/*backtest
start: 2021-03-18 00:00:00
end: 2021-04-07 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"},{"eid":"Futures_OKCoin","currency":"BTC_USD"},{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
*/
//var followRatio = 2; // 设置跟单的比例，范围0-100自定义
var followRatios = [1, 3, 4]; //多个跟单账户，分别设置不同的跟单比例，第一个为参考账户默认为1
function test() {
// 测试函数
var ts = new Date().getTime()
if (ts % (1000 * 60 * 60 * 6) > 1000 * 60 * 60 * 5.5) {
Sleep(1000 * 60 * 10)
var nowPosAmount = getPosAmount(_C(exchange.GetPosition), refCt)
var longPosAmount = nowPosAmount.long
var shortPosAmount = nowPosAmount.short
var x = Math.random()
if (x > 0.7) {
exchange.SetDirection("buy")
exchange.Buy(-1, _N(Math.max(1, x * 10), 0), "参考账户测试开单#FF0000")
} else if(x < 0.2) {
exchange.SetDirection("sell")
exchange.Sell(-1, _N(Math.max(1, x * 10), 0), "参考账户测试开单#FF0000")
} else if(x >= 0.2 && x <= 0.5 && longPosAmount > 4) {
exchange.SetDirection("closebuy")
exchange.Sell(-1, longPosAmount, "参考账户测试平仓#FF0000")
} else if(shortPosAmount > 4) {
exchange.SetDirection("closesell")
exchange.Buy(-1, _N(shortPosAmount / 2, 0), "参考账户测试平仓#FF0000")
}
}
}
function getPosAmount(pos, ct) {
var longPosAmount = 0
var shortPosAmount = 0
_.each(pos, function(ele) {
if (ele.ContractType == ct && ele.Type == PD_LONG) {
longPosAmount = ele.Amount
} else if (ele.ContractType == ct && ele.Type == PD_SHORT) {
shortPosAmount = ele.Amount
}
})
return {long: longPosAmount, short: shortPosAmount}
}
function trade(e, ct, type, delta) {
var nowPosAmount = getPosAmount(_C(e.GetPosition), ct)
var nowAmount = type == PD_LONG ? nowPosAmount.long : nowPosAmount.short
if (delta > 0) {
// 开仓
var tradeFunc = type == PD_LONG ? e.Buy : e.Sell
e.SetDirection(type == PD_LONG ? "buy" : "sell")
tradeFunc(-1, delta)
} else if (delta < 0) {
// 平仓
var tradeFunc = type == PD_LONG ? e.Sell : e.Buy
e.SetDirection(type == PD_LONG ? "closebuy" : "closesell")
if (nowAmount <= 0) {
Log("未检测到持仓")
return
}
tradeFunc(-1, Math.min(nowAmount, Math.abs(delta)))
} else {
throw "错误"
}
}
function main() {
LogReset(1)
if (exchanges.length < 2) {
throw "没有跟单的交易所"
}
var exName = exchange.GetName()
// 检测参考交易所
if (!exName.includes("Futures_")) {
throw "仅支持期货跟单"
}
Log("开始监控", exName, "交易所", "#FF0000")
// 检测跟单交易所
for (var i = 1 ; i < exchanges.length ; i++) {
if (exchanges[i].GetName() != exName) {
throw "跟单的期货交易所和参考交易所不同！"
}
}
// 设置交易对、合约
_.each(exchanges, function(e) {
if (!IsVirtual()) {
e.SetCurrency(refCurrency)
if (isSimulate) {
if (e.GetName() == "Futures_OKCoin") {
e.IO("simulate", true)
}
}
}
e.SetContractType(refCt)
// 设置精度
e.SetPrecision(pricePrecision, amountPrecision)
Log("设置", e.GetName(), e.GetLabel(), "价格精度：", pricePrecision, "下单量精度：", amountPrecision)
})
var initRefPosAmount = getPosAmount(_C(exchange.GetPosition), refCt)
while(true) {
if (IsVirtual()) { // 回测时才模拟
test() // 测试函数，模拟参考账户主动交易，触发跟单账户跟单
}
Sleep(500)
var nowRefPosAmount = getPosAmount(_C(exchange.GetPosition), refCt)
var tbl = {
type : "table",
title : "持仓",
cols : ["名称", "标签", "多仓", "空仓", "账户资产（Stocks）", "账户资产（Balance）"],
rows : []
}
_.each(exchanges, function(e) {
var pos = getPosAmount(_C(e.GetPosition), refCt)
var acc = _C(e.GetAccount)
tbl.rows.push([e.GetName(), e.GetLabel(), pos.long, pos.short, acc.Stocks, acc.Balance])
})
LogStatus(_D(), "\n`" + JSON.stringify(tbl) + "`")
// 计算仓位变动量
var longPosDelta = nowRefPosAmount.long - initRefPosAmount.long
var shortPosDelta = nowRefPosAmount.short - initRefPosAmount.short
// 检测变动
if (longPosDelta == 0 && shortPosDelta == 0) {
continue
} else if(nowRefPosAmount.long == 0 && nowRefPosAmount.short == 0){
// 参考账户多头、空头仓位都为0，跟单账户准备执行市价全平操作
for (var i = 1; i < exchanges.length; i++) {
// 获取跟单账户的持仓信息
var followPos = getPosAmount(_C(exchanges[i].GetPosition), refCt);
// 如果存在多头仓位，则执行市价全平操作
if (followPos.long > 0) {
//exchanges[i].SetDirection("closesell");
exchanges[i].SetDirection("closebuy");
exchanges[i].Sell(-1, followPos.long, "参考交易所仓位为0，跟单交易所市价全平");
}
// 如果存在空头仓位，则执行市价全平操作
if (followPos.short > 0) {
//exchanges[i].SetDirection("closebuy");
exchanges[i].SetDirection("closesell");
exchanges[i].Buy(-1, followPos.short, "参考交易所仓位为0，跟单交易所市价全平");
}
}
} else {
// 检测到仓位变动
for (var i = 1 ; i < exchanges.length ; i++) {
// 执行多头动作
if (longPosDelta != 0) {
var longDelta = Math.round(longPosDelta * followRatio);
Log(exchanges[i].GetName(), exchanges[i].GetLabel(), "执行多头跟单，变动量：", longDelta)
trade(exchanges[i], refCt, PD_LONG, longDelta)
}
// 执行空头动作
if (shortPosDelta != 0) {
var shortDelta = Math.round(shortPosDelta * followRatio);
Log(exchanges[i].GetName(), exchanges[i].GetLabel(), "执行空头跟单，变动量：", shortDelta)
trade(exchanges[i], refCt, PD_SHORT, shortDelta)
}
}
}
// 执行跟单操作后，更新
initRefPosAmount = nowRefPosAmount
}
}
samckp000कैसे संपर्क करें?
गुओहवायह एक रोबोट है जिसे ड्रीम ने लिखा है और मैंने कोड की कुछ पंक्तियों को थोड़ा संशोधित किया है।
गुओहवाजोड़ा गया एक्सचेंज पहला संदर्भ के लिए (बैंड) एक्सचेंज, अन्य एक्सचेंजों के लिए अनुसूची एक्सचेंज, बहु-एक्सचेंज अनुसूची का समर्थन कर सकते हैं, संदेशों के आदान-प्रदान का स्वागत है
गुओहवाwx उपयोगकर्ता नाम