量化對衝網格模型基於發明者平臺的比特幣OKCoin期貨交易策略
OKCoin期貨跨期對衝策略，季度、當週、次周api
一、 季度-當週數組
二、 季度-次周bash
三、 當週-次周tcp
四、在週五交割前5分鐘會自動 平倉， 鎖定15分鐘 後再正常運行。函數
做者本人呢 是菜鳥程序猿一個， 平時沒什麼愛好，就喜歡寫代碼。最近一年在發明者量化上學到了很多新知識， 模仿Zero 大神的商品期貨對衝網格策略，寫了一個 電子貨幣 （BTC期貨） 的對衝網格策略。回測一下還行（固然回測只是最初步的檢測，不表明任何結論！）oop
如下代碼不能直接運行，須要配置參數（在發明者量化平臺）。代碼鏈接： www.botvs.com/strategy/34…測試
var checkTime = 0;
var residualTime = 0;
var checkPreTime = 0;
var JGDate = []; // 交割模擬。 ["BTC1129", "BTC1229", "BTC0316"];
var JGDateIndex = 0; // 模擬交割索引。
var JGHoursCorrect = 8; // 檢測交割剩餘小時，在實盤中須要修正 8小時。 模擬時該值設置爲0
var idA = null;
var idB = null;
var A = 1;
var B = 2;
var PRE = 3;
var PLUS = 4;
var MINUS = 5;
var FREE = 6;
function init(){
if(istry){
JGHoursCorrect = 0; // 模擬中 該值修改成0
Log("啓用模擬 交割，初始化交割日期列表。");
UpdateJGDate();
}
}
function UpdateJGDate(){
// 循環31次 遍歷出 當前月份的全部 星期5的 日期， 取時間戳， 對比當前時間戳，小於當前的 丟棄，大於當前的第一個便是
// 在用時間戳恢復日期，拿到 字符串
var array_JG_stamp = [];
var date = new Date();
var nowStamp = date.getTime();
var nowMonth = date.getMonth();
var nextJG_Stamp = 0;
date.setHours(16); // 0~23
date.setMinutes(0); // 0~59
date.setSeconds(0); // 0~59
for(var i = 1 ; i <= 31; i++){
date.setDate(i);
var EveryDay = date.getDay(); // 1~6
if(EveryDay === 5 && nowMonth == date.getMonth()){
var fridayStamp = date.getTime();
array_JG_stamp.push(fridayStamp);
}
}
for(var j = 0 ; j < array_JG_stamp.length ; j++){
if(nowStamp <= array_JG_stamp[j]){
nextJG_Stamp = array_JG_stamp[j];
break;
}
if(j == array_JG_stamp.length - 1){
nextJG_Stamp = array_JG_stamp[j] + 1000 * 7 * 24 * 60 * 60;
}
}
array_JG_stamp = [];
for(var n = 1 ; n <= 100; n++){ // 生成 100 個 模擬交割日期。
if(n == 1){
array_JG_stamp.push(nextJG_Stamp);
}else{
nextJG_Stamp += 1000 * 7 * 24 * 60 * 60;
array_JG_stamp.push(nextJG_Stamp);
}
}
var date2 = new Date();
for(var m = 0 ; m < array_JG_stamp.length ; m++){
date2.setTime(array_JG_stamp[m]);
var strMonth = date2.getMonth() + 1;
var strDate = date2.getDate();
if(strMonth < 10){
strMonth = '0' + strMonth;
}
if(strDate < 10){
strDate = '0' + strDate;
}
JGDate.push("BTC" + strMonth + strDate);
}
Log("模擬生成的交割日期：", JGDate);
}
function CheckDelivery(nowTime, Symbol, task) {
var contractInfo = null;
if(checkTime <= 0){
var contractName = "";
var ContractIndex = 0;
if(Symbol === "this_week"){
ContractIndex = 0;
}else if(Symbol === "next_week"){
ContractIndex = 1;
}else if(Symbol === "quarter"){
ContractIndex = 2;
}
if(istry === true){ // 判斷是否是 模擬測試
try{
contractName = JGDate[JGDateIndex]; // 模擬測試 交割日期
JGDateIndex++;
} catch(e){
Log("回測模式，更新交割日期錯誤", e);
JGDateIndex--;
}
}
while (contractName == "") {
//var contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=this_week"); //只是檢測this_week ,避免重複調用提升效率
switch(ContractIndex){
case 0: contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=this_week");
break;
case 1: contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=next_week");
break;
case 2: contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=quarter");
break;
default: Log("contractInfo:", contractInfo);
//throw "switch NumContractType Error!";
} //根據 contractType 類型 選擇讀取合約交割日期
if (!contractInfo || contractInfo.length === 0) {
Sleep(100);
continue;
}
try {
contractName = (JSON.parse(contractInfo))[0].contract_name;
} catch (e) {
Log("CheckDelivery Error",contractInfo, e);
