946 lines
40 KiB
Markdown
946 lines
40 KiB
Markdown
|
|
||
|
|
> 策略名称
|
||
|
|
|
||
|
|
合约对冲_下单多线程版本
|
||
|
|
|
||
|
|
> 策略作者
|
||
|
|
|
||
|
|
醉里挑灯看剑
|
||
|
|
|
||
|
|
> 策略描述
|
||
|
|
|
||
|
|
老早以前开发的，JavaScript属于便学便开发，不喜忽喷，)
|
||
|
|
有兴趣的可以在二次开发更新。 微信:fzqtdkj
|
||
|
|
|
||
|
|
> 策略参数
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
|参数|默认值|描述|
|
||
|
|
|----|----|----|
|
||
|
|
|ContractTypeIdxString|quarter|quarter|合约类型|
|
||
|
|
|MarginLevelIdxString|10|10|杠杆|
|
||
|
|
|VarietiesCount|true|交易品种数量|
|
||
|
|
|LoopInterval|2|延时|
|
||
|
|
|VarietiesString|BTC|ETH|交易品种|
|
||
|
|
|ArbitrageSpreadString|15|16|23.5|25.5|25.5#3.5|4|5|套利价差列表|
|
||
|
|
|ArbitrageAmountString|10|10|10|10|20#10|10|10|10|10|套利数量列表|
|
||
|
|
|CloseNarrowSpreadString|5|6|9.7|9.8|10.2#2.1|2.2|2.3|2.4|2|2|2|同一方向价差缩小平仓|
|
||
|
|
|NormalDiff|0.1|普通差价(图)|
|
||
|
|
|HighDiff|0.3|较高差价(图)|
|
||
|
|
|PriceCancelRatioString|0.02|0.02|撤单值(百分比)|
|
||
|
|
|SlideString|0.8|0.1|滑动值|
|
||
|
|
|BuyDepthIndex|true|买深度下标|
|
||
|
|
|SellDepthIndex|true|卖深度下标|
|
||
|
|
|MarketState|true|是否市价单|
|
||
|
|
|IsDeleteGloablConfig|false|是否删除_G配置|
|
||
|
|
|IsShowLog|false|是否显示日志|
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
|按钮|默认值|描述|
|
||
|
|
|----|----|----|
|
||
|
|
|ModifyArbitrageSpread|15|16|23.5|25.5|25.5#3.5|4|5|修改套利价差|
|
||
|
|
|ModifyArbitrageAmount|10|10|10|10|20#10|10|10|10|10|修改套利数量|
|
||
|
|
|ModifyCloseNarrowSpread|5|6|9.7|9.8|10.2#2.1|2.2|2.3|2.4|2|2|2|修改平仓价差|
|
||
|
|
|
||
|
|
|
||
|
|
> 源码 (javascript)
|
||
|
|
|
||
|
|
``` javascript
|
||
|
|
var ContractTypeIdx =[] //合约类型
|
||
|
|
var MarginLevelIdx =[] //杠杆
|
||
|
|
var VarietiesIndx =[] //交易品种
|
||
|
|
|
||
|
|
var PriceCancelRatio =[]; //撤单比例
|
||
|
|
var Slide =[]; //滑动值
|
||
|
|
|
||
|
|
var CloseNarrowSpreadList =[[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[]]; //同一方向平仓值
|
||
|
|
|
||
|
|
|
||
|
|
var curVarietiesIndex =[0,0,0,0,0,0,0,0,0,0,0,0]; //0 当前执行品种下标 1当前平台执行标记
|
||
|
|
var curPlatformIndex =[]; //用于标记当前哪两个平台在对比价差(比如说下标0、下标1的交易所相互对比)
|
||
|
|
|
||
|
|
var ArbitrageSpreadList =[[],[],[],[],[],[],[],[],[],[],[],[]]; //套利价差
|
||
|
|
var ArbitrageAmountList =[[],[],[],[],[],[],[],[],[],[],[],[]]; //交易数量
|
||
|
|
|
||
|
|
var OrderInfoArry =[[],[],[],[],[],[],[],[],[],[],[],[],[],[],[],[]]; //我的订单信息（主要记录订单类型与订单号）
|
||
|
|
|
||
|
|
var CanCelOrderCheckTimer =[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0]; //撤销订单检测时间
|
||
|
|
|
||
|
|
var LastBarTime =[];
|
||
|
|
|
||
|
|
var DifferentHistory =[0,0,0,0,0] //价差历史
|
||
|
|
|
||
|
|
|
||
|
|
/////k线行情信息//
|
||
|
|
var __lastDiff = 0;
|
||
|
|
|
||
|
|
|
||
|
|
var cfg = {
|
||
|
|
tooltip: {xDateFormat: '%Y-%m-%d %H:%M:%S, %A'},
|
||
|
|
title : { text : '差价分析图'},
|
||
|
|
rangeSelector: {
|
||
|
|
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'},
|
||
|
|
yAxis : {
|
||
|
|
plotLines : [{
|
||
|
|
value : 0.0,
|
||
|
|
color : 'black',
|
||
|
|
dashStyle : 'shortdash',
|
||
|
|
width : 3,
|
||
|
|
}, {
|
||
|
|
value : NormalDiff,
|
||
|
|
color : 'green',
|
||
|
|
dashStyle : 'shortdash',
|
||
|
|
width : 1,
|
||
|
|
}, {
|
||
|
|
value : HighDiff,
|
||
|
|
color : 'red',
|
||
|
|
dashStyle : 'shortdash',
|
||
|
|
width : 1,
|
||
|
|
},{
|
||
|
|
value : -NormalDiff,
|
||
|
|
color : 'green',
|
||
|
|
dashStyle : 'shortdash',
|
||
|
|
width : 1,
|
||
|
|
}, {
|
||
|
|
value : -HighDiff,
|
||
|
|
color : 'red',
|
||
|
|
dashStyle : 'shortdash',
|
||
|
|
width : 1,
|
||
|
|
}]
|
||
|
|
},
|
||
|
|
series : [{
|
||
|
|
name : '价差',
|
||
|
|
data : [],
|
||
|
|
tooltip: {
|
||
|
|
valueDecimals: 2
|
||
|
|
}
|
||
|
|
}]
|
||
|
|
};
|
||
|
|
function _N(v, precision) {
|
||
|
|
if (typeof(precision) != 'number') {
|
||
|
|
precision = 4;
|
||
|
|
}
|
||
|
|
var d = parseFloat(v.toFixed(Math.max(10, precision+5)));
|
||
|
|
s = d.toString().split(".");
|
||
|
|
if (s.length < 2 || s[1].length <= precision) {
|
||
|
|
return d;
|
||
|
|
}
|
||
|
|
|
||
|
|
var b = Math.pow(10, precision);
|
||
|
|
return Math.floor(d*b)/b;
|
||
|
|
}
|
||
|
|
|
||
|
|
function GetTicker(e) {
|
||
|
|
if (typeof(e) == 'undefined') {
|
||
|
|
e = exchange;
|
||
|
|
}
|
||
|
|
var ticker;
|
||
|
|
while (!(ticker = e.GetTicker())) {
|
||
|
|
Sleep(Interval);
|
||
|
|
}
|
||
|
|
return ticker;
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
var curArbitrageInfo = //当前信息
|
||
|
|
[ {
|
||
|
|
SpreadIndex:0, //价差下标
|
||
|
|
UsedAmount:0, //当前价差,已用数量
|
||
|
|
LastArbitrageType:0 //最后一次套利类型,若套利类型发生变种,则套利价差下标也需进行变动.
