2023-01-11 17:10:25 +08:00
|
|
|
|
2023-07-14 18:39:48 +08:00
|
|
|
> Name
|
2023-01-11 17:10:25 +08:00
|
|
|
|
2023-04-18 23:12:35 +08:00
|
|
|
bybit反向合约动态网格特异网格
|
2023-01-11 17:10:25 +08:00
|
|
|
|
2023-07-14 18:39:48 +08:00
|
|
|
> Author
|
2023-01-11 17:10:25 +08:00
|
|
|
|
|
|
|
|
@cqz
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2023-07-14 18:39:48 +08:00
|
|
|
> Strategy Arguments
|
2023-01-11 17:10:25 +08:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2023-07-14 18:39:48 +08:00
|
|
|
|Argument|Default|Description|
|
2023-01-11 17:10:25 +08:00
|
|
|
|----|----|----|
|
|
|
|
|
|GridPercentage|0.05|GridPercentage|
|
|
|
|
|
|StartPositionRate|0.3|StartPositionRate|
|
|
|
|
|
|EndPositionRate|0.7|EndPositionRate|
|
|
|
|
|
|StartPrice|24000|StartPrice|
|
|
|
|
|
|EndPrice|60000|EndPrice|
|
|
|
|
|
|MinOrderCoinSize|0.001|MinOrderCoinSize|
|
|
|
|
|
|CoinSymbol|BTC|CoinSymbol|
|
|
|
|
|
|MinOrderAmount|5|MinOrderAmount|
|
|
|
|
|
|Reset|false|Reset|
|
|
|
|
|
|
|
|
|
|
|
2023-07-14 18:39:48 +08:00
|
|
|
> Source (javascript)
|
2023-01-11 17:10:25 +08:00
|
|
|
|
|
|
|
|
``` javascript
|
|
|
|
|
//Arguments:
|
|
|
|
|
//1. StartPrice
|
|
|
|
|
//2. EndPrice
|
|
|
|
|
//3. MinOrderCoinSize
|
|
|
|
|
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
CoinSymbol = CoinSymbol;
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
StartPrice = StartPrice;
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
EndPrice = EndPrice;
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
StartPositionRate = StartPositionRate;//0.3
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
EndPositionRate = EndPositionRate;//0.7
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
GridPercentage = GridPercentage;//0.05
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
MinOrderAmount = MinOrderAmount;
|
|
|
|
|
// noinspection SillyAssignmentJS
|
|
|
|
|
Reset = Reset;
|
|
|
|
|
|
|
|
|
|
let varA = (EndPositionRate - StartPositionRate) / (StartPrice - EndPrice);
|
|
|
|
|
let varB = EndPositionRate - StartPrice * varA;
|
|
|
|
|
let buyVarA = varA / (1 - GridPercentage / 100);
|
|
|
|
|
let sellVarA = varA / (1 + GridPercentage / 100);
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
function getPositionRate(varA, price) {
|
|
|
|
|
if (price < StartPrice) {
|
|
|
|
|
price = StartPrice;
|
|
|
|
|
}
|
|
|
|
|
if (price > EndPrice) {
|
|
|
|
|
price = EndPrice;
|
|
|
|
|
}
|
|
|
|
|
return varA * price + varB;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function getAmounts(coinSize, currency, currentPrice, minOrderCoinSize) {
|
|
|
|
|
let buyPrice = currentPrice - 5;
|
|
|
|
|
let buyPositionRate = getPositionRate(buyVarA, buyPrice);
|
|
|
|
|
let buyCoin = buyPositionRate * (coinSize * buyPrice + currency) / buyPrice - coinSize;
|
|
|
|
|
buyCoin = buyCoin > minOrderCoinSize ? buyCoin : minOrderCoinSize;
|
|
|
|
|
let sellPrice = currentPrice + 5;
|
|
|
|
|
let sellPositionRate = getPositionRate(sellVarA, sellPrice);
|
|
|
|
|
let sellCoin = sellPositionRate * (coinSize * sellPrice + currency) / sellPrice - coinSize;
|
|
|
|
|
sellCoin = sellCoin < -minOrderCoinSize ? sellCoin : -minOrderCoinSize;
|
|
|
|
|
return [buyCoin, sellCoin];
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function getPrice(coinSize, currency, amount) {
|
|
|
|
|
let varA = amount < 0 ? sellVarA : buyVarA;
|
|
|
|
|
// Log("(" + (coinSize + amount) + " * y) / (" + coinSize + " * y + " + currency + ") = " + varA + " * y + " + varB);
