Grids can be customized Buy and sell first: The grid starts from the initial price and hangs the invoice downwards, with each purchase interval The price interval of the grid This parameter, the number of pending invoices is "single number", hangs enough The total number of pending invoices, there is an arbitrary invoice transaction, after the program adds on the basis of the purchase price The price of the value of this parameter is the price of the pending bid, sell, sell, after the sale, re-pending the purchase price of the grid Buy before you sell: Operate the opposite way.
The biggest risk of the strategy is the one-sided market, where prices fluctuate outside the grid.
Grids with automatic stop loss and mobile functions
var isFuture = false;
function hasOrder(orders, orderId) {
for (var i = 0; i < orders.length; i++) {
if (orders[i].Id == orderId) {
return true;
}
}
return false;
}
function cancelPending() {
var ret = false;
while (true) {
if (ret) {
Sleep(Interval);
}
var orders = _C(exchange.GetOrders);
if (orders.length == 0) {
break;
}
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);
ret = true;
}
}
return ret;
}
function balanceAccount(orgAccount, initAccount) {
if (isFuture) {
while (true) {
cancelPending();
var positions = _C(exchange.GetPosition);
if (positions.length === 0 ) {
var accountNow = _C(exchange.GetAccount);
LogProfit(_N(accountNow.Stocks - orgAccount.Stocks), "可用保证金:", accountNow.Stocks);
return;
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].Type == PD_LONG) {
exchange.SetDirection("closebuy");
exchange.Sell(positions[i].Amount);
} else {
exchange.SetDirection("closesell");
exchange.Buy(positions[i].Amount);
}
}
Sleep(Interval);
}
}
var account = _C(exchange.GetAccount);
while (true) {
var diff = _N(account.Stocks - initAccount.Stocks);
if (Math.abs(diff) < exchange.GetMinStock()) {
break;
}
var depth = _C(exchange.GetDepth);
var books = diff > 0 ? depth.Bids : depth.Asks;
var n = 0;
var price = 0;
for (var i = 0; i < books.length; i++) {
n += books[i].Amount;
if (n >= Math.abs(diff)) {
price = books[i].Price;
break;
}
}
Log("开始平衡", (diff > 0 ? "卖出" : "买入"), Math.abs(diff), "个币");
if (diff > 0) {
exchange.Sell(price - 0.2, diff);
} else {
exchange.Buy(price + 0.2, -diff);
}
Sleep(1000);
cancelPending();
account = _C(exchange.GetAccount);
}
Log("平衡完成", account);
}
var STATE_WAIT_OPEN = 0;
var STATE_WAIT_COVER = 1;
var STATE_WAIT_CLOSE = 2;
var ProfitCount = 0;
var BuyFirst = (OpType == 0);
var IsSupportGetOrder = true;
var LastBusy = 0;
var LastFloatProfit = 0;
function setBusy() {
LastBusy = new Date();
}
function isTimeout() {
if (MaxIdle <= 0) {
return false;
}
var now = new Date();
if (((now.getTime() - LastBusy.getTime()) / 1000) >= MaxIdle) {
LastBusy = now;
return true;
}
return false;
}
function onexit() {
if (CancelAllWS) {
Log("正在退出, 尝试取消所有挂单");
cancelPending();
}
Log("策略成功停止");
Log(_C(exchange.GetAccount));
}
function fishing(orgAccount, fishCount) {
setBusy();
var account = _C(exchange.GetAccount);
Log(account);
var InitAccount = account;
var ticker = _C(exchange.GetTicker);
var amount = _N(AmountOnce);
var amountB = amount;
var amountS = amount;
if (typeof(AmountType) !== 'undefined' && AmountType == 1) {
amountB = BAmountOnce;
amountS = SAmountOnce;
}
if (FirstPriceAuto) {
FirstPrice = BuyFirst ? _N(ticker.Buy - PriceGrid) : _N(ticker.Sell + PriceGrid);
}
// Initialize fish table
var fishTable = {};
var uuidTable = {};