|
||
|
|
},
|
||
|
|
{
|
||
|
|
SpreadIndex:0, //价差下标
|
||
|
|
UsedAmount:0, //当前价差,已用数量
|
||
|
|
LastArbitrageType:0 //最后一次套利类型,若套利类型发生变种,则套利价差下标也需进行变动.
|
||
|
|
},
|
||
|
|
{
|
||
|
|
SpreadIndex:0, //价差下标
|
||
|
|
UsedAmount:0, //当前价差,已用数量
|
||
|
|
LastArbitrageType:0 //最后一次套利类型,若套利类型发生变种,则套利价差下标也需进行变动.
|
||
|
|
},
|
||
|
|
{
|
||
|
|
SpreadIndex:0, //价差下标
|
||
|
|
UsedAmount:0, //当前价差,已用数量
|
||
|
|
LastArbitrageType:0 //最后一次套利类型,若套利类型发生变种,则套利价差下标也需进行变动.
|
||
|
|
},
|
||
|
|
];
|
||
|
|
|
||
|
|
//数量转换
|
||
|
|
function CoinToSheetsAmount(curPrice,CoinAmount,ContractPrice)
|
||
|
|
{
|
||
|
|
var value =curPrice *CoinAmount / ContractPrice;
|
||
|
|
if(value <1) {
|
||
|
|
value =1;
|
||
|
|
}
|
||
|
|
return _N(value, 0);
|
||
|
|
}
|
||
|
|
|
||
|
|
//张数转换为数量
|
||
|
|
function SheetsToCoinAmount(curPrice,SheetsAmount,ContractPrice)
|
||
|
|
{
|
||
|
|
var value =SheetsAmount * ContractPrice/curPrice;
|
||
|
|
// Log("SheetsAmount",SheetsAmount,"ContractPrice",ContractPrice,"curPrice",curPrice);
|
||
|
|
return _N(value, 3);
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
//PD_LONG 多头仓位 PD_SHORT 空头仓位
|
||
|
|
function GetPosition(Index,posType) {
|
||
|
|
var positions = _C(exchanges[Index].GetPosition);
|
||
|
|
for (var i = 0; i < positions.length; i++) {
|
||
|
|
if (positions[i].Type === posType) {
|
||
|
|
return [positions[i].Price, positions[i].Amount];
|
||
|
|
}
|
||
|
|
}
|
||
|
|
return [0, 0];
|
||
|
|
}
|
||
|
|
|
||
|
|
//获取交易所基础信息
|
||
|
|
function getExchangesBaseInfo() {
|
||
|
|
|
||
|
|
var details = [];
|
||
|
|
for (var i = 0; i < exchanges.length; i++) { //只获取当前对比的两个交易所..
|
||
|
|
var account =null;
|
||
|
|
var ticker =null;
|
||
|
|
var LongPosition =null;
|
||
|
|
var ShortPosition =null;
|
||
|
|
var depth =null;
|
||
|
|
|
||
|
|
if(exchanges[curPlatformIndex[i]].GetName() == 'Futures_OKCoin' ||
|
||
|
|
exchanges[curPlatformIndex[i]].GetName() == 'Futures_HuobiDM')
|
||
|
|
{//合约则获取持仓信息
|
||
|
|
LongPosition = GetPosition(curPlatformIndex[i],PD_LONG);
|
||
|
|
ShortPosition = GetPosition(curPlatformIndex[i],PD_SHORT);
|
||
|
|
}
|
||
|
|
|
||
|
|
var accountTemp =exchanges[curPlatformIndex[i]].Go("GetAccount");
|
||
|
|
var tickerTemp =exchanges[curPlatformIndex[i]].Go("GetTicker");
|
||
|
|
var depthTemp =exchanges[curPlatformIndex[i]].Go("GetDepth");
|
||
|
|
|
||
|
|
ticker =tickerTemp.wait();
|
||
|
|
depth =depthTemp.wait();
|
||
|
|
account =accountTemp.wait();
|
||
|
|
if(ticker ==null ||depth ==null || account ==null)
|
||
|
|
{ //若数据获取失败了,则直接pass..
|
||
|
|
break;
|
||
|
|
}
|
||
|
|
details.push({account: account, ticker: ticker,depth: depth,LongPosition:LongPosition,ShortPosition:ShortPosition});
|
||
|
|
|
||
|
|
}
|
||
|
|
return details;
|
||
|
|
}
|
||
|
|
|
||
|
|
//获取价格差 参数:现货下标,数据集,类型
|
||
|
|
function GetPriceDifferent(ExchangeInfo)
|
||
|
|
{
|
||
|
|
var Different =0;
|
||
|
|
var Type =0;
|
||
|
|
//正向计算获取价差 如果合约价格 >现货价格，则按 正的方式进行计算价差,否则按反的方式计算..