return 0;
}
}
var nowDateTime = new Date();
contractName = contractName.split("BTC")[1]; //抽取BTC後的字符串 從新賦值
var strMonth = contractName[0] + contractName[1];
var strDay = contractName[2] + contractName[3];
var strYear = nowDateTime.getFullYear() + ""; //獲取 年份字符串
// 處理跨年問題
var nowMonth = nowDateTime.getMonth(); // 獲取月份
if(strMonth < nowMonth){
strYear = (strYear - 0) + 1;
strYear = strYear + "";
}
var strDate = strYear + '-' + strMonth + '-' + strDay + ' ' + "16:00:00";
var deliveryTime = (new Date(strDate)).getTime(); // + 16 * 60 * 60 * 1000;
nowTime = nowDateTime.getTime();
residualTime = (deliveryTime - nowTime) / 1000 / 60 / 60 - JGHoursCorrect; //單位是小時
checkTime = (deliveryTime - nowTime) - JGHoursCorrect * 1000 * 60 * 60; //還差多少毫秒交割
checkPreTime = nowTime; //記錄開始的時間
Log("合約", Symbol, "交割日期獲取：", strDate);
}else{
checkTime -= nowTime - checkPreTime; //減去消耗的時間
checkPreTime = nowTime;
residualTime = checkTime / 1000 / 60 / 60; // 計算距離交割多少小時
}
if(residualTime < 24){ //交割小於24小時
MSG_String = "  " + Symbol + " 交割時間剩餘：" + residualTime + "小時！！#FF0000";
if((checkTime / 1000 / 60) <= 5 && task.isFrozen == false){ // 每次交割前5分鐘 鎖定。
Log("距離交割剩餘5分鐘，平掉全部倉位！#FF0000");
for(var index = 0; index < task.dic.length; index++){
if(task.dic[index].hold > 0){ // 平空A 平多B
task.action = [index, "closesell", "closebuy", task.dic[index].hold];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closesell-closebuy", "circlepin");
}else if(task.dic[index].hold < 0){ // 平多A 平空B
task.action = [index, "closebuy", "closesell", task.dic[index].hold];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closebuy-closesell", "circlepin");
}
}
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition);
UpdatePosition(task, Positions);
Log("所有倉位已平，檢查持倉：", Positions, "程序凍結15分鐘！#FF0000");
task.isFrozen = true;
task.FrozenStartTime = new Date().getTime();
}
}else{
MSG_String = "  " + Symbol + " 交割時間剩餘：" + residualTime + "小時！！";
}
return _N(residualTime, 3);
}
function OpenPriceToActual(Price, Piece){
var OnePieceEquivalentCoin = 100 / Price;
var OpenFee = Piece * (OnePieceEquivalentCoin) * (0.03 * 0.01);
var Actual = Price + (OpenFee * Price) / (OnePieceEquivalentCoin * Piece);
return Actual;
//Log("Actual:", Actual, "OpenFee:", OpenFee, "OnePieceEquivalentCoin:", OnePieceEquivalentCoin, "保證金：", OpenFee / 0.01 / 0.03 / 10); // 測試
//var Actual = Price + ((0.03 * 0.01) * Price);
}
function CreateHedgeList(Begin, End, Size, Step, AmountOfPoint, SymbolA, SymbolB){
// "(this_week&quarter)100:90:1;110:100:1;120:110:1;130:120:1;140:130:1;150:140:1;160:150:1;170:160:1;180:170:1;190:180:1";
if((SymbolA !== "this_week" && SymbolA !== "next_week" && SymbolA !== "quarter") || (SymbolB !== "this_week" && SymbolB !== "next_week" && SymbolB !== "quarter")){
throw "合約代碼錯誤： SymbolA " + SymbolA + " SymbolB " + SymbolB;
}
var BodyString = "";
var HeadString = '(' + SymbolA + '&' + SymbolB + ')';
for(var i = Begin ; i <= End ; i += Step){
if(i + Step > End){
BodyString += (i + ':') + (i - Size) + (':' + AmountOfPoint);
}else{
BodyString += (i + ':') + (i - Size) + (':' + AmountOfPoint) + ';';
}
}
var HL = HeadString + BodyString;
Log("按參數生成對衝列表:", HL);
return HL;
}
function UpdatePosition(task, Positions, onlyAorBorPRE){
if(Positions.length > 2){