var needStocks = 0;
var needMoney = 0;
var actualNeedMoney = 0;
var actualNeedStocks = 0;
var notEnough = false;
var canNum = 0;
var marginLevel = [10,20][MarginLevelIdx];
exchange.SetMarginLevel(marginLevel);
for (var idx = 0; idx < AllNum; idx++) {
var price = _N(BuyFirst ? FirstPrice - (idx * PriceGrid) : FirstPrice + (idx * PriceGrid));
if (isFuture) {
needStocks += ((100 * amountB) / price) / marginLevel;
if (_N(needStocks) <= _N(account.Stocks)) {
actualNeedStocks = needStocks;
canNum++;
} else {
notEnough = true;
}
} else {
needStocks += amountS;
needMoney += price * amountB;
if (BuyFirst) {
if (_N(needMoney) <= _N(account.Balance)) {
actualNeedMondy = needMoney;
actualNeedStocks = needStocks;
canNum++;
} else {
notEnough = true;
}
} else {
if (_N(needStocks) <= _N(account.Stocks)) {
actualNeedMondy = needMoney;
actualNeedStocks = needStocks;
canNum++;
} else {
notEnough = true;
}
}
}
fishTable[idx] = STATE_WAIT_OPEN;
uuidTable[idx] = -1;
}
if (EnableProtectDiff) {
if (BuyFirst && (FirstPrice - ticker.Sell) > ProtectDiff) {
throw "首次买入价比市场卖1价高" + _N(FirstPrice - ticker.Sell) + ' 元';
} else if (!BuyFirst && (ticker.Buy - FirstPrice) > ProtectDiff) {
throw "首次卖出价比市场买1价高 " + _N(ticker.Buy - FirstPrice) + ' 元';
}
}
if (BuyFirst && !isFuture) {
if (account.Balance < _N(needMoney)) {
if (fishCount == 1) {
throw "资金不足, 需要"+ _N(needMoney) + "元";
} else {
Log("资金不足, 需要", _N(needMoney), "元, 程序只做", canNum, "个网格 #ff0000");
}
} else {
Log('预计动用资金: ', _N(needMoney), "元");
}
} else {
if (account.Stocks < _N(needStocks)) {
if (fishCount == 1) {
throw "币数不足, 需要 "+ _N(needStocks) + " 个币";
} else {
Log("资金不足, 需要", _N(needStocks), "个币, 程序只做", canNum, "个网格 #ff0000");
}
} else {
Log('预计动用币数: ', _N(needStocks), "个");
}
}
var OpenFunc = BuyFirst ? exchange.Buy : exchange.Sell;
var CoverFunc = BuyFirst ? exchange.Sell : exchange.Buy;
var ts = new Date();
var preMsg = "";
var profitMax = 0;
while (true) {
var now = new Date();
if (now.getTime() - ts.getTime() > 5000) {
if (typeof(GetCommand) == 'function' && GetCommand() == "收网") {
Log("开始执行命令进行收网操作");
balanceAccount(orgAccount, InitAccount);
return false;
}
ts = now;
var msg = "";
var positions, isHold;
var ticker = _C(exchange.GetTicker);
var nowAccount = _C(exchange.GetAccount);
if (isFuture) {
positions = _C(exchange.GetPosition);
isHold = positions.length > 0;
if (isHold) {
msg += "持仓: " + positions[0].Amount + " 持仓均价: " + _N(positions[0].Price) + " 浮动盈亏: " + _N(positions[0].Profit);
if (EnableStopLoss && -positions[0].Profit >= StopLoss) {
Log("当前浮动盈亏", positions[0].Profit, "开始止损");
balanceAccount(orgAccount, InitAccount);
if (StopLossMode === 0) {
throw "止损退出";
} else {
return true;
}
}
} else {
msg += "空仓";
}
msg += " 可用保证金: " + nowAccount.Stocks;
} else {
isHold = Math.abs(amount_diff) >= exchange.GetMinStock();
var amount_diff = (nowAccount.Stocks + nowAccount.FrozenStocks) - (InitAccount.Stocks + InitAccount.FrozenStocks);
var money_diff = (nowAccount.Balance + nowAccount.FrozenBalance) - (InitAccount.Balance + InitAccount.FrozenBalance);
var floatProfit = _N(money_diff + (amount_diff * ticker.Last));
var floatProfitAll = _N((nowAccount.Balance + nowAccount.FrozenBalance - orgAccount.Balance - orgAccount.FrozenBalance) + ((nowAccount.Stocks + nowAccount.FrozenStocks - orgAccount.Stocks - orgAccount.FrozenStocks) * ticker.Last));
LastFloatProfit = floatProfitAll;
profitMax = Math.max(floatProfit, profitMax);
if (EnableStopLoss) {