|
||
|
|
|
||
|
|
var curSpread =ArbitrageSpreadList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex];
|
||
|
|
var curUsedAmount =curArbitrageInfo[curVarietiesIndex[1]].UsedAmount;
|
||
|
|
var curMaxArbitrageAmount =ArbitrageAmountList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex] ;
|
||
|
|
|
||
|
|
var BuyAveragePrice =[0,0,0,0,0,0]; //买均价
|
||
|
|
var SellAveragePrice =[0,0,0,0,0,0]; //卖均价
|
||
|
|
|
||
|
|
for(var n =0;n<=BuyDepthIndex;n++)
|
||
|
|
{//买价
|
||
|
|
BuyAveragePrice[0] +=ExchangeInfo[0].depth.Bids[n].Price;
|
||
|
|
BuyAveragePrice[1] +=ExchangeInfo[1].depth.Bids[n].Price;
|
||
|
|
}
|
||
|
|
|
||
|
|
BuyAveragePrice[0] =BuyAveragePrice[0] /(BuyDepthIndex+1); //均价
|
||
|
|
BuyAveragePrice[1] =BuyAveragePrice[1] /(BuyDepthIndex+1); //均价
|
||
|
|
|
||
|
|
for(var n =0;n<=SellDepthIndex;n++)
|
||
|
|
{//卖价
|
||
|
|
SellAveragePrice[0] +=ExchangeInfo[0].depth.Asks[n].Price;
|
||
|
|
SellAveragePrice[1] +=ExchangeInfo[1].depth.Asks[n].Price;
|
||
|
|
}
|
||
|
|
|
||
|
|
SellAveragePrice[0] =SellAveragePrice[0] /(SellDepthIndex+1); //计算出均价
|
||
|
|
SellAveragePrice[1] =SellAveragePrice[1] /(SellDepthIndex+1); //计算出均价
|
||
|
|
|
||
|
|
if(BuyAveragePrice[0] >SellAveragePrice[1] )
|
||
|
|
{ //交易所0开空 ,交易所1开多
|
||
|
|
Different =BuyAveragePrice[0] -SellAveragePrice[1];
|
||
|
|
Type =1;
|
||
|
|
}
|
||
|
|
else if(BuyAveragePrice[1] >SellAveragePrice[0])
|
||
|
|
{ //交易所1开空 ,交易所0开多
|
||
|
|
Different =BuyAveragePrice[1] -SellAveragePrice[0];
|
||
|
|
Type =2;
|
||
|
|
}
|
||
|
|
|
||
|
|
if(ExchangeInfo[0].depth.Bids[0].Price <ExchangeInfo[0].depth.Bids[1].Price ||
|
||
|
|
ExchangeInfo[1].depth.Bids[0].Price <ExchangeInfo[1].depth.Bids[1].Price ||
|
||
|
|
ExchangeInfo[0].depth.Asks[0].Price >ExchangeInfo[0].depth.Asks[1].Price ||
|
||
|
|
ExchangeInfo[1].depth.Asks[0].Price >ExchangeInfo[1].depth.Asks[1].Price)
|
||
|
|
{
|
||
|
|
Type =0;
|
||
|
|
Different =0;
|
||
|
|
Log("平台抽风,价格排序不正确!!!!");
|
||
|
|
}
|
||
|
|
|
||
|
|
return {TYPE:Type,DIFFERENT:Different}; //返回值 类型(正向期空现多 ==1 反向期多现空==2) ,价差
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
//动态计算数量,依据盘口挂单数量多少进行最合适的数量
|
||
|
|
function CalcAmount(ExchangeInfo,Type)
|
||
|
|
{
|
||
|
|
var amount =0;
|
||
|
|
var BuyTotalAmount =[0,0,0,0,0,0,0];
|
||
|
|
var SellTotalAmount =[0,0,0,0,0,0,0];
|
||
|
|
for(var n =0; n<=BuyDepthIndex;n++)
|
||
|
|
{
|
||
|
|
BuyTotalAmount[0] +=ExchangeInfo[0].depth.Bids[n].Amount;
|
||
|
|
BuyTotalAmount[1] +=ExchangeInfo[1].depth.Bids[n].Amount;
|
||
|
|
}
|
||
|
|
|
||
|
|
for (var n =0;n <=SellDepthIndex;n++)
|
||
|
|
{
|
||
|
|
SellTotalAmount[0] +=ExchangeInfo[0].depth.Asks[n].Amount;
|
||
|
|
SellTotalAmount[1] +=ExchangeInfo[1].depth.Asks[n].Amount;
|
||
|
|
}
|
||
|
|
|
||
|
|
if(Type ==1)
|
||
|
|
{ //交易所0开空 ,交易所1开多
|
||
|
|
amount =Math.min(BuyTotalAmount[0],SellTotalAmount[1]);
|
||
|
|
//计算两个平台买卖深度最小值(取最小值进行下单,防止深度不足坑的很..)
|
||
|
|
//取出深度最小的值但是深度最小值不能大于限定的下单张数
|
||
|
|
amount =Math.min(amount,ArbitrageAmountList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex]);
|
||
|
|
}
|
||
|
|
else if(Type ==2)
|
||
|
|
{//交易所0开多,交易所1开空
|
||
|
|
amount =Math.min(SellTotalAmount[0],BuyTotalAmount[1]);
|
||
|
|
//取出深度最小的值但是深度最小值不能大于限定的下单张数
|
||
|
|
amount =Math.min(amount,ArbitrageAmountList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex]);
|
||
|
|
}
|
||
|
|
else if(Type ==3)
|
||
|
|
{// 0 平空 , 1 平多
|
||
|
|
amount =Math.min(SellTotalAmount[0],BuyTotalAmount[1]);
|
||
|
|
//取出深度最小的值但是深度最小值不能大于限定的下单张数
|
||
|
|
var MinPostion = Math.min(ExchangeInfo[0].ShortPosition[1],ExchangeInfo[1].LongPosition[1]); //平仓,取数量最小一边的数量
|
||
|
|
amount =Math.min(amount,MinPostion);
|
||
|
|
}
|
||
|
|
else if(Type ==4)
|
||
|
|
{//平 交易所0平多,交易所1平空
|
||
|
|
amount =Math.min(BuyTotalAmount[0],SellTotalAmount[1]);
|
||
|
|
var MinPostion = Math.min(ExchangeInfo[0].LongPosition[1],ExchangeInfo[1].ShortPosition[1]); //平仓,取数量最小一边的数量
|
||
|
|
amount =Math.min(amount,MinPostion);
|
||
|
|
}
|
||
|
|
|
||
|
|
if(Type ==1 || Type ==2)
|
||
|
|
{//只有是开仓类型时才进行这样的判断...
|
||
|
|
//剩余数量(最大可开仓数量)
|
||
|
|
var SurplusAmount =ArbitrageAmountList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex] -curArbitrageInfo[curVarietiesIndex[1]].UsedAmount;
|
||
|
|
amount =amount >SurplusAmount?SurplusAmount:amount;
|
||
|
|
amount =amount>0?amount:1; //默认为张数(这里加个三目,主要目的在于防止计算出数量为0的值..)
|
||
|
|
}
|
||
|
|
else if(Type ==3 || Type ==4)
|
||
|
|
{//平仓修改后分批平仓后，平仓数量不能大于当前档位最大数量
|
||
|
|
//求出上一次开仓下标,若上一次开仓下标小于0,则强制归置为0
|
||
|
|
if(curArbitrageInfo[curVarietiesIndex[1]].UsedAmount ==0)
|
||
|
|
{//若当前档位没有多余数量则直接取上一次开仓的数量进行平仓计算
|
||
|
|
var MinSpreadIndex =curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex -1 <=0?0:curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex -1; //最小价差下标
|
||
|
|
amount =Math.min(amount,ArbitrageAmountList[curVarietiesIndex[0]][MinSpreadIndex]);
|
||
|
|
}
|
||
|
|
else
|
||
|
|
{ //若当前档位有零散数量,则直接取以零散数量为主的数量
|
||
|
|
amount =Math.min(amount,curArbitrageInfo[curVarietiesIndex[1]].UsedAmount);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
return amount; //返回张数值..
