Futures_Binance
策略将分散等值做空选定的一篮子山寨币,同时等仓位做多比特币对冲,降低风险和波动率。随着价格的波动,不断调整仓位保持空头价值恒定和多头仓位对等。本质上时做空山寨币-比特币价格指数。最近两个月的表现(3倍左右杠杆,数据更新到4.8),最近一周山寨币相对于比特币是上涨的,因此亏损,如果你看多山寨币,可以在参数中设置做空比特币做多山寨币:
策略默认是做多比特币做空山寨币,你也可以反过来(假如你认为山寨币处于底部),决定权在自己
1.更新行情和账户持仓 2.更新各个山寨币空头持仓价值,判断空头是否需要调整持仓 3.更新总空头的仓位,确定多头持仓,判断多头仓位是否要调整 4.下单,下单量由冰山委托决定,按照对手价成交(买入用卖一价)。下单后立即撤销(所以会看到很多撤销失败的单子400: {“code”:-2011,“msg”:“Unknown order sent.”},正常现象) 5.再次循环
会判断Short_symbols,Long_symbols那个交易对多,多的每个币种开仓价值为Trade_value,少的每个币种合约价值为需要对冲价值的平均。
如果只空BTC,多TRX,DASH,ONT,QTUM,Trade_value为50,则TRX,DASH,ONT,QTUM均有多仓50,BTC持有空仓50*4。
如果只多BTC,空TRX,DASH,ONT,QTUM,Trade_value为50,则TRX,DASH,ONT,QTUM均有空仓50,BTC持有多仓50*4。
状态栏中的leverage代表保证金已用占比,不宜过高。
当做空的币价上涨,合约价值增加,此时是减仓的,反之盈利是加仓。这使得总的合约价值维持恒定。山寨币是很有可能走出独立的行情的,目前从一年的周期看,山寨币可能处于底部,并且有可能从底部抬升不少。这取决与如何使用,如果你看好山寨币并认为已经到底部,可以方向操作,做多指数。或者你看好某几个币种(不一定是比特币),可以和它们对冲。
if(IsVirtual()){ throw '不能回测,回测参考 https://www.fmz.com/digest-topic/5294 ' } if(exchange.GetName() != 'Futures_Binance'){ throw '只支持币安期货交易所,和现货交易所不同,需要单独添加,名称为Futures_Binance' } var short_symbols = Short_symbols.split(',') var long_symbols = Long_symbols.split(',') if(short_symbols.length == 1 && short_symbols[0] == ''){ short_symbols = [] } if(long_symbols.length == 1 && long_symbols[0] == ''){ long_symbols = [] } var symbols = [] for(var i=0; i<short_symbols.length; i++){ if(short_symbols[i]){ symbols.push(short_symbols[i]) } } for(var i=0; i<long_symbols.length; i++){ if(long_symbols[i]){ symbols.push(long_symbols[i]) } } var update_profit_time = 0 var assets = {} var trade_info = {} var exchange_info = HttpQuery('https://fapi.binance.com/fapi/v1/exchangeInfo') if(!exchange_info){ throw '无法连接币安网络,需要海外托管者' } exchange_info = JSON.parse(exchange_info) for (var i=0; i<exchange_info.symbols.length; i++){ if(symbols.indexOf(exchange_info.symbols[i].baseAsset) > -1){ assets[exchange_info.symbols[i].baseAsset] = {amount:0, hold_price:0, value:0, bid_price:0, ask_price:0, realised_profit:0, margin:0, unrealised_profit:0} trade_info[exchange_info.symbols[i].baseAsset] = {minQty:parseFloat(exchange_info.symbols[i].filters[1].minQty), priceSize:parseInt((Math.log10(1.1/parseFloat(exchange_info.symbols[i].filters[0].tickSize)))), amountSize:parseInt((Math.log10(1.1/parseFloat(exchange_info.symbols[i].filters[1].stepSize)))) } } } assets.USDT = {unrealised_profit:0, margin:0, margin_balance:0, total_balance:0, leverage:0} function updateAccount(){ var account = exchange.GetAccount() var pos = exchange.GetPosition() if (account == null || pos == null ){ Log('update account time out') return } assets.USDT.update_time = Date.now() for(var i=0; i<symbols.length; i++){ assets[symbols[i]].margin = 0 assets[symbols[i]].unrealised_profit = 0 assets[symbols[i]].hold_price = 0 assets[symbols[i]].amount = 0 assets[symbols[i]].unrealised_profit = 0 } for(var j=0; j<account.Info.positions.length; j++){ if(account.Info.positions[j].positionSide == 'BOTH'){ var pair = account.Info.positions[j].symbol var coin = pair.slice(0,pair.length-4) if(symbols.indexOf(coin) < 0){continue} assets[coin].margin = parseFloat(account.Info.positions[j].initialMargin) + parseFloat(account.Info.positions[j].maintMargin) assets[coin].unrealised_profit = parseFloat(account.Info.positions[j].unrealizedProfit) } } assets.USDT.margin = _N(parseFloat(account.Info.totalInitialMargin) + parseFloat(account.Info.totalMaintMargin),2) assets.USDT.margin_balance = _N(parseFloat(account.Info.totalMarginBalance),2) assets.USDT.total_balance = _N(parseFloat(account.Info.totalWalletBalance),2) assets.USDT.unrealised_profit = _N(parseFloat(account.Info.totalUnrealizedProfit),2) assets.USDT.leverage = _N(assets.USDT.margin/assets.USDT.total_balance,2) pos = JSON.parse(exchange.GetRawJSON()) if(pos.length > 0){ for(var k=0; k<pos.length; k++){ var pair = pos[k].symbol var coin = pair.slice(0,pair.length-4) if(symbols.indexOf(coin) < 0){continue} assets[coin].hold_price = parseFloat(pos[k].entryPrice) assets[coin].amount = parseFloat(pos[k].positionAmt) assets[coin].unrealised_profit = parseFloat(pos[k].unRealizedProfit) } } } function updateTick(){ var ticker = HttpQuery('https://fapi.binance.com/fapi/v1/ticker/bookTicker') if(ticker == null){ Log('get ticker time out') return } ticker = JSON.parse(ticker) for(var i=0; i<ticker.length; i++){ var pair = ticker[i].symbol var coin = pair.slice(0,pair.length-4) if(symbols.indexOf(coin) < 0){continue} assets[coin].ask_price = parseFloat(ticker[i].askPrice) assets[coin].bid_price = parseFloat(ticker[i].bidPrice) assets[coin].ask_value = _N(assets[coin].amount*assets[coin].ask_price, 2) assets[coin].bid_value = _N(assets[coin].amount*assets[coin].bid_price, 2) } } function trade(symbol, dirction, value){ if(Date.now()-assets.USDT.update_time > 10*1000){ Log('更新账户延时,不交易') return } var price = dirction == 'sell' ? assets[symbol].bid_price : assets[symbol].ask_price var amount = _N(Math.min(value,Ice_value)/price, trade_info[symbol].amountSize) if(amount < trade_info[symbol].minQty){ Log(symbol, '合约调整偏离价值或冰山委托订单设置过小,达不到最小成交, 至少需要: ', _N(trade_info[symbol].minQty*price,0)) return } exchange.IO("currency", symbol+'_'+'USDT') exchange.SetContractType('swap') exchange.SetDirection(dirction) var f = dirction == 'buy' ? 'Buy' : 'Sell' var id = exchange[f](price, amount, symbol) if(id){ exchange.CancelOrder(id) //订单会立即撤销 } } function updateStatus(){ var table = {type: 'table', title: '交易对信息', cols: ['币种', '数量', '持仓价格', '当前价格', '持仓价值', '保证金', '未实现盈亏'], rows: []} for (var i=0; i<symbols.length; i++){ var price = _N((assets[symbols[i]].ask_price + assets[symbols[i]].bid_price)/2, trade_info[symbols[i]].priceSize) var value = _N((assets[symbols[i]].ask_value + assets[symbols[i]].bid_value)/2, 2) var infoList = [symbols[i], assets[symbols[i]].amount, assets[symbols[i]].hold_price, price, value,_N(assets[symbols[i]].margin,3), _N(assets[symbols[i]].unrealised_profit,3)] table.rows.push(infoList) } var logString = _D() + ' ' + JSON.stringify(assets.USDT) + '\n' LogStatus(logString + '`' + JSON.stringify(table) + '`') if(Date.now()-update_profit_time > Log_profit_interval*1000){ LogProfit(_N(assets.USDT.margin_balance,3)) update_profit_time = Date.now() } } function onTick(){ var short_value = Trade_value if(short_symbols.length<long_symbols.length){ short_value = _N(long_symbols.length*Trade_value/short_symbols.length,0) } var long_value = Trade_value if(short_symbols.length>long_symbols.length){ long_value = _N(short_symbols.length*Trade_value/long_symbols.length,0) } var symbol = '' for(var i=0; i<short_symbols.length; i++){ symbol = short_symbols[i] if(assets[symbol].ask_price == 0){ continue } if(assets[symbol].bid_value + short_value > Adjust_value){ trade(symbol, 'sell', assets[symbol].bid_value + short_value) } if(assets[symbol].ask_value + short_value < -Adjust_value){ trade(symbol, 'buy', -(assets[symbol].ask_value + short_value)) } } for(var i=0; i<long_symbols.length; i++){ symbol = long_symbols[i] if(assets[symbol].ask_price == 0){ continue } if(assets[symbol].bid_value - long_value > Adjust_value){ trade(symbol, 'sell', assets[symbol].bid_value-long_value) } if(assets[symbol].ask_value - long_value < -Adjust_value){ trade(symbol, 'buy', long_value-assets[symbol].ask_value) } } } function main() { while(true){ updateAccount() updateTick() onTick() updateStatus() Sleep(Interval*1000) } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6