격자 변형 전략의 단면 격자

저자:제로, 날짜: 2014-09-24 11:38:00
태그:격자
그레이드가 방향을 설정할 수 있습니다. 사면 팔면: 네트워크는 첫 번째 가격부터 아래로 청구서를 매달아, 각 청구서 간격 가격 간격 이 매개 변수,挂单数量은 "单笔数量",挂足 총 수 한 청구서, 임의의 청구서 거래가 완료된 후, 프로그램은 구매 가격에 따라 추가 가격 차이 ((元) 이 매개 변수의 값의 가격 판매 주문, 판매, 판매 후, 다시 원래의 grid의 가격에 따라 挂单 판매 후 구매: 다른 방식으로 작동합니다.
이 전략의 가장 큰 위험은 단일 시장이며, 가격 변동은 격자 범위를 초월합니다.
자동 중단 및 이동 기능이있는 격자
function hasOrder(orders, orderId) {
    for (var i = 0; i < orders.length; i++) {
        if (orders[i].Id == orderId) {
            return true;
        }
    }
    return false;
}


function cancelPending() {
    var ret = false;
    while (true) {
        if (ret) {
            Sleep(Interval);
        }
        var orders = _C(exchange.GetOrders);
        if (orders.length == 0) {
            break;
        }

        for (var j = 0; j < orders.length; j++) {
            exchange.CancelOrder(orders[j].Id, orders[j]);
            ret = true;
        }
    }
    return ret;
}

function valuesToString(values, pos) {
    var result = '';
    if (typeof(pos) === 'undefined') {
        pos = 0;
    }
    for (var i = pos; i < values.length; i++) {
        if (i > pos) {
            result += ' ';
        }
        if (values[i] === null) {
            result += 'null';
        } else if (typeof(values[i]) == 'undefined') {
            result += 'undefined';
        } else {
            switch (values[i].constructor.name) {
                case 'Date':
                case 'Number':
                case 'String':
                case 'Function':
                    result += values[i].toString();
                    break;
                default:
                    result += JSON.stringify(values[i]);
                    break;
            }
        }
    }
    return result;
}

function Trader() {
    var vId = 0;
    var orderBooks = [];
    var hisBooks = [];
    var orderBooksLen = 0;
    this.Buy = function(price, amount, extra) {
        if (typeof(extra) === 'undefined') {
            extra = '';
        } else {
            extra = valuesToString(arguments, 2);
        }
        vId++;
        var orderId = "V" + vId;
        orderBooks[orderId] = {
            Type: ORDER_TYPE_BUY,
            Status: ORDER_STATE_PENDING,
            Id: 0,
            Price: price,
            Amount: amount,
            Extra: extra
        };
        orderBooksLen++;
        return orderId;
    };
    this.Sell = function(price, amount, extra) {
        if (typeof(extra) === 'undefined') {
            extra = '';
        } else {
            extra = valuesToString(arguments, 2);
        }
        vId++;
        var orderId = "V" + vId;
        orderBooks[orderId] = {
            Type: ORDER_TYPE_SELL,
            Status: ORDER_STATE_PENDING,
            Id: 0,
            Price: price,
            Amount: amount,
            Extra: extra
        };
        orderBooksLen++;
        return orderId;
    };
    this.GetOrders = function() {
        var orders = _C(exchange.GetOrders);
        for (orderId in orderBooks) {
            var order = orderBooks[orderId];
            if (order.Status !== ORDER_STATE_PENDING) {
                continue;
            }
            var found = false;
            for (var i = 0; i < orders.length; i++) {
                if (orders[i].Id == order.Id) {
                    found = true;
                    break;
                }
            }
            if (!found) {
                orders.push(orderBooks[orderId]);
            }
        }
        return orders;
    }
    this.GetOrder = function(orderId) {
        if (orderId && orderId.toString().indexOf("V") != 0) {
            return exchange.GetOrder(orderId);
        }
        if (typeof(hisBooks[orderId]) !== 'undefined') {
            return hisBooks[orderId];
        }
        if (typeof(orderBooks[orderId]) !== 'undefined') {
            return orderBooks[orderId];
        }
        return null;
    };
    this.Len = function() {
        return orderBooksLen;
    };
    this.RealLen = function() {
        var n = 0;
        for (orderId in orderBooks) {
            if (orderBooks[orderId].Id > 0) {
                n++;
            }
        }
        return n;
    };
    this.Poll = function(ticker, priceDiff) {
        var orders = _C(exchange.GetOrders);
        for (orderId in orderBooks) {
            var order = orderBooks[orderId];
            if (order.Id > 0) {
                var found = false;
                for (var i = 0; i < orders.length; i++) {
                    if (order.Id == orders[i].Id) {
                        found = true;
                    }
                }
                if (!found) {
                    order.Status = ORDER_STATE_CLOSED;
                    hisBooks[orderId] = order;
                    delete(orderBooks[orderId]);
                    orderBooksLen--;
                    continue;
                }
            }
            var diff = _N(order.Type == ORDER_TYPE_BUY ? (ticker.Buy - order.Price) : (order.Price - ticker.Sell));
            var pfn = order.Type == ORDER_TYPE_BUY ? exchange.Buy : exchange.Sell;
            if (order.Id == 0 && diff <= priceDiff) {
                var realId = pfn(order.Price, order.Amount, order.Extra + "(距离: " + diff + (order.Type == ORDER_TYPE_BUY ? (" 买一: " + ticker.Buy) : (" 卖一: " + ticker.Sell))+")");
                if (realId) {
                    order.Id = realId;
                }
            } else if (order.Id > 0 && diff > (priceDiff + 1)) {
                var ok = true;
                do {
                    ok = true;
                    exchange.CancelOrder(order.Id, "不必要的" + (order.Type == ORDER_TYPE_BUY ? "买单" : "卖单"), "委托价:", order.Price, "量:", order.Amount, ", 距离:", diff, order.Type == ORDER_TYPE_BUY ? ("买一: " + ticker.Buy) : ("卖一: " + ticker.Sell));
                    Sleep(200);
                    orders = _C(exchange.GetOrders);
                    for (var i = 0; i < orders.length; i++) {
                        if (orders[i].Id == order.Id) {
                            ok = false;
                        }
                    }
                } while (!ok);
                order.Id = 0;
            }
        }
    };
}

