- Square
- common
common
Author:
linsilence, Date: 2021-01-08 16:38:10
Tags:
function GetCurrencyEx(ex, baseOrQuote) {
let curr = ex.GetCurrency()
let s = curr.split('_')
return s[baseOrQuote ? 0 : 1]
}
function cancelOrdersPending(ex, orderType, orderOffset) {
while (true) {
const orders = ex.GetOrders()
if (!orders) {
Sleep(retryDelay)
continue
}
let processed = 0
for (let i = 0; i < orders.length; i++) {
if (typeof orderType === 'number' && orders[i].Type !== orderType) {
continue
}
if (typeof orderOffset === 'number' && orders[i].Offset !== orderOffset) {
continue
}
ex.CancelOrder(orders[i].Id)
if (isDebug) Log('cancelOrdersPending - ', orders[i])
processed++
Sleep(retryDelay)
}
if (processed === 0) {
break
}
}
}
function isDepthBid(depthSide) {
return depthSide[0].Price > depthSide[1].Price
}
/**
*
* @param {*} ex
* @param {*} orderType ORDER_TYPE_BUY | ORDER_TYPE_SELL
* @param {*} price
* @param {*} quantity 交易额
* @param {*} precision 交易额的精度
* @param {*} minQuantity 最小交易额
* @param {*} orderOffset 期货需要传这个参数, ORDER_OFFSET_OPEN | ORDER_OFFSET_CLOSE
* @param {*} errorCancel true - 直接返回null , false - 取消所有方向相同的pending order,重新挂单,直到成功挂单为止
* @returns order id
*/
function trade(ex, orderType, price, quantity, precision, minQuantity, orderOffset, errorCancel) {
let tradeFunc = orderType === ORDER_TYPE_BUY ? ex.Buy : ex.Sell
let tradeDirection
if (orderOffset === ORDER_OFFSET_OPEN) {
tradeDirection = orderType === ORDER_TYPE_BUY ? 'buy' : 'sell'
} else if (orderOffset === ORDER_OFFSET_CLOSE) {
tradeDirection = orderType === ORDER_TYPE_BUY ? 'closesell' : 'closebuy'
}
if (tradeDirection) {
ex.SetDirection(tradeDirection)
}
if (isDebug) Log('trade 1 - ', 'orderType: ', orderType, ', orderOffset: ', orderOffset, ', tradeDirection: ', tradeDirection)
const qty = _N(quantity, precision)
if (qty === 0) {
Log(`trade quantity in precision error. ${quantity} ${precision} ${qty}`, '#FF0000')
return null
}
if (qty < minQuantity) {
Log(`trade quantity less than min quantity. ${quantity} ${minQuantity} ${qty}`, '#FF0000')
return null
}
let orderID
while (true) {
const id = tradeFunc(price, qty)
if (!id) {
if (errorCancel) {
Log('trade id is null. maybe trade has sent!', '#FF0000')
return null
}
Sleep(retryDelay)
cancelOrdersPending(ex, orderType, orderOffset)
continue
}
if (isDebug) Log('trade 2 - ', 'id: ', id, ', price: ', price, ', quantity: ', quantity)
orderID = id
break
}
return orderID
}
$.AverageSmooth = function (values) {
// 剔除偏差较大的量
let mean = math.mean(values)
let stde = math.std(values)
// 过滤平均值±2*标准差
let ml = mean - 2 * stde
let mh = mean + 2 * stde
if (isDebug) Log('AverageSmooth 1 - ', mean, stde, ml, mh)
let vs = values.filter((e) => {
let res = e > ml && e < mh
if (isDebug && !res) {
Log('AverageSmooth 2 - filter: ', e)
}
return res
})
if (!vs || vs.length === 0) {
return 0
}
return math.mean(vs)
}
$.CountDecimals = function (num) {
const numTrim = parseFloat(num)
return String(numTrim).includes('.') ? String(numTrim).split('.')[1].length : 0
}
$.LiquidationRate = function (open, last, liq) {
return 1 - math.abs(last - liq) / math.abs(open - liq)
}
$.GetCurrencyBase = function (ex) {
return GetCurrencyEx(ex, true)
}
$.GetCurrencyQuote = function (ex) {
return GetCurrencyEx(ex, false)
