Multi platform hedging stabilised leverage V2.1 (2018-03-27 15:49:55)

Penulis:Tidak ada, Tanggal: 2014-06-19 07:40:53
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Program ini secara otomatis mengubah nilai tukar mata uang, biaya operasi, pesanan referensi harga beli dan jual, perhatikan ini bukan pemindahan, ini adalah hedging! tidak perlu mentransfer uang atau koin secara manual, satu setoran, satu setoran, satu beli, satu jual, mode hedging lanjutan. Model ini adalah model hedging dimana harga mata uang naik atau turun, tetapi hanya naik dan turun. Anda perlu satu deposit, satu deposit, misalnya, BTC sekarang 4000, satu bursa $2000, satu deposit $0.5 atau dua kali lipat. MaxDiff adalah perbedaan minimum platform, SlidePrice adalah harga geser saat memesan, pembayaran ditambah dengan harga ini, pesanan dijual dikurangi dengan harga ini, TickIntervalS adalah siklus deteksi. Saat harga jatuh, mata uang virtual tidak akan beroperasi, dan ketika mata uang virtual naik, mata uang virtual tidak akan beroperasi, untuk mencegah platform yang jahat memberi robot setelan. Mengharuskan versi sistem 1.7 atau lebih


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));
    }
}

Lebih banyak

Setengah dari delapan cincinApa fungsi dari fungsi GetFee?

RuiscfApakah ini masih bekerja?

Kapal Tenggelam 7Apakah okcoin futures bisa digunakan?

Tidak adaIni adalah strategi langsung, tidak mendukung futures.