|
||
|
|
}
|
||
|
|
|
||
|
|
//开始套利函数
|
||
|
|
function OpenArbitrage(DifferentInfo,ExchangeInfo)
|
||
|
|
{
|
||
|
|
var TreadAmount = CalcAmount(ExchangeInfo,DifferentInfo.TYPE);
|
||
|
|
|
||
|
|
var OrderIdA =null;
|
||
|
|
var OrderIdB =null;
|
||
|
|
var OrderAWait =null;
|
||
|
|
var OrderBWait =null;
|
||
|
|
|
||
|
|
if(DifferentInfo.TYPE ==1)
|
||
|
|
{ //交易所0开空 ,交易所1开多
|
||
|
|
while(OrderIdA ==null &&OrderIdB ==null)
|
||
|
|
{
|
||
|
|
if(OrderIdA ==null)
|
||
|
|
{
|
||
|
|
exchanges[curPlatformIndex[0]].SetDirection("sell"); //设置下单类型为做空
|
||
|
|
OrderAWait = exchanges[curPlatformIndex[0]].Go("Sell",MarketState ==true?-1:ExchangeInfo[0].depth.Bids[BuyDepthIndex].Price -Slide[curVarietiesIndex[0]],TreadAmount); //原始数量下单
|
||
|
|
}
|
||
|
|
if(OrderIdB ==null)
|
||
|
|
{
|
||
|
|
exchanges[curPlatformIndex[1]].SetDirection("buy"); //设置下单类型为做多
|
||
|
|
OrderBWait = exchanges[curPlatformIndex[1]].Go("Buy",MarketState ==true?-1:ExchangeInfo[1].depth.Asks[SellDepthIndex].Price +Slide[curVarietiesIndex[0]], TreadAmount); //数量以转换
|
||
|
|
}
|
||
|
|
OrderIdA = OrderAWait.wait();
|
||
|
|
OrderIdB = OrderBWait.wait();
|
||
|
|
|
||
|
|
if(MarketState !=true &&(OrderIdA ==null || OrderIdB ==null)){
|
||
|
|
ExchangeInfo = getExchangesBaseInfo(); //刷新数据(重新挂单)
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdA,Type:2}); //订单信息保存至容器
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdB,Type:1}); //订单信息保存至容器
|
||
|
|
|
||
|
|
}
|
||
|
|
else if(DifferentInfo.TYPE ==2)
|
||
|
|
{ //交易所0开多,交易所1开空
|
||
|
|
while(OrderIdA ==null &&OrderIdB ==null)
|
||
|
|
{
|
||
|
|
if(OrderIdA ==null)
|
||
|
|
{
|
||
|
|
exchanges[curPlatformIndex[0]].SetDirection("buy"); //设置下单类型为做多
|
||
|
|
OrderAWait =exchanges[curPlatformIndex[0]].Go("Buy",MarketState ==true?-1:ExchangeInfo[0].depth.Asks[SellDepthIndex].Price +Slide[curVarietiesIndex[0]], TreadAmount); //数量以转换
|
||
|
|
}
|
||
|
|
if(OrderIdB ==null)
|
||
|
|
{
|
||
|
|
exchanges[curPlatformIndex[1]].SetDirection("sell"); //设置下单类型为做空
|
||
|
|
OrderBWait =exchanges[curPlatformIndex[1]].Go("Sell",MarketState ==true?-1:ExchangeInfo[1].depth.Bids[BuyDepthIndex].Price -Slide[curVarietiesIndex[0]],TreadAmount); //原始数量下单
|
||
|
|
}
|
||
|
|
OrderIdA = OrderAWait.wait();
|
||
|
|
OrderIdB = OrderBWait.wait();
|
||
|
|
|
||
|
|
if(MarketState !=true &&(OrderIdA ==null || OrderIdB ==null)){
|
||
|
|
ExchangeInfo = getExchangesBaseInfo(); //刷新数据(重新挂单)
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdA,Type:1});
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdB,Type:2});
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].UsedAmount +=TreadAmount;
|
||
|
|
if(curArbitrageInfo[curVarietiesIndex[1]].UsedAmount >=ArbitrageAmountList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex])
|
||
|
|
{
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].UsedAmount =0;
|
||
|
|
//下标最低值为0,小于0则强制归0
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex =curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex++ >ArbitrageSpreadList[curVarietiesIndex[0]].length?curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex:curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex++;
|
||
|
|
}
|
||
|
|
|
||
|
|
//修改当前下标类型
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].LastArbitrageType =DifferentInfo.TYPE;
|
||
|
|
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
//平仓 结束一轮套利
|
||
|
|
function CloseArbitrage(DifferentInfo,ExchangeInfo)
|
||
|
|
{
|
||
|
|
var TreadAmount = CalcAmount(ExchangeInfo,DifferentInfo.TYPE);
|
||
|
|
|
||
|
|
var OrderIdA =null;
|
||
|
|
var OrderIdB =null;
|
||
|
|
var OrderAWait =null;
|
||
|
|
var OrderBWait =null;
|
||
|
|
|
||
|
|
if(TreadAmount >0)
|
||
|
|
{
|
||
|
|
if(DifferentInfo.TYPE ==3)
|
||
|
|
{ //平 交易所0开空 ,交易所1开多
|
||
|
|
// 平空 , 平多
|
||
|
|
while(OrderIdA ==null &&OrderIdB ==null) {
|
||
|
|
|
||
|
|
if(OrderIdA ==null){
|
||
|
|
exchanges[curPlatformIndex[0]].SetDirection("closesell");
|
||
|
|
OrderAWait =exchanges[curPlatformIndex[0]].Go("Buy",MarketState ==true?-1:ExchangeInfo[0].depth.Asks[SellDepthIndex].Price +Slide[curVarietiesIndex[0]],TreadAmount);
|
||
|
|
}
|
||
|
|
|
||
|
|
if(OrderIdB ==null){
|
||
|
|
exchanges[curPlatformIndex[1]].SetDirection("closebuy");
|
||
|
|
OrderBWait =exchanges[curPlatformIndex[1]].Go("Sell",MarketState ==true?-1:ExchangeInfo[1].depth.Bids[BuyDepthIndex].Price -Slide[curVarietiesIndex[0]], TreadAmount); //卖出平多仓
|
||
|
|
}
|
||
|
|
|
||
|
|
OrderIdA = OrderAWait.wait();
|
||
|
|
OrderIdB = OrderBWait.wait();
|
||
|
|
if(MarketState !=true &&(OrderIdA ==null || OrderIdB ==null)){
|
||
|
|
ExchangeInfo = getExchangesBaseInfo(); //刷新数据(重新挂单)
|
||
|
|
}
|
||
|
|
}
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdA,Type:4});
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdB,Type:3});
|
||
|
|
}
|
||
|
|
|
||
|
|
else if(DifferentInfo.TYPE ==4)
|
||
|
|
{//平 交易所0平多,交易所1平空
|
||
|
|
while(OrderIdA ==null &&OrderIdB ==null) {
|
||
|
|
if(OrderIdA ==null) {
|
||
|
|
exchanges[curPlatformIndex[0]].SetDirection("closebuy");
|
||
|
|
OrderAWait =exchanges[curPlatformIndex[0]].Go("Sell",MarketState ==true?-1:ExchangeInfo[0].depth.Bids[BuyDepthIndex].Price -Slide[curVarietiesIndex[0]], TreadAmount); //卖出平多仓
|
||
|
|
}
|
||
|
|
if(OrderIdB ==null) {
|
||
|
|
exchanges[curPlatformIndex[1]].SetDirection("closesell");
|
||
|
|
OrderBWait =exchanges[curPlatformIndex[1]].Go("Buy",MarketState ==true?-1:ExchangeInfo[1].depth.Asks[SellDepthIndex].Price +Slide[curVarietiesIndex[0]],TreadAmount);
|
||
|
|
}
|
||
|
|
OrderIdA = OrderAWait.wait();
|
||
|
|
OrderIdB = OrderBWait.wait();
|
||
|
|
if(MarketState !=true &&(OrderIdA ==null || OrderIdB ==null)){
|
||
|
|
ExchangeInfo = getExchangesBaseInfo(); //刷新数据(重新挂单)
|
||
|
|
}
|
||
|
|
}
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdA,Type:3});
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderIdB,Type:4});
|
||
|
|
}
|
||
|
|
}
|
||
|
|
else
|
||
|
|
{
|
||
|
|
Log("平仓失败,有一方可平仓数量小于0张!!!,类型:",DifferentInfo.TYPE);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].UsedAmount -=TreadAmount;
|
||
|
|
if(curArbitrageInfo[curVarietiesIndex[1]].UsedAmount <=0)
|
||
|
|
{
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].UsedAmount =0;
|
||
|
|
//下标最低值为0,小于0则强制归0
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex =curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex--<=0?0:curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex--;
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
//合约价格撤单检测
|
||
|
|
function FuturePriceCancelCheck(Index,ExchangeInfo,CancelValue)
|
||
|
|
{
|
||
|
|
if(IsVirtual() ==true)
|
||
|
|
{//若是模拟不用撤单功能....