}
$.CurrencyExist = function (ex, symbol) {
const old = ex.GetCurrency()
ex.SetCurrency(symbol)
let exist = Boolean(ex.GetTicker())
ex.SetCurrency(old)
return exist
}
$.PriceRate = function (last, open) {
return _N((last - open) / open, 4)
}
$.GetDepthTotal = function (depthSide, pricePercent) {
if (pricePercent <= 0) {
Log('pricePercent 大于 0')
return 0
}
let isBid = isDepthBid(depthSide)
let priceTarget = depthSide[0].Price * (1 + pricePercent * (isBid ? -1 : 1))
let depthStage = depthSide.filter((e) => (isBid ? e.Price >= priceTarget : e.Price <= priceTarget))
let total = depthStage.map((e) => e.Amount).reduce((prev, curr) => prev + curr)
if (isDebug) {
Log('isBid: ', isBid)
Log('price: ', depthSide[0].Price, ', priceTarget: ', priceTarget)
Log('depthStage: ', depthStage[depthStage.length - 1])
Log('total: ', total)
}
return total
}
/**
* 查询操作 amountAccumate 将会对价格产生多大的影响
*
* @param {*} depthSide
* @param {*} amountAccumate
*
* @returns 影响的价格
*/
$.GetDepthTotalPrice = function (depthSide, amountAccumulate) {
let priceAccumulate = -1
let am = 0
for (let i = 0; i < depthSide.length; ++i) {
const e = depthSide[i]
am += e.Amount
if (isDebug) Log('GetDepthTotalPrice - ', 'index: ', i, ', depth: ', e, ', amountAcc: ', am)
if (am >= amountAccumulate) {
priceAccumulate = e.Price
break
}
}
return priceAccumulate
}
$.GetDepthAmounts = function (depthSide) {
return depthSide.map((e) => e.Amount)
}
$.GetRecordsVolume = function (records) {
return records.map((e) => e.Volume)
}
$.GetRecordsVolumeAmount = function (records) {
return records.map((e) => e.Volume * e.Close)
}
$.GetRecordsAmplitude = function (records) {
return records.map((e) => (e.High - e.Low) / e.Open)
}
$.GetRecordsClose = function (records) {
return records.map((e) => e.Close)
}
$.GetRecordsHigh = function (records) {
return records.map((e) => e.High)
}
$.GetRecordsLow = function (records) {
return records.map((e) => e.Low)
}
$.IsFuture = function (ex) {
return /(F|f)utures.*/.test(ex.GetName())
}
/**
* 取消所有未完成的订单
*
* @param {*} ex
* @param {*} orderType null 取消所有的
* @param {*} orderOffset 期货才需要传参数,null 取消所有的
*/
$.CancelOrdersPending = function (ex, orderType, orderOffset) {
cancelOrdersPending(ex, orderType, orderOffset)
}
/**
* trade时,未获取到order id时,
* 等待一会儿后,检查余额是否发生变化,如果发生变化了,说明交易订单已经发出(交易成功或挂单成功),但是order id无法获取
* 否则,重新trade,直到订单发出为止
*
* @param {*} ex
* @param {*} orderType ORDER_TYPE_BUY | ORDER_TYPE_SELL
* @param {*} price
* @param {*} quantity 交易额
* @param {*} precision 交易额的精度
* @param {*} minQuantity 最小交易额
* @param {*} orderOffset 期货需要传这个参数, ORDER_OFFSET_OPEN | ORDER_OFFSET_CLOSE
* @returns order id
*/
$.TradeNormal = function (ex, orderType, price, quantity, precision, minQuantity, orderOffset) {
const accPre = _C(ex.GetAccount)
let orderID = null
while (true) {
orderID = trade(ex, orderType, price, quantity, precision, minQuantity, orderOffset, true)
if (orderID) {
break
}
isDebug && Log(`TradeNormal - orderID获取失败 - price: ${price}, quantity: ${quantity}`, '#FF0000')
Sleep(retryDelay * 2)
const accAft = _C(ex.GetAccount)
if (accAft.Balance !== accPre.Balance) {
isDebug && Log(`TradeNormal - Balance 前后发生变化,交易已经发生 - price: ${price}, quantity: ${quantity}`, '#FF0000')
break
}
}
return orderID
}
/**
* 规定时间内完成交易,否则撤销,部分成交的也会撤销
