update
This commit is contained in:
Zero
@@ -4,10 +4,15 @@
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> 开源策略列表
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- [商品期货交易类库(增加下限价单功能)](https://www.botvs.com/strategy/14198)
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- [从回测数据获取K线 (商品期货版)](https://www.botvs.com/strategy/15498)
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- [图表模板](https://www.botvs.com/strategy/15524)
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- [时间转换模板](https://www.botvs.com/strategy/14517)
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- [非常简单的策略，但是很有效](https://www.botvs.com/strategy/15085)
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- [定时测试微信消息推送](https://www.botvs.com/strategy/15098)
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- [单独计算收益（代码来自zero)](https://www.botvs.com/strategy/1084)
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- [差价监控](https://www.botvs.com/strategy/1340)
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- [MACD 双向 滑动止损](https://www.botvs.com/strategy/12822)
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- [时间转换模板](https://www.botvs.com/strategy/14517)
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- [10行人品策略](https://www.botvs.com/strategy/14436)
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- [商品期货主力合约过滤](https://www.botvs.com/strategy/9837)
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- [从第三方网站获取K线 (0427更新)](https://www.botvs.com/strategy/12977)
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@@ -27,12 +32,9 @@
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- [自定义K线周期转换](https://www.botvs.com/strategy/11216)
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- [模板库使用例子](https://www.botvs.com/strategy/10991)
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- [价值0.418](https://www.botvs.com/strategy/10744)
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- [均线](https://www.botvs.com/strategy/10023)
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- [价值比例法](https://www.botvs.com/strategy/9784)
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- [传统期货差价监控 (CTP)](https://www.botvs.com/strategy/5379)
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- [期货做市高频交易策略 兼容OK/VC/796](https://www.botvs.com/strategy/1484)
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- [融资融币统计](https://www.botvs.com/strategy/8954)
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- [**********价值平均定投策略**********](https://www.botvs.com/strategy/8602)
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- [【Demo】如何利用“策略交互“动态调整策略参数](https://www.botvs.com/strategy/8379)
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- [【Demo】速度测试 websocket vs rest](https://www.botvs.com/strategy/7547)
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- [记录净资产变动情况2.0](https://www.botvs.com/strategy/8916)
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@@ -0,0 +1,58 @@
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/*
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策略出处: https://www.botvs.com/strategy/15498
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策略名称: 从回测数据获取K线 (商品期货版)
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策略作者: 数·狂
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策略描述:
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如果在策略开始时必须获取足够多的K线，使用本模板则可从BotVS的回测数据中直接获得平台的历史K线数据。
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注意：
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仅适用于实盘交易。
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作者不保证第三方数据准确性和程序正确性，仅供学习参考。
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*/
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$.BTRecords = function(instrument, timeframe, size, includeLastBar) {
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var info;
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var record = [];
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if (!size) size = 1;
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if (!timeframe) timeframe = 1;
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var fsize = size;
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var now = new Date();
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var to = Math.floor(now / 1000 / (timeframe * 60)) * (timeframe * 60);
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var from = to - fsize * timeframe * 60;
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do {
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try {
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info = JSON.parse(HttpQuery('https://www.botvs.com/chart/history?detail=true&symbol=' + instrument + '&resolution=' + timeframe + '&from=' + from + '&to=' + to));
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if (info && info.records) {
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info = info.records;
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} else {
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Log("获取K线时发生错误: 网络错误");
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return null;
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}
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} catch (e) {
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Log("获取K线时发生错误: 不完整的JSON数据");
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return null;
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}
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fsize = fsize * 2;
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from = to - fsize * timeframe * 60;
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} while (info.length < size + (!includeLastBar));