|
||
|
|
return ;
|
||
|
|
}
|
||
|
|
|
||
|
|
var orders = exchanges[Index].GetOrders();
|
||
|
|
var Type =0;
|
||
|
|
var OrderId =0;
|
||
|
|
|
||
|
|
if(orders ==null ||orders.length <=0) {//没有未成交订单则直接返回....
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
|
||
|
|
//主要目的用于修正类型（开多、开空、平多、平空）
|
||
|
|
for(var l =0;l <OrderInfoArry[curVarietiesIndex[1]].length;l++) {
|
||
|
|
for(var n =0;n <orders.length;n++) {
|
||
|
|
if(orders[n].Id ==OrderInfoArry[curVarietiesIndex[1]][l].OrderId) {
|
||
|
|
orders[n].Type =OrderInfoArry[curVarietiesIndex[1]][l].Type;
|
||
|
|
break;
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
for(var n =0;n <orders.length;n++)
|
||
|
|
{
|
||
|
|
if(Math.abs(orders[n].Price - ExchangeInfo[Index].ticker.Last) >CancelValue)
|
||
|
|
{//若超出指定值,则进行撤单,重新挂单..
|
||
|
|
|
||
|
|
if(exchanges[Index].CancelOrder(orders[n].Id) ==true)
|
||
|
|
{
|
||
|
|
Sleep(2000); //延时2秒,主要防止撤销订单后服务器无法及时响应..
|
||
|
|
var curOrderInfo =_C(exchanges[Index].GetOrder,orders[n].Id);
|
||
|
|
if(curOrderInfo.Status !=ORDER_STATE_CANCELED || curOrderInfo.Status ==ORDER_STATE_CLOSED)
|
||
|
|
{
|
||
|
|
Log("撤销重新挂单,撤单失败,当前订单状态不为已撤单,返回...当前状态:",curOrderInfo.Status,"当前id",orders[n].Id);
|
||
|
|
return false;
|
||
|
|
}
|
||
|
|
Log("撤单 类型,",orders[n].Type,"数量:",orders[n].Amount -orders[n].DealAmount,"交易所下标:",Index,"订单id:",orders[n].Id);
|
||
|
|
if(orders[n].Type ==1)
|
||
|
|
{
|
||
|
|
exchanges[Index].SetDirection("buy"); //开多
|
||
|
|
OrderId =_C(exchanges[Index].Buy,MarketState ==true?-1:ExchangeInfo[Index].depth.Asks[SellDepthIndex].Price +Slide[curVarietiesIndex[0]],orders[n].Amount -orders[n].DealAmount); //原始数量下单
|
||
|
|
Type =1;
|
||
|
|
break;
|
||
|
|
}
|
||
|
|
else if(orders[n].Type ==2)
|
||
|
|
{
|
||
|
|
exchanges[Index].SetDirection("sell"); //开空
|
||
|
|
OrderId =_C(exchanges[Index].Sell,MarketState ==true?-1:ExchangeInfo[Index].depth.Bids[BuyDepthIndex].Price -Slide[curVarietiesIndex[0]],orders[n].Amount -orders[n].DealAmount); //原始数量下单
|
||
|
|
Type =2;
|
||
|
|
break;
|
||
|
|
}
|
||
|
|
else if(orders[n].Type ==3)
|
||
|
|
{
|
||
|
|
exchanges[Index].SetDirection("closebuy");
|
||
|
|
OrderId =_C(exchanges[Index].Sell,MarketState ==true?-1:ExchangeInfo[Index].depth.Bids[BuyDepthIndex].Price -Slide[curVarietiesIndex[0]], orders[n].Amount -orders[n].DealAmount); //卖出平多仓
|
||
|
|
Type =3;
|
||
|
|
break;
|
||
|
|
}
|
||
|
|
else if(orders[n].Type ==4)
|
||
|
|
{
|
||
|
|
exchanges[Index].SetDirection("closesell");
|
||
|
|
OrderId =_C(exchanges[Index].Buy,MarketState ==true?-1:ExchangeInfo[Index].depth.Asks[SellDepthIndex].Price +Slide[curVarietiesIndex[0]],orders[n].Amount -orders[n].DealAmount);
|
||
|
|
Type =4;
|
||
|
|
break;
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
if(Type !=0) //若数值不为空则将新订单信息push进去..
|
||
|
|
{
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]].push({OrderId:OrderId,Type:Type}); //撤单后新的挂单依旧push进去保存..
|
||
|
|
}
|
||
|
|
|
||
|
|
return false;
|
||
|
|
}
|
||
|
|
|
||
|
|
//保存部分核心变量的值至本地
|
||
|
|
function SaveVarValue()
|
||
|
|
{
|
||
|
|
_G("curArbitrageInfo"+curVarietiesIndex[1].toString()+"LastArbitrageType", curArbitrageInfo[curVarietiesIndex[1]].LastArbitrageType);
|
||
|
|
_G("curArbitrageInfo"+curVarietiesIndex[1].toString()+"SpreadIndex", curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex);
|
||
|
|
_G("curArbitrageInfo"+curVarietiesIndex[1].toString()+"UsedAmount", curArbitrageInfo[curVarietiesIndex[1]].UsedAmount);
|
||
|
|
|
||
|
|
}
|
||
|
|
//读取本地内容
|
||
|
|
function ReadVarValue(n)
|
||
|
|
{
|
||
|
|
curArbitrageInfo[n].LastArbitrageType =_G("curArbitrageInfo"+n.toString()+"LastArbitrageType");
|
||
|
|
curArbitrageInfo[n].SpreadIndex =_G("curArbitrageInfo"+n.toString()+"SpreadIndex");
|
||
|
|
curArbitrageInfo[n].UsedAmount =_G("curArbitrageInfo"+n.toString()+"UsedAmount");
|
||
|
|
if(curArbitrageInfo[n].LastArbitrageType ==null || curArbitrageInfo[n].SpreadIndex ==null || curArbitrageInfo[n].UsedAmount ==null)
|
||
|
|
{//若配置内容无数据,则直接将其归0
|
||
|
|
curArbitrageInfo[n].LastArbitrageType =0;
|
||
|
|
curArbitrageInfo[n].SpreadIndex =0;
|
||
|
|
curArbitrageInfo[n].UsedAmount =0;
|
||
|
|
}
|
||
|
|
Log("读取本地配置值:",curArbitrageInfo[n].LastArbitrageType,curArbitrageInfo[n].SpreadIndex,curArbitrageInfo[n].UsedAmount);
|
||
|
|
}
|
||
|
|
|
||
|
|
function onTick(exchanges) {
|
||
|
|
var records =_C(exchanges[0].GetRecords,PERIOD_M1); //默认1小时
|
||
|
|
var ExchangeInfo = getExchangesBaseInfo(); //获取数据
|
||
|
|
|
||
|
|
if(ExchangeInfo.length <2 || records ==null || ExchangeInfo[0].account.Stocks ==0 || ExchangeInfo[1].account.Stocks ==0) {
|
||
|
|
return;//若两个交易所有一个交易所无保证金或数据只有一个货币对,则直接pass
|
||
|
|
}
|
||
|
|
|
||
|
|
var DifferentInfo =GetPriceDifferent(ExchangeInfo);
|
||
|
|
|
||
|
|
DifferentHistory[curVarietiesIndex[0]] =DifferentInfo.DIFFERENT; //记录不同品种价差记录,用于日志刷新...
