/*backtest start: 2019-04-01 09:00:00 end: 2020-12-13 15:00:00 period: 1d basePeriod: 1d exchanges: [{"eid":"Futures_LTS","currency":"STOCK","minFee":0}] args: [["StrIds","[\"600519.SH\", \"600690.SH\", \"600006.SH\", \"601328.SH\", \"600887.SH\"]"],["BeginPrices","[-1, -1, -1, -1, -1]"]] */ var Ids = [] var _Symbols = [] var STATE_IDLE = 0 var STATE_LONG = 1 var SlideTick = 10 var StatusMsg = "" var _Chart = null var _ArrChart = [] var Interval = 1000 var ArrStateStr = ["空闲", "多仓"] var TradeAmount = 100 function newDate() { var timezone = 8 var offset_GMT = new Date().getTimezoneOffset() var nowDate = new Date().getTime() var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000) return targetDate } function GetPosition(e, contractTypeName) { var allAmount = 0 var allProfit = 0 var allFrozen = 0 var posMargin = 0 var price = 0 var direction = null positions = _C(e.GetPosition) for (var i = 0; i < positions.length; i++) { if (positions[i].ContractType != contractTypeName) { continue } if (positions[i].Type == PD_LONG) { posMargin = positions[i].MarginLevel allAmount += positions[i].Amount allProfit += positions[i].Profit allFrozen += positions[i].FrozenAmount price = positions[i].Price direction = positions[i].Type } } if (allAmount === 0) { return null } return { MarginLevel: posMargin, FrozenAmount: allFrozen, Price: price, Amount: allAmount, Profit: allProfit, Type: direction, ContractType: contractTypeName, CanCoverAmount: allAmount - allFrozen } } function Buy(e, contractType, opAmount, insDetail) { var initPosition = GetPosition(e, contractType) var isFirst = true var initAmount = initPosition ? initPosition.Amount : 0 var positionNow = initPosition if(!IsVirtual() && opAmount % insDetail.LotSize != 0) { throw "每手数量不匹配" } while (true) { var needOpen = opAmount if (isFirst) { isFirst = false } else { Sleep(Interval*20) positionNow = GetPosition(e, contractType) if (positionNow) { needOpen = opAmount - (positionNow.Amount - initAmount) } } if (needOpen < insDetail.LotSize || (needOpen % insDetail.LotSize != 0 && !IsVirtual())) { break } var depth = _C(e.GetDepth) // 需要检测是否涨跌停 var amount = needOpen e.SetDirection("buy") var orderId = e.Buy(depth.Asks[0].Price + (insDetail.PriceSpread * SlideTick), amount, contractType, 'Ask', depth.Asks[0]) // CancelPendingOrders while (true) { Sleep(Interval*20) var orders = _C(e.GetOrders) if (orders.length === 0) { break } for (var j = 0; j < orders.length; j++) { e.CancelOrder(orders[j].Id) if (j < (orders.length - 1)) { Sleep(Interval*20) } } } } var ret = null if (!positionNow) { return ret } ret = positionNow return ret } function Sell(e, contractType, lots, insDetail) { var initAmount = 0 var firstLoop = true if(!IsVirtual() && lots % insDetail.LotSize != 0) { throw "每手数量不匹配" } while (true) { var n = 0 var total = 0 var positions = _C(e.GetPosition) var nowAmount = 0 for (var i = 0; i < positions.length; i++) { if (positions[i].ContractType != contractType) { continue } nowAmount += positions[i].Amount } if (firstLoop) { initAmount = nowAmount firstLoop = false } var amountChange = initAmount - nowAmount if (typeof(lots) == 'number' && amountChange >= lots) { break } for (var i = 0; i < positions.length; i++) { if (positions[i].ContractType != contractType) { continue } var amount = positions[i].Amount var depth var opAmount = 0 var opPrice = 0 if (positions[i].Type == PD_LONG) { depth = _C(e.GetDepth) // 需要检测是否涨跌停 opAmount = amount opPrice = depth.Bids[0].Price - (insDetail.PriceSpread * SlideTick) } if (typeof(lots) === 'number') { opAmount = Math.min(opAmount, lots - (initAmount - nowAmount)) } if (opAmount > 0) { if (positions[i].Type == PD_LONG) { e.SetDirection("closebuy") e.Sell(opPrice, opAmount, contractType, "平仓", 'Bid', depth.Bids[0]) } n++ } // break to check always if (typeof(lots) === 'number') { break } } if (n === 0) { break } while (true) { Sleep(Interval*20) var orders = _C(e.GetOrders) if (orders.length === 0) { break } for (var j = 0; j < orders.length; j++) { e.CancelOrder(orders[j].Id) if (j < (orders.length - 1)) { Sleep(Interval*20) } } } } } function IsTrading() { // 使用 newDate() 代替 new Date() 因为服务器时区问题 var now = newDate() var day = now.getDay() var hour = now.getHours() var minute = now.getMinutes() StatusMsg = "非交易时段" if (day === 0 || day === 6) { return false } if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) { // 9:30-11:30 StatusMsg = "交易时段" return true } else if (hour >= 13 && hour < 15) { // 13:00-15:00 StatusMsg = "交易时段" return true } return false } function init () { Ids = JSON.parse(StrIds) BPs = JSON.parse(BeginPrices) if (Ids.length != BPs.length) { throw "起始价格数组与股票代码数组数量不匹配!请检查参数设置。" } if (IsVirtual()) { TradeAmount = 1 } for (var i = 0 ; i < Ids.length ; i++) { _Symbols[i] = {} _Symbols[i].ContractTypeName = Ids[i] _Symbols[i].LastBarTime = 0 _Symbols[i].State = STATE_IDLE _Symbols[i].ChartIndex = i _Symbols[i].Status = "" _Symbols[i].Pos = null _Symbols[i].InsDetail = null _Symbols[i].BeginPrice = BPs[i] _Symbols[i].CurrPrice = null _Symbols[i].ChartCfg = { __isStock: true, title: { text: Ids[i] }, yAxis: { plotLines: [] }, series: [{ type: 'candlestick', name: '当前周期', id: 'primary', data: [] }] } _ArrChart.push(_Symbols[i].ChartCfg) } _Chart = Chart(_ArrChart) if (IsReset) { _Chart.reset() } else { _Chart.reset(1000) } } function Process(symbols) { for (var i = 0 ; i < symbols.length ; i++) { var contractTypeName = symbols[i].ContractTypeName var insDetail = _C(exchange.SetContractType, contractTypeName) symbols[i].InsDetail = insDetail symbols[i].InstrumentName = insDetail.InstrumentName // 判断是不是交易状态 if ((!insDetail.IsTrading && !IsVirtual()) || !IsTrading()) { continue } Sleep(2000) var r = exchange.GetRecords() if (!r) { continue } Sleep(2000) var ticker = exchange.GetTicker() if (!ticker) { continue } if (IsVirtual()) { ticker.Info = {} ticker.Info.LotSize = 1 ticker.Info.PriceSpread = 0.01 } Sleep(2000) var depth = exchange.GetDepth() if (!depth || depth.Bids[0].Amount == 0 || depth.Asks[0].Amount == 0) { // 标记涨跌停 symbols[i].Status = "涨跌停" continue } symbols[i].Status = "正常交易" // 检测持仓 Sleep(2000) var pos = GetPosition(exchange, contractTypeName) symbols[i].Pos = pos var posAmount = pos ? pos.Amount : 0 // 同步持仓状态 if (symbols[i].State == STATE_IDLE && posAmount > 0) { symbols[i].State = STATE_LONG } else if (symbols[i].State == STATE_LONG && posAmount == 0) { symbols[i].State = STATE_IDLE } // 更新行情数据 symbols[i].CurrPrice = ticker.Last if (symbols[i].BeginPrice == -1) { symbols[i].BeginPrice = ticker.Last } var Bar = r[r.length - 1] var index = symbols[i].ChartIndex if (symbols[i].LastBarTime !