मुख्य एक्सचेंज अन्य एक्सचेंजों की कीमतों का संदर्भ लेती है और वर्तमान मूल्य की दिशा का निर्धारण करती है, इसलिए रणनीति में दो एक्सचेंजों को जोड़ने की आवश्यकता होती है।
function adjustFloat(v) {
return Math.floor(v*1000)/1000;
}
function GetOrders() {
var orders = null;
while (!(orders = exchange.GetOrders())) {
Sleep(Interval);
}
return orders;
}
function CancelPendingOrders() {
while (true) {
var orders = GetOrders();
if (orders.length == 0) {
return;
}
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);
if (j < (orders.length-1)) {
Sleep(Interval);
}
}
}
}
function GetAccount() {
var account;
while (!(account = exchange.GetAccount())) {
Sleep(Interval);
}
return account;
}
function GetTicker(e) {
if (typeof(e) == 'undefined') {
e = exchange;
}
var ticker;
while (!(ticker = e.GetTicker())) {
Sleep(Interval);
}
return ticker;
}
function updateProft(accountInit, accountNow, ticker) {
var netNow = accountNow.Balance + accountNow.FrozenBalance + ((accountNow.Stocks + accountNow.FrozenStocks) * ticker.Buy);
var netInit = accountInit.Balance + accountInit.FrozenBalance + ((accountInit.Stocks + accountInit.FrozenStocks) * ticker.Buy);
LogProfit(netNow - netInit);
}
var STATE_WAIT_IDLE = 0;
var STATE_WAIT_BUY = 1;
var STATE_WAIT_SELL = 2;
var STATE_BUY = 3;
var STATE_SELL = 4;
var State = STATE_WAIT_IDLE;
var InitAccount = null;
var LastBuyPrice = 0;
var LastSellPrice = 0;
var LastHighPrice = 0;
var LastLowPrice = 0;
var LastRecord = null;
var Goingshort = false;
function onTick(exchange) {
var oldState = State;
var ticker = GetTicker();
if (State == STATE_WAIT_IDLE) {
var tickerOther = GetTicker(exchanges[1]);
// 价格被低估
if ((tickerOther.Buy - ticker.Sell) > PriceDiff) {
Goingshort = false;
State = STATE_BUY;
Log('开始做多, 价差:', adjustFloat(tickerOther.Buy - ticker.Sell));
} else if ((ticker.Buy - tickerOther.Sell) > PriceDiff) {
Goingshort = true;
State = STATE_SELL;
Log('开始做空, 价差:', adjustFloat(ticker.Buy - tickerOther.Sell));
} else {
return;
}
}
// 重新设置这两个参数
if (oldState == STATE_WAIT_IDLE && State != STATE_WAIT_IDLE) {
LastLowPrice = ticker.Last;
LastHighPrice = ticker.Last;
}
// 做多
if (!Goingshort) {
if (State == STATE_WAIT_SELL) {
var ratioStopLoss = Math.abs((LastHighPrice - ticker.Last) / LastHighPrice) * 100;
var ratioStopProfit = Math.abs((ticker.Last - LastBuyPrice) / LastBuyPrice) * 100;
var ratioMaxUp = Math.abs((LastHighPrice - LastBuyPrice) / LastBuyPrice) * 100;
if (ticker.Last < LastBuyPrice && ratioStopLoss >= StopLoss) {
State = STATE_SELL;
Log("开始止损, 当前下跌点数:", adjustFloat(ratioStopLoss), "当前价格", ticker.Last, "对比价格", adjustFloat(LastHighPrice));
} else if (ticker.Last > LastBuyPrice && ticker.Last < LastHighPrice && ratioStopProfit <= (ratioMaxUp*StopProfitThreshold)) {
State = STATE_SELL;
Log("开始止赢, 当前上涨点数:", adjustFloat(ratioStopProfit), "当前价格", ticker.Last, "对比价格", adjustFloat(LastBuyPrice));
}
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
}
} else {
if (State == STATE_WAIT_BUY) {
var ratioStopLoss = Math.abs((ticker.Last - LastLowPrice) / LastLowPrice) * 100;
var ratioStopProfit = Math.abs((LastSellPrice - ticker.Last) / LastSellPrice) * 100;
var ratioMaxDown = Math.abs((LastSellPrice - LastLowPrice) / LastSellPrice) * 100;
if (ticker.Last > LastSellPrice && ratioStopLoss >= StopLoss) {