if ((profitMax - floatProfit) >= StopLoss) {
Log("当前浮动盈亏", floatProfit, "利润最高点: ", profitMax, "开始止损");
balanceAccount(orgAccount, InitAccount);
if (StopLossMode === 0) {
throw "止损退出";
} else {
return true;
}
}
}
if (isHold) {
if (RestoreProfit && ProfitAsOrg) {
if (BuyFirst) {
money_diff += LastProfit;
} else {
money_diff -= LastProfit;
}
}
var hold_amount = amount_diff;
var hold_price = (-money_diff) / amount_diff;
if (!BuyFirst) {
hold_amount = -amount_diff;
hold_price = (money_diff) / -amount_diff;
}
msg = (BuyFirst ? "做多: " : "做空: ") + _N(hold_amount, 4) + " 个币, 均价: " + _N(hold_price);
} else {
msg += "空仓";
}
msg += " 当前网格浮动盈亏: " + floatProfit + " 总浮动盈亏: " + floatProfitAll + " 第 " + fishCount + " 次撒网 最新币价: " + _N(ticker.Last);
}
if (isHold) {
setBusy();
}
var distance = 0;
if (AutoMove) {
if (BuyFirst) {
distance = ticker.Last - FirstPrice;
} else {
distance = FirstPrice - ticker.Last;
}
var refish = false;
if (!isHold && isTimeout()) {
Log("空仓过久, 开始移动网格");
refish = true;
}
if (distance > MaxDistance) {
Log("价格超出网格区间过多, 开始移动网格, 当前距离: ", _N(distance), "当前价格:", ticker.Last);
refish = true;
}
if (refish) {
balanceAccount(orgAccount, InitAccount);
return true;
}
}
if (AutoMove && distance > 0) {
msg += " (离网格" + (BuyFirst ? "向上" : "向下") + "偏离: " + _N(distance) + " 元)";
}
if (msg != preMsg) {
LogStatus(msg);
preMsg = msg;
}
}
var orders = _C(exchange.GetOrders);
for (var idx = 0; idx < canNum; idx++) {
var openPrice = _N(BuyFirst ? FirstPrice - (idx * PriceGrid) : FirstPrice + (idx * PriceGrid));
var coverPrice = _N(BuyFirst ? openPrice + PriceDiff : openPrice - PriceDiff);
var state = fishTable[idx];
var fishId = uuidTable[idx];
if (hasOrder(orders, fishId)) {
continue;
}
if (fishId != -1 && IsSupportGetOrder) {
var order = exchange.GetOrder(fishId);
if (!order) {
Log("获取订单信息失败, ID: ", fishId);
continue;
}
if (order.Status == ORDER_STATE_PENDING) {
Log("订单状态为未完成, ID: ", fishId);
continue;
}
}
if (state == STATE_WAIT_COVER) {
if (isFuture) {
exchange.SetDirection(BuyFirst ? "closebuy" : "closesell");
}
var coverId = CoverFunc(coverPrice, BuyFirst ? amountS : amountB, BuyFirst ? '完成买单:' : '完成卖单:', openPrice);
if (coverId) {
fishTable[idx] = STATE_WAIT_CLOSE;
uuidTable[idx] = coverId;
}
} else if (state == STATE_WAIT_OPEN || state == STATE_WAIT_CLOSE) {
if (isFuture) {
exchange.SetDirection(BuyFirst ? "buy" : "sell");
}
var openId = OpenFunc(openPrice, BuyFirst ? amountB : amountS);
if (openId) {
fishTable[idx] = STATE_WAIT_COVER;
uuidTable[idx] = openId;
if (state == STATE_WAIT_CLOSE) {
ProfitCount++;
if (AmountType === 0) {
Log((BuyFirst ? '完成卖单: ' : '完成买单: ') + coverPrice);
} else {
Log((BuyFirst ? '完成卖单: ' : '完成买单: ') + coverPrice);
}
if (!isFuture) {
var account = _C(exchange.GetAccount);
var ticker = _C(exchange.GetTicker);
var initNet = _N(((InitAccount.Stocks + InitAccount.FrozenStocks) * ticker.Buy) + InitAccount.Balance + InitAccount.FrozenBalance, 8);
var nowNet = _N(((account.Stocks + account.FrozenStocks) * ticker.Buy) + account.Balance + account.FrozenBalance, 8);
var actualProfit = _N(((nowNet - initNet)) * 100 / initNet, 8);
LogProfit(LastFloatProfit, "总浮动盈亏率:", _N(LastFloatProfit * 100 / actualNeedMondy, 4), '%');
}
}
}
}
}
Sleep(CheckInterval);
}
return true;
}
function main() {
if (typeof(AmountType) === 'undefined') {
AmountType = 0;
}
IsSupportGetOrder = exchange.GetName().indexOf('itstamp') == -1;
if (!IsSupportGetOrder) {
Log(exchange.GetName(), "不支持GetOrder, 可能影响策略稳定性.");
