Bybit Algorithm Plug - VWAP (BTC)
Penulis:Kacang polong, Tanggal: 2020-01-26 18:51:44Tag:
Di sini kita mulai berbagi strategi jarum suntik untuk versi asli Bybit.
Apa penyebab utama?
Saya tidak tahu apa yang terjadi. Anda mengatakan sumber daya yang baik, tidak ada yang tahu bahwa Anda dijual dengan marah... Semoga kakakku tidak seperti ini~ Di sini, sumber terbuka langsung. Dia juga mengatakan, "Saya tidak tahu apa yang akan terjadi di masa depan", katanya.
Semua orang bermain-main. Jangan menghabiskan uang untuk membeli kode sumber saya ~ Anda bisa langsung menggunakannya!
"Saya tidak tahu apa yang akan terjadi. Jika Anda ingin tahu lebih banyak tentang strategi kerugian, silakan ikuti daftar kuantitatif kacang kedelai. WX: wangxiaoba
(●’◡’●)
// 判断uid权限 (UID list + getAccount uid 校验)
function user_auth() {
user_list = [775536, 783571, 789086, 819490, 1265698, 1294567, 1299150]
user_id = account.Info.result[0].user_id
//Log(user_id)
if (user_list.indexOf(user_id) == -1) {
throw new Error('用户认证错误, 请联系微信: wangxiaoba')
}
}
// 计算获取VWAP及上下边界 Bybit
function VWAP() {
// 定义K线, 计算VWAP
if (records.length > 1440) {
records.splice(0, 1);
}
var n = records.length - 1
//Log(n)
var total_sum = 0.0
var volume_sum = 0
vwap_arr = []
vwap_up_arr = []
vwap_dw_arr = []
for (var i = 0; i < n + 1; i++) {
var high_price = records[i].High
//Log("log high_price " + high_price)
var low_price = records[i].Low
var close_price = records[i].Close
//Log("log low_price " + low_price)
var price = (high_price + low_price + close_price) / 3
//Log("price", price)
var volume = records[i].Volume
//Log("log volume " + volume)
total_sum += price * volume
//Log("log total_sum " + total_sum)
volume_sum += volume
//Log("log volume_sum " + volume_sum)
var re = total_sum / volume_sum
var re_up = re * (1 + long_vwap_offset / 100)
var re_dw = re * (1 - short_vwap_offset / 100)
vwap_arr.push(re)
vwap_up_arr.push(re_up)
vwap_dw_arr.push(re_dw)
//return total_sum / volume_sum
}
if (vwap_arr.length > 2000) {
vwap_arr.splice(0, 1);
}
if (vwap_up_arr.length > 2000) {
vwap_up_arr.splice(0, 1);
}
if (vwap_dw_arr.length > 2000) {
vwap_dw_arr.splice(0, 1);
}
vwap = vwap_arr[vwap_arr.length - 1]
vwap_up = vwap_up_arr[vwap_arr.length - 1]
vwap_dw = vwap_dw_arr[vwap_arr.length - 1]
//Log("log vwap " + vwap, "log vwap_up " + vwap_up, "log vwap_dw " + vwap_dw)
}
// 画线
function PlotMA_Kline(records, isFirst) {
$.PlotRecords(records, "K")
if (isFirst) {
for (var i = records.length - 1; i >= 0; i--) {
if (vwap_arr[i] !== null) {
$.PlotLine("vwap", vwap_arr[i], records[i].Time)
$.PlotLine("vwap_up", vwap_up_arr[i], records[i].Time)
$.PlotLine("vwap_dw", vwap_dw_arr[i], records[i].Time)
}
}
PreBarTime = records[records.length - 1].Time
} else {
if (PreBarTime !== records[records.length - 1].Time) {
$.PlotLine("vwap", vwap_arr[vwap_arr.length - 2], records[records.length - 2].Time)
