Bybit 算法接针 - VWAP (BTC)
Author: 扁豆子, Date: 2020-01-26 18:51:44Tags:
在这里开始分享Bybit原始版本的接针策略~
主要原因是什么呢///
这就很气了不是… 你说好好的开源, 都没有不知道情况下被卖生气… 希望小老哥别在这样了~ 在这里直接开源, 本身也不是什么牛逼的策略…
大家随意玩耍叭~ 不要花钱买我的辣鸡源码了~ 咱直接用!! 走起!!
顺便广告一发~ 更多亏钱攻略请关注公众号 “扁豆子的量化日志” 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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韬奋量化 豆子牛逼
haohao 亏钱策略哈哈
rootme 豆神牛逼
fmzero 豆神牛逼！
中本姜 谢谢豆神！
扁豆子 (＾Ｕ＾)ノ~ＹＯ
扁豆子 谢谢二哥!