상품 선물 거래 클래식 목록 (하위 가격 단위 기능이 추가되었습니다)

저자:에드워드, 날짜: 2016-04-25 10:50:58
태그:도구재화 선물
6.24 업데이트, 4가지 나이트 타임 타입을 개선, 토요일 아침의 나이트 타임이 거래 시간으로 포함 원래의 제로 제공 버전의 기반에, 낮은 가격 목록과 제한 가격 목록의 기능을 추가하여 지불을 편리하게합니다. 현재가 거래 시간인지 판단하는 기능이 추가되었으며, 동시에 휴일 사용자 정의 기능을 제공합니다.
function GetPosition(e, contractType, direction) {
    var allCost = 0;
    var allAmount = 0;
    var allProfit = 0;
    var allFrozen = 0;
    var posMargin = 0;
    var positions = _C(e.GetPosition);
    for (var i = 0; i < positions.length; i++) {
        if (positions[i].ContractType == contractType &&
            (((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) && direction == PD_LONG) || ((positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) && direction == PD_SHORT))
        ) {
            posMargin = positions[i].MarginLevel;
            allCost += (positions[i].Price * positions[i].Amount);
            allAmount += positions[i].Amount;
            allProfit += positions[i].Profit;
            allFrozen += positions[i].FrozenAmount;
        }
    }
    if (allAmount === 0) {
        return null;
    }
    return {
        MarginLevel: posMargin,
        FrozenAmount: allFrozen,
        Price: _N(allCost / allAmount),
        Amount: allAmount,
        Profit: allProfit,
        Type: direction,
        ContractType: contractType
    };
}



function Open(e, contractType, direction, opAmount, price) {
    var initPosition = GetPosition(e, contractType, direction);
    var isFirst = true;
    var initAmount = initPosition ? initPosition.Amount : 0;
    var positionNow = initPosition;
    while (true) {
        var needOpen = opAmount;
        if (isFirst) {
            isFirst = false;
        } else {
            positionNow = GetPosition(e, contractType, direction);
            if (positionNow) {
                needOpen = opAmount - (positionNow.Amount - initAmount);
            }
        }
        var insDetail = _C(e.SetContractType, contractType);
        //Log("初始持仓", initAmount, "当前持仓", positionNow, "需要加仓", needOpen);
        if (needOpen < insDetail.MinLimitOrderVolume) {
            break;
        }
        var depth = _C(e.GetDepth);
        var pr = price;
        if (!price) pr = direction == PD_LONG ? depth.Asks[0].Price : depth.Bids[0].Price;
        var amount = Math.min(insDetail.MaxLimitOrderVolume, needOpen);
        e.SetDirection(direction == PD_LONG ? "buy" : "sell");
        var orderId;
        if (direction == PD_LONG) {
            orderId = e.Buy(pr + SlidePrice, Math.min(amount, depth.Asks[0].Amount), contractType, 'Ask', depth);
        } else {
            orderId = e.Sell(pr - SlidePrice, Math.min(amount, depth.Bids[0].Amount), contractType, 'Bid', depth);
        }
        // CancelPendingOrders
        while (true) {
            Sleep(Interval);
            var orders = _C(e.GetOrders);
            if (orders.length === 0) {
                break;
            }
            for (var j = 0; j < orders.length; j++) {
                e.CancelOrder(orders[j].Id);
                if (j < (orders.length - 1)) {
                    Sleep(Interval);
                }
            }
        }
    }
    var ret = {
        price: 0,
        amount: 0,
        position: positionNow
    };
    if (!positionNow) {
        return ret;
    }
    if (!initPosition) {
        ret.price = positionNow.Price;
        ret.amount = positionNow.Amount;
    } else {
        ret.amount = positionNow.Amount - initPosition.Amount;
        ret.price = _N(((positionNow.Price * positionNow.Amount) - (initPosition.Price * initPosition.Amount)) / ret.amount);
    }
    return ret;
}

function Cover(e, contractType, price) {
    var insDetail = _C(e.SetContractType, contractType);
    while (true) {
        var n = 0;
        var positions = _C(e.GetPosition);
        for (var i = 0; i < positions.length; i++) {
            if (positions[i].ContractType != contractType) {
                continue;
            }
            while (positions[i].FrozenAmount !== 0) {
                var orders = _C(e.GetOrders);
                if (orders.length === 0) {
                    break;
                }
                for (var j = 0; j < orders.length; j++) {
                    e.CancelOrder(orders[j].Id);
                    if (j < (orders.length - 1)) {
                        Sleep(Interval);
                    }
                }
                positions = _C(e.GetPosition);
            }
            var amount = Math.min(insDetail.MaxLimitOrderVolume, positions[i].Amount);
            var depth;
            if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) {
                depth = _C(e.GetDepth);
                var pr = price;
                if (!price) pr = depth.Bids[0].Price;
                e.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy");
                e.Sell(pr - SlidePrice, Math.min(amount, depth.Bids[0].Amount), contractType, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]);
                n++;
            } else if (positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) {
                depth = _C(e.GetDepth);
                var pr = price;
                if (!price) pr = depth.Asks[0].Price;
                e.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell");
                e.Buy(pr + SlidePrice, Math.min(amount, depth.Asks[0].Amount), contractType, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]);
                n++;
            }
        }
        if (n === 0 || price) {
            break;
        }
        while (true) {
            Sleep(Interval);
            var orders = _C(e.GetOrders);
            if (orders.length === 0) {
                break;
            }
            for (var j = 0; j < orders.length; j++) {
                e.CancelOrder(orders[j].Id);
                if (j < (orders.length - 1)) {
                    Sleep(Interval);
                }
            }
        }
    }
}