|
|
|
|
|
// ((coinSize + amount) * y) / (coinSize * y + currency) = varA * y + varB;
|
|
|
|
|
// Log("(" + (coinSize + amount) + " * y) = " + (varA * coinSize) + " * y^ + " + ((varA * currency) + (varB * coinSize)) + " * y + " + (varB * currency));
|
|
|
|
|
//((coinSize + amount) * y) = varA * coinSize * y^ + ((varA * currency) + (varB * coinSize)) * y + (varB * currency)
|
|
|
|
|
// Log("y^2 + " + (((varA * currency) + (varB * coinSize) - (coinSize + amount)) / (varA * coinSize)) + " * y = " + (-(varB * currency) / (varA * coinSize)));
|
|
|
|
|
// y^ + (((varA * currency) + (varB * coinSize) - (coinSize + amount))/(varA * coinSize)) * y = -(varB * currency)/(varA * coinSize)
|
|
|
|
|
let k = (varA * currency + varB * coinSize - coinSize - amount) / (2 * varA * coinSize);
|
|
|
|
|
let l = Math.sqrt(-((varB * currency) / (varA * coinSize)) + Math.pow(k, 2));
|
|
|
|
|
let p1 = -l - k;
|
|
|
|
|
let p2 = l - k;
|
|
|
|
|
let price;
|
|
|
|
|
if (p1 > 0 && p2 > 0) {
|
|
|
|
|
price = amount < 0 ? Math.max(p1, p2) : Math.min(p1, p2);
|
|
|
|
|
} else {
|
|
|
|
|
price = Math.max(p1, p2);
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
let z = (coinSize + amount) * price / (coinSize * price + currency);
|
|
|
|
|
let z1 = varA * StartPrice + varB;
|
|
|
|
|
let z2 = varA * EndPrice + varB;
|
|
|
|
|
if (z > z1) {
|
|
|
|
|
price = z1 * currency / (coinSize + amount - z1 * coinSize)
|
|
|
|
|
} else if (z < z2) {
|
|
|
|
|
price = z2 * currency / (coinSize + amount - z2 * coinSize)
|
|
|
|
|
}
|
|
|
|
|
return parseInt(price);
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
let pricesChart = Chart([{ // 这个 chart 在JS 语言中 是对象， 在使用Chart 函数之前我们需要声明一个配置图表的对象变量chart。
|
|
|
|
|
__isStock: true, // 标记是否为一般图表，有兴趣的可以改成 false 运行看看。
|
|
|
|
|
tooltip: {
|
|
|
|
|
xDateFormat: '%Y-%m-%d %H:%M:%S, %A'
|
|
|
|
|
}, // 缩放工具
|
|
|
|
|
title: {
|
|
|
|
|
text: '收益分析图'
|
|
|
|
|
}, // 标题
|
|
|
|
|
rangeSelector: { // 选择范围
|
|
|
|
|
buttons: [{
|
|
|
|
|
type: 'hour',
|
|
|
|
|
count: 1,
|
|
|
|
|
text: '1h'
|
|
|
|
|
}, {
|
|
|
|
|
type: 'hour',
|
|
|
|
|
count: 3,
|
|
|
|
|
text: '3h'
|
|
|
|
|
}, {
|
|
|
|
|
type: 'hour',
|
|
|
|
|
count: 8,
|
|
|
|
|
text: '8h'
|
|
|
|
|
}, {
|
|
|
|
|
type: 'all',
|
|
|
|
|
text: 'All'
|
|
|
|
|
}],
|
|
|
|
|
selected: 0,
|
|
|
|
|
inputEnabled: false
|
|
|
|
|
},
|
|
|
|
|
xAxis: {
|
|
|
|
|
type: 'datetime'
|
|
|
|
|
}, // 坐标轴横轴 即：x轴， 当前设置的类型是 ：时间
|
|
|
|
|
yAxis: { // 坐标轴纵轴 即：y轴， 默认数值随数据大小调整。
|
|
|
|
|
title: {
|
|
|
|
|
text: '收益'
|
|
|
|
|
}, // 标题
|
|
|
|
|
opposite: false, // 是否启用右边纵轴
|
|
|
|
|
},
|
|
|
|
|
series: [ // 数据系列，该属性保存的是 各个 数据系列（线， K线图， 标签等..）
|
|
|
|
|
{
|
|
|
|
|
name: "零",
|
|
|
|
|
id: "Zero",
|
|
|
|
|
dashStyle: 'shortdash',
|
|
|
|
|
data: []
|
|
|
|
|
}, {
|
|
|
|
|
name: "策略收益",
|
|
|
|
|
id: "策略收益,strategyProfit",
|
|
|
|
|
data: []
|
|
|
|
|
}, {
|
|
|
|
|
name: "现货收益",
|
|
|
|
|
id: "现货收益,spotProfit",
|
|
|
|
|
data: []
|
|
|
|
|
}
|
|
|
|
|
]
|
|
|
|
|
}]);
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
function GetOrders() {
|
|
|
|
|
let ordersResp = exchange.IO("api", "GET", "/v2/private/order", "symbol=" + CoinSymbol + "USD");
|
|
|
|
|
if (!ordersResp || ordersResp.ret_code !== 0) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
let orderIds = [];
|
|
|
|
|
for (let i = 0; i < ordersResp.result.length; i++) {
|
|
|
|
|
orderIds.push(ordersResp.result[i].order_id);
|
|
|
|
|
}
|
|
|
|
|