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for (var i = info.length - size - (!includeLastBar); i < info.length - (!includeLastBar); i++) {
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record.push({
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"Time": info[i][0]*1000,
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"Open": info[i][1],
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"High": info[i][2],
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"Low": info[i][3],
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"Close": info[i][4],
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"Volume": info[i][5]
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});
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}
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return record;
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};
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function main() {
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Log(exchange.GetName());
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var rec = $.BTRecords('rb1610', 5, 100); // 获取螺纹钢1610的5分钟K线, 100条, 不含最后一条Bar
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if (rec) Log(rec.length, rec[rec.length - 1]);
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rec = $.BTRecords('i1609', 60, 100, true); // 获取铁矿石1609的1小时K线, 100条, 含最后一条Bar
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if (rec) Log(rec.length, rec[rec.length - 1]);
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}
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@@ -0,0 +1,297 @@
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/*
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策略出处: https://www.botvs.com/strategy/14198
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策略名称: 商品期货交易类库(增加下限价单功能)
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策略作者: edwardgyw
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策略描述:
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在原zero提供版本基础上，增加了下限价单和平限价单的功能，方便埋单
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增加了判断当前是否是交易时段的功能，同时提供自定义节假日的功能
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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 false 下单滑价(元)
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nightType true 商品夜盘情况
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holidaysList 5.1,5.2 节假日情况
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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, price) {
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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(e, 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 pr = price;
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if (!price) pr = direction == PD_LONG ? depth.Asks[0].Price : depth.Bids[0].Price;
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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(pr + SlidePrice, Math.min(amount, depth.Asks[0].Amount), contractType, 'Ask', depth);
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} else {
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orderId = e.Sell(pr - SlidePrice, Math.min(amount, depth.Bids[0].Amount), contractType, 'Bid', depth);
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}
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// CancelPendingOrders
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while (true) {
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Sleep(Interval);
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var orders = _C(e.GetOrders);
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if (orders.length === 0) {
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break;
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}
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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, price) {
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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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while (positions[i].FrozenAmount !== 0) {
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var orders = _C(e.GetOrders);
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if (orders.length === 0) {
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break;
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}
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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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positions = _C(e.GetPosition);
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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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var pr = price;
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if (!price) pr = depth.Bids[0].Price;
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e.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy");
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e.Sell(pr - 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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var pr = price;
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if (!price) pr = depth.Asks[0].Price;
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e.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell");
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e.Buy(pr + 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 || price) {
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break;
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}
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while (true) {
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Sleep(Interval);
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var orders = _C(e.GetOrders);