State = STATE_BUY;
Log("开始止损, 当前上涨点数:", adjustFloat(ratioStopLoss), "当前价格", ticker.Last, "对比价格", adjustFloat(LastSellPrice));
} else if (ticker.Last < LastSellPrice && ticker.Last > LastLowPrice && ratioStopProfit <= (ratioMaxDown*StopProfitThreshold)) {
State = STATE_BUY;
Log("开始止盈, 当前下跌点数:", adjustFloat(ratioStopProfit), "当前价格", ticker.Last, "对比价格", adjustFloat(LastLowPrice));
}
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
LastLowPrice = Math.min(LastLowPrice, ticker.Last);
}
}
if (State != STATE_BUY && State != STATE_SELL) {
return;
}
var orders = GetOrders();
if (orders.length > 0) {
if (((State == STATE_BUY) && (LastBuyPrice >= (ticker.Buy-SlidePrice))) || ((State == STATE_SELL) && (LastSellPrice <= (ticker.Sell-SlidePrice)))) {
return;
}
}
// Buy or Sell, Cancel pending orders first
CancelPendingOrders();
// Wait Ticker Update
Sleep(3000);
var account = GetAccount();
// Update Ticker
ticker = GetTicker();
// 做多
if (!Goingshort) {
if (State == STATE_BUY) {
var tickerOther = GetTicker(exchanges[1]);
// 价差消失
if ((tickerOther.Buy - ticker.Sell) < (PriceDiff/2)) {
Log('做多价差消失:', adjustFloat(tickerOther.Buy - ticker.Sell));
if ((account.Stocks - InitAccount.Stocks) > exchange.GetMinStock()) {
State = STATE_WAIT_SELL;
} else {
State = STATE_WAIT_IDLE;
}
return;
}
var price = ticker.Buy + SlidePrice;
var amount = adjustFloat(Math.min(AmountOnce, account.Balance / price));
if (amount >= exchange.GetMinStock()) {
if (exchange.Buy(price, amount)) {
LastBuyPrice = LastHighPrice = price;
}
} else {
State = STATE_WAIT_SELL;
}
} else {
var sellAmount = Math.min(AmountOnce, account.Stocks - InitAccount.Stocks);
if (sellAmount > exchange.GetMinStock()) {
exchange.Sell(ticker.Sell - SlidePrice, sellAmount);
LastSellPrice = price;
} else {
// No stocks, wait buy and log profit
updateProft(account, InitAccount, ticker);
State = STATE_WAIT_IDLE;
}
}
} else {
if (State == STATE_BUY) {
var price = ticker.Buy + SlidePrice;
var amount = adjustFloat(Math.min(AmountOnce, account.Balance / price, InitAccount.Stocks - account.Stocks));
if (amount >= exchange.GetMinStock()) {
exchange.Buy(price, amount);
LastBuyPrice = price;
} else {
updateProft(account, InitAccount, ticker);
State = STATE_WAIT_IDLE;
}
} else {
var tickerOther = GetTicker(exchanges[1]);
// 价差消失
if ((ticker.Buy - tickerOther.Sell) < (PriceDiff/2)) {
Log('做空价差消失:', adjustFloat(ticker.Buy - tickerOther.Sell));
if ((InitAccount.Stocks - account.Stocks) > exchange.GetMinStock()) {
State = STATE_WAIT_BUY;
} else {
State = STATE_WAIT_IDLE;
}
return;
}
var price = ticker.Sell - SlidePrice;
var sellAmount = Math.min(AmountOnce, account.Stocks);
if (sellAmount > exchange.GetMinStock()) {
exchange.Sell(price, sellAmount, "做空");
LastSellPrice = LastLowPrice = price;
} else {
// No stocks, wait buy and log profit
State = STATE_WAIT_BUY;
}
}
}
}
function main() {
if (exchanges.length < 2) {
throw '最少提供一个参考平台';
}
InitAccount = GetAccount();
LoopInterval = Math.min(1, LoopInterval);
Log('交易平台:', exchange.GetName(), GetAccount());
Log('参考平台:', exchanges[1].GetName());
EnableGoingShort = EnableGoingShort && (InitAccount.Stocks > exchange.GetMinStock());
LoopInterval = Math.max(LoopInterval, 1);
while (true) {
onTick(exchange);
Sleep(LoopInterval*1000);
}
}