var PositionManager = (function() {
    function PositionManager(e) {
        if (typeof(e) === 'undefined') {
            e = exchange;
        }
        if (e.GetName() !== 'Futures_CTP') {
            throw 'Only support CTP';
        }
        this.e = e;
        this.account = null;
    }
    PositionManager.prototype.GetAccount = function() {
        return _C(this.e.GetAccount);
    };

    PositionManager.prototype.OpenLong = function(contractType, shares, price) {
        if (!this.account) {
            this.account = _C(exchange.GetAccount);
        }
        return Open(this.e, contractType, PD_LONG, shares, price, price);
    };

    PositionManager.prototype.OpenShort = function(contractType, shares, price) {
        if (!this.account) {
            this.account = _C(exchange.GetAccount);
        }
        return Open(this.e, contractType, PD_SHORT, shares, price);
    };

    PositionManager.prototype.Cover = function(contractType, price) {
        if (!this.account) {
            this.account = _C(exchange.GetAccount);
        }
        return Cover(this.e, contractType, price);
    };

    PositionManager.prototype.Profit = function(contractType) {
        var accountNow = _C(this.e.GetAccount);
        return _N(accountNow.Balance - this.account.Balance);
    };

    return PositionManager;
})();

$.NewPositionManager = function(e) {
    return new PositionManager(e);
};

function getHolidays(holidaysList) {
    if (!holidaysList) return {
        'mon': [],
        'day': []
    };
    var x = holidaysList.split(',');
    var t = {
        'mon': [],
        'day': []
    };
    for (var i = 0; i < x.length; i++) {
        var m = x[i].split('.');
        t.mon.push(m[0]);
        t.day.push(m[1]);
    }
    return t;
}

$.judgeTrading = function() {
    var now = new Date();
    var day = now.getDay();
    var mon = now.getMonth() + 1;
    var min = now.getMinutes();
    var date = now.getDate();
    var hours = now.getHours();
    var isHolidays = false;
    var holidays = getHolidays(holidaysList);
    if (holidays) {
        for (var i = 0; i < holidays.mon.length; i++) {
            if (holidays.mon[i] == mon && holidays.day[i] == date) {
                isHolidays = true;
                break;
            }
        }
    }
    if (day === 0 || (day === 6 && hours>=3) || isHolidays) return false;
    else if ((hours >= 9 && hours <= 11) || (hours >= 13 && hours < 15)) {
        if (hours == 11 && min >= 30) return false;
        else if (hours == 13 && min < 30) return false;
        else if ((hours == 10 && min >= 15) && (hours == 10 && min < 30)) return false;
        else return true;
    } else if (nightType == 1 && hours >= 21 && hours < 23) return true;
    else if (nightType == 2 && ((hours >= 21 && hours < 24) || (hours >= 0 && hours < 1 && day !== 1))) return true;
    else if(nightType===3&& ((hours>=21&&hours<23)||(hours===23&&min<30))) return true;
    else if(nightType===4&&((hours >= 21 && hours < 24)||(hours>=0&&hours<2)||(hours===2&&min<30))&&day!==1) return true;
    else return false;
};

//未成功登陆前要多次尝试login，所以写了一个准备交易的函数，可以放到main函数开头
$.ready4ctp = function(contractType) {
    var insDetail;
    var retry = 0;
    while (!(insDetail = exchange.SetContractType(contractType)) && retry < 20) {
        Sleep(2000);
        retry++;
    }
    if (insDetail) Log("合约", insDetail.InstrumentName, "一手", insDetail.VolumeMultiple, "份, 最大下单量", insDetail.MaxLimitOrderVolume, "保证金率:", insDetail.LongMarginRatio, "交割日期", insDetail.StartDelivDate);
    else throw ('连接超时，请检查账号');
    return insDetail;
};

function main() {
    $.ready4ctp('MA609');
    var isTrading = $.judgeTrading();
    Log('当前正在交易？:'+isTrading);
    var p = $.NewPositionManager();
    p.OpenShort("MA609", 1, 1000);
    Sleep(60000 * 10);
    p.Cover("MA609", 1000);
    p.Cover('MA609');
    LogProfit(p.Profit());

}