return orderIds;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function GetFilledOrder(orderId) {
|
|
|
|
|
let orderResp = exchange.IO("api", "GET", "/v2/private/order", "symbol=" + CoinSymbol + "USD&order_id=" + orderId);
|
|
|
|
|
if (!orderResp || orderResp.ret_code !== 0 || orderResp.result.order_status !== "Filled") {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
let amount = orderResp.result.qty;
|
|
|
|
|
amount = orderResp.result.side === "Sell" ? -amount : amount;
|
|
|
|
|
return [orderResp.result.price, amount];
|
|
|
|
|
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
function sell(price, amount) {
|
|
|
|
|
let createOrderResp = exchange.IO("api", "POST", "/v2/private/order/create", "symbol=" + CoinSymbol + "USD&side=Sell&order_type=Limit&qty=" + -amount + "&price=" + price + "&time_in_force=PostOnly");
|
|
|
|
|
if (!createOrderResp || createOrderResp.ret_code !== 0) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
Log("[Sell] Price:" + price + ", Amount:" + amount + ", orderId:" + createOrderResp.result.order_id);
|
|
|
|
|
return createOrderResp.result.order_id;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function buy(price, amount) {
|
|
|
|
|
let createOrderResp = exchange.IO("api", "POST", "/v2/private/order/create", "symbol=" + CoinSymbol + "USD&side=Buy&order_type=Limit&qty=" + amount + "&price=" + price + "&time_in_force=PostOnly");
|
|
|
|
|
if (!createOrderResp || createOrderResp.ret_code !== 0) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
Log("[Buy] Price:" + price + ", Amount:" + amount + ", orderId:" + createOrderResp.result.order_id);
|
|
|
|
|
return createOrderResp.result.order_id;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function GetInversePosition() {
|
|
|
|
|
let positionResp = exchange.IO("api", "GET", "/v2/private/position/list", "symbol=" + CoinSymbol + "USD");
|
|
|
|
|
if (!positionResp || positionResp.ret_code !== 0) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
let amount = positionResp.result.size;
|
|
|
|
|
amount = positionResp.result.side === "Sell" ? -amount : amount;
|
|
|
|
|
return [positionResp.result.entry_price, amount];
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function GetInverseBalance() {
|
|
|
|
|
let balanceResp = exchange.IO("api", "GET", "/v2/private/wallet/balance", "coin=" + CoinSymbol);
|
|
|
|
|
if (!balanceResp || balanceResp.ret_code !== 0) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
return balanceResp.result[CoinSymbol].wallet_balance;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function GetInverseAccount() {
|
|
|
|
|
let position = GetInversePosition();
|
|
|
|
|
if (!position) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
let balance = GetInverseBalance();
|
|
|
|
|
if (!balance) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
let entry_price = position[0];
|
|
|
|
|
let currency = -position[1];
|
|
|
|
|
let coin = balance;
|
|
|
|
|
coin = coin - (currency / entry_price);
|
|
|
|
|
return [coin, currency];
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function GetInverseTickerPrice() {
|
|
|
|
|
let tickersResp = exchange.IO("api", "GET", "/v2/public/tickers", "symbol=" + CoinSymbol + "USD");
|
|
|
|
|
if (!tickersResp || tickersResp.ret_code !== 0) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
return (parseInt(tickersResp.result[0].bid_price) + parseInt(tickersResp.result[0].ask_price)) / 2;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function GetUSDTPosition() {
|
|
|
|
|
