share futures template
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@@ -68,5 +68,6 @@
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- [函数自动容错模板](https://www.botvs.com/strategy/11609)
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- [Dual Thrust OKCoin 期货](https://www.botvs.com/strategy/12101)
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- [均线策略 30 行打造一个正向收益系统](https://www.botvs.com/strategy/12348)
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- [商品期货交易类库](https://www.botvs.com/strategy/12961)
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- [从第三方网站获取K线](https://www.botvs.com/strategy/12977)
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- [Dual Thrust 商品期货](https://www.botvs.com/strategy/13011)
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+209
@@ -0,0 +1,209 @@
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/*
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策略出处: https://www.botvs.com/strategy/12961
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策略名称: 商品期货交易类库
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策略作者: Zero
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策略描述:
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商品期货交易类库
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```
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function main() {
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var p = $.NewPositionManager();
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p.OpenShort("MA609", 1);
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Sleep(60000 * 10);
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p.Cover("MA609");
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LogProfit(p.Profit());
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}
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```
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`不断完善中...`
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参数 默认值 描述
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---------- ----- ----------
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Interval 500 失败重试间隔(毫秒)
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SlidePrice 0.1 下单滑价(元)
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*/
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function GetPosition(e, contractType, direction) {
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var allCost = 0;
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var allAmount = 0;
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var allProfit = 0;
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var allFrozen = 0;
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var posMargin = 0;
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var positions = _C(e.GetPosition);
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for (var i = 0; i < positions.length; i++) {
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if ( positions[i].ContractType == contractType &&
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(((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) && direction == PD_LONG) || ((positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) && direction == PD_SHORT))
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) {
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posMargin = positions[i].MarginLevel;
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allCost += (positions[i].Price * positions[i].Amount);
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allAmount += positions[i].Amount;
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allProfit += positions[i].Profit;
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allFrozen += positions[i].FrozenAmount;
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}
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}
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if (allAmount === 0) {
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return null;
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}
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return {
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MarginLevel: posMargin,
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FrozenAmount: allFrozen,
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Price: _N(allCost / allAmount),
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Amount: allAmount,
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Profit: allProfit,
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Type: direction,
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ContractType: contractType
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};
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}
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function Open(e, contractType, direction, opAmount) {
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var initPosition = GetPosition(e, contractType, direction);
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var isFirst = true;
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var initAmount = initPosition ? initPosition.Amount : 0;
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var positionNow = initPosition;
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while (true) {
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var needOpen = opAmount;
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if (isFirst) {
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isFirst = false;
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} else {
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positionNow = GetPosition(contractType, direction);
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if (positionNow) {
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needOpen = opAmount - (positionNow.Amount - initAmount);
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}
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}
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var insDetail = _C(e.SetContractType, contractType);
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//Log("初始持仓", initAmount, "当前持仓", positionNow, "需要加仓", needOpen);
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if (needOpen < insDetail.MinLimitOrderVolume) {
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break;
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}
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var depth = _C(e.GetDepth);
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var amount = Math.min(insDetail.MaxLimitOrderVolume, needOpen);
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e.SetDirection(direction == PD_LONG ? "buy" : "sell");
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var orderId;
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if (direction == PD_LONG) {
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orderId = e.Buy(depth.Asks[0].Price + SlidePrice, Math.min(amount, depth.Asks[0].Amount), contractType, 'Ask', depth.Asks[0]);
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} else {
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orderId = e.Sell(depth.Bids[0].Price - SlidePrice, Math.min(amount, depth.Bids[0].Amount), contractType, 'Bid', depth.Bids[0]);
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}
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// CancelPendingOrders
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while (true) {
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var orders = _C(e.GetOrders);
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if (orders.length === 0) {
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return;
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}
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Sleep(Interval);
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for (var j = 0; j < orders.length; j++) {
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e.CancelOrder(orders[j].Id);
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if (j < (orders.length - 1)) {
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Sleep(Interval);
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}
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}
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}
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}
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var ret = {
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price: 0,
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amount: 0,
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position: positionNow
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};
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if (!positionNow) {
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return ret;
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}
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if (!initPosition) {
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ret.price = positionNow.Price;
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ret.amount = positionNow.Amount;
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} else {
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ret.amount = positionNow.Amount - initPosition.Amount;
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ret.price = _N(((positionNow.Price * positionNow.Amount) - (initPosition.Price * initPosition.Amount)) / ret.amount);
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}
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return ret;
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}
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function Cover(e, contractType) {
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var insDetail = _C(e.SetContractType, contractType);
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while (true) {
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var n = 0;
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var positions = _C(e.GetPosition);
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for (var i = 0; i < positions.length; i++) {
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if (positions[i].ContractType != contractType) {
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continue;
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}
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var amount = Math.min(insDetail.MaxLimitOrderVolume, positions[i].Amount);
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var depth;
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if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) {
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depth = _C(e.GetDepth);
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e.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy");
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e.Sell(depth.Bids[0].Price - SlidePrice, Math.min(amount, depth.Bids[0].Amount), contractType, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]);
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n++;
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} else if (positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) {
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depth = _C(e.GetDepth);
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e.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell");
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e.Buy(depth.Asks[0].Price + SlidePrice, Math.min(amount, depth.Asks[0].Amount), contractType, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]);
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n++;
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}
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}
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if (n === 0) {
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break;
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}
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Sleep(Interval);
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}
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}
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var PositionManager = (function() {
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function PositionManager(e) {
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if (typeof(e) === 'undefined') {
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e = exchange;
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}
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if (e.GetName() !== 'Futures_CTP') {
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throw 'Only support CTP';
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}
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this.e = e;
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this.account = null;
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}
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PositionManager.prototype.GetAccount = function() {
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return _C(this.e.GetAccount);
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};
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PositionManager.prototype.OpenLong = function(contractType, shares) {
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if (!this.account) {
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this.account = _C(exchange.GetAccount);
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}
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return Open(this.e, contractType, PD_LONG, shares);
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};
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PositionManager.prototype.OpenShort = function(contractType, shares) {
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if (!this.account) {
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this.account = _C(exchange.GetAccount);
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}
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return Open(this.e, contractType, PD_SHORT, shares);
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};
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PositionManager.prototype.Cover = function(contractType) {
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if (!this.account) {
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this.account = _C(exchange.GetAccount);
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}
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return Cover(this.e, contractType);
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};
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PositionManager.prototype.Profit = function(contractType) {
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var accountNow = _C(this.e.GetAccount);
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return _N(accountNow.Balance - this.account.Balance);
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};
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return PositionManager;
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})();
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$.NewPositionManager = function(e) {
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return new PositionManager(e);
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};
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function main() {
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var p = $.NewPositionManager();
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p.OpenShort("MA609", 1);
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Sleep(60000 * 10);
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p.Cover("MA609");
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LogProfit(p.Profit());
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}
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