*
* @param {*} ex
* @param {*} orderType ORDER_TYPE_BUY | ORDER_TYPE_SELL
* @param {*} price
* @param {*} quantity 交易额
* @param {*} precision 交易额的精度
* @param {*} minQuantity 最小交易额
* @param {*} waitTime
* @param {*} orderOffset 期货需要传这个参数, ORDER_OFFSET_OPEN | ORDER_OFFSET_CLOSE
*
* @returns order,状态只能是:ORDER_STATE_CLOSED | ORDER_STATE_CANCELED
*/
$.TradeCancel = function (ex, orderType, price, quantity, precision, minQuantity, waitTime, orderOffset) {
let orderID = trade(ex, orderType, price, quantity, precision, minQuantity, orderOffset)
if (!orderID) {
return null
}
let waiting = 0
let orderFinal
while (true) {
Sleep(retryDelay)
const order = _C(ex.GetOrder, orderID)
if (!order) {
break
}
if (isDebug) Log('TradeCancel 1 - ', order)
orderFinal = order
if (order.Status !== ORDER_STATE_PENDING) {
break
}
// 有可能成交了一部分
waiting += retryDelay
if (waiting > waitTime) {
// 应该撤销这个订单
ex.CancelOrder(orderID)
if (isDebug) Log('TradeCancel 2 cancel')
}
}
if (isDebug) Log('TradeCancel 3 - ', orderFinal, orderFinal.Status === ORDER_STATE_UNKNOWN ? '#FF0000' : '#000000')
return orderFinal
}
/**
* 规定时间内完成交易,否则剩余部分市价成交
*
* @param {*} ex
* @param {*} orderType
* @param {*} price
* @param {*} quantity 交易额
* @param {*} precision 交易额的精度
* @param {*} minQuantity 最小交易额
* @param {*} waitTime
* @param {*} orderOffset
*
* @returns order
*/
$.TradeCertain = function (ex, orderType, price, quantity, precision, minQuantity, waitTime, orderOffset) {
const order = $.TradeCancel(ex, orderType, price, quantity, precision, minQuantity, waitTime, orderOffset)
if (!order) {
return null
}
if (order.Status !== ORDER_STATE_CANCELED) {
return order
}
// 剩余量以市价快速成交
const qtyRest = quantity - order.DealAmount
if (qtyRest < minQuantity) {
return order
}
if (isDebug) Log('TradeCertain market - qtyRest: ', qtyRest, 'order: ', order)
return $.TradeCertain(ex, orderType, -1, qtyRest, precision, minQuantity, math.min(waitTime / 2, 1000), orderOffset)
}
/**
* 等待waitTime以最优价格交易,否则取消,然后重试retryTimes次后,再市价成交
*
* @param {*} ex
* @param {*} orderType
* @param {*} quantity 交易额
* @param {*} quantityPrecision 交易额的精度
* @param {*} pricePrecision 价格的精度
* @param {*} minQuantity 最小交易额
* @param {*} waitTime
* @param {*} orderOffset
* @param {*} retryTimes -1, 一直循环下去
*/
$.TradeRetry = function (ex, orderType, quantity, quantityPrecision, pricePrecision, minQuantity, waitTime, orderOffset, retryTimes) {
let qtyRest = quantity
let retry = 0
while (true) {
const ticker = _C(ex.GetTicker)
const price = orderType === ORDER_TYPE_BUY ? ticker.Buy : ticker.Sell
const order = $.TradeCancel(ex, orderType, price, qtyRest, quantityPrecision, minQuantity, waitTime, orderOffset)
if (!order) {
return null
}
if (order.Status !== ORDER_STATE_CANCELED) {
return order
}
qtyRest -= order.DealAmount
if (qtyRest < minQuantity) {
return order
}
if (isDebug) Log('TradeRetry market - retry:', retry, 'qtyRest: ', qtyRest)
if (retryTimes === -1) {
continue
}
if (++retry > retryTimes) {
break
}
}
if (isDebug) Log('TradeRetry market - qtyRest: ', qtyRest)
// FIXME: fmz未对市价Buy做适配,导致限价时使用交易量quantity做参数,而市价使用交易额做参数,而且只有Buy,Sell都是正常使用交易额的
// return $.TradeCertain(ex, orderType, -1, qtyRest, precision, minQuantity, math.min(waitTime / 2, 1000), orderOffset)