let positionResp = null;
|
|
|
|
|
let retryCount = 0;
|
|
|
|
|
while (!positionResp || positionResp.ret_code !== 0) {
|
|
|
|
|
if (retryCount++ > 0) {
|
|
|
|
|
Sleep(2000);
|
|
|
|
|
}
|
|
|
|
|
positionResp = exchange.IO("api", "GET", "/private/linear/position/list", "symbol=" + CoinSymbol + "USDT");
|
|
|
|
|
}
|
|
|
|
|
// noinspection JSConstructorReturnsPrimitive
|
|
|
|
|
return positionResp;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
// function loop1(ctx) {
|
|
|
|
|
// if (PendingOrders.length === 0) {
|
|
|
|
|
// let account = _C(exchange.GetAccount);
|
|
|
|
|
// let position = _C(exchange.GetPosition);
|
|
|
|
|
// let ticker = _C(exchange.GetTicker);
|
|
|
|
|
// let askPrice = ticker.Sell;
|
|
|
|
|
// let bidPrice = ticker.Buy;
|
|
|
|
|
// let balance = position.length === 0 ? 0 : (position[0].Amount + position[0].FrozenAmount);
|
|
|
|
|
// let stocks = account.Stocks + account.FrozenStocks;
|
|
|
|
|
// let dynamicPrice = balance / stocks;
|
|
|
|
|
// let nextBuyPrice = _N(dynamicPrice * (1 - trimSpreadRatio / 100), pricePrecision);
|
|
|
|
|
// let nextBuyAmount = _N((balance - stocks * nextBuyPrice) / 2, amountPrecision);
|
|
|
|
|
// let nextSellPrice = _N(dynamicPrice * (1 + trimSpreadRatio / 100), pricePrecision);
|
|
|
|
|
// let nextSellAmount = _N((stocks * nextSellPrice - balance) / 2, amountPrecision);
|
|
|
|
|
// // Log("balance:" + balance + ", stocks:" + stocks + ", dynamicPrice:" + dynamicPrice + ", buyPrice:" + nextBuyPrice + ", sellPrice:" + nextSellPrice);
|
|
|
|
|
// let sellOrder = sell(askPrice > nextSellPrice ? askPrice : nextSellPrice, nextSellAmount);
|
|
|
|
|
// if (sellOrder) {
|
|
|
|
|
// PendingOrders.push(sellOrder.orderID);
|
|
|
|
|
// }
|
|
|
|
|
// let buyOrder = buy(bidPrice < nextBuyPrice ? bidPrice : nextBuyPrice, nextBuyAmount);
|
|
|
|
|
// if (buyOrder) {
|
|
|
|
|
// PendingOrders.push(buyOrder.orderID);
|
|
|
|
|
// }
|
|
|
|
|
// } else {
|
|
|
|
|
// let orders = [];
|
|
|
|
|
// for (let i = 0; i < PendingOrders.length; i++) {
|
|
|
|
|
// while (true) {
|
|
|
|
|
// orders[i] = _C(exchange.GetOrder, PendingOrders[i]);
|
|
|
|
|
// if (orders[i].Status !== ORDER_STATE_UNKNOWN) {
|
|
|
|
|
// break
|
|
|
|
|
// } else {
|
|
|
|
|
// Sleep(1000)
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// let allOrderFinish = true;
|
|
|
|
|
// let hasFinishOrder = false;
|
|
|
|
|
// for (let i = 0; i < orders.length; i++) {
|
|
|
|
|
// if (orders[i].Status === ORDER_STATE_PENDING) {
|
|
|
|
|
// allOrderFinish = false;
|
|
|
|
|
// } else {
|
|
|
|
|
// hasFinishOrder = true;
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// if (hasFinishOrder) {
|
|
|
|
|
// for (let i = 0; i < orders.length; i++) {
|
|
|
|
|
// if (orders[i].Status === ORDER_STATE_PENDING) {
|
|
|
|
|
// exchange.CancelOrder(PendingOrders[i], orders[i]);
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// if (allOrderFinish) {
|
|
|
|
|
// let avgPrice = 0;
|
|
|
|
|
// for (let i = 0; i < orders.length; i++) {
|
|
|
|
|
// if (orders[i].DealAmount > 0) {
|
|
|
|
|
// avgPrice = orders[i].AvgPrice;
|
|
|
|
|
// Log(orders[i].Type === ORDER_TYPE_BUY ? "买入成功:" : "卖出成功:", "价格" + orders[i].AvgPrice + ", 成交数量", orders[i].DealAmount);
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// if (avgPrice > 0) {
|
|
|
|
|
// ctx.positionChange = true;
|
|
|
|
|
// ctx.avgPrice = avgPrice;
|
|
|
|
|
// }
|
|
|
|
|
// PendingOrders = [];
|
|
|
|
|
// } else {
|
|
|
|
|
