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冰山委托 - 卖出

Author: Zero, Date: 2014-07-25 13:31:18
Tags: Trade-aided Iceberg

冰山委托指的是投资者在进行大额交易时,为避免对市场造成过大冲击,将大单委托自动拆为多笔委托,根据当前的最新买一/卖一价格和客户设定的价格策略自动进行小单委托,在上一笔委托被全部成交或最新价格明显偏离当前委托价时,自动重新进行委托。 例子: 如果单次均值浮动点数设置为10那么: 每一笔委托的数量为其单次委托平均值的90%~110%,委托价格为最新卖1价*(1+委托深度),在上一笔委托全部成交后再进行新的一笔委托,在最新成交价格距离该笔委托超过委托深度*2时自动撤单并重新进行委托。在策略总成交量等于其总委托数量时停止委托。当市场的最新成交价格低于其最低卖出价格时停止委托,在最新成交价格重新高于最低卖出价后恢复委托。




function CancelPendingOrders() {
    while (true) {
        var orders = _C(exchange.GetOrders);
        if (orders.length == 0) {
            return;
        }

        for (var j = 0; j < orders.length; j++) {
            exchange.CancelOrder(orders[j].Id);
            if (j < (orders.length-1)) {
                Sleep(Interval);
            }
        }
    }
}

var LastSellPrice = 0;
var InitAccount = null;

function dispatch() {
    var account = null;
    var ticker = _C(exchange.GetTicker);
    // 在最新成交价格距离该笔委托超过委托深度*2时自动撤单并重新进行委托
    if (LastSellPrice > 0) {
        // 订单没有完成
        if (_C(exchange.GetOrders).length > 0) {
            if (ticker.Last < LastSellPrice && ((LastSellPrice - ticker.Last) / ticker.Last) > (2*(EntrustDepth/100))) {
                Log('偏离过多, 最新成交价:', ticker.Last, '委托价', LastSellPrice);
                CancelPendingOrders();
            } else {
                return true;
            }
        } else {
            account = _C(exchange.GetAccount);
            Log("卖单完成, 累计卖出:", _N(InitAccount.Stocks - account.Stocks), "平均卖出价:", _N((account.Balance - InitAccount.Balance) / (InitAccount.Stocks - account.Stocks))); }
            LastSellPrice = 0;
    }

    // 委托价格为最新卖1价*(1+委托深度)
    var SellPrice = _N(ticker.Sell * (1 + EntrustDepth/100));
    if (SellPrice < MinSellPrice) {
        return true;
    }

    if (!account) {
        account = _C(exchange.GetAccount);
    }


    if ((InitAccount.Stocks - account.Stocks) >= TotalSellStocks) {
        return false;
    }

    var RandomAvgSellOnce = (AvgSellOnce * ((100 - FloatPoint) / 100)) + (((FloatPoint * 2) / 100) * AvgSellOnce * Math.random());
    var SellAmount = Math.min(TotalSellStocks - (InitAccount.Stocks - account.Stocks), RandomAvgSellOnce);
    if (SellAmount < MinStock) {
        return false;
    }
    LastSellPrice = SellPrice;
    exchange.Sell(SellPrice, SellAmount, '上次成交价', ticker.Last);
    return true;
}

function main() {
    CancelPendingOrders();
    InitAccount = _C(exchange.GetAccount);
    Log(InitAccount);
    if (InitAccount.Stocks < TotalSellStocks) {
        throw "账户币数不足";
    }
    LoopInterval = Math.max(LoopInterval, 1);
    while (dispatch()) {
        Sleep(LoopInterval);
    }
    Log("委托全部完成", _C(exchange.GetAccount));
}



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