$.PlotLine("vwap_up", vwap_up_arr[vwap_up_arr.length - 2], records[records.length - 2].Time)
$.PlotLine("vwap_dw", vwap_dw_arr[vwap_dw_arr.length - 2], records[records.length - 2].Time)
PreBarTime = records[records.length - 1].Time
}
$.PlotLine("vwap", vwap_arr[vwap_arr.length - 1], records[records.length - 1].Time)
$.PlotLine("vwap_up", vwap_up_arr[vwap_up_arr.length - 1], records[records.length - 1].Time)
$.PlotLine("vwap_dw", vwap_dw_arr[vwap_dw_arr.length - 1], records[records.length - 1].Time)
}
}
// 封装下单, 多, 空 Bybit
// 定义Buy
function buy(Price, Amount, dec) {
exchange.SetDirection("buy");
var orderId = null;
orderId = exchange.Buy(Price, Amount, dec, '@');
while (!orderId && typeof(orderId) != "undefined" && orderId != 0) {
Log(orderId);
Sleep(100);
orderId = exchange.Buy(Price, Amount, dec, '@');
}
return orderId;
}
// 定义Sell
function sell(Price, Amount, dec) {
exchange.SetDirection("sell");
var orderId = null;
orderId = exchange.Sell(Price, Amount, dec, '@');
while (!orderId && typeof(orderId) != "undefined" && orderId != 0) {
Log(orderId);
Sleep(100);
orderId = exchange.Sell(Price, Amount, dec, '@');
}
return orderId;
}
// 账户信息
function AccountInfo() {
// 资产信息表
var AccountTab = {
type: "table",
title: "资产信息",
cols: ["仓位", "持仓方向", "持仓均价", "当前价格", "爆仓点位", "杠杆倍数", "仓位盈亏", "起始资产值", "总资产", "净资产", "总盈亏"],
rows: [],
}
AccountTab.rows.push([account.Info.result[0].size, CW, account.Info.result[0].entry_price, ticker.Last, account.Info.result[0].liq_price, account.Info.result[0].leverage, account.Info.result[0].unrealised_pnl, start_balance, account.Info.result[0].wallet_balance, jzc, pt])
LogStatus(_D() + ' STATUS: ' + CW + '\n' +
'总计可下单量(*杠杆): ' + yue + '\n' +
'index: ' + index + '\n' +
'VWAP: ' + vwap + '\n' +
'VWAP_UP: ' + vwap_up + '\n' +
'VWAP_DW: ' + vwap_dw + '\n' +
'N: ' + records.length + '\n' +
'WX: wangxiaoba' + '\n' +
'`' + JSON.stringify([AccountTab]) + '`' + '\n');
}
// 状态判断
function Status() {
if (account.Info.result[0].side === "Buy") {
status = PD_LONG;
CW = "LONG";
} else if (account.Info.result[0].side === "Sell") {
status = PD_SHORT;
CW = "SHORT";
} else {
status = idle;
CW = "IDLE";
}
}
// 追踪止盈 初始%, 追踪U
function TP() {
var TP_first_long = account.Info.result[0].entry_price + take_profit
var TP_trailing_long = TP_HH - trailing_profit
var TP_first_short = account.Info.result[0].entry_price - take_profit
var TP_trailing_short = TP_LL + trailing_profit
// 当多仓时, 现价大于开仓+初始止赢价 -> 触发追踪止盈
if ((status === PD_LONG) && (ticker.Last > TP_first_long)) {
// Log('当多仓时, 现价大于开仓+初始止赢价 -> 触发追踪止盈', TP_HH)
TP_status = true
// 触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最大价格更新为现价
if (TP_status === true && TP_HH == 0) {
Log('触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最大价格更新为现价', TP_HH)
TP_HH = ticker.Last
}
// 触发追踪止盈, 已有开仓后最大价格, 现价大于开仓后最大价格 -> 开仓后最大价格更新为现价
