = EnsureCall(e, "GetAccount");
        if (!waitFrozen || (account.FrozenStocks < MinStock && account.FrozenBalance < 0.01)) {
            break;
        }
        if (!alreadyAlert) {
            alreadyAlert = true;
            Log("发现账户有冻结的钱或币", account);
        }
        Sleep(Interval);
    }
    // TODO Hack
    msg = "成功: " + Counter.s + " 次, 解套: " + Counter.f + " 次, 止损: " + Counter.m + " 次, 最大持仓量: " + _N(maxHold);
    //msg = Counter.s + " / " + Counter.f + " / " + Counter.m;

    if (LastTicker != null && OrgAccount != null) {
        var profit = (((account.Stocks + account.FrozenStocks) - (OrgAccount.Stocks + OrgAccount.FrozenStocks)) * LastTicker.Last) + ((account.Balance + account.FrozenBalance) - (OrgAccount.Balance + OrgAccount.FrozenBalance));
        msg += "\n盈亏: " + AllProfit + ", 浮动: " + _N(profit, 4);
        msg += "\n初始账户 钱: " + OrgAccount.Balance + " 币: " + OrgAccount.Stocks + ", 当前账户 钱: " + _N(account.Balance + account.FrozenBalance) + " 币: " + _N(account.Stocks + account.FrozenStocks);
    }

    if (msg != preMsg) {
        preMsg = msg;
        LogStatus(msg, "#ff0000");
    }
    return account;
}

// mode = 0 : direct buy, 1 : buy as buy1
function Trade(e, tradeType, tradeAmount, mode, slidePrice, maxAmount, maxSpace, retryDelay) {
    var initAccount = GetAccount(e, true);
    var nowAccount = initAccount;
    var orderId = null;
    var prePrice = 0;
    var dealAmount = 0;
    var diffMoney = 0;
    var isFirst = true;
    var tradeFunc = tradeType == ORDER_TYPE_BUY ? e.Buy : e.Sell;
    var isBuy = tradeType == ORDER_TYPE_BUY;
    while (true) {
        var ticker = EnsureCall(e, 'GetTicker');
        LastTicker = ticker;
        var tradePrice = 0;
        if (isBuy) {
            tradePrice = _N((mode == 0 ? ticker.Sell : ticker.Buy) + slidePrice, 4);
        } else {
            tradePrice = _N((mode == 0 ? ticker.Buy : ticker.Sell) - slidePrice, 4);
        }
        if (orderId == null) {
            if (isFirst) {
                isFirst = false;
            } else {
                nowAccount = GetAccount(e, true);
            }
            var doAmount = 0;
            if (isBuy) {
                diffMoney = _N(initAccount.Balance - nowAccount.Balance, 4);
                dealAmount = _N(nowAccount.Stocks - initAccount.Stocks, 4);
                doAmount = Math.min(maxAmount, tradeAmount - dealAmount, _N((nowAccount.Balance-10) / tradePrice, 4));
            } else {
                diffMoney = _N(nowAccount.Balance - initAccount.Balance, 4);
                dealAmount = _N(initAccount.Stocks - nowAccount.Stocks, 4);
                doAmount = Math.min(maxAmount, tradeAmount - dealAmount, nowAccount.Stocks);
            }
            if (doAmount < MinStock) {
                break;
            }
            prePrice = tradePrice;
            orderId = tradeFunc(tradePrice, doAmount);
        } else {
            if (Math.abs(tradePrice - prePrice) > maxSpace) {
                orderId = null;
            }
            var order = StripOrders(exchange, orderId);
            if (order == null) {
                orderId = null;
            }
        }
        Sleep(retryDelay);
    }