function balanceAccount(orgAccount, initAccount) {
    cancelPending();
    var nowAccount = _C(exchange.GetAccount);
    var slidePrice = 0.2;
    var ok = true;
    while (true) {
        var diff = _N(nowAccount.Stocks - initAccount.Stocks);
        if (Math.abs(diff) < MinStock) {
            break;
        }
        var depth = _C(exchange.GetDepth);
        var books = diff > 0 ? depth.Bids : depth.Asks;
        var n = 0;
        var price = 0;
        for (var i = 0; i < books.length; i++) {
            n += books[i].Amount;
            if (n >= Math.abs(diff)) {
                price = books[i].Price;
                break;
            }
        }
        var pfn = diff > 0 ? exchange.Sell : exchange.Buy;
        var amount = Math.abs(diff);
        var price = diff > 0 ? (price - slidePrice) : (price + slidePrice);
        Log("开始平衡", (diff > 0 ? "卖出" : "买入"), amount, "个币");
        if (diff > 0) {
            amount = Math.min(nowAccount.Stocks, amount);
        } else {
            amount = Math.min(nowAccount.Balance / price, amount);
        }
        if (amount < MinStock) {
            Log("资金不足, 无法平衡到初始状态");
            ok = false;
            break;
        }
        pfn(price, amount);
        Sleep(1000);
        cancelPending();
        nowAccount = _C(exchange.GetAccount);
    }
    if (ok) {
        LogProfit(_N(nowAccount.Balance - orgAccount.Balance));
        Log("平衡完成", nowAccount);
    }
}

var STATE_WAIT_OPEN = 0;
var STATE_WAIT_COVER = 1;
var STATE_WAIT_CLOSE = 2;
var ProfitCount = 0;
var BuyFirst = true;
var IsSupportGetOrder = true;
var LastBusy = 0;

function setBusy() {
    LastBusy = new Date();
}

function isTimeout() {
    if (MaxIdle <= 0) {
        return false;
    }
    var now = new Date();
    if (((now.getTime() - LastBusy.getTime()) / 1000) >= MaxIdle) {
        LastBusy = now;
        return true;
    }
    return false;
}

function onexit() {
    if (CancelAllWS) {
        Log("正在退出, 尝试取消所有挂单");
        cancelPending();
    }
    Log("策略成功停止");
    Log(_C(exchange.GetAccount));
}