== Bar.Time) { if (symbols[i].LastBarTime > 0) { var PreBar = r[r.length - 2] _Chart.add(index, [PreBar.Time, PreBar.Open, PreBar.High, PreBar.Low, PreBar.Close], -1) } else { for (var j = r.length; j > 1; j--) { var b = r[r.length - j] _Chart.add(index, [b.Time, b.Open, b.High, b.Low, b.Close]) } } _Chart.add(index, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close]) // symbols[i].ChartCfg.yAxis.plotLines[0].value = symbols[i].BeginPrice // _Chart.update(_ArrChart) symbols[i].LastBarTime = Bar.Time } else { _Chart.add(index, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close], -1) } // 交易逻辑 var hasPosAmount = posAmount var beginPrice = symbols[i].BeginPrice var count = 0 symbols[i].ChartCfg.yAxis.plotLines = [] while (true) { if (count == 0) { symbols[i].ChartCfg.yAxis.plotLines.push({ value: beginPrice, color: 'red', width: 2, label: { text: '起始价格', align: 'center' }, }) count++ continue } beginPrice = beginPrice - beginPrice * DiffPricePercent hasPosAmount = hasPosAmount - TradeAmount symbols[i].ChartCfg.yAxis.plotLines.push({ value: beginPrice, color: 'blue', width: 2, label: { text: '节点:' + count, align: 'center' }, }) if (hasPosAmount < 0) { _Chart.update(_ArrChart) break } count++ } if (ticker.Last < beginPrice) { // 买入 Log(contractTypeName, "开多仓", "beginPrice:", beginPrice, "posAmount:", posAmount) Buy(exchange, contractTypeName, TradeAmount, ticker.Info) symbols[i].State = STATE_LONG } if (posAmount > 0 && pos.CanCoverAmount > 0 && ticker.Last > pos.Price + pos.Price * DiffPricePercent * 2) { // 平仓 Log(contractTypeName, "平多仓") Sell(exchange, contractTypeName, Math.min(pos.CanCoverAmount, posAmount), ticker.Info) symbols[i].State = STATE_IDLE } } } function main(){ if(IsReset) { LogReset(1) } SetErrorFilter("market not ready") exchange.SetPrecision(3, 0) if((!IsVirtual() && exchange.GetCurrency() != "STOCK" && exchange.GetName() != "Futures_Futu") || (IsVirtual() && exchange.GetCurrency() != "STOCK_CNY" && exchange.GetName() != "Futures_LTS")) { Log("currency:", exchange.GetCurrency(), "name:", exchange.GetName()) throw "不支持" } while(true){ var tbl = { "type" : "table", "title": "信息", "cols": ["股票代码", "名称", "当前价格", "状态"], "rows": [], } for(var i = 0 ; i < _Symbols.length; i++) { tbl.rows.push([_Symbols[i].ContractTypeName, _Symbols[i].InsDetail ? _Symbols[i].InsDetail.InstrumentName : "--", _Symbols[i].CurrPrice, _Symbols[i].Status]) } var tblPos = { "type" : "table", "title" : "持仓", "cols" : ["名称", "价格", "数量", "盈亏", "类型", "冻结数量", "可平量"], "rows" : [], } for (var j = 0 ; j < _Symbols.length; j++) { if(_Symbols[j].Pos) { tblPos.rows.push([_Symbols[j].Pos.ContractType, _Symbols[j].Pos.Price, _Symbols[j].Pos.Amount, _Symbols[j].Pos.Profit, _Symbols[j].Pos.Type, _Symbols[j].Pos.FrozenAmount, _Symbols[j].Pos.CanCoverAmount]) } } LogStatus(_D(), StatusMsg, "\n`" + JSON.stringify([tbl, tblPos]) + "`") Process(_Symbols) Sleep(1000) } }
web666 看说明,只实现了比如下跌2%买入。如果参数值调为-0.02是否代表,上涨2%就自动买入?
小小梦 该策略只是教学范例策略,具体可以看下源码。就是简单的价格下降买入一定量。