Log(Positions, "Positions 長度大於2！#FF0000");
throw "同類型合約不能同時持有多倉空倉。";
}
if(onlyAorBorPRE == PRE){
task.Pre_APositions = task.APositions;
task.Pre_BPositions = task.BPositions;
}
for(var i = 0; i < Positions.length; i++){
if(Positions[i].ContractType == task.symbolA && onlyAorBorPRE !== B){
task.APositions = Positions[i];
}
if(Positions[i].ContractType == task.symbolB && onlyAorBorPRE !== A){
task.BPositions = Positions[i];
}
}
if(Positions.length == 0){
if(onlyAorBorPRE !== B){
task.APositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
}
if(onlyAorBorPRE !== A){
task.BPositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
}
if(onlyAorBorPRE !== A && onlyAorBorPRE !== B){
task.APositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
task.BPositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
}
}
}
function DealAction(task, AorB, amount){
if(amount <= 0){
throw "錯誤： DealAction 的 amount 參數爲:" + amount;
}
if(AorB == A){
task.e.SetContractType(task.symbolA);
task.e.SetDirection(task.action[1]);
if(task.action[1] == "buy" || task.action[1] == "closesell"){
idA = task.e.Buy(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolA);
}else if(task.action[1] == "sell" || task.action[1] == "closebuy"){
idA = task.e.Sell(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolA);
}
}
if(AorB == B){
task.e.SetContractType(task.symbolB);
task.e.SetDirection(task.action[2]);
if(task.action[2] == "buy" || task.action[2] == "closesell"){
idB = task.e.Buy(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolB);
}else if(task.action[2] == "sell" || task.action[2] == "closebuy"){
idB = task.e.Sell(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolB);
}
}
}
function DealActionLimit(task, AorB, Piece, isAgain){
var tradeInfo = null;
var Price = 0;
var Piece = Math.abs(Piece);
if(isAgain){
while(true){
task.e.SetContractType(task.symbolA);
var Adepth = task.e.GetDepth();
task.e.SetContractType(task.symbolB);
var Bdepth = task.e.GetDepth();
if(!Adepth || !Bdepth || Adepth.Asks.length === 0 || Adepth.Bids.length === 0 || Bdepth.Asks.length === 0 || Bdepth.Bids.length === 0){
//Log("獲取深度信息異常！", Adepth, Bdepth);
Sleep(Interval);
continue;
}
task.Adepth = Adepth;
task.Bdepth = Bdepth;
task.Adiff = _N(Adepth.Bids[0].Price - Bdepth.Asks[0].Price);
task.Bdiff = _N(Adepth.Asks[0].Price - Bdepth.Bids[0].Price);
break;
}
}
task.e.SetContractType(AorB == A ? task.symbolA : task.symbolB);
task.e.SetDirection(task.action[AorB]);
if(task.action[AorB] == "buy"){
Price = AorB == A ? task.Adepth.Asks[0].Price : task.Bdepth.Asks[0].Price;
tradeInfo = task.P.OpenLong(AorB == A ? task.symbolA : task.symbolB, Piece, Price);
}else if(task.action[AorB] == "sell"){
Price = AorB == A ? task.Adepth.Bids[0].Price : task.Bdepth.Bids[0].Price;
tradeInfo = task.P.OpenShort(AorB == A ? task.symbolA : task.symbolB, Piece, Price);
}else if(task.action[AorB] == "closebuy"){
Price = AorB == A ? task.Adepth.Bids[0].Price : task.Bdepth.Bids[0].Price;
tradeInfo = task.P.Cover(AorB == A ? task.symbolA : task.symbolB, Price, Piece, PD_LONG); // task.action[AorB]
}else if(task.action[AorB] == "closesell"){
Price = AorB == A ? task.Adepth.Asks[0].Price : task.Bdepth.Asks[0].Price;