function fishing(orgAccount, fishCount) {
    setBusy();
    var account = _C(exchange.GetAccount);
    Log(account);
    var InitAccount = account;
    var ticker = _C(exchange.GetTicker);
    var amount = _N(AmountOnce);
    var amountB = [amount];
    var amountS = [amount];
    if (typeof(AmountType) !== 'undefined' && AmountType == 1) {
        for (var idx = 0; idx < AllNum; idx++) {
            amountB[idx] = BAmountOnce;
            amountS[idx] = SAmountOnce;
        }
    } else {
        for (var idx = 1; idx < AllNum; idx++) {
            switch (AmountCoefficient[0]) {
                case '+':
                    amountB[idx] = amountB[idx - 1] + parseFloat(AmountCoefficient.substring(1));
                    break;
                case '-':
                    amountB[idx] = amountB[idx - 1] - parseFloat(AmountCoefficient.substring(1));
                    break;
                case '*':
                    amountB[idx] = amountB[idx - 1] * parseFloat(AmountCoefficient.substring(1));
                    break;
                case '/':
                    amountB[idx] = amountB[idx - 1] / parseFloat(AmountCoefficient.substring(1));
                    break;
            }
            amountB[idx] = _N(amountB[idx], AmountDot);
            amountS[idx] = amountB[idx];
        }
    }
    if (FirstPriceAuto) {
        FirstPrice = BuyFirst ? _N(ticker.Buy - PriceGrid, Precision) : _N(ticker.Sell + PriceGrid, Precision);
    }
    // Initialize fish table
    var fishTable = {};
    var uuidTable = {};
    var needStocks = 0;
    var needMoney = 0;
    var actualNeedMoney = 0;
    var actualNeedStocks = 0;
    var notEnough = false;
    var canNum = 0;
    for (var idx = 0; idx < AllNum; idx++) {
        var price = _N((BuyFirst ? FirstPrice - (idx * PriceGrid) : FirstPrice + (idx * PriceGrid)), Precision);
        needStocks += amountS[idx];
        needMoney += price * amountB[idx];
        if (BuyFirst) {
            if (_N(needMoney) <= _N(account.Balance)) {
                actualNeedMondy = needMoney;
                actualNeedStocks = needStocks;
                canNum++;
            } else {
                notEnough = true;
            }
        } else {
            if (_N(needStocks) <= _N(account.Stocks)) {
                actualNeedMondy = needMoney;
                actualNeedStocks = needStocks;
                canNum++;
            } else {
                notEnough = true;
            }
        }
        fishTable[idx] = STATE_WAIT_OPEN;
        uuidTable[idx] = -1;
    }
    if (!EnableAccountCheck && (canNum < AllNum)) {
        Log("警告, 当前资金只可做", canNum, "个网格, 全网共需", (BuyFirst ? needMoney : needStocks), "请保持资金充足");
        canNum = AllNum;
    }
    if (BuyFirst) {
        if (EnableProtectDiff && (FirstPrice - ticker.Sell) > ProtectDiff) {
            throw "首次买入价比市场卖1价高" + _N(FirstPrice - ticker.Sell, Precision) + ' 元';
        } else if (EnableAccountCheck && account.Balance < _N(needMoney)) {
            if (fishCount == 1) {
                throw "资金不足, 需要" + _N(needMoney) + "元";
            } else {
                Log("资金不足, 需要", _N(needMoney), "元, 程序只做", canNum, "个网格 #ff0000");
            }
        } else {
            Log('预计动用资金: ', _N(needMoney), "元");
        }
    } else {
        if (EnableProtectDiff && (ticker.Buy - FirstPrice) > ProtectDiff) {
            throw "首次卖出价比市场买1价高 " + _N(ticker.Buy - FirstPrice, Precision) + ' 元';
        } else if (EnableAccountCheck && account.Stocks < _N(needStocks)) {
            if (fishCount == 1) {
                throw "币数不足, 需要 " + _N(needStocks) + " 个币";
            } else {
                Log("资金不足, 需要", _N(needStocks), "个币, 程序只做", canNum, "个网格 #ff0000");
            }
        } else {
            Log('预计动用币数: ', _N(needStocks), "个, 约", _N(needMoney), "元");
        }
    }