// if (PendingOrders.length === 1 && new Date().getTime() - new Date(orders[0].transactTime).getTime() > 5 * 1000) {
|
|
|
|
|
// exchange.CancelOrder(PendingOrders[0], orders[0]);
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
|
|
|
|
|
// function checkArgs() {
|
|
|
|
|
// exchange.SetContractType("XBTU20");
|
|
|
|
|
// exchange.SetMarginLevel(1);
|
|
|
|
|
// let RunningInfo = _G("runningInfo");
|
|
|
|
|
// if (RunningInfo == null) {
|
|
|
|
|
// RunningInfo = {};
|
|
|
|
|
// let account = _C(exchange.GetAccount);
|
|
|
|
|
// let position = _C(exchange.GetPosition);
|
|
|
|
|
// OriginStocks = account.Stocks + account.FrozenStocks + (position.length === 0 ? 0 : (position[0].Amount + position[0].FrozenAmount) / position[0].Price);
|
|
|
|
|
// RunningInfo.OriginStocks = OriginStocks;
|
|
|
|
|
// _G("runningInfo", RunningInfo);
|
|
|
|
|
// } else {
|
|
|
|
|
// OriginStocks = RunningInfo.OriginStocks;
|
|
|
|
|
// }
|
|
|
|
|
// Log(OriginStocks);
|
|
|
|
|
// }
|
|
|
|
|
|
|
|
|
|
let PendingOrders = {};
|
|
|
|
|
let transactionalData = {
|
|
|
|
|
"initTime": 0,
|
|
|
|
|
"initAssets": 0,
|
|
|
|
|
"initPrice": 1,
|
|
|
|
|
"buyAmount": 0,
|
|
|
|
|
"buyPrice": 1,
|
|
|
|
|
"sellAmount": 0,
|
|
|
|
|
"sellPrice": 1,
|
|
|
|
|
"transactions": [],
|
|
|
|
|
};
|
|
|
|
|
|
|
|
|
|
function Init() {
|
|
|
|
|
_CDelay(2000);
|
|
|
|
|
let _transactionalData = _G("transactionalData");
|
|
|
|
|
if (_transactionalData !== null) {
|
|
|
|
|
transactionalData = _transactionalData;
|
|
|
|
|
}
|
|
|
|
|
if (!transactionalData.initTime || transactionalData.initTime <= 0) {
|
|
|
|
|
resetTransaction();
|
|
|
|
|
}
|
|
|
|
|
Log(transactionalData);
|
|
|
|
|
cancelAllOrders();
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function resetTransaction() {
|
|
|
|
|
transactionalData.initTime = 0;
|
|
|
|
|
cancelAllOrders();
|
|
|
|
|
while (!transactionalData.initTime || transactionalData.initTime <= 0) {
|
|
|
|
|
let position = GetInversePosition();
|
|
|
|
|
let balance = GetInverseBalance();
|
|
|
|
|
let currentPrice = GetInverseTickerPrice();
|
|
|
|
|
if (!position || !balance || !currentPrice) {
|
|
|
|
|
Log("获取账户信息失败");
|
|
|
|
|
Sleep(1000);
|
|
|
|
|
continue
|
|
|
|
|
}
|
|
|
|
|
let entry_price = parseFloat(position[0]);
|
|
|
|
|
let currency = -position[1];
|
|
|
|
|
transactionalData.initTime = new Date().getTime();
|
|
|
|
|
transactionalData.initPrice = currentPrice;
|
|
|
|
|
transactionalData.initAssets = currency + (balance - (currency / entry_price)) * currentPrice;
|
|
|
|
|
transactionalData.buyPrice = 1;
|
|
|
|
|
transactionalData.buyAmount = 0;
|
|
|
|
|
transactionalData.sellPrice = 1;
|
|
|
|
|
transactionalData.sellAmount = 0;
|
|
|
|
|
transactionalData.transactions = [];
|
|
|
|
|
transactionalData.transactions.push([-currency, currentPrice]);
|
|
|
|
|
LogReset(2);
|
|
|
|
|
LogProfitReset();
|
|
|
|
|
pricesChart.reset();
|
|
|
|
|
Log("reset transactionalData:", transactionalData);
|
|
|
|
|
_G("transactionalData", transactionalData);
|
|
|
|
|
LogStatusInfo({
|
|
|
|
|
"currentPrice": currentPrice,
|
|
|
|
|
"coinSize": balance - (currency / entry_price),
|
|
|
|
|
"currency": currency
|
|
|
|
|
});
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function mergeTransactions() {
|
|
|
|
|
let checkAmountSameSign = function (a1, a2) {
|
|
|
|
|
return a1 === 0 || a2 === 0 || (a1 > 0 && a2 > 0) || (a1 < 0 && a2 < 0);
|
|
|
|
|
};
|
|
|
|
|
let mergeTransaction = function (amount, price) {