    if (dealAmount <= 0) {
        return null;
    }

    return {price: _N(diffMoney / dealAmount, 4), amount: dealAmount};
}

function loop(isFirst) {
    var minStock = MinStock;
    var initAccount = GetAccount(exchange, true);
    Log(initAccount);
    var holdPrice = 0;
    var holdAmount = 0;
    if (RestoreIt && isFirst) {
        LastProfit = RestoreProfit;
        TradeType = RestoreType == 0 ? ORDER_TYPE_BUY : ORDER_TYPE_SELL;
        holdPrice = RestorePrice;
        holdAmount = RestoreAmount;
        if (holdAmount != 0) {
            initAccount = {
                Stocks: initAccount.Stocks,
                FrozenStocks: initAccount.FrozenStocks,
                Balance: initAccount.Balance,
                FrozenBalance: initAccount.FrozenBalance,
            };
            if (RestoreType == 0) {
                initAccount.Stocks -= holdAmount;
                initAccount.Balance += (holdPrice * holdAmount);
            } else {
                initAccount.Stocks += holdAmount;
                initAccount.Balance -= (holdPrice * holdAmount);
            }
            OrgAccount = initAccount;
            Log("恢复持仓状态为:", RestoreType == 0 ? "做多" : "做空", "均价:", holdPrice, "数量:", holdAmount);
            if (RestoreType == 0) {
                holdAmount = Math.min(initAccount.Stocks, holdAmount);
            }
        }
        if (LastProfit != 0) {
            LogProfit(LastProfit, "恢复上次盈利");
        }
    }
    if (holdAmount == 0) {
        var obj = Trade(exchange, TradeType, OpAmount, OpMode, SlidePrice, MaxAmount, MaxSpace, Interval);
        if (!obj) {
            throw "出师不利, 开仓失败";
        } else {
            Log(TradeType == ORDER_TYPE_BUY ? "开多仓完成" : "开空仓完成", "均价:", obj.price, "数量:", obj.amount);
        }
        Log(GetAccount(exchange, true));
        holdPrice = obj.price;
        holdAmount = obj.amount;
    }
    var openFunc = TradeType == ORDER_TYPE_BUY ? exchange.Buy : exchange.Sell;
    var coverFunc = TradeType == ORDER_TYPE_BUY ? exchange.Sell : exchange.Buy;
    var isFinished = false;
    while (!isFinished) {
        var account = GetAccount(exchange, true);
        var openAmount = 0;
        var openPrice = 0;
        var coverPrice = 0;
        var canOpen = true;

        if (TradeType == ORDER_TYPE_BUY) {
            var upLine = AddLine;
            openPrice = _N(holdPrice - AddGoal, 4);
            openAmount = _N((holdAmount * (holdPrice - openPrice - upLine)) / upLine, 4);
            coverPrice = _N(holdPrice + ProfitGoal, 4);
            if (_N(account.Balance / openPrice, 4) < openAmount) {
                Log("没有钱加多仓, 需要加仓: ", openAmount, "个");
                canOpen = false;
            }
        } else {
            var upLine = -AddLine;
            openPrice = _N(holdPrice + AddGoal, 4);
            coverPrice = _N(holdPrice - ProfitGoal, 4);
            openAmount = _N((holdAmount * (holdPrice - openPrice - upLine) / upLine), 4);
            if (account.Stocks < openAmount) {
                Log("没有币加空仓, 需要币:", openAmount);
                canOpen = false;
            }
        }
        if (holdAmount < minStock) {
            Log("剩余币数过小, 放弃操作", holdAmount);
            return 0;
        }
        openAmount = Math.max(minStock, openAmount);

        var order_count = 0;
        var openId = null;
        var coverId = null;
        if (!canOpen) {
            openId = -1;
            Log("进入等待解套模式");
        }

        for (var i = 0; i < 10; i++) {
            if (!openId) {
                openId = openFunc(openPrice, openAmount);
            }
            if (!coverId) {
                coverId = coverFunc(coverPrice, holdAmount);
            }
            if (openId && coverId) {
                break;
            }
            Sleep(Interval);
        }
        if (!openId || !coverId) {
            StripOrders(exchange);
            throw "下单失败";
        }
        if (openId > 0) {
            order_count++;
        }
        if (coverId > 0) {
            order_count++;
        }

        var preAccount = account;
        var loss = null;
        while (true) {
            Sleep(Interval);
            var ticker = EnsureCall(exchange, "GetTicker");
            LastTicker = ticker;
            var floatProfit = Math.abs(ticker.Last - coverPrice) * holdAmount;
            var balance = false;
            if (loss === null) {
                loss = floatProfit;
            } else if (floatProfit - loss > StopLoss) {
                Log("当前浮动盈亏:", floatProfit, "开始止损");
                StripOrders(exchange);
                balance = true;
            }
            var orders = EnsureCall(exchange, "GetOrders");
            var nowAccount = GetAccount(exchange);
            var diff = nowAccount.Stocks + nowAccount.FrozenStocks - preAccount.Stocks;
            if (balance) {
                diff = nowAccount.Stocks + nowAccount.FrozenStocks - OrgAccount.Stocks;
                if (Math.abs(diff) > minStock) {
                    var obj = Trade(exchange, diff > 0 ? ORDER_TYPE_SELL : ORDER_TYPE_BUY, Math.abs(diff), 0, SlidePrice, MaxAmount, MaxSpace, Interval);
                    if (!obj) {
                        throw "止损失败";
                    } else {
                        Log(TradeType == ORDER_TYPE_BUY ? "平空仓完成" : "平多仓完成", "均价:", obj.price, "数量:", obj.amount);
                    }
                }
                nowAccount = GetAccount(exchange);
                AllProfit = updateProfit(exchange, GetAccount(exchange), ticker);
                initAccount = nowAccount;
                isFinished = true;
                Counter.m++;
                break;
            }