else if (TP_status === true && TP_HH != 0 && ticker.Last > TP_HH) {
Log('触发追踪止盈, 已有开仓后最大价格, 现价大于开仓后最大价格 -> 开仓后最大价格更新为现价', TP_HH)
TP_HH = ticker.Last
}
// 触发追踪止盈, 已有开仓后最大价格, 现价小于 (开仓后最大价格减 - 回撤USD) -> 开空平仓止盈
else if (TP_status === true && TP_HH != 0 && ticker.Last < TP_trailing_long) {
Log('触发追踪止盈, 已有开仓后最大价格, 现价小于 (开仓后最大价格减 - 回撤USD) -> 开空平仓止盈', TP_HH)
sell(-1, account.Info.result[0].size, "在" + ticker.Last + "止赢平多仓!! 开仓价格: " + account.Info.result[0].entry_price + "数量: " + account.Info.result[0].size)
status = idle
$.PlotFlag(new Date().getTime(), 'Close_Long', 'PT_L')
TP_status = false
TP_HH = 0
LogProfit(pt, pt * ticker.Last)
}
}
// 当空仓时, 现价小于开仓-初始止赢价 -> 触发追踪止盈
else if ((status === PD_SHORT) && (ticker.Last < TP_first_short)) {
// Log('当空仓时, 现价小于开仓-初始止赢价 -> 触发追踪止盈', TP_LL)
TP_status = true
// 触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最小价格更新为现价
if (TP_status === true && TP_LL == 0) {
Log('触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最小价格更新为现价', TP_LL)
TP_LL = ticker.Last
}
// 触发追踪止盈, 已有开仓后最小价格, 现价小于开仓后最小价格 -> 开仓后最小价格更新为现价
else if (TP_status === true && TP_LL != 0 && ticker.Last < TP_LL) {
Log('触发追踪止盈, 已有开仓后最小价格, 现价小于开仓后最小价格 -> 开仓后最小价格更新为现价', TP_LL)
TP_LL = ticker.Last
}
// 触发追踪止盈, 已有开仓后最小价格, 现价大于 (开仓后最小价格减 + 回撤USD) -> 开多平仓止盈
else if (TP_status === true && TP_LL != 0 && ticker.Last > TP_trailing_short) {
Log('触发追踪止盈, 已有开仓后最小价格, 现价大于 (开仓后最小价格减 + 回撤USD) -> 开多平仓止盈', TP_LL)
buy(-1, account.Info.result[0].size, "在" + ticker.Last + "止赢平空仓!! 开仓价格: " + account.Info.result[0].entry_price + "数量: " + account.Info.result[0].size)
status = idle
$.PlotFlag(new Date().getTime(), 'Close_Short', 'PT_S')
TP_status = false
TP_LL = 0
LogProfit(pt, pt * ticker.Last)
}
}
}
// 止损 %
function Stoploss() {
// 当多仓时, 现价小于开仓-止损价, 做空平多
if ((status === PD_LONG) && (ticker.Last < account.Info.result[0].entry_price - (ticker.Last * stop_loss / 100))) {
Log('当多仓时, 现价小于开仓-止损价, 做空平多')
sell(-1, account.Info.result[0].size, "在" + ticker.Last + "止损平多仓!! 开仓价格: " + account.Info.result[0].entry_price + " 数量: " + account.Info.result[0].size)
status = idle
isstoploss = true
$.PlotFlag(new Date().getTime(), 'Close_Long', 'ST_L')
LogProfit(pt, pt * ticker.Last)
}
// 当空仓时, 现价大于开仓+止损价, 做多平空
else if ((status === PD_SHORT) && (ticker.Last > account.Info.result[0].entry_price + (ticker.Last * stop_loss / 100))) {
Log('当空仓时, 现价大于开仓+止损价, 做多平空')
buy(-1, account.Info.result[0].size, "在" + ticker.Last + "止损平空仓!! 开仓价格: " + account.Info.result[0].entry_price + " 数量: " + account.Info.result[0].size)
status = idle
isstoploss = true
$.PlotFlag(new Date().getTime(), 'Close_Short', 'ST_S')
LogProfit(pt, pt * ticker.Last)
}
}
function AtrIndex() {
if (records && records.length > 14) {
var atr = TA.ATR(records, 14)
}
if (atr && atr.length > 20) {
var eamatr = TA.EMA(atr, 20)
// Log(eamatr[eamatr.length - 1])
}
if (eamatr){
var temp = 0
for(var i=0; i<eamatr.length; i++){