|
|
|
|
|
if (amount > 0) {
|
|
|
|
|
let buyCoin = amount / price + transactionalData.buyAmount / transactionalData.buyPrice;
|
|
|
|
|
transactionalData.buyAmount = transactionalData.buyAmount + amount;
|
|
|
|
|
transactionalData.buyPrice = transactionalData.buyAmount / buyCoin;
|
|
|
|
|
} else if (amount < 0) {
|
|
|
|
|
let sellCoin = -amount / price + transactionalData.sellAmount / transactionalData.sellPrice;
|
|
|
|
|
transactionalData.sellAmount = transactionalData.sellAmount - amount;
|
|
|
|
|
transactionalData.sellPrice = transactionalData.sellAmount / sellCoin;
|
|
|
|
|
}
|
|
|
|
|
};
|
|
|
|
|
let length = transactionalData.transactions.length;
|
|
|
|
|
if (length <= 2) {
|
|
|
|
|
return;
|
|
|
|
|
}
|
|
|
|
|
let transaction1 = transactionalData.transactions[length - 2];
|
|
|
|
|
let transaction2 = transactionalData.transactions[length - 1];
|
|
|
|
|
if (checkAmountSameSign(transaction1[0], transaction2[0])) {
|
|
|
|
|
return
|
|
|
|
|
}
|
|
|
|
|
let transactions = [];
|
|
|
|
|
for (let i = 0; i < length - 2; i++) {
|
|
|
|
|
transactions.push(transactionalData.transactions[i])
|
|
|
|
|
}
|
|
|
|
|
let mergeAmount = transaction1[0] + transaction2[0];
|
|
|
|
|
if (mergeAmount === 0) {
|
|
|
|
|
mergeTransaction(transaction1[0], transaction1[1]);
|
|
|
|
|
mergeTransaction(transaction2[0], transaction2[1]);
|
|
|
|
|
} else if (checkAmountSameSign(mergeAmount, transaction1[0])) {
|
|
|
|
|
mergeTransaction(-transaction2[0], transaction1[1]);
|
|
|
|
|
mergeTransaction(transaction2[0], transaction2[1]);
|
|
|
|
|
transactions.push([mergeAmount, transaction1[1]])
|
|
|
|
|
} else {
|
|
|
|
|
mergeTransaction(transaction1[0], transaction1[1]);
|
|
|
|
|
mergeTransaction(-transaction1[0], transaction2[1]);
|
|
|
|
|
transactions.push([mergeAmount, transaction2[1]])
|
|
|
|
|
}
|
|
|
|
|
transactionalData.transactions = transactions;
|
|
|
|
|
mergeTransactions()
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function loop() {
|
|
|
|
|
let orders = GetOrders();
|
|
|
|
|
if (!orders) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
//取消未知订单
|
|
|
|
|
let cancelUnknownOrder = false;
|
|
|
|
|
for (let i = 0; i < orders.length; i++) {
|
|
|
|
|
if (!PendingOrders.hasOwnProperty(orders[i])) {
|
|
|
|
|
exchange.CancelOrder(orders[i], "未知订单:", orders[i]);
|
|
|
|
|
cancelUnknownOrder = true;
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
if (cancelUnknownOrder) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
let pendingOrderIds = Object.getOwnPropertyNames(PendingOrders);
|
|
|
|
|
if (pendingOrderIds.length !== 0) {
|
|
|
|
|
if (orders.length === pendingOrderIds.length) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
for (let i = 0; i < orders.length; i++) {
|
|
|
|
|
PendingOrders[orders[i]] = false;
|
|
|
|
|
exchange.CancelOrder(orders[i], "未成交订单:", orders[i]);
|
|
|
|
|
}
|
|
|
|
|
for (let pendingOrderId of pendingOrderIds) {
|
|
|
|
|
if (PendingOrders[pendingOrderId] === true) {
|
|
|
|
|
let order = GetFilledOrder(pendingOrderId);
|
|
|
|
|
if (!order) {
|
|
|
|
|
continue
|
|
|
|
|
}
|
|
|
|
|
let price = order[0];
|
|
|
|
|
let amount = order[1];
|
|
|
|
|
transactionalData.transactions.push([amount, price]);
|
|
|
|
|
mergeTransactions();
|
|
|
|
|
_G("transactionalData", transactionalData);
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
PendingOrders = {};
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
let inverseAccount = GetInverseAccount();
|
|
|
|
|