            if (orders.length != order_count || Math.abs(diff) >= minStock) {
                StripOrders(exchange);
                nowAccount = GetAccount(exchange, true);
                //Log(nowAccount);
                var diffAmount = nowAccount.Stocks - initAccount.Stocks;
                var diffMoney = nowAccount.Balance - initAccount.Balance;
                if (Math.abs(diffAmount) < minStock) {
                    AllProfit = updateProfit(exchange, nowAccount, ticker);
                    Log("平仓完成, 达到目标盈利点, 单次盈利", _N(holdAmount * ProfitGoal, 4));
                    initAccount = nowAccount;
                    isFinished = true;
                    if (!canOpen) {
                        Counter.f++;
                    }
                    break;
                }
                var newHoldPrice = 0;
                var newHoldAmount = 0;
                if (TradeType == ORDER_TYPE_BUY) {
                    newHoldAmount = _N(diffAmount, 4);
                    newHoldPrice = _N((-diffMoney) / diffAmount, 4);
                } else {
                    newHoldAmount = _N(-diffAmount, 4);
                    newHoldPrice = _N(diffMoney / (-diffAmount), 4);
                }
                // if open again, we need adjust hold positions's price
                var isAdd = false;
                if (newHoldAmount > holdAmount) {
                    holdPrice = newHoldPrice;
                    isAdd = true;
                }
                holdAmount = newHoldAmount;
                maxHold = Math.max(holdAmount, maxHold);
                if (!isAdd) {
                    // reset initAccount
                    initAccount = {
                        Stocks : nowAccount.Stocks,
                        Balance : nowAccount.Balance,
                        FrozenBalance : nowAccount.FrozenBalance,
                        FrozenStocks : nowAccount.FrozenStocks,
                    };
                    if (TradeType == ORDER_TYPE_BUY) {
                        initAccount.Stocks -= holdAmount;
                        initAccount.Balance += holdAmount * holdPrice;
                    } else {
                        initAccount.Stocks += holdAmount;
                        initAccount.Balance -= holdAmount * holdPrice;
                    }
                    initAccount.Stocks = _N(initAccount.Stocks, 4);
                    initAccount.Balance = _N(initAccount.Balance, 4);
                    Log("持仓前账户调整为: ", initAccount);
                }
                Log((TradeType == ORDER_TYPE_BUY ? "多仓" : "空仓"), (isAdd ? "加仓后" : "平仓后"), "重新调整持仓, 均价: ", holdPrice, "数量", holdAmount);
                Log("买一:", ticker.Buy, "卖一:", ticker.Sell, "上次成交价:", ticker.Last);
                Log(nowAccount);
                break;
            }
        }
    }
    return 0;
}

function onexit() {
    StripOrders(exchange);
    Log("Exit");
}

function main() {
    if (AddLine > AddGoal || AddLine <= 0) {
        throw "加仓均价目标错误";
    }
    if (exchange.GetName().indexOf("Future") != -1) {
        throw "只支持现货, 期货容易爆仓, 暂不支持";
    }
    if (exchange.GetRate() != 1) {
        Log("已禁用汇率转换");
        exchange.SetRate(1);
    }
    TradeType = OpType == 0 ? ORDER_TYPE_BUY : ORDER_TYPE_SELL;
    EnableLogLocal(SaveLocal);
    Interval *= 1000;
    SetErrorFilter("502:|503:|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF");
    StripOrders(exchange);
    OrgAccount = GetAccount(exchange);
    var isFirst = true;
    LogStatus("启动成功", TradeType);
    while (true) {
        var ret = loop(isFirst);
        isFirst = false;
        Counter.s++;
        Sleep(Interval);
    }
}

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MoxEs fühlt sich ein bisschen komisch an, denn ich habe schon einmal einen Scharfschützen studiert, und ich habe diesen Eisbrecher beobachtet, und ich fühle, dass es neben weniger Gegenhand gibt, dass der größte Unterschied darin ist, dass sich die Anzahl der Linien bei jedem Lauf ändert, dass man die Anzahl der Linien anpasst, je nachdem, wie viel Platz man gerade macht, und dass man den Code nicht genau studiert hat, aber es ist nur ein Gefühl, dass man es im Großen und Ganzen hat.