El programa cambia automáticamente el tipo de cambio, las tarifas, los pedidos de referencia a un precio de compra y venta, tenga en cuenta que esto no es un movimiento, es una cobertura! Este modelo de cobertura no importa si el precio de la moneda sube o baja, sólo se diferencia. Para construir un almacén se necesita un depósito de dinero, un depósito de moneda, por ejemplo, BTC ahora tiene un precio de 6000, un intercambio tiene un precio de 3000, un depósito de alrededor de 0.45 de moneda es suficiente, o el doble de todo. MaxDiff es el precio mínimo de la plataforma. SlidePrice es el precio de movimiento en el momento de hacer el pedido, el pago se suma a este precio, el pedido de venta se restará este precio. TickIntervalS indica el ciclo de detección Si el valor de la moneda cae hasta este precio, no se opera, y si la moneda de valor de la moneda de parada es mayor que este precio, no se opera, lo que evita que la plataforma le dé un golpe malicioso al robot.
var initState;
var isBalance = true;
var feeCache = new Array();
var feeTimeout = optFeeTimeout * 60000;
var lastProfit = 0;
var lastAvgPrice = 0;
var lastSpread = 0;
var lastOpAmount = 0;
function adjustFloat(v) {
return Math.floor(v * 1000) / 1000;
}
function isPriceNormal(v) {
return (v >= StopPriceL) && (v <= StopPriceH);
}
function stripTicker(t) {
return 'Buy: ' + adjustFloat(t.Buy) + ' Sell: ' + adjustFloat(t.Sell);
}
function updateStatePrice(state) {
var now = (new Date()).getTime();
for (var i = 0; i < state.details.length; i++) {
var ticker = null;
var key = state.details[i].exchange.GetName() + state.details[i].exchange.GetCurrency();
var fee = null;
while (!(ticker = state.details[i].exchange.GetTicker())) {
Sleep(Interval);
}
if (key in feeCache) {
var v = feeCache[key];
if ((now - v.time) > feeTimeout) {
delete feeCache[key];
} else {
fee = v.fee;
}
}
if (!fee) {
while (!(fee = state.details[i].exchange.GetFee())) {
Sleep(Interval);
}
feeCache[key] = {
fee: fee,
time: now
};
}
// Buy-=fee Sell+=fee
state.details[i].ticker = {
Buy: ticker.Buy * (1 - (fee.Sell / 100)),
Sell: ticker.Sell * (1 + (fee.Buy / 100))
};
state.details[i].realTicker = ticker;
state.details[i].fee = fee;
}
}
function getProfit(stateInit, stateNow, coinPrice) {
var netNow = stateNow.allBalance + (stateNow.allStocks * coinPrice);
var netInit = stateInit.allBalance + (stateInit.allStocks * coinPrice);
return adjustFloat(netNow - netInit);
}
function getExchangesState() {
var allStocks = 0;
var allBalance = 0;
var minStock = 0;
var details = [];
for (var i = 0; i < exchanges.length; i++) {
var account = null;
while (!(account = exchanges[i].GetAccount())) {
Sleep(Interval);
}
allStocks += account.Stocks + account.FrozenStocks;
allBalance += account.Balance + account.FrozenBalance;
minStock = Math.max(minStock, exchanges[i].GetMinStock());
details.push({
exchange: exchanges[i],
account: account
});
}
return {
allStocks: adjustFloat(allStocks),
allBalance: adjustFloat(allBalance),
minStock: minStock,
details: details
};
}
function cancelAllOrders() {
for (var i = 0; i < exchanges.length; i++) {
while (true) {
var orders = null;
while (!(orders = exchanges[i].GetOrders())) {
Sleep(Interval);
}
if (orders.length == 0) {
break;
}
for (var j = 0; j < orders.length; j++) {
exchanges[i].CancelOrder(orders[j].Id, orders[j]);
}
}
}
}
function balanceAccounts() {
// already balance
if (isBalance) {
return;
}
cancelAllOrders();
var state = getExchangesState();
var diff = state.allStocks - initState.allStocks;
var adjustDiff = adjustFloat(Math.abs(diff));
if (adjustDiff < state.minStock) {
isBalance = true;
} else {
Log('初始币总数量:', initState.allStocks, '现在币总数量: ', state.allStocks, '差额:', adjustDiff);
// other ways, diff is 0.012, bug A only has 0.006 B only has 0.006, all less then minstock
// we try to statistical orders count to recognition this situation
updateStatePrice(state);
var details = state.details;
var ordersCount = 0;
if (diff > 0) {
var attr = 'Sell';
if (UseMarketOrder) {
attr = 'Buy';
}
// Sell adjustDiff, sort by price high to low
details.sort(function(a, b) {
return b.ticker[attr] - a.ticker[attr];
});
for (var i = 0; i < details.length && adjustDiff >= state.minStock; i++) {
if (isPriceNormal(details[i].ticker[attr]) && (details[i].account.Stocks >= state.minStock)) {
var orderAmount = adjustFloat(Math.min(AmountOnce, adjustDiff, details[i].account.Stocks));
var orderPrice = details[i].realTicker[attr] - SlidePrice;
if ((orderPrice * orderAmount) < details[i].exchange.GetMinPrice()) {
continue;
}
ordersCount++;