if (!inverseAccount) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
let currentPrice = GetInverseTickerPrice();
|
|
|
|
|
if (!currentPrice) {
|
|
|
|
|
return false;
|
|
|
|
|
}
|
|
|
|
|
let minOrderCoinSize = MinOrderAmount / currentPrice;
|
|
|
|
|
// Log("account:", inverseAccount, "currentPrice:", currentPrice);
|
|
|
|
|
let amounts = getAmounts(inverseAccount[0], inverseAccount[1], currentPrice, minOrderCoinSize);
|
|
|
|
|
let buyPrice = getPrice(inverseAccount[0], inverseAccount[1], amounts[0]);
|
|
|
|
|
let buyAmount = Math.round(amounts[0] * buyPrice);
|
|
|
|
|
let sellPrice = getPrice(inverseAccount[0], inverseAccount[1], amounts[1]);
|
|
|
|
|
let sellAmount = Math.round(amounts[1] * sellPrice);
|
|
|
|
|
// Log("buy:", buyAmount, buyPrice);
|
|
|
|
|
// Log("sell:", sellAmount, sellPrice);
|
|
|
|
|
if ((currentPrice - buyPrice) / currentPrice < 0.1) {
|
|
|
|
|
let buyOrderId = buy(buyPrice, buyAmount);
|
|
|
|
|
if (buyOrderId) {
|
|
|
|
|
PendingOrders[buyOrderId] = true
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
if ((sellPrice - currentPrice) / currentPrice < 0.1) {
|
|
|
|
|
let sellOrderId = sell(sellPrice, sellAmount);
|
|
|
|
|
if (sellOrderId) {
|
|
|
|
|
PendingOrders[sellOrderId] = true;
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
return {"currentPrice": currentPrice, "coinSize": inverseAccount[0], "currency": inverseAccount[1]}
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function LogStatusInfo(ctx) {
|
|
|
|
|
let now = new Date();
|
|
|
|
|
let statusTable = [{
|
|
|
|
|
type: 'table',
|
|
|
|
|
title: '网格统计',
|
|
|
|
|
cols: ["买入价格", "买入数量", "卖出价格", "卖出数量", "网格盈亏(U)", "挂单手续费(U)", "收益率", "年化", ""],
|
|
|
|
|
rows: [[]]
|
|
|
|
|
}, {
|
|
|
|
|
type: 'table',
|
|
|
|
|
title: '资产汇总',
|
|
|
|
|
cols: [CoinSymbol + "|价值(U)", "法币(U)", "比例", "汇总资产(U)", "初始资产(U)", "持仓收益(U)", "网格收益(U)", "总收益(U)", "收益率", "年化"],
|
|
|
|
|
rows: [[]]
|
|
|
|
|
}];
|
|
|
|
|
statusTable[0].rows[0][0] = _N(transactionalData.buyPrice, 1);
|
|
|
|
|
statusTable[0].rows[0][1] = transactionalData.buyAmount;
|
|
|
|
|
statusTable[0].rows[0][2] = _N(transactionalData.sellPrice, 1);
|
|
|
|
|
statusTable[0].rows[0][3] = transactionalData.sellAmount;
|
|
|
|
|
let transactionPrice = (transactionalData.buyPrice + transactionalData.sellPrice) / 2;
|
|
|
|
|
let transactionProfit = (transactionalData.buyAmount / transactionalData.buyPrice * transactionPrice - transactionalData.buyAmount) + (transactionalData.sellAmount - transactionalData.sellAmount / transactionalData.sellPrice * transactionPrice);
|
|
|
|
|
statusTable[0].rows[0][4] = _N(transactionProfit, 2);
|
|
|
|
|
let feeProfit = (transactionalData.buyAmount + transactionalData.sellAmount) * 0.025 / 100;
|
|
|
|
|
statusTable[0].rows[0][5] = _N(feeProfit, 2);
|
|
|
|
|
let profitRate = (feeProfit + transactionProfit) / transactionalData.initAssets * 100;
|
|
|
|
|
statusTable[0].rows[0][6] = _N(profitRate, 2) + "%";
|
|
|
|
|
statusTable[0].rows[0][7] = _N(profitRate / ((now.getTime() - transactionalData.initTime) / 24 / 3600 / 1000) * 365, 2) + "%";
|
|
|
|
|
statusTable[0].rows[0][8] = {"type": "button", "name": "重置", "cmd": "resetTransaction", "description": "重置交易信息"};
|
|
|
|
|
|
|
|
|
|
statusTable[1].rows[0][0] = _N(ctx.coinSize, 5) + "|" + _N(ctx.coinSize * ctx.currentPrice, 2);
|
|
|
|
|
statusTable[1].rows[0][1] = _N(ctx.currency, 2);
|
|
|
|
|
let currentAssets = ctx.coinSize * ctx.currentPrice + ctx.currency;
|
|
|
|
|