    var trader = new Trader();
    var OpenFunc = BuyFirst ? exchange.Buy : exchange.Sell;
    var CoverFunc = BuyFirst ? exchange.Sell : exchange.Buy;
    if (EnableDynamic) {
        OpenFunc = BuyFirst ? trader.Buy : trader.Sell;
        CoverFunc = BuyFirst ? trader.Sell : trader.Buy;
    }
    var ts = new Date();
    var preMsg = "";
    var profitMax = 0;
    while (true) {
        var now = new Date();
        var table = null;
        if (now.getTime() - ts.getTime() > 5000) {
            if (typeof(GetCommand) == 'function' && GetCommand() == "收网") {
                Log("开始执行命令进行收网操作");
                balanceAccount(orgAccount, InitAccount);
                return false;
            }
            ts = now;
            var nowAccount = _C(exchange.GetAccount);
            var ticker = _C(exchange.GetTicker);
            if (EnableDynamic) {
                trader.Poll(ticker, DynamicMax);
            }
            var amount_diff = (nowAccount.Stocks + nowAccount.FrozenStocks) - (InitAccount.Stocks + InitAccount.FrozenStocks);
            var money_diff = (nowAccount.Balance + nowAccount.FrozenBalance) - (InitAccount.Balance + InitAccount.FrozenBalance);
            var floatProfit = _N(money_diff + (amount_diff * ticker.Last));
            var floatProfitAll = _N((nowAccount.Balance + nowAccount.FrozenBalance - orgAccount.Balance - orgAccount.FrozenBalance) + ((nowAccount.Stocks + nowAccount.FrozenStocks - orgAccount.Stocks - orgAccount.FrozenStocks) * ticker.Last));
            var isHold = Math.abs(amount_diff) >= MinStock;
            if (isHold) {
                setBusy();
            }

            profitMax = Math.max(floatProfit, profitMax);
            if (EnableAccountCheck && EnableStopLoss) {
                if ((profitMax - floatProfit) >= StopLoss) {
                    Log("当前浮动盈亏", floatProfit, "利润最高点: ", profitMax, "开始止损");
                    balanceAccount(orgAccount, InitAccount);
                    if (StopLossMode == 0) {
                        throw "止损退出";
                    } else {
                        return true;
                    }
                }
            }
            if (EnableAccountCheck && EnableStopWin) {
                if (floatProfit > StopWin) {
                    Log("当前浮动盈亏", floatProfit, "开始止盈");
                    balanceAccount(orgAccount, InitAccount);
                    if (StopWinMode == 0) {
                        throw "止盈退出";
                    } else {
                        return true;
                    }
                }
            }
            var distance = 0;
            if (EnableAccountCheck && AutoMove) {
                if (BuyFirst) {
                    distance = ticker.Last - FirstPrice;
                } else {
                    distance = FirstPrice - ticker.Last;
                }
                var refish = false;
                if (!isHold && isTimeout()) {
                    Log("空仓过久, 开始移动网格");
                    refish = true;
                }
                if (distance > MaxDistance) {
                    Log("价格超出网格区间过多, 开始移动网格, 当前距离: ", _N(distance, Precision), "当前价格:", ticker.Last);
                    refish = true;
                }
                if (refish) {
                    balanceAccount(orgAccount, InitAccount);
                    return true;
                }
            }

            var holdDirection, holdAmount = "--",
                holdPrice = "--";
            if (isHold) {
                if (RestoreProfit && ProfitAsOrg) {
                    if (BuyFirst) {
                        money_diff += LastProfit;
                    } else {
                        money_diff -= LastProfit;
                    }
                }
                holdAmount = amount_diff;
                holdPrice = (-money_diff) / amount_diff;
                if (!BuyFirst) {
                    holdAmount = -amount_diff;
                    holdPrice = (money_diff) / -amount_diff;
                }
                holdAmount = _N(holdAmount, 4);
                holdPrice = _N(holdPrice, Precision);
                holdDirection = BuyFirst ? "多" : "空";
            } else {
                holdDirection = "--";
            }
            table = {
                type: 'table',
                title: '运行状态',
                cols: ['动用资金', '持有仓位', '持仓大小', '持仓均价', '总浮动盈亏', '当前网格盈亏', '撒网次数', '网格偏移', '真实委托', '最新币价'],
                rows: [
                    [_N(actualNeedMondy, 4), holdDirection, holdAmount, holdPrice, _N(floatProfitAll, 4) + ' ( ' + _N(floatProfitAll * 100 / actualNeedMondy, 4) + ' % )', floatProfit, fishCount, (AutoMove && distance > 0) ? ((BuyFirst ? "向上" : "向下") + "偏离: " + _N(distance) + " 元") : "--", trader.RealLen(), ticker.Last]
                ]
            };
            