tradeInfo = task.P.Cover(AorB == A ? task.symbolA : task.symbolB, Price, Piece, PD_SHORT); // task.action[AorB]
}
if((task.action[AorB] == "buy" || task.action[AorB] == "sell") && tradeInfo.amount === 0){
return false;
}else if((task.action[AorB] == "closebuy" || task.action[AorB] == "closesell") && tradeInfo == 0){
return false;
}
return tradeInfo;
}
function CalcActualPrice(task){
if(task.action[0] == 0){
var A_Pv = task.APositions.Price;
var B_Pv = task.BPositions.Price;
task.dic[task.action[0]].ActualPrice = A_Pv - B_Pv;
Log(task.symbolA, A_Pv, task.symbolB, B_Pv, "#FF0000");
}else if(task.APositions.Amount == 1 && task.BPositions.Amount == 1){
var A_Pv = task.APositions.Price;
var B_Pv = task.BPositions.Price;
task.dic[task.action[0]].ActualPrice = A_Pv - B_Pv;
Log(task.symbolA, A_Pv, task.symbolB, B_Pv, "#FF0000");
}else{
var A_Pv = task.APositions.Price;
var A_P1 = task.Pre_APositions.Price;
var A_m = task.APositions.Amount - task.Pre_APositions.Amount;
var A_n = task.Pre_APositions.Amount;
var B_Pv = task.BPositions.Price;
var B_P1 = task.Pre_BPositions.Price;
var B_m = task.BPositions.Amount - task.Pre_BPositions.Amount;
var B_n = task.Pre_BPositions.Amount;
var A_P2 = A_Pv * A_P1 * A_m / ((A_m + A_n) * A_P1 - A_n * A_Pv);
var B_P2 = B_Pv * B_P1 * B_m / ((B_m + B_n) * B_P1 - B_n * B_Pv);
task.dic[task.action[0]].ActualPrice = A_P2 - B_P2;
Log(task.symbolA, A_P2, task.symbolB, B_P2, "#FF0000");
}
}
function Hedge_Open_Cover(task){
if(task.isUseMarketOrder === false){ // 限價單
if((task.action[1] === "buy" && task.action[2] === "sell") || (task.action[1] === "sell" && task.action[2] === "buy")){ // open
var tradeInfo_A = DealActionLimit(task, A, task.action[3]);
var dealAmount_A = Math.abs(task.action[3]);
while(tradeInfo_A == false || (dealAmount_A -= tradeInfo_A.amount) !== 0){
Log("合約：" + task.symbolA + "已對衝" + (tradeInfo_A == false ? 0 : tradeInfo_A.amount), "剩餘，重試！張數：" + dealAmount_A);
tradeInfo_A = DealActionLimit(task, A, dealAmount_A, true);
Sleep(Interval);
}
var tradeInfo_B = DealActionLimit(task, B, task.action[3]);
var dealAmount_B = Math.abs(task.action[3]);
while(tradeInfo_B == false || (dealAmount_B -= tradeInfo_B.amount) !== 0){
Log("合約：" + task.symbolB + "已對衝" + (tradeInfo_B == false ? 0 : tradeInfo_B.amount), "剩餘，重試！張數：" + dealAmount_B);
tradeInfo_B = DealActionLimit(task, B, dealAmount_B, true);
Sleep(Interval);
}
task.dic[task.action[0]].hold = task.action[3];
// task.dic[task.action[0]].ActualPrice = _N(orderA.AvgPrice - orderB.AvgPrice);
}else if((task.action[1] === "closesell" && task.action[2] === "closebuy") || (task.action[1] === "closebuy" && task.action[2] === "closesell")){ // cover
var tradeInfo_A_Piece = DealActionLimit(task, A, task.action[3]);
var dealAmount_A = Math.abs(task.action[3]);
while(tradeInfo_A_Piece == false || (dealAmount_A -= tradeInfo_A_Piece) !== 0){
Log("合約：" + task.symbolA + "已對衝" + (tradeInfo_A == false ? 0 : tradeInfo_A_Piece), "剩餘，重試！張數：" + dealAmount_A);
tradeInfo_A_Piece = DealActionLimit(task, A, dealAmount_A, true);
Sleep(Interval);
}
var tradeInfo_B_Piece = DealActionLimit(task, B, task.action[3]);
var dealAmount_B = Math.abs(task.action[3]);
while(tradeInfo_B_Piece == false || (dealAmount_B -= tradeInfo_B_Piece) !== 0){