statusTable[1].rows[0][2] = _N(ctx.coinSize * ctx.currentPrice / currentAssets, 3) + "%";
|
|
|
|
|
statusTable[1].rows[0][3] = _N(currentAssets, 2);
|
|
|
|
|
statusTable[1].rows[0][4] = _N(transactionalData.initAssets, 2);
|
|
|
|
|
statusTable[1].rows[0][5] = _N(currentAssets - transactionProfit - feeProfit - transactionalData.initAssets, 2);
|
|
|
|
|
statusTable[1].rows[0][6] = _N(transactionProfit + feeProfit, 2);
|
|
|
|
|
statusTable[1].rows[0][7] = _N(currentAssets - transactionalData.initAssets, 2);
|
|
|
|
|
let assetsProfitRate = (currentAssets - transactionalData.initAssets) / transactionalData.initAssets * 100;
|
|
|
|
|
statusTable[1].rows[0][8] = _N(assetsProfitRate, 2) + "%";
|
|
|
|
|
statusTable[1].rows[0][9] = _N(assetsProfitRate / ((now.getTime() - transactionalData.initTime) / 24 / 3600 / 1000) * 365, 2) + "%";
|
|
|
|
|
LogStatus('`' + JSON.stringify(statusTable) + '`'
|
|
|
|
|
// + "\n当前时间: " + _D(now.getTime())
|
|
|
|
|
+ "\n运行时长: " + _N((now.getTime() - transactionalData.initTime) / 24 / 3600 / 1000, 1) + "天"
|
|
|
|
|
// + "\n上次重置: " + _N((now.getTime() - transactionalData.resetTime) / 24 / 3600 / 1000, 1) + "天"
|
|
|
|
|
);
|
|
|
|
|
LogProfit(transactionProfit + feeProfit, '&');
|
|
|
|
|
pricesChart.add([0, [now.getTime(), 0]]);
|
|
|
|
|
pricesChart.add([1, [now.getTime(), currentAssets - transactionalData.initAssets]]);
|
|
|
|
|
pricesChart.add([2, [now.getTime(), (transactionalData.initAssets / transactionalData.initPrice) * ctx.currentPrice - transactionalData.initAssets]]);
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function main() {
|
|
|
|
|
if (Reset) {
|
|
|
|
|
resetTransaction();
|
|
|
|
|
}
|
|
|
|
|
LogReset(1000);
|
|
|
|
|
LogVacuum();
|
|
|
|
|
Init();
|
|
|
|
|
while (true) {
|
|
|
|
|
let cmd = GetCommand();
|
|
|
|
|
if (cmd) {
|
|
|
|
|
Log(cmd);
|
|
|
|
|
if (cmd === "resetTransaction") {
|
|
|
|
|
resetTransaction();
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
Sleep(3000);
|
|
|
|
|
let ctx = loop();
|
|
|
|
|
if (!ctx) {
|
|
|
|
|
continue
|
|
|
|
|
}
|
|
|
|
|
LogStatusInfo(ctx);
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
// Log(GetUSDTPosition());
|
|
|
|
|
// if (restoreData) {
|
|
|
|
|
// LogProfitReset();
|
|
|
|
|
// LogReset(1);
|
|
|
|
|
// LogVacuum();
|
|
|
|
|
// pricesChart.reset();
|
|
|
|
|
// _G(null);
|
|
|
|
|
// }
|
|
|
|
|
// checkArgs();
|
|
|
|
|
// _CDelay(2000);
|
|
|
|
|
// // noinspection InfiniteLoopJS
|
|
|
|
|
// while (true) {
|
|
|
|
|
// let ctx = {};
|
|
|
|
|
// loop(ctx);
|
|
|
|
|
// Sleep(2000);
|
|
|
|
|
// if (ctx.positionChange) {
|
|
|
|
|
// updateChart(ctx.avgPrice);
|
|
|
|
|
// }
|
|
|
|
|
// }
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function onexit() {
|
|
|
|
|
Log("取消所有订单...");
|
|
|
|
|
cancelAllOrders();
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function onerror() {
|
|
|
|
|
Log("取消所有订单...");
|
|
|
|
|
cancelAllOrders();
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
function cancelAllOrders() {
|
|
|
|
|
let orders = _C(exchange.GetOrders);
|
|
|
|
|
for (let i = 0; i < orders.length; i++) {
|
|
|
|
|
exchange.CancelOrder(orders[i].Id, orders[i]);
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
```
|
|
|
|
|
|
2023-07-14 18:39:48 +08:00
|
|
|
> Detail
|
2023-01-11 17:10:25 +08:00
|
|
|
|
|
|
|
|
https://www.fmz.com/strategy/365406
|
|
|
|
|
|
2023-07-14 18:39:48 +08:00
|
|
|
> Last Modified
|
2023-01-11 17:10:25 +08:00
|
|
|
|
|
|
|
|
2022-05-24 17:38:11
|