|
||
|
|
|
||
|
|
if(ExchangeInfo[0].ShortPosition[1] !=ExchangeInfo[1].LongPosition[1]||
|
||
|
|
ExchangeInfo[1].ShortPosition[1] !=ExchangeInfo[0].LongPosition[1])
|
||
|
|
{ //若持仓数量不相等,则不进行任何开平仓操作,防止火币合约抽风,导致都是单边持仓..,这样最多只有一个价位单是单边,风险可控..
|
||
|
|
DifferentInfo.TYPE =-1; //没有任何类型,直接屏蔽...
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
var Bar = records[records.length - 1];
|
||
|
|
if (LastBarTime[curVarietiesIndex[0]] !== Bar.Time) {
|
||
|
|
|
||
|
|
if(IsShowLog ==true)
|
||
|
|
{//是否显示日志
|
||
|
|
Log("价差信息:",DifferentInfo," 持仓信息",ExchangeInfo[0].ShortPosition[1],ExchangeInfo[0].LongPosition[1],
|
||
|
|
ExchangeInfo[1].ShortPosition[1],ExchangeInfo[1].LongPosition[1],"当前价差下标:",curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex,"当前已用数量:",curArbitrageInfo[curVarietiesIndex[1]].UsedAmount,
|
||
|
|
"平台0价格:",ExchangeInfo[0].ticker.Last,"平台1价格:",ExchangeInfo[1].ticker.Last);
|
||
|
|
}
|
||
|
|
|
||
|
|
if(ExchangeInfo[0].ShortPosition[1] !=ExchangeInfo[1].LongPosition[1]||
|
||
|
|
ExchangeInfo[1].ShortPosition[1] !=ExchangeInfo[0].LongPosition[1])
|
||
|
|
{ //若持仓数量不相等,则不进行任何开平仓操作,防止火币合约抽风,导致都是单边持仓..
|
||
|
|
DifferentInfo.TYPE =-1; //没有任何类型,直接屏蔽...
|
||
|
|
}
|
||
|
|
|
||
|
|
//图表..
|
||
|
|
var diff = ExchangeInfo[0].ticker.Last - ExchangeInfo[1].ticker.Last;
|
||
|
|
var strLogStatus ="";
|
||
|
|
for(var LogN =0;LogN <VarietiesCount;LogN++)
|
||
|
|
{
|
||
|
|
var TempLogStatus ="符号 : " +VarietiesIndx[LogN]+"差价:"+ DifferentHistory[LogN].toString()+"\r\n";
|
||
|
|
strLogStatus+=TempLogStatus;
|
||
|
|
}
|
||
|
|
strLogStatus+="\r\n说起爆仓我就想起了对冲,无风险对冲,有需要的老板可以联系,文体两开花,懂得自然懂!!\r\n 租用1888元/一月,3888元/季 微信:fzq250 ";
|
||
|
|
|
||
|
|
LogStatus(strLogStatus);
|
||
|
|
|
||
|
|
if (__lastDiff != 0) {
|
||
|
|
if (Math.abs(Math.abs(diff) - Math.abs(__lastDiff)) > 200) {
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
if(curVarietiesIndex[0] ==0)
|
||
|
|
{
|
||
|
|
cfg.yAxis.plotLines[0].value=diff;
|
||
|
|
// cfg.subtitle={text:'当前价差:' + diff};
|
||
|
|
__chart.update([cfg,cfg]);
|
||
|
|
__chart.add([0, [new Date().getTime(), diff]]);
|
||
|
|
}
|
||
|
|
else if(curVarietiesIndex[0] ==1)
|
||
|
|
{
|
||
|
|
cfg.yAxis.plotLines[1].value=diff;
|
||
|
|
// cfg.subtitle={text:'当前价差:' + diff};
|
||
|
|
__chart.update([cfg,cfg]);
|
||
|
|
__chart.add([1, [new Date().getTime(), diff]]);
|
||
|
|
}
|
||
|
|
|
||
|
|
SaveVarValue(); //定时保存值至本地
|
||
|
|
|
||
|
|
LastBarTime[curVarietiesIndex[0]] = Bar.Time;
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
if((curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex <=0 &&curArbitrageInfo[curVarietiesIndex[1]].UsedAmount <=0)||
|
||
|
|
(ExchangeInfo[0].ShortPosition[1]==0&&ExchangeInfo[0].LongPosition[1]==0&&
|
||
|
|
ExchangeInfo[1].ShortPosition[1]==0&&ExchangeInfo[1].LongPosition[1]==0))
|
||
|
|
{//若当前价差下标与当前已用数量==0则重新初始化..
|
||
|
|
var PlatformAOrder =exchanges[curPlatformIndex[0]].GetOrders();
|
||
|
|
var PlatformBOrder =exchanges[curPlatformIndex[1]].GetOrders();
|
||
|
|
if(PlatformAOrder !=null&&PlatformBOrder !=null &&PlatformAOrder.length <=0 &&PlatformBOrder.length <=0 )
|
||
|
|
{//若两个平台都没有未成交订单并且又没有持仓订单,则订单数组可清空...，否则一旦清空有未成交订单则很麻烦..