// so the priceFix use the 1% up/down the ticker.Last
const ticker = _C(ex.GetTicker)
const priceFix = _N(ticker.Last * (orderType === ORDER_TYPE_BUY ? 1.01 : 0.99), pricePrecision)
return $.TradeCertain(ex, orderType, priceFix, qtyRest, quantityPrecision, minQuantity, math.min(waitTime / 2, 1000), orderOffset)
}
$.TradeRetrySlightly = function (ex, orderType, quantityTotal, quantityPrecision, pricePrecision, minQuantity, waitTime, orderOffset, retryTimes) {
// 最佳成交量
const depth = ex.GetDepth()
const quantity_divide = math.min($.AverageSmooth($.GetDepthAmounts(depth.Bids)), $.AverageSmooth($.GetDepthAmounts(depth.Asks)))
isDebug && Log(`TradeRetrySlightly - quantity_divide: ${quantity_divide}`)
let qtyRest = quantityTotal
while (true) {
const qty = math.min(quantity_divide, qtyRest)
if (qty < minQuantity) {
break
}
const order = $.TradeRetry(ex, orderType, qty, quantityPrecision, pricePrecision, minQuantity, waitTime, orderOffset, retryTimes)
if (order == null) {
break
}
if (order.Status === ORDER_STATE_CLOSED) {
qtyRest -= qty
} else {
throw new Error(`order.Status: ${order.Status}`)
}
Sleep(retryDelay)
}
}
// 定义一个接口
const CountDown = {
label: '',
total: 0,
accum: 0,
overtime: 0,
lasttime: 0,
}
var CountDownMap = new Map()
$.CountDownEnd = function (label, accumulate, total, overtime = 5 * 60) {
let cd = CountDownMap.get(label)
if (!cd) {
cd = {
label: label,
total: total,
accum: 0,
overtime: overtime,
lasttime: 0,
}
CountDownMap.set(label, cd)
}
// 超时后,需要重新计数
const t = Unix()
if (t - cd.lasttime > cd.overtime) {
cd.accum = 0
cd.lasttime = t
// 先执行一次
return true
}
cd.lasttime = t
// 修改total后,需要重新计数
if (cd.total !== total) {
cd.total = total
cd.accum = 0
}
cd.accum += accumulate
const isEnd = cd.accum >= total
if (isEnd) {
cd.accum = 0
}
if (isDebug) Log('CountDownEnd - ', Array.from(CountDownMap))
return isEnd
}
$.LoopStatusUpdate = (loop) => {
let statusOld
return (dt) => {
const status = loop(dt)
if (!status) {
return statusOld
}
const statusNew = JSON.stringify(status)
if (statusNew !== statusOld) {
statusOld = statusNew
}
return statusOld
}
}
$.LoopWaitFunc = (func, interval, firstRun = true) => {
let acc = 0
return (dt) => {
if (firstRun) {
firstRun = false
return func(0)
}
acc += dt
if (acc < interval) {
return
}
acc = 0
return func(interval)
}
}
let balanceInit = 0
$.ProfitInit = (ex) => {
const acc = _C(ex.GetAccount)
balanceInit = acc.Balance
LogProfitReset()
}
$.ProfitLog = (ex) => {
const acc = _C(ex.GetAccount)
const bal = acc.Balance
LogProfit(bal - balanceInit)
}
function main() {
exchange.SetContractType('swap')
Log('GetCurrencyQuote: ', $.GetCurrencyQuote(exchange))
Log('PriceRate: ', $.PriceRate(35058.79, 34675))
Log('IsFuture: ', $.IsFuture(exchange))
Log('GetDepthAmounts: ', $.GetDepthAmounts(exchange.GetDepth().Bids))
let arr = [3, 6, 12, 2, 200, 1000]
Log('AverageSmooth: ', arr, ' - ', $.AverageSmooth(arr))
Log('GetDepthTotal: ', $.GetDepthTotal(exchange.GetDepth().Bids, 0.01))
Log('GetDepthTotalPrice: ', $.GetDepthTotalPrice(exchange.GetDepth().Bids, 2100))
Log('TradeCancel buy: ', $.TradeCancel(exchange, ORDER_TYPE_BUY, -1, 0.1, 3, 3000, ORDER_OFFSET_OPEN))
Log('CountDecimals: ', $.CountDecimals(1), $.CountDecimals(0.001))
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6