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if (orders.length === 0) {
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break;
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}
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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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}
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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, price) {
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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, price, price);
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};
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PositionManager.prototype.OpenShort = function(contractType, shares, price) {
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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, price);
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};
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PositionManager.prototype.Cover = function(contractType, price) {
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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, price);
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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 getHolidays(holidaysList) {
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if (!holidaysList) return {
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'mon': [],
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'day': []
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};
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var x = holidaysList.split(',');
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var t = {
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'mon': [],
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'day': []
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};
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for (var i = 0; i < x.length; i++) {
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var m = x[i].split('.');
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t.mon.push(m[0]);
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t.day.push(m[1]);
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}
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return t;
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}
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$.judgeTrading = function() {
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var now = new Date();
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var day = now.getDay();
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var mon = now.getMonth() + 1;
|
||||
var min = now.getMinutes();
|
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var date = now.getDate();
|
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var hours = now.getHours();
|
||||
var isHolidays = false;
|
||||
var holidays = getHolidays(holidaysList);
|
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//Log(holidays.mon.length);
|
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if (holidays) {
|
||||
for (var i = 0; i < holidays.mon.length; i++) {
|
||||
if (holidays.mon[i] == mon && holidays.day[i] == date) {
|
||||
isHolidays = true;
|
||||
break;
|
||||
}
|
||||
}
|
||||
}
|
||||
if (day == 0 || day == 6 || isHolidays) return false;
|
||||
else if ((hours >= 9 && hours <= 11) || (hours >= 13 && hours < 15)) {
|
||||
if (hours == 11 && min >= 30) return false;
|
||||
else if (hours == 13 && min < 30) return false;
|
||||
else if ((hours == 10 && min >= 15) && (hours == 10 && min < 30)) return false;
|
||||
else return true;
|
||||
} else if (nightType == 1 && hours >= 21 && hours < 23) return true;
|
||||
else if (nightType == 2 && ((hours >= 21 && hours < 24) || (hours >= 0 && hours < 1 && day !== 1))) return true;
|
||||
//else if(nightType!==1&&nightType!==2) return true;
|
||||
else return false;
|
||||
};
|
||||
|
||||
//未成功登陆前要多次尝试login，所以写了一个准备交易的函数，可以放到main函数开头
|
||||
$.ready4ctp = function(contractType) {
|
||||
var insDetail;
|
||||
var retry = 0;
|
||||
while (!(insDetail = exchange.SetContractType(contractType)) && retry < 20) {
|
||||
Sleep(2000);
|
||||
retry++;
|
||||
}
|
||||
if (insDetail) Log("合约", insDetail.InstrumentName, "一手", insDetail.VolumeMultiple, "份, 最大下单量", insDetail.MaxLimitOrderVolume, "保证金率:", insDetail.LongMarginRatio, "交割日期", insDetail.StartDelivDate);
|
||||
else throw ('连接超时，请检查账号');
|
||||
return insDetail;
|
||||
};
|
||||
|
||||
function main() {
|
||||
$.ready4ctp('MA609');
|
||||
var isTrading = $.judgeTrading();
|
||||
Log('当前正在交易？:'+isTrading);
|
||||
var p = $.NewPositionManager();
|
||||
p.OpenShort("MA609", 1, 1000);
|
||||
Sleep(60000 * 10);
|
||||
p.Cover("MA609", 1000);
|
||||
p.Cover('MA609');
|
||||
LogProfit(p.Profit());
|
||||
|
||||
}
|
||||
@@ -0,0 +1,118 @@
|
||||
/*
|
||||
策略出处: https://www.botvs.com/strategy/15524
|
||||
策略名称: 图表模板
|
||||
策略作者: 小小梦
|
||||
策略描述:
|
||||
|
||||
图表模板
|
||||
|
||||
|
||||
参数 默认值 描述
|
||||
-------------- ----- ------
|
||||
indicatorsName 指标轴1 指标轴
|
||||
indicators_1 指标1 指标1
|
||||
indicators_2 指标2 指标2
|
||||
Interval 500 间隔（毫秒）
|
||||
*/
|
||||
|
||||
/*
|
||||
这个是一个图表模板，详细用法见广场帖子。
|
||||
|
||||
*/
|
||||
//图表
|
||||
var ChartObj = {//画图
|
||||
tooltip: {xDateFormat: '%Y-%m-%d %H:%M:%S, %A'},
|
||||
chart: { zoomType:'x',panning:true },//图表类型
|
||||
title: { text: title}, //标题
|
||||
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
|
||||
},
|
||||
subtitle: {text: subtitle},//副标题
|
||||
xAxis:{type: 'datetime'},
|
||||
yAxis: [{
|
||||
title: {text: 'K线'},//标题
|
||||
style: {color: '#4572A7'},//样式
|
||||
opposite: false //生成右边Y轴
|
||||
},
|
||||
{
|