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].LastArbitrageType =0;
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex =0;
|
||
|
|
curArbitrageInfo[curVarietiesIndex[1]].UsedAmount =0;
|
||
|
|
OrderInfoArry[curVarietiesIndex[1]] =[]; //清空订单数组
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
//正向计算获取价差 如果合约价格 >现货价格，则按 正的方式进行计算价差,否则按反的方式计算..
|
||
|
|
|
||
|
|
var curOpenSpread =ArbitrageSpreadList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex];
|
||
|
|
var curUsedAmount =curArbitrageInfo[curVarietiesIndex[1]].UsedAmount;
|
||
|
|
var curMaxArbitrageAmount =ArbitrageAmountList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex] ;
|
||
|
|
|
||
|
|
var LastArbitrageType =curArbitrageInfo[curVarietiesIndex[1]].LastArbitrageType;
|
||
|
|
|
||
|
|
//当前平仓价差值
|
||
|
|
var curCloseSpread =CloseNarrowSpreadList[curVarietiesIndex[0]][curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex];
|
||
|
|
|
||
|
|
if(curArbitrageInfo[curVarietiesIndex[1]].UsedAmount ==0)
|
||
|
|
{//若当前档位没有多余数量则直接取上一次开仓的数量进行平仓计算
|
||
|
|
var MinSpreadIndex =curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex -1 <=0?0:curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex -1; //最小价差下标
|
||
|
|
curCloseSpread =CloseNarrowSpreadList[curVarietiesIndex[0]][MinSpreadIndex];
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
if(curArbitrageInfo[curVarietiesIndex[1]].SpreadIndex <ArbitrageSpreadList[curVarietiesIndex[0]].length)
|
||
|
|
{
|
||
|
|
if(DifferentInfo.TYPE ==1 &&DifferentInfo.DIFFERENT >curOpenSpread &&curMaxArbitrageAmount >curUsedAmount)
|
||
|
|
{ //交易所0开空 ,交易所1开多
|
||
|
|
DifferentInfo.TYPE =1;
|
||
|
|
OpenArbitrage(DifferentInfo,ExchangeInfo);
|
||
|
|
}
|
||
|
|
else if(DifferentInfo.TYPE ==2 &&DifferentInfo.DIFFERENT >curOpenSpread &&curMaxArbitrageAmount >curUsedAmount)
|
||
|
|
{//交易所0开多,交易所1开空
|
||
|
|
DifferentInfo.TYPE =2;
|
||
|
|
OpenArbitrage(DifferentInfo,ExchangeInfo);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
//平仓检测_剥离出去..
|
||
|
|
if(LastArbitrageType ==1 &&DifferentInfo.TYPE ==1 &&DifferentInfo.DIFFERENT <=curCloseSpread)
|
||
|
|
{//平仓 平0空 平1多
|
||
|
|
DifferentInfo.TYPE =3;
|
||
|
|
CloseArbitrage(DifferentInfo,ExchangeInfo);
|
||
|
|
}
|
||
|
|
else if(LastArbitrageType ==2 &&DifferentInfo.TYPE ==2 &&DifferentInfo.DIFFERENT <=curCloseSpread)
|
||
|
|
{//平仓 平0多 平1空
|
||
|
|
DifferentInfo.TYPE =4;
|
||
|
|
CloseArbitrage(DifferentInfo,ExchangeInfo);
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
//这里为交易所价差反转情况下平仓逻辑(A >B 现在为B<A 那么之前的开仓应平掉.)
|
||
|
|
//这里不判断下标,只判断价差是否反转,反转则平..
|
||
|
|
if(DifferentInfo.TYPE ==1 && DifferentInfo.DIFFERENT >0 &&
|
||
|
|
ExchangeInfo[0].LongPosition[1]!=0 &&ExchangeInfo[1].ShortPosition[1]!=0)
|
||
|
|
{//若类型==1并有相反方向开仓,则平掉 交易所0开多,交易所1开空
|
||
|
|
DifferentInfo.TYPE =4;
|
||
|
|
CloseArbitrage(DifferentInfo,ExchangeInfo);
|
||
|
|
Log("价差发生反转,平仓...",DifferentInfo.TYPE);
|
||
|
|
}
|
||
|
|
else if(DifferentInfo.TYPE ==2 && DifferentInfo.DIFFERENT >0 &&
|
||
|
|
ExchangeInfo[0].ShortPosition[1]!=0 &&ExchangeInfo[1].LongPosition[1]!=0)
|
||
|
|
{//若类型==2 并有相反方向开仓,则平掉 交易所0开空 ,交易所1开多
|
||
|
|
DifferentInfo.TYPE =3;
|
||
|
|
CloseArbitrage(DifferentInfo,ExchangeInfo);
|
||
|
|
Log("价差发生反转,平仓...",DifferentInfo.TYPE);
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
if(CanCelOrderCheckTimer[curVarietiesIndex[1]]++ >3)
|
||
|
|
{ //每隔5秒检测一次撤单
|
||
|
|
FuturePriceCancelCheck(curPlatformIndex[0],ExchangeInfo,PriceCancelRatio[curVarietiesIndex[0]]/100*ExchangeInfo[0].ticker.Last);
|
||
|
|
FuturePriceCancelCheck(curPlatformIndex[1],ExchangeInfo,PriceCancelRatio[curVarietiesIndex[0]]/100*ExchangeInfo[1].ticker.Last);
|
||
|
|
CanCelOrderCheckTimer[curVarietiesIndex[1]] =0; //归0,重新计数
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
set_command(); //设置交互信息
|
||
|
|
}
|
||
|
|
|
||
|
|
function main() {
|
||
|
|
Log("交易所0:",exchanges[0].GetName(),"符号:",exchanges[0].GetCurrency(),exchanges[0].GetAccount());
|
||
|
|
Log("交易所1:",exchanges[1].GetName(),"符号:",exchanges[1].GetCurrency(),exchanges[1].GetAccount());
|
||
|
|
|
||
|
|
__chart = Chart(cfg);
|
||
|
|
|
||
|
|
var strContractTypeIdxArray =ContractTypeIdxString.split("|");
|
||
|
|
var strMarginLevelIdxArray =MarginLevelIdxString.split("|");
|
||
|
|
var strVarietiesArray =VarietiesString.split("|");
|
||
|
|
var strPriceCancelRatioArray =PriceCancelRatioString.split("|");
|
||
|
|
var strSlideArray =SlideString.split("|");
|
||
|
|
// var strCloseNarrowSpreadArray =CloseNarrowSpreadString.split("|");
|
||
|
|
|
||
|
|
var strArbitrageSpreadArrayA =ArbitrageSpreadString.split("#");
|
||
|
|
var strArbitrageAmountA =ArbitrageAmountString.split("#"); //#号拆分符号分割
|
||
|
|
|
||
|
|
for(var n =0;n<strArbitrageSpreadArrayA.length;n++) { //拆分套利价差
|
||
|
|
var strArbitrageSpreadArrayB =strArbitrageSpreadArrayA[n].split("|");
|
||
|
|
for(var l=0;l <strArbitrageSpreadArrayB.length;l++) {
|
||
|
|
ArbitrageSpreadList[n][l] =parseFloat(strArbitrageSpreadArrayB[l]);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