Log("合約：" + task.symbolB + "已對衝" + (tradeInfo_B == false ? 0 : tradeInfo_B_Piece), "剩餘，重試！張數：" + dealAmount_B);
tradeInfo_B_Piece = DealActionLimit(task, B, dealAmount_B, true);
Sleep(Interval);
}
task.dic[task.action[0]].hold = 0;
task.dic[task.action[0]].ActualPrice = 0;
task.dic[task.action[0]].CoverTimes += 1;
}
Sleep(100);
}else if(task.isUseMarketOrder === true){ // 市價單
var orderA = null;
var orderB = null;
if((task.action[1] === "buy" && task.action[2] === "sell") || (task.action[1] === "sell" && task.action[2] === "buy")){ // open
DealAction(task, A);
DealAction(task, B);
while(!idA || !idB){
if(!idA){
DealAction(task, A);
}
if(!idB){
DealAction(task, B);
}
}
while(true){
if(!orderA || orderA.Status !== ORDER_STATE_CLOSED){
orderA = task.e.GetOrder(idA);
}
if(!orderB || orderB.Status !== ORDER_STATE_CLOSED){
orderB = task.e.GetOrder(idB);
}
if(orderA && orderB && orderA.Status == ORDER_STATE_CLOSED && orderB.Status == ORDER_STATE_CLOSED){
break;
}
Sleep(Interval);
}
//Log("Open symbolA:", orderA, "symbolB:", orderB);
task.dic[task.action[0]].hold = task.action[3];
task.dic[task.action[0]].ActualPrice = _N(orderA.AvgPrice - orderB.AvgPrice);
}else if((task.action[1] === "closesell" && task.action[2] === "closebuy") || (task.action[1] === "closebuy" && task.action[2] === "closesell")){ // cover
DealAction(task, A);
DealAction(task, B);
while(!idA || !idB){
if(!idA){
DealAction(task, A);
}
if(!idB){
DealAction(task, B);
}
}
while(true){
if(!orderA || orderA.Status !== ORDER_STATE_CLOSED){
orderA = task.e.GetOrder(idA);
}
if(!orderB || orderB.Status !== ORDER_STATE_CLOSED){
orderB = task.e.GetOrder(idB);
}
if(orderA && orderB && orderA.Status == ORDER_STATE_CLOSED && orderB.Status == ORDER_STATE_CLOSED){
break;
}
Sleep(Interval);
}
//Log("Cover symbolA:", orderA, "symbolB:", orderB);
task.dic[task.action[0]].hold = 0;
task.dic[task.action[0]].ActualPrice = 0;
task.dic[task.action[0]].CoverTimes += 1;
}
Sleep(100); // 避免訪問過於頻繁。
}
}
function TasksController(){ // 任務控制器 構造函數
// 構造用於返回的 控制器對象
var self = {};
self.tasks = []; // 控制器的任務數組。
self.AddTask = function(e, symbolA, symbolB, HedgeList){ // 添加對衝 任務, 函數中進行 構造， 部分參數變量未初始化。在main 函數開始 根據界面參數列表，肯定task 個數 進行構造。
var task = {
// 任務的參數變量
e : e,
symbolA : symbolA,
symbolB : symbolB,
HedgeList : HedgeList,
dic : [],
Adepth : null,
Bdepth : null,
Adiff : 0,
Bdiff : 0,
action : null,
lastUpdateLineTime : 0,
MarginLevel : MarginLevel,
isUseMarketOrder : true,
// 帳戶信息
initAccount : _C(e.GetAccount),
nowAccount : null,
isFrozen : false,
FrozenStartTime : 0,
APositions : null,
BPositions : null,
Pre_APositions : null,
Pre_BPositions : null,
PositionsLastUpdateTime : 0,
isLogProfit : false,
taskProfit : 0,
State : FREE,
};
self.tasks.push(task);
}
self.InitTask = function(){ // 初始化 任務，設置合約 槓桿等
_.each(self.tasks, function(task){
var arr = task.HedgeList.split(';');
var hedgeDirection = 1;
// 可擴展 恢復持倉，讀取當前持倉。
_.each(arr, function(pair){
var tmp = pair.split(':'); // 把每一個 網格節點的 單元 按照':'字符 分割成 參數 數組 tmp
if (tmp.length != 3) { // 因爲 格式 是 30:15:1 即 開倉差價: 平倉差價: 下單量 ，因此 用 ':' 分割後 tmp長度 不是3的 即 格式錯誤
throw "開倉表不正確"; // 拋出異常 格式錯誤
}
var st = { // 每次迭代的時候 構造一個對象
open: Number(tmp[0]), // 開倉 把 tmp[0] 即 30:15:1 按 ':' 分割後 生成的數組中的 第一個元素 30 ， 經過 Number 函數 轉換爲數值
cover: Number(tmp[1]), // 平倉..
amount: Number(tmp[2]), // 量..