}
isFuture = exchange.GetName().indexOf("Future") != -1;
if (AmountType === 0) {
BAmountOnce = AmountOnce;
SAmountOnce = AmountOnce;
}
if (exchange.GetName() == "Futures_OKCoin" && (AmountOnce.toString().indexOf(".") != -1 || BAmountOnce.toString().indexOf(".") != -1 || SAmountOnce.toString().indexOf(".") != -1)) {
throw "OKCoin期货下单数必须为整数";
}
SetErrorFilter("502:|503:|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|refused|EOF|When");
exchange.SetRate(1);
Log('已经禁用汇率转换, 当前货币为', exchange.GetBaseCurrency());
if (!RestoreProfit) {
LastProfit = 0;
}
exchange.SetContractType(["this_week", "next_week", "quarter"][ContractTypeIdx]);
var orgAccount = _C(exchange.GetAccount);
var fishCount = 1;
while (true) {
if (!fishing(orgAccount, fishCount)) {
break;
}
fishCount++;
Log("第", fishCount, "次重新撒网...");
FirstPriceAuto = true;
Sleep(1000);
}
}
The cloudsThe real-time test of the OKEX exchange, will report the risk of error 100%. See, is the total number of grid limits invalid, will continue to hang until the collateral is used up, and then keep reporting errors.
Block of icebergIf you don't want to run, you have to delete the stock annotation.
sa1966saIs this grid compatible with the OK V3 API?
a8269917It's better to change the price difference to a percentage.
cjsliujHi, there is a problem: if the strategy starts to hang down, will there be a problem with the utilization of funds, because once the order is placed, the funds are locked, and the same amount of funds cannot operate more contracts at the same time.
cjsliujHi, there is a problem: if the strategy starts to hang down, will there be a problem with the utilization of funds, because once the order is placed, the funds are locked, and the same amount of funds cannot operate more contracts at the same time.
Piglet attackedI want to ask if this is a strategy that was used two years ago, and if it's still useful now, is there a problem?
ZeroI just saw it, it's changed.
a8269917But the futures contract money is not what you want, you save money and can not be used in other contracts, unless you start by dividing the money into two parts to operate two grids, and then want to dynamic pending list to increase the utilization of capital, this also increases the risk, I think it is worth considering ok fixed point boom, I am afraid of choosing a few contracts today to blow this tomorrow to blow, which all work for others, futures are not like cash, this strategy cash has a dynamic pending list, futures I think it is most important to stay active, you concentrate a contract, fixed point boom you can smoke a very low point and then immediately go out, the yield is very high, ok sometimes the contract is delayed, it drops by about ten minutes, but the robot theory is that there is no pending list, there is no pending stock, you can be directly blown off.
cjsliujNo, I mean: If you have 10,000 yuan, now you have two grids, each of them is 10 grids downwards, each of them has a limit of 1,000,000, and if you start with a grid, then 10,000 yuan is all frozen, you can only copy one grid, but if it's a dynamic grid, then you only need to add the bottom price of each of the grids when you drop the grid, so 10,000 yuan can be very liquid, you can operate multiple grids.
a8269917I'm here to tell you that the utilization rate of network transactions is not high, so you have to balance the number of pending orders yourself.