for(var n =0;n<strArbitrageAmountA.length;n++) { //拆分交易数量
|
||
|
|
var strArbitrageAmountB =strArbitrageAmountA[n].split("|"); //|号拆分具体数据
|
||
|
|
for(var l=0;l <strArbitrageAmountB.length;l++) {
|
||
|
|
ArbitrageAmountList[n][l] =parseFloat(strArbitrageAmountB[l]);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
var strCloseNarrowSpreadArray =CloseNarrowSpreadString.split("#");
|
||
|
|
|
||
|
|
for(var n =0;n<strCloseNarrowSpreadArray.length;n++) { //拆分平仓价差
|
||
|
|
var strCloseNarrowSpreadB =strCloseNarrowSpreadArray[n].split("|"); //|号拆分具体数据
|
||
|
|
for(var l=0;l <strCloseNarrowSpreadB.length;l++) {
|
||
|
|
CloseNarrowSpreadList[n][l] =parseFloat(strCloseNarrowSpreadB[l]);
|
||
|
|
Log("平仓价差:", CloseNarrowSpreadList[n][l] );
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
for(var n =0;n<2;n++) //最大数量为交易品种的数量
|
||
|
|
{
|
||
|
|
ContractTypeIdx[n] =strContractTypeIdxArray[n];
|
||
|
|
MarginLevelIdx[n] =parseInt(strMarginLevelIdxArray[n]);
|
||
|
|
VarietiesIndx[n] =strVarietiesArray[n];
|
||
|
|
PriceCancelRatio[n] =parseFloat(strPriceCancelRatioArray[n]);
|
||
|
|
Slide[n] =parseFloat(strSlideArray[n]);
|
||
|
|
|
||
|
|
}
|
||
|
|
|
||
|
|
for(var n =0;n<exchanges.length;n++)
|
||
|
|
{
|
||
|
|
exchanges[n].SetPrecision(3, 1);
|
||
|
|
exchanges[n].SetRate(1);
|
||
|
|
exchanges[n].SetContractType(ContractTypeIdx[n]);
|
||
|
|
exchanges[n].SetMarginLevel(MarginLevelIdx[n]);
|
||
|
|
Log("交易所:",n,"当前合约类型:",ContractTypeIdx[n],"杠杆:",MarginLevelIdx[n]);
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
for(var a =0;a <exchanges.length;a++) {
|
||
|
|
for(var b =a+1;b <exchanges.length;b++) {
|
||
|
|
for(var n =0; n <VarietiesCount;n++) {
|
||
|
|
ReadVarValue(a+b+n); //读取本地配置信息
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
if(IsDeleteGloablConfig ==true)
|
||
|
|
{ //删除_G保留的配置信息
|
||
|
|
_G(null); // 删除所有全局变量
|
||
|
|
}
|
||
|
|
|
||
|
|
while(true)
|
||
|
|
{
|
||
|
|
for(var a =0;a <exchanges.length;a++) {
|
||
|
|
for(var b =a+1;b <exchanges.length;b++) {
|
||
|
|
curPlatformIndex[0] =a; //交易所0
|
||
|
|
curPlatformIndex[1] =b; //交易所1
|
||
|
|
|
||
|
|
for(var n =0; n <VarietiesCount;n++) {
|
||
|
|
curVarietiesIndex[0] =n; //当前执行下标,用于更换品种
|
||
|
|
curVarietiesIndex[1] =a+b+n; //当前交易所所与交易对标记0\1\2\3\4\5以此类推..
|
||
|
|
if(IsVirtual() ==false)
|
||
|
|
{//实盘则进行符号切换
|
||
|
|
exchanges[curPlatformIndex[0]].IO("currency", VarietiesIndx[n]+"_USD"); //合约符号更改
|
||
|
|
exchanges[curPlatformIndex[1]].IO("currency", VarietiesIndx[n]+"_USD"); //现货符号更改
|
||
|
|
}
|
||
|
|
|
||
|
|
onTick(exchanges);
|
||
|
|
Sleep(1000); //延时1秒
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
Sleep(LoopInterval * 1000);
|
||
|
|
}
|
||
|
|
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
//获取动态参数（策略交互内容）
|
||
|
|
function set_command() {
|
||
|
|
|
||
|
|
var get_command = GetCommand();// GetCommand方法是获取参数方法，获取的参数是字符串形式 格式为 "参数名:参数值" 参见BotVS API文档
|
||
|
|
if (get_command != null) {
|
||
|
|
if (get_command.indexOf("ModifyArbitrageSpread:") == 0) { //如果传入的参数名为A3（以“A3:”打头，即表明是A3参数）
|
||
|
|
|
||
|
|
var AAA = (get_command.replace("ModifyArbitrageSpread:", "")); //赋值给策略里面的AAA（将打头字符串替换为空，剩下就是我们的参数值）
|
||
|
|
var strArbitrageSpreadArrayA =AAA.split("#");
|
||
|
|
for(var n =0;n<strArbitrageSpreadArrayA.length;n++) { //拆分套利价差
|
||
|
|
var strArbitrageSpreadArrayB =strArbitrageSpreadArrayA[n].split("|");
|
||
|
|
for(var l=0;l <strArbitrageSpreadArrayB.length;l++) {
|
||
|
|
ArbitrageSpreadList[n][l] =parseFloat(strArbitrageSpreadArrayB[l]);
|
||
|
|
Log("新的值:",ArbitrageSpreadList[n][l]);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
if (get_command.indexOf("ModifyArbitrageAmount:") == 0) { //如果传入的参数名为B3（以“B3:”打头，即表明是B3参数）
|
||
|
|
|
||
|
|
var BBB = (get_command.replace("ModifyArbitrageAmount:", "")); //赋值给策略里面的BBB（将打头字符串替换为空，剩下就是我们的参数值）
|
||
|
|
var strArbitrageAmountA =BBB.split("#"); //#号拆分符号分割
|
||
|
|
for(var n =0;n<strArbitrageAmountA.length;n++) { //拆分交易数量
|
||
|
|
var strArbitrageAmountB =strArbitrageAmountA[n].split("|"); //|号拆分具体数据
|
||
|
|
for(var l=0;l <strArbitrageAmountB.length;l++) {
|
||
|
|
ArbitrageAmountList[n][l] =parseFloat(strArbitrageAmountB[l]);
|
||
|
|
Log("新的值:",ArbitrageAmountList[n][l]);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
if (get_command.indexOf("ModifyCloseNarrowSpread:") == 0) { //如果传入的参数名为B3（以“B3:”打头，即表明是B3参数）
|
||
|
|
|
||
|
|
var CCC = (get_command.replace("ModifyCloseNarrowSpread:", "")); //赋值给策略里面的BBB（将打头字符串替换为空，剩下就是我们的参数值）
|
||
|
|
var strCloseNarrowSpreadArray =CCC.split("#");
|
||
|
|
|
||
|
|
for(var n =0;n<strCloseNarrowSpreadArray.length;n++) { //拆分平仓价差
|
||
|
|
var strCloseNarrowSpreadB =strCloseNarrowSpreadArray[n].split("|"); //|号拆分具体数据
|
||
|
|
for(var l=0;l <strCloseNarrowSpreadB.length;l++) {
|
||
|
|
CloseNarrowSpreadList[n][l] =parseFloat(strCloseNarrowSpreadB[l]);
|
||
|
|
Log("新的值:", CloseNarrowSpreadList[n][l] );
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
|
||
|
|
```
|
||
|
|
|
||
|
|
> 策略出处
|
||
|
|
|
||
|
|
https://www.fmz.com/strategy/134174
|
||
|
|
|
||
|
|
> 更新时间
|
||
|
|
|
||
|
|
2022-03-13 05:04:50
|