hold: 0, // 持倉 初始爲0
ActualPrice: 0,
PointProfit : 0, // 但個倉位累計差價。
CoverTimes : 0, // 平倉次數
};
task.dic.push(st);
});
// 處理其它 初始化工做
task.P = $.NewPositionManager(task.e);
task.isUseMarketOrder = isUseMarketOrder; // 初始是否使用市價單
task.e.SetMarginLevel(task.MarginLevel); // 設置槓桿
task.nowAccount = _C(task.e.GetAccount); // 初始化 當前帳戶信息
// 檢查， 啓用的網格 是否會 耗盡資金
if((task.dic[0].open < 0 && isCreateHedgeList) || (task.dic[0].cover < 0 && isCreateHedgeList)){
// throw "自動網格生成錯誤：第一個節點開倉值、平倉值 小於0，會引發產生重複部分。" +JSON.stringify(task.dic);
}
var dic_length = task.dic.length;
var sumPiece = 0;
for(var i = 0; i < dic_length; i++){
sumPiece += task.dic[i].amount;
}
sumPiece = sumPiece * 2;
task.e.SetContractType(task.symbolA);
var tickerA = _C(task.e.GetTicker);
task.e.SetContractType(task.symbolB);
var tickerB = _C(task.e.GetTicker);
var Margin = sumPiece * 100 * OK_Rate / ((tickerA.Last + tickerB.Last) / 2) / task.MarginLevel;
if(MarginRatio * task.initAccount.Stocks < Margin){
if(istry == false || IsVirtual()){
throw "滿倉所需保證金：" + Margin + " 超出 限制比例： " + MarginRatio;
}else{
Log("注意，實盤測試模式開啓！#FF0000");
}
}
Log("按照當前初始化，滿倉將開" + sumPiece + "張合約，共須要 保證金：" + Margin + "BTC");
});
}
self.DealTask = function(nowTime){
// 處理task 任務
tbls = []; // 每次初始清空
_.each(self.tasks, function(task){
// 迭代處理 task
task.e.SetContractType(task.symbolA);
var Adepth = task.e.GetDepth();
task.e.SetContractType(task.symbolB);
var Bdepth = task.e.GetDepth();
if(!Adepth || !Bdepth || Adepth.Asks.length === 0 || Adepth.Bids.length === 0 || Bdepth.Asks.length === 0 || Bdepth.Bids.length === 0){
return;
}
task.Adepth = Adepth;
task.Bdepth = Bdepth;
task.Adiff = _N(Adepth.Bids[0].Price - Bdepth.Asks[0].Price);
task.Bdiff = _N(Adepth.Asks[0].Price - Bdepth.Bids[0].Price);
if(nowTime - task.lastUpdateLineTime > 1000 * 60){
$.PlotLine("plus", task.Adiff);
$.PlotLine("minus", task.Bdiff);
task.lastUpdateLineTime = nowTime;
}
// 判斷解除凍結
if(nowTime - task.FrozenStartTime > 1000 * 15 * 60 && task.isFrozen == true){
task.isFrozen = false;
if(For_USD == false){
var lastRate = OK_Rate;
OK_Rate = task.e.GetUSDCNY();
task.e.SetRate(OK_Rate);
}
Log("凍結解除！", For_USD == false ? "而且更新匯率，上次匯率：" + lastRate + "更新後匯率：" + OK_Rate + "#FF0000" : "#FF0000");
}
// 交易邏輯
var SumHold = task.dic.length;
for(var index = 0; index < task.dic.length && task.isFrozen == false; index++){
if(task.dic[index].hold === 0){
if(task.dic[index].open <= task.Adiff && task.State !== MINUS){ // 正對衝 空A 多B
task.action = [index, "sell", "buy", task.dic[index].amount];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "O", "sell-buy", "flag", "red");
task.isLogProfit = false;
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 獲取持倉信息。
UpdatePosition(task, Positions, PRE);
Log("Open symbolA:", task.APositions, "symbolB:", task.BPositions);
CalcActualPrice(task);
task.State = PLUS;
}else if(task.dic[index].open <= -task.Bdiff && task.State !== PLUS){ // 反對衝 多A 空B
task.action = [index, "buy", "sell", -task.dic[index].amount];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "O", "buy-sell", "flag", "red");
task.isLogProfit = false;
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 獲取持倉信息。
UpdatePosition(task, Positions, PRE);
Log("Open symbolA:", task.APositions, "symbolB:", task.BPositions);
CalcActualPrice(task);
task.State = MINUS;
}else{
SumHold--;
}
}else{
if(task.dic[index].hold > 0 && task.dic[index].cover >= task.Bdiff){ // 平空A 平多B
task.action = [index, "closesell", "closebuy", task.dic[index].hold];
Log(JSON.stringify(task.action));
