MACD низкие покупки и продажи автоматическое отслеживание скольжение стоп-потери (2018-03-27 15:48:24)

Автор:Нуль, Дата: 2014-06-14 01:17:24
Тэги:

Первый столбец после перекрестка означает значение первого столбеца после вилки, первый столбец после перекрестка означает значение последнего столбеца перед вилкой, скользящая цена означает цену, добавленную при оформлении заказа, например, покупатель добавляет эту цену, продавец вычитает эту цену.


Fixed = function(v) {
    return Math.floor(v*1000)/1000;
};

// for orders
WaitOrder = function(exchange, orderId, timeoutToCancel) {
    var ts = (new Date()).getTime();
    while (true) {
        Sleep(3000);
        var orderInfo = exchange.GetOrder(orderId);
        if (!orderInfo) {
            continue;
        }
        if (orderInfo.Status == ORDER_STATE_CLOSED || orderInfo.Status == ORDER_STATE_CANCELED) {
            return orderInfo;
        }
        if (((new Date()).getTime() - ts) > timeoutToCancel) {
            exchange.CancelOrder(orderId);
        }
    }
};

Buy = function(exchange, maxPrice, slidePrice, balanceRatio, timeoutS) {
    var ts = (new Date()).getTime();
    var account;
    var dealAmount = 0.0;
    var usedBlance = 0.0;
    var maxBalanceUse = 0.0;
    var isFirst = true;
    do {
        if (isFirst) {
            isFirst = false;
        } else {
            Sleep(3000);
        }

        var ticker = exchange.GetTicker();
        if (!ticker) {
            continue;
        }

        var buyPrice = ticker.Sell + slidePrice;

        // Price too high, wait...
        if (buyPrice > maxPrice) {
            continue;
        }

        // Initialize at first
        if (!account) {
            account = exchange.GetAccount();
            if (!account) {
                continue;
            }
            // Initialize maxBalanceUse
            maxBalanceUse = account.Balance * balanceRatio;
        }

        var buyAmount = Fixed((maxBalanceUse - usedBlance) / buyPrice);
        if (buyAmount < exchange.GetMinStock()) {
            break;
        }

        orderId = exchange.Buy(buyPrice, buyAmount);
        if (!orderId) {
            Log(buyPrice, buyAmount, maxBalanceUse, usedBlance);
            continue;
        }

        var orderInfo = WaitOrder(exchange, orderId, timeoutS);
        dealAmount += orderInfo.DealAmount;
        usedBlance += orderInfo.Price * orderInfo.DealAmount;
        if (orderInfo.Status == ORDER_STATE_CLOSED) {
            break;
        }
    } while (((new Date()).getTime() - ts) < timeoutS);

    return {amount: dealAmount, price: (dealAmount > 0 ? usedBlance / dealAmount : 0)};
};

Sell = function(exchange, sellAmount, slidePrice) {
    // Account info must set
    var account = exchange.GetAccount();
    while (!account) {
        Sleep(2000);
        account = exchange.GetAccount();
    }

    sellAmount = Math.min(sellAmount, account.Stocks);

    var cash = 0.0;
    var remain = sellAmount;

    while (remain >= exchange.GetMinStock()) {
        var ticker = exchange.GetTicker();
        if (!ticker) {
            Sleep(2000);
            continue;
        }
        var sellPrice = ticker.Buy - slidePrice;
        var sellOrderId = exchange.Sell(sellPrice, remain);
        if (!sellOrderId) {
            Sleep(2000);
            continue;
        }
        var orderInfo = WaitOrder(exchange, sellOrderId, 10000);
        remain -= orderInfo.DealAmount;
        cash += orderInfo.Price * orderInfo.DealAmount;
    }
    return {amount: sellAmount, price: (sellAmount > 0 ? cash / sellAmount : 0)};
};

var BuyInfo;
var BanlanceRatio = 1.0;
var Profit = 0.0;
var timeAtBuy = 0;

function onTick(exchange) {
    var ticker = exchange.GetTicker();
    var records = exchange.GetRecords();
    if (!ticker || !records || records.length < 45) {
        return;
    }

    var ticks = [];
    for (var i = 0; i < records.length; i++) {
        ticks.push(records[i].Close);
    }

    var macd = TA.MACD(records, 12, 26, 9);
    var dif = macd[0];
    var dea = macd[1];
    var his = macd[2];
    
    var op = 0;
    if (!BuyInfo) {
        if (dif[ticks.length-1] > 0 && his[ticks.length-1] > ac1 && his[ticks.length-2] < bc1) {
            op = 1;
        }
    } else {
        if (records[records.length-2].Time > timeAtBuy && records[records.length-1].Close < records[records.length-1].Open - 0.5
                && records[records.length-2].Close < records[records.length-2].Open - 0.5
                && records[records.length-1].Close < records[records.length-2].Close - 0.5) {
            op = 2;
        } else if (records[records.length-2].Time > timeAtBuy && BuyInfo.price > records[records.length-1].Close && records[records.length-1].Close < records[records.length-1].Open - 0.5) {
            op = 2;
        } else if ((BuyInfo.price < ticker.Last || dif[ticks.length-1] < 0) && his[ticks.length-1] <= 0) {
            op = 2;
        } else if ((BuyInfo.price > ticker.Last) && ((BuyInfo.price - ticker.Last) / BuyInfo.price > TrailingStop)) {
            op = 2;
        }
    }

    if (op == 1) {
        var info = Buy(exchange, ticker.Sell + (SlidePrice * 3), SlidePrice, BanlanceRatio, orderTimeout * 1000);
        if (info.amount > 0) {
            BuyInfo = info;
            timeAtBuy = records[records.length-1].Time;
        }
    } else if (op == 2) {
        var info = Sell(exchange, BuyInfo.amount, SlidePrice);
        if (info.amount > 0) {
            Profit += info.amount * (info.price - BuyInfo.price);
            LogProfit(Profit);
            BuyInfo = null;
        }
    }
}

function main() {
    var account = exchange.GetAccount();
    if (account) {
        Log(exchange.GetName(), exchange.GetCurrency(), account);
    }
    
    while (true) {
        onTick(exchange);
        Sleep(30000);
    }
}

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