本质为动态平衡策略,只不过设计为预先挂单。策略教学为主,策略未经长期实盘测试,实盘慎用。 2020.09.04 OKEX量化交易尊享会郑州站议题讲解策略。
var Shannon = { // member e : exchanges[0], arrPlanOrders : [], distance : BalanceDistance, account : null, ticker : null, initAccount : null, isAskPending : false, isBidPending : false, // function CancelAllOrders : function (e) { while(true) { var orders = _C(e.GetOrders) if(orders.length == 0) { return } Sleep(500) for(var i = 0; i < orders.length; i++) { e.CancelOrder(orders[i].Id, orders[i]) Sleep(500) } } }, Balance : function () { if (this.arrPlanOrders.length == 0) { this.CancelAllOrders(this.e) var acc = _C(this.e.GetAccount) this.account = acc var askPendingPrice = (this.distance + acc.Balance) / acc.Stocks var bidPendingPrice = (acc.Balance - this.distance) / acc.Stocks var askPendingAmount = this.distance / 2 / askPendingPrice var bidPendingAmount = this.distance / 2 / bidPendingPrice this.arrPlanOrders.push({tradeType : "ask", price : askPendingPrice, amount : askPendingAmount}) this.arrPlanOrders.push({tradeType : "bid", price : bidPendingPrice, amount : bidPendingAmount}) } else if(this.isAskPending == false && this.isBidPending == false) { for(var i = 0; i < this.arrPlanOrders.length; i++) { var tradeFun = this.arrPlanOrders[i].tradeType == "ask" ? this.e.Sell : this.e.Buy var id = tradeFun(this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount) if(id) { this.isAskPending = this.arrPlanOrders[i].tradeType == "ask" ? true : this.isAskPending this.isBidPending = this.arrPlanOrders[i].tradeType == "bid" ? true : this.isBidPending } else { Log("挂单失败,清理!") this.CancelAllOrders(this.e) return } } } if(this.isBidPending || this.isAskPending) { var orders = _C(this.e.GetOrders) Sleep(1000) var ticker = _C(this.e.GetTicker) this.ticker = ticker if(this.isAskPending) { var isFoundAsk = false for (var i = 0; i < orders.length; i++) { if(orders[i].Type == ORDER_TYPE_SELL) { isFoundAsk = true } } if(!isFoundAsk) { Log("卖单成交,撤销订单,重置") this.CancelAllOrders(this.e) this.arrPlanOrders = [] this.isAskPending = false this.isBidPending = false LogProfit(this.CalcProfit(ticker)) return } } if(this.isBidPending) { var isFoundBid = false for(var i = 0; i < orders.length; i++) { if(orders[i].Type == ORDER_TYPE_BUY) { isFoundBid = true } } if(!isFoundBid) { Log("买单成交,撤销订单,重置") this.CancelAllOrders(this.e) this.arrPlanOrders = [] this.isAskPending = false this.isBidPending = false LogProfit(this.CalcProfit(ticker)) return } } } }, ShowTab : function() { var tblPlanOrders = { type : "table", title : "计划挂单", cols : ["方向", "价格", "数量"], rows : [] } for(var i = 0; i < this.arrPlanOrders.length; i++) { tblPlanOrders.rows.push([this.arrPlanOrders[i].tradeType, this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount]) } var tblAcc = { type : "table", title : "账户信息", cols : ["type", "Stocks", "FrozenStocks", "Balance", "FrozenBalance"], rows : [] } tblAcc.rows.push(["初始", this.initAccount.Stocks, this.initAccount.FrozenStocks, this.initAccount.Balance, this.initAccount.FrozenBalance]) tblAcc.rows.push(["当前", this.account.Stocks, this.account.FrozenStocks, this.account.Balance, this.account.FrozenBalance]) return "时间:" + _D() + "\n `" + JSON.stringify([tblPlanOrders, tblAcc]) + "`" + "\n" + "ticker:" + JSON.stringify(this.ticker) }, CalcProfit : function(ticker) { var acc = _C(this.e.GetAccount) this.account = acc return (this.account.Balance - this.initAccount.Balance) + (this.account.Stocks - this.initAccount.Stocks) * ticker.Last }, Init : function() { this.initAccount = _C(this.e.GetAccount) if(IsReset) { var acc = _G("account") if(acc) { this.initAccount = acc } else { Log("恢复初始账户信息失败!以初始状态运行!") _G("account", this.initAccount) } } else { _G("account", this.initAccount) LogReset(1) LogProfitReset() } }, Exit : function() { Log("停止前,取消所有挂单...") this.CancelAllOrders(this.e) } } function main() { // 初始化 Shannon.Init() // 主循环 while(true) { Shannon.Balance() LogStatus(Shannon.ShowTab()) // 交互 var cmd = GetCommand() if(cmd) { if(cmd == "stop") { while(true) { LogStatus("暂停", Shannon.ShowTab()) cmd = GetCommand() if(cmd) { if(cmd == "continue") { break } } Sleep(1000) } } } Sleep(5000) } } function onexit() { Shannon.Exit() }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6