// Buy_SymbolA_Sell_SymbolB(task);
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closesell-closebuy", "circlepin");
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 獲取持倉信息。
UpdatePosition(task, Positions);
Log("Cover symbolA:", task.APositions, "symbolB:", task.BPositions);
}else if(task.dic[index].hold < 0 && task.dic[index].cover >= -task.Adiff){ // 平多A 平空B
task.action = [index, "closebuy", "closesell", task.dic[index].hold];
Log(JSON.stringify(task.action));
// Sell_SymbolA_Buy_SymbolB(task);
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closebuy-closesell", "circlepin");
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 獲取持倉信息。
UpdatePosition(task, Positions);
Log("Cover symbolA:", task.APositions, "symbolB:", task.BPositions);
}
}
}
if(SumHold != 0 && nowTime - task.PositionsLastUpdateTime > 1000 * 30){
var Positions = _C(task.e.GetPosition); // 獲取持倉信息。
UpdatePosition(task, Positions);
task.PositionsLastUpdateTime = nowTime;
}else if(SumHold == 0 && task.isLogProfit == false){
sumProfit = 0;
task.State = FREE;
for(var a = 0 ; a < TC.tasks.length; a++){
sumProfit += TC.tasks[a].taskProfit;
}
LogProfit(sumProfit, "當前：", task.nowAccount, "初始：", task.initAccount);
task.taskProfit = task.nowAccount.Stocks - task.initAccount.Stocks;
task.isLogProfit = true;
}
// 檢測交割剩餘時間、發送 交割前平倉命令
CheckDelivery(nowTime, "this_week", task); // 檢測 當週交割。 必須在當週交割前平倉。
// 測試 將數據如今狀態欄
var tbl = {
type : "table",
title : task.symbolA + "&" + task.symbolB,
cols : ["key", "value"],
rows : []
};
for(var key in task){
value = task[key];
if(key === "dic" || key === "Adepth" || key === "Bdepth" || key === "initAccount" || key === "nowAccount" || key === "isFrozen" ||
key === "FrozenStartTime" || key === "P" || key === "Pre_APositions" || key === "Pre_BPositions"){ // 過濾顯示
continue;
}
if(key === "e"){
value = "初始: " + JSON.stringify(task.initAccount) + " 當前: " + JSON.stringify(task.nowAccount);
key = task[key].GetName();
}
tbl.rows.push([key, value]);
}
// 判斷下網格方向
if(task.dic[0].hold < 0){
for(var j = 0; j < task.dic.length; j++){
var task_dic = JSON.stringify(task.dic[j]);
if(task.dic[j].hold > 0){
task_dic += "#FF0000";
}else if(task.dic[j].hold < 0){
task_dic += "#32CD32";
}
tbl.rows.push([j, task_dic]);
}
}else if(task.dic[0].hold > 0){
for(var j = task.dic.length - 1; j >= 0; j--){
var task_dic = JSON.stringify(task.dic[j]);
if(task.dic[j].hold > 0){
task_dic += "#FF0000";
}else if(task.dic[j].hold < 0){
task_dic += "#32CD32";
}
tbl.rows.push([j, task_dic]);
}
}else{
for(var j = 0; j < task.dic.length; j++){
var task_dic = JSON.stringify(task.dic[j]);
if(task.dic[j].hold > 0){
task_dic += "#FF0000";
}else if(task.dic[j].hold < 0){
task_dic += "#32CD32";
}
tbl.rows.push([j, task_dic]);
}
}
tbls.push(tbl);
});
if(tbls.length === 0){ // 容錯模式，或者實盤中 可能有緣由致使 _.each 迭代中 返回，tbls 爲 [] ，處理此種狀況。
return;
}
LogStatus("輪詢耗時:" + StrLoopTime + " 當前時間：" + _D() + MSG_String + '\n`' + JSON.stringify(tbls) + '`'); // 輸出到狀態欄
}
// 返回對象
return self;
}
var TC = null; // TasksController 對象
var tbls = [];
var MSG_String = "  ";
var StrLoopTime = "";
var OK_Rate = 0;
var SumUseTime = 0;
var times = 0;
var sumTimes = 0;
var sumProfit = 0;
function main(){
// 測試代碼 模擬界面參數
if(isFilter){
Log("啓用過濾常規錯誤信息。");
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|reused");
}
var Positions = [];
for(var j = 0 ; j < exchanges.length ; j++){
var position = _C(exchanges[j].GetPosition);
if(position.length !== 0){
Positions.push(position);
}
}
if(AutoRecoveryState == false && Positions.length == 0){ // 沒有持倉，而且關閉了自動恢復