if (details[i].exchange.Sell(orderPrice, orderAmount, stripTicker(details[i].ticker))) {
adjustDiff = adjustFloat(adjustDiff - orderAmount);
}
// only operate one platform
break;
}
}
} else {
var attr = 'Buy';
if (UseMarketOrder) {
attr = 'Sell';
}
// Buy adjustDiff, sort by sell-price low to high
details.sort(function(a, b) {
return a.ticker[attr] - b.ticker[attr];
});
for (var i = 0; i < details.length && adjustDiff >= state.minStock; i++) {
if (isPriceNormal(details[i].ticker[attr])) {
var canRealBuy = adjustFloat(details[i].account.Balance / (details[i].ticker[attr] + SlidePrice));
var needRealBuy = Math.min(AmountOnce, adjustDiff, canRealBuy);
var orderAmount = adjustFloat(needRealBuy * (1 + (details[i].fee.Buy / 100)));
var orderPrice = details[i].realTicker[attr] + SlidePrice;
if ((orderAmount < details[i].exchange.GetMinStock()) ||
((orderPrice * orderAmount) < details[i].exchange.GetMinPrice())) {
continue;
}
ordersCount++;
if (details[i].exchange.Buy(orderPrice, orderAmount, stripTicker(details[i].ticker))) {
adjustDiff = adjustFloat(adjustDiff - needRealBuy);
}
// only operate one platform
break;
}
}
}
isBalance = (ordersCount == 0);
}
if (isBalance) {
var currentProfit = getProfit(initState, state, lastAvgPrice);
LogProfit(currentProfit, "Spread: ", adjustFloat((currentProfit - lastProfit) / lastOpAmount), "Balance: ", adjustFloat(state.allBalance), "Stocks: ", adjustFloat(state.allStocks));
if (StopWhenLoss && currentProfit < 0 && Math.abs(currentProfit) > MaxLoss) {
Log('交易亏损超过最大限度, 程序取消所有订单后退出.');
cancelAllOrders();
if (SMSAPI.length > 10 && SMSAPI.indexOf('http') == 0) {
HttpQuery(SMSAPI);
Log('已经短信通知');
}
throw '已停止';
}
lastProfit = currentProfit;
}
}
function onTick() {
if (!isBalance) {
balanceAccounts();
return;
}
var state = getExchangesState();
// We also need details of price
updateStatePrice(state);
var details = state.details;
var maxPair = null;
var minPair = null;
for (var i = 0; i < details.length; i++) {
var sellOrderPrice = details[i].account.Stocks * (details[i].realTicker.Buy - SlidePrice);
if (((!maxPair) || (details[i].ticker.Buy > maxPair.ticker.Buy)) && (details[i].account.Stocks >= state.minStock) &&
(sellOrderPrice > details[i].exchange.GetMinPrice())) {
details[i].canSell = details[i].account.Stocks;
maxPair = details[i];
}
var canBuy = adjustFloat(details[i].account.Balance / (details[i].realTicker.Sell + SlidePrice));
var buyOrderPrice = canBuy * (details[i].realTicker.Sell + SlidePrice);
if (((!minPair) || (details[i].ticker.Sell < minPair.ticker.Sell)) && (canBuy >= state.minStock) &&
(buyOrderPrice > details[i].exchange.GetMinPrice())) {
details[i].canBuy = canBuy;
// how much coins we real got with fee
details[i].realBuy = adjustFloat(details[i].account.Balance / (details[i].ticker.Sell + SlidePrice));
minPair = details[i];
}
}
if ((!maxPair) || (!minPair) || ((maxPair.ticker.Buy - minPair.ticker.Sell) < MaxDiff) ||
!isPriceNormal(maxPair.ticker.Buy) || !isPriceNormal(minPair.ticker.Sell)) {
return;
}
// filter invalid price
if (minPair.realTicker.Sell <= minPair.realTicker.Buy || maxPair.realTicker.Sell <= maxPair.realTicker.Buy) {
return;
}
// what a fuck...
if (maxPair.exchange.GetName() == minPair.exchange.GetName()) {
return;
}
lastAvgPrice = adjustFloat((minPair.realTicker.Buy + maxPair.realTicker.Buy) / 2);
lastSpread = adjustFloat((maxPair.realTicker.Sell - minPair.realTicker.Buy) / 2);
// compute amount
var amount = Math.min(AmountOnce, maxPair.canSell, minPair.realBuy);
lastOpAmount = amount;
var hedgePrice = adjustFloat((maxPair.realTicker.Buy - minPair.realTicker.Sell) / Math.max(SlideRatio, 2))
if (minPair.exchange.Buy(minPair.realTicker.Sell + hedgePrice, amount * (1 + (minPair.fee.Buy / 100)), stripTicker(minPair.realTicker))) {
maxPair.exchange.Sell(maxPair.realTicker.Buy - hedgePrice, amount, stripTicker(maxPair.realTicker));
}
isBalance = false;
}
function main() {
if (exchanges.length < 2) {
throw "交易所数量最少得两个才能完成对冲";
}
TickInterval = Math.max(TickInterval, 50);
Interval = Math.max(Interval, 50);
cancelAllOrders();
initState = getExchangesState();
if (initState.allStocks == 0) {
throw "所有交易所货币数量总和为空, 必须先在任一交易所建仓才可以完成对冲";
}
if (initState.allBalance == 0) {
throw "所有交易所CNY数量总和为空, 无法继续对冲";
}
for (var i = 0; i < initState.details.length; i++) {
var e = initState.details[i];
Log(e.exchange.GetName(), e.exchange.GetCurrency(), e.account);
}
Log("ALL: Balance: ", initState.allBalance, "Stocks: ", initState.allStocks, "Ver:", Version());
while (true) {
onTick();
Sleep(parseInt(TickInterval));
}
}