        }
        var orders = _C(trader.GetOrders);
        if (table) {
            if (!EnableDynamic) {
                table.rows[0][8] = orders.length;
            }
            LogStatus('`' + JSON.stringify(table) + '`');
        }
        for (var idx = 0; idx < canNum; idx++) {
            var openPrice = _N((BuyFirst ? FirstPrice - (idx * PriceGrid) : FirstPrice + (idx * PriceGrid)), Precision);
            var coverPrice = _N((BuyFirst ? openPrice + PriceDiff : openPrice - PriceDiff), Precision);
            var state = fishTable[idx];
            var fishId = uuidTable[idx];
            if (hasOrder(orders, fishId)) {
                continue;
            }

            if (fishId != -1 && IsSupportGetOrder) {
                var order = trader.GetOrder(fishId);
                if (!order) {
                    Log("获取订单信息失败, ID: ", fishId);
                    continue;
                }
                if (order.Status == ORDER_STATE_PENDING) {
                    //Log("订单状态为未完成, ID: ", fishId);
                    continue;
                }
            }

            if (state == STATE_WAIT_COVER) {
                var coverId = CoverFunc(coverPrice, (BuyFirst ? amountS[idx] : amountB[idx]), (BuyFirst ? '完成买单:' : '完成卖单:'), openPrice, '量:', (BuyFirst ? amountB[idx] : amountS[idx]));
                if (coverId) {
                    fishTable[idx] = STATE_WAIT_CLOSE;
                    uuidTable[idx] = coverId;
                }
            } else if (state == STATE_WAIT_OPEN || state == STATE_WAIT_CLOSE) {
                var openId = OpenFunc(openPrice, BuyFirst ? amountB[idx] : amountS[idx]);
                if (openId) {
                    fishTable[idx] = STATE_WAIT_COVER;
                    uuidTable[idx] = openId;
                    if (state == STATE_WAIT_CLOSE) {
                        ProfitCount++;
                        var account = _C(exchange.GetAccount);
                        var ticker = _C(exchange.GetTicker);
                        var initNet = _N(((InitAccount.Stocks + InitAccount.FrozenStocks) * ticker.Buy) + InitAccount.Balance + InitAccount.FrozenBalance, 8);
                        var nowNet = _N(((account.Stocks + account.FrozenStocks) * ticker.Buy) + account.Balance + account.FrozenBalance, 8);
                        var actualProfit = _N(((nowNet - initNet)) * 100 / initNet, 8);
                        if (AmountType == 0) {
                            var profit = _N((ProfitCount * amount * PriceDiff) + LastProfit, 8);
                            Log((BuyFirst ? '完成卖单:' : '完成买单:'), coverPrice, '量:', (BuyFirst ? amountS[idx] : amountB[idx]), '平仓收益', profit);
                        } else {
                            Log((BuyFirst ? '完成卖单:' : '完成买单:'), coverPrice, '量:', (BuyFirst ? amountS[idx] : amountB[idx]));
                        }
                    }
                }
            }
        }
        Sleep(CheckInterval);
    }
    return true;
}

function main() {
    if (ResetData) {
        LogProfitReset();
        LogReset();
    }
    exchange.SetPrecision(Precision, XPrecision)
    if (typeof(AmountType) === 'undefined') {
        AmountType = 0;
    }
    if (typeof(AmountDot) === 'undefined') {
        AmountDot = 3;
    }
    if (typeof(EnableDynamic) === 'undefined') {
        EnableDynamic = false;
    }
    if (typeof(AmountCoefficient) === 'undefined') {
        AmountCoefficient = "*1";
    }
    if (typeof(EnableAccountCheck) === 'undefined') {
        EnableAccountCheck = true;
    }
    BuyFirst = (OpType == 0);
    IsSupportGetOrder = exchange.GetName().indexOf('itstamp') == -1;
    if (!IsSupportGetOrder) {
        Log(exchange.GetName(), "不支持GetOrder, 可能影响策略稳定性.");
    }

    SetErrorFilter("502:|503:|S_U_001|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|refused|EOF|When");

    exchange.SetRate(1);
    Log('已经禁用汇率转换, 当前货币为', exchange.GetBaseCurrency());

    if (!RestoreProfit) {
        LastProfit = 0;
    }

    var orgAccount = _C(exchange.GetAccount);
    var fishCount = 1;
    while (true) {
        if (!fishing(orgAccount, fishCount)) {
            break;
        }
        fishCount++;
        Log("第", fishCount, "次重新撒网...");
        FirstPriceAuto = true;
        Sleep(1000);
    }
}