if(isCreateHedgeList == true){
HedgeTable = CreateHedgeList(begin, end, size, step, amountOfPoint, symbolA, symbolB);
}
// 輸出對衝控制表，並檢查。
Log("對衝控制表", HedgeTable);
if(HedgeTable == "(this_week&quarter)30:15:1"){
Log("注意！對衝控制表 當前爲 默認值！可能引發虧損。");
}
// 建立控制器對象
TC = TasksController();
var exchangesNum = 0;
var e_index = 0;
for(var i = 0; i < exchanges.length; i++){ // 遍歷交易所對象數組
exchangesNum++;
}
var arr = HedgeTable.split('(');
_.each(arr, function(item) {
if (item != '') {
var tmp = item.split(')');
var pair = tmp[0].replace('(', '').split('&');
// Log("pair:", pair, "tmp:", tmp); // 測試 顯示 處理後的 控制表字符串
TC.AddTask(exchanges[e_index], pair[0], pair[1], tmp[1]);
if(For_USD){ // 設置匯率
OK_Rate = 1;
exchanges[e_index].SetRate(1);
Log("使用的價格爲美圓計價,匯率：", OK_Rate, "，請注意 」對衝 控制表「 是否爲美圓差價#FF0000"); // 幣種提示
}else{
OK_Rate = exchanges[e_index].GetUSDCNY();
exchanges[e_index].SetRate(OK_Rate);
Log("使用的價格爲RMB計價,匯率：", OK_Rate, "，請注意 」對衝 控制表「 是否爲RMB差價#FF0000"); // 幣種提示
}
if(--exchangesNum < 0){
throw "添加的交易所 和 對衝控制表 不匹配！交易所個數：" + exchanges.length + " arr：" + arr;
}else if(exchangesNum !== 0){
e_index++;
}
}
});
Log("交易所對象最大索引 e_index:", e_index, "關聯後剩餘交易所數量： exchangesNum:", exchangesNum); // 測試
// 調用控制器對象的初始化函數
TC.InitTask();
}else if(AutoRecoveryState == false && Positions.length !== 0){ // 未開啓恢復，有持倉
throw "未開啓自動恢復，檢測到有持倉信息：" + JSON.stringify(Positions);
}else if(AutoRecoveryState == true && Positions.length == 0 && (istry == false || IsVirtual())){ // 開啓自動恢復， 無持倉信息
throw "未檢測到持倉信息，沒法恢復！";
}else{ // 恢復持倉
Log("恢復持倉！");
if(isCreateHedgeList == true){
HedgeTable = CreateHedgeList(begin, end, size, step, amountOfPoint, symbolA, symbolB);
}
// 輸出對衝控制表，並檢查。
Log("對衝控制表", HedgeTable);
if(HedgeTable == "(this_week&quarter)30:15:1"){
Log("注意！對衝控制表 當前爲 默認值！可能引發虧損。");
}
// 建立控制器對象
TC = TasksController();
var exchangesNum = 0;
var e_index = 0;
for(var i = 0; i < exchanges.length; i++){ // 遍歷交易所對象數組
exchangesNum++;
}
var arr = HedgeTable.split('(');
_.each(arr, function(item) {
if (item != '') {
var tmp = item.split(')');
var pair = tmp[0].replace('(', '').split('&');
// Log("pair:", pair, "tmp:", tmp); // 測試 顯示 處理後的 控制表字符串
TC.AddTask(exchanges[e_index], pair[0], pair[1], tmp[1]);
if(For_USD){ // 設置匯率
OK_Rate = 1;
exchanges[e_index].SetRate(1);
Log("使用的價格爲美圓計價,匯率：", OK_Rate, "，請注意 」對衝 控制表「 是否爲美圓差價#FF0000"); // 幣種提示
}else{
OK_Rate = exchanges[e_index].GetUSDCNY();
exchanges[e_index].SetRate(OK_Rate);
Log("使用的價格爲RMB計價,匯率：", OK_Rate, "，請注意 」對衝 控制表「 是否爲RMB差價#FF0000"); // 幣種提示
}
if(--exchangesNum < 0){
throw "添加的交易所 和 對衝控制表 不匹配！交易所個數：" + exchanges.length + " arr：" + arr;
}else if(exchangesNum !== 0){
e_index++;
}
}
});
Log("交易所對象最大索引 e_index:", e_index, "關聯後剩餘交易所數量： exchangesNum:", exchangesNum); // 測試
// 調用控制器對象的初始化函數
TC.InitTask();
var PreTC = _G("TC");
for(var index = 0; index < TC.tasks.length ; index++){
for(var key in TC.tasks[index]){
if(key == "e" || key == "Adepth" || key == "Bdepth" || key == "P"){
continue;
}
TC.tasks[index][key] = PreTC.tasks[index][key];
}
}
}
while(true){
var nowTime = new Date().getTime();
TC.DealTask(nowTime);
Sleep(Interval);
var endTime = new Date().getTime();
if(times < 100000){
SumUseTime += (endTime - nowTime);
times++;
}else{
SumUseTime = 0;
times = 0;
SumUseTime += (endTime - nowTime);
times++;
}
sumTimes++;
var avgUseTime = _N(SumUseTime / times);
StrLoopTime = (endTime - nowTime) + " ms " + "平均耗時：" + avgUseTime + "循環次數：" + sumTimes;
}
}
function onexit(){
Log("退出策略，自動保存狀態。");
_G("TC", TC);
}
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