temp += atr[atr.length - 1]/eamatr[eamatr.length - 1]
}
}
index = _N((temp/eamatr.length), 4)
}
// 计算收益
function PT_log() {
time = new Date().getTime();
if (time >= (timep + 7200000)) {
LogProfit(pt, pt * ticker.Last);
timep = time;
}
}
function main() {
// 初始化参数
PreBarTime = 0
isFirst = true
exchange.SetMarginLevel(GG)
exchange.SetContractType('swap');
_CDelay(100);
idle = -1;
status = idle;
CW = 0;
timep = 0;
TP_status = false // 是否触发追踪止盈
TP_HH = 0
TP_LL = 0
isstoploss = false
index = 0
// WS 配置
var param = {
"op": "subscribe",
"args": "liquidation"
}
var client = Dial("wss://www.bitmex.com/realtime|reconnect=true&payload=" + JSON.stringify(param), 3800)
client.write('{"op": "subscribe", "args": "liquidation"}')
while (1) {
// 定义基本信息
account = _C(exchange.GetAccount)
records_5m = _C(exchange.GetRecords, PERIOD_M5)
records = _C(exchange.GetRecords, PERIOD_M1)
ticker = _C(exchange.GetTicker)
yue = account.Info.result[0].wallet_balance * ticker.Last * GG; // 总可开仓量 (钱包币 x 最新价格 x 杠杆倍数)
jzc = account.Info.result[0].wallet_balance + account.Info.result[0].unrealised_pnl; // 净资产量 (总资产 - 未结盈亏)
pt = jzc - start_balance; // 盈利 (净资产 - 初始币量)
//Log('初始化')
// 状态判断
Status()
//Log('状态判断')
// 权限验证
// user_auth()
//Log('权限验证')
// 封装指标, 并画K线
AtrIndex()
VWAP()
//Log('指标封装')
if (records) {
PlotMA_Kline(records_5m, isFirst)
//Log('画线')
isFirst = false
}
// 读取WS消息
bitmexData = client.read(-1)
obj = null
//Log('读取WS消息')
if (bitmexData) {
obj = JSON.parse(bitmexData)
//Log('bitmex liquidation Data ', obj)
}
//Log('读取WS消息完毕')
// 下单逻辑!
// 判断交易对, 及清算值 (BTC>100000, ETH>7500 , EOS?? , XRP??) {"table":"liquidation","action":"insert","data":[{"orderID":"77e987c5-03c2-814e-0fb3-5632f9438f31","symbol":"XBTUSD","side":"Buy","price":9938,"leavesQty":32618}]}
// 交易对
if (obj) {
if (obj.table == "liquidation" && obj.action == "insert" && obj.data[0].symbol == "XBTUSD") {
// Log('判断交易对')
// 方向和大小
// 当清算方向为Buy, 清算量大于10W, 最新价格大于vwap上界时, 小于最大开仓量!! 做空
if (obj.data[0].side == "Buy" && obj.data[0].leavesQty > 250000 && ticker.Last > vwap_up && account.Info.result[0].size < maxPosition) {
Log('判断大小方向, 空')
sell(-1, short_qty, "在" + ticker.Last + "- 做空 " + short_qty + "|")
$.PlotFlag(new Date().getTime(), 'Sell', 'SK')
}
// 当清算方向为Sell, 清算量大于10W, 最新价格小于vwap下界时, 小于最大开仓量!! 做多
else if (obj.data[0].side == "Sell" && obj.data[0].leavesQty > 250000 && ticker.Last < vwap_dw && account.Info.result[0].size < maxPosition) {
Log('判断大小方向, 多')
buy(-1, long_qty, "在" + ticker.Last + "- 做多 " + long_qty + "|")
$.PlotFlag(new Date().getTime(), 'Buy', 'BK')
}
}
}
// 止损
Stoploss()
if (isstoploss === true) {
Log("触发止损, 止损后暂停!! " + stop_step + "s!!!")
AccountInfo()
Sleep(stop_step * 1000)
isstoploss = false
}
//Log('止损')
// 追踪止盈
TP()
//Log('追踪止盈')
// 账户信息更新
AccountInfo()
// 间隔时间
//Log('间隔时间')
Sleep(600);
}
}
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