||||
title:{text: indicatorsName},
|
||||
opposite: true //生成右边Y轴 ceshi
|
||||
}
|
||||
],
|
||||
series: [//系列
|
||||
{type:'candlestick',yAxis:0,name:'K',id:'KLine',data:[]},
|
||||
{type:'flags',onSeries:'KLine',data:[]},
|
||||
{name:indicators_1,type:'spline',yAxis:1,data:[]},
|
||||
{name:indicators_2,type:'spline',yAxis:1,data:[]}
|
||||
]
|
||||
};
|
||||
var chart = Chart(ChartObj);
|
||||
var isFirst = true;
|
||||
var preRecordTime = 0;
|
||||
var title = exchange.GetName();
|
||||
var subtitle = indicators_1+"、"+indicators_2+"指标走势";
|
||||
function Draw(records){
|
||||
var strState = "";
|
||||
var fcolor = "";
|
||||
var msg = "";
|
||||
while(!records || records.length < 5){
|
||||
records = exchange.GetRecords();
|
||||
LogStatus("获取K线中...records.length:",records === null ? "records is null" : records.length);
|
||||
Sleep(Interval);
|
||||
}
|
||||
if(isFirst === true){
|
||||
chart.reset();
|
||||
isFirst = false;
|
||||
preRecordTime = records[records.length - 1].Time;
|
||||
}
|
||||
if(preRecordTime === records[records.length - 1].Time){
|
||||
chart.add([0,[records[records.length - 1].Time,records[records.length - 1].Open,records[records.length - 1].High,records[records.length - 1].Low,records[records.length - 1].Close ],-1]);
|
||||
}else{
|
||||
//更新前一柱
|
||||
chart.add([0,[records[records.length - 2].Time,records[records.length - 2].Open,records[records.length - 2].High,records[records.length - 2].Low,records[records.length - 2].Close ],-1]);
|
||||
|
||||
chart.add([0,[records[records.length - 1].Time,records[records.length - 1].Open,records[records.length - 1].High,records[records.length - 1].Low,records[records.length - 1].Close ]]);
|
||||
|
||||
preRecordTime = records[records.length - 1].Time;
|
||||
}
|
||||
chart.update(ChartObj);
|
||||
chart.reset(500);
|
||||
}
|
||||
function SignOP(time,price,amount,state){
|
||||
var msg = "";
|
||||
msg = "均价："+price+"币数："+amount;
|
||||
switch(state){
|
||||
case 1:strState = "开多仓";fcolor = "red";break;
|
||||
case 2:strState = "开空仓";fcolor = "green";break;
|
||||
case 0:strState = "平仓";fcolor = "blue";break;
|
||||
}
|
||||
chart.add(1, {x:time, color: fcolor , shape: 'flag', title: strState, text: msg});
|
||||
}
|
||||
$.SignOP = function(time,price,amount,state){
|
||||
if(arguments.length < 4){
|
||||
Log("SignOP 函数 必须传入4个参数 ： time、price、amount、state");
|
||||
return;
|
||||
}
|
||||
SignOP(time,price,amount,state);
|
||||
};
|
||||
$.Draw = function(records){
|
||||
Draw(records);
|
||||
};
|
||||
//ceshi
|
||||
function main(){
|
||||
var i = 0;
|
||||
var records = exchange.GetRecords();
|
||||
|
||||
while(i < 50000){
|
||||
if(i===2000){
|
||||
//Sleep(60*60*1000);
|
||||
SignOP((new Date()).getTime(),2900,1,1);
|
||||
}
|
||||
Draw(records);
|
||||
Sleep(20000);
|
||||
records = exchange.GetRecords();
|
||||
i++;
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,25 @@
|
||||
/*
|
||||
策略出处: https://www.botvs.com/strategy/15098
|
||||
策略名称: 定时测试微信消息推送
|
||||
策略作者: 小小梦
|
||||
策略描述:
|
||||
|
||||
定时测试微信消息推送 范例~抛砖引玉，方便用户参考学习。
|
||||
|
||||
*/
|
||||
|
||||
function main(){
|
||||
var initTime = (new Date()).getTime() ;
|
||||
Log("程序起始时间：",$.getTimeByNormal(initTime) );
|
||||
var preDif = 0;
|
||||
var str = "";
|
||||
while(true){
|
||||
var nowTime = (new Date()).getTime();
|
||||
if( Math.floor((nowTime - initTime) / (1000*60*10) ) !== preDif ){
|
||||
str = $.getTimeByNormal(nowTime);
|
||||
Log("从程序开始执行，已过10分钟！提醒。"+"--现在时间："+str+"推送微信@" );
|
||||
preDif = Math.floor((nowTime - initTime) / (1000*60*10) ) ;
|
||||
}
|
||||
Sleep(2000);
|
||||
}
|
||||
}
|
||||
@@ -38,7 +38,7 @@ function getTimeByNormal(time){
|
||||
|
||||
//测试
|
||||
function main() {
|
||||
var time1 = $.getTimeByNormal( new Date() );
|
||||
var time1 = $.getTimeByNormal( 1463308260000 );
|
||||
Log("当前时间time1：",time1);
|
||||
Sleep(1000 * 60);
|
||||
var time3 = (new Date()).getTime();
|
||||
|
||||
@@ -0,0 +1,70 @@
|
||||
/*
|
||||
策略出处: https://www.botvs.com/strategy/15085
|
||||
策略名称: 非常简单的策略，但是很有效
|
||||
策略作者: jiebang
|
||||
策略描述:
|
||||
|
||||
"Talk is cheap. Show me the code"
|
||||
|
||||
|
||||
注: ` 策略使用了交易模板类库`
|
||||
|
||||
`希望新手从此策略入门, 一步步学习编写策略, 并体验到模拟与真实环境对交易系统的影响`
|
||||
|
||||
https://dn-filebox.qbox.me/fb4d0c7d773ca83e9d0230927705d419dc0bbeaa.png
|
||||
|
||||
|
||||
参数 默认值 描述
|
||||
------------- ----- -------
|
||||
FastPeriod 5 入市快线周期
|
||||
SlowPeriod 30 入市慢线周期
|
||||
EnterPeriod 2 入市观察期
|
||||
PositionRatio true 仓位比例
|
||||
Interval 10 轮询周期(秒)
|
||||
SlidePrice 0.01 滑动值
|
||||
*/
|
||||
|
||||
function main()
|
||||
{
|
||||
var STATE_IDLE = -1;
|
||||
var state = STATE_IDLE;
|
||||
var initAccount = $.GetAccount();
|
||||
var price = 0;
|
||||
Log(initAccount);
|
||||
while (true)
|
||||
{
|
||||
ticker = exchange.GetTicker();
|
||||
var nowAccount = $.GetAccount();
|
||||
|
||||
var n = $.Cross(FastPeriod, SlowPeriod);
|
||||
if (Math.abs(n) >= EnterPeriod && Math.abs(n) < EnterPeriod +1 )
|
||||
{
|
||||
if (n > 0)
|
||||
{
|
||||
price = ticker.Sell;
|
||||
var opAmount = parseFloat((nowAccount.Balance * PositionRatio/(ticker.Sell+SlidePrice)).toFixed(3));
|
||||
}
|
||||
else
|
||||
{
|
||||
price = ticker.Buy;
|
||||
var opAmount = nowAccount.Stocks;
|
||||
}
|
||||
if (opAmount> exchange.GetMinStock())
|
||||
{
|
||||
var obj = n > 0 ? exchange.Buy(price, opAmount) : $.Sell(price, opAmount);
|
||||
if (obj)
|
||||
{
|
||||
opAmount = obj.amount;
|
||||
// state = n > 0 ? PD_LONG : PD_SHORT;
|
||||
Log("开仓详情", obj, "交叉周期", n, "币：", nowAccount.Stocks);
|
||||
LogProfit(nowAccount.Balance + nowAccount.Stocks * ticker.Last , '钱');
|
||||
}
|
||||
/*else
|
||||
{
|
||||
continue;
|
||||
} */
|
||||
}
|
||||
}
|
||||
Sleep(Interval*1000);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user