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botvs
2017-01-26 22:15:44 +08:00
parent cd7aec2508
commit d95749b0d3
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README.md
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> 开源策略列表
- [比特币现货阶梯差价对冲](https://www.botvs.com/strategy/30573)
- [商品期货套利 - 多品种网格对冲模型](https://www.botvs.com/strategy/27799)
- [策略框架模板](https://www.botvs.com/strategy/30861)
- [策略框架模板 (复制)](https://www.botvs.com/strategy/33431)
商品期货套利 - 多品种网格对冲模型.js
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这样价差来回在我们设置的网格里进行波动，我们就能不断的开仓平仓实现盈利.
不善方案, 不表达了, 具体看策略代码
不善文案, 不做文字表达了, 具体看策略代码
参数 默认值 描述
比特币现货阶梯差价对冲.js
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/*
策略出处: https://www.botvs.com/strategy/30573
策略名称: 比特币现货阶梯差价对冲
策略作者: roushasha
策略描述:
阶梯差价对冲，新手策略
参数 默认值 描述
---------- ----- -----
jizhun true 基准
fanwei 5 范围
maxliang 0.5 最大下单
xianbijia 6000 最近的币价
lirun true 利润
zhanghushu 12 账户数量
*/
function main() {
var dongjieqian = 0;
var lessbuyx = 33;
var lesssellx = 33;
var lastlessbuyx = 0
var lastlesssellx = 0
var huai = 0;
var hbss;
var okss;
var accounthb;
var accountok;
var depthok;
var depthhb;
var bok;
var bokl;
var sok;
var sokl;
var bhb;
var bhbl;
var shb;
var shbl;
var qok;
var cok;
var qhb;
var chb;
var xx = 0;
var yy = 0;
var lastdepthhb = exchanges[0].GetDepth();
var lastdepthok = exchanges[1].GetDepth();
var hbx; //火币卖的程度
var hby; //火币买的程度
var cps; //火币卖的触发价格
var iam; //交易的数量
var huajia; //滑价
var ii; //用来判断火币是否交易
var shiyongjizhun; //使用基准
shiyongjizhun = jizhun;
while (true) {
var tss = new Date();
Log("^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^")
var ts = new Date();
Log("@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@");
Log("开始获取账户资金时间", ts.getSeconds());
// 这下面是获取账户
var accounts = [];
while (true) {
for (var i = 0; i < exchanges.length; i++) {
if (accounts[i] == null) {
// 创建异步操作
accounts[i] = exchanges[i].Go("GetAccount");
}
}
var failed = 0;
for (var i = 0; i < exchanges.length; i++) {
if (typeof(accounts[i].wait) != "undefined") {
// 等待结果
var ret = accounts[i].wait();
if (ret) {
accounts[i] = ret;
Log(exchanges[i].GetName(), accounts[i]);
} else {
// 重试
accounts[i] = null;
failed++;
}
}
}
if (failed == 0) {
break;
} else {
break;
}
}
Log("获取账户资金耗时 ", (new Date().getTime() - ts.getTime()) / 1000, "秒");
Log("*********************************************************************");
var ts = new Date();
Log("@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@");
Log("开始获取火币未完成订单", ts.getSeconds());
var orders = exchanges[0].GetOrders()
Log(orders);
var fb = 0,
fs = 0;
if (orders === null) {} else {
for (var i = 0; i < orders.length; i++) {
if (orders[i].Type === 1) {
fs = fs + orders[i].Amount - orders[i].DealAmount
}
if (orders[i].Type === 0) {
fb = fb + orders[i].Amount * orders[i].Price - orders[i].DealAmount * orders[i].AvgPrice
}
}
}
Log("火币冻结钱 ", fb, "冻结币", fs);
Log("获取火币未完成订单耗时 ", (new Date().getTime() - ts.getTime()) / 1000, "秒");
Log("*********************************************************************");
accounthb = accounts[0];
accountok = accounts[1];
Log(accounts[0]);
Log(accounts[1]);
if (!accounthb) {
Log("获取火币账户信息失败");
continue;
}
if (!accountok) {
Log("获取ok账户信息失败");
continue;
}
qok = accountok.Balance;
cok = accountok.Stocks;
qhb = accounthb.Balance;
chb = accounthb.Stocks;
Log("冻结的总资金=", accountok.FrozenBalance + fb + accountok.FrozenStocks * xianbijia + fs * xianbijia)
if (accountok.FrozenBalance + fb + accountok.FrozenStocks * xianbijia + fs * xianbijia > 2500) {
Log("冻结资金超过上限");
continue;
}
//火币能卖的量 chb
//ok能买的量 qok/sok
//二者取小Math.min（chb，qok/sok）
//火币已卖的量 qhb/bhb
//ok已买的量 cok
//二者取小Math.min（cok，qhb/bhb）
//火币已经卖的程度 hbx=Math.min（cok，qhb/bhb）/(Math.min（chb，qok/sok）+Math.min（cok，qhb/bhb）)
//---------------
// 获取市场深度
var ts = new Date();
Log("@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@");
Log("开始获取市场深度时间", ts.getSeconds());
var depths = [];
while (true) {
for (var i = 0; i < exchanges.length; i++) {
if (depths[i] == null) {
// 创建异步操作
depths[i] = exchanges[i].Go("GetDepth");
}
}
var failed = 0;
for (var i = 0; i < exchanges.length; i++) {
if (typeof(depths[i].wait) != "undefined") {
// 等待结果
var ret = depths[i].wait();
if (ret) {
depths[i] = ret;
Log(exchanges[i].GetName(), depths[i]);
} else {
// 重试
depths[i] = null;
failed++;
}
}
}
if (failed == 0) {
break;
} else {
break;
}
}
depthhb = depths[0];
depthok = depths[1];
//判断深度是否有效
if (!depthhb) {
Log("获取火币深度信息失败");
continue;
}
if (!depthok) {
Log("获取ok深度信息失败");
continue;
}
if (depthhb.Bids[0].Price === lastdepthhb.Bids[0].Price && depthhb.Bids[0].Amount === lastdepthhb.Bids[0].Amount && depthhb.Asks[0].Price === lastdepthhb.Asks[0].Price && depthhb.Asks[0].Amount === lastdepthhb.Asks[0].Amount) {
++xx;
Log(xx);
} else {
xx = 0;
}
if(depthok.Bids[0].hasOwnProperty("Price") ){Log("包含price属性")}else{Log("不包含price属性");continue}
if (depthok.Bids[0].Price === lastdepthok.Bids[0].Price && depthok.Bids[0].Amount === lastdepthok.Bids[0].Amount && depthok.Asks[0].Price === lastdepthok.Asks[0].Price && depthok.Asks[0].Amount === lastdepthok.Asks[0].Amount) {
++yy;
Log(yy);
} else {
yy = 0;
}
lastdepthhb = depthhb;
lastdepthok = depthok;
if (xx> 20) {
Log("火币深度无效");
continue;
}
if (yy > 20) {
Log("ok深度无效");
continue;
}
bok = depthok.Bids[0].Price;
bokl = depthok.Bids[0].Amount;
sok = depthok.Asks[0].Price;
sokl = depthok.Asks[0].Amount;
bhb = depthhb.Bids[0].Price;
bhbl = depthhb.Bids[0].Amount;
shb = depthhb.Asks[0].Price;
shbl = depthhb.Asks[0].Amount;
Log("火币买一", bhb, "火币卖一", shb, "火币盘口差", shb - bhb);
Log("ok卖一", sok, "ok买一", bok, "ok盘口差", sok - bok);
Log("获取市场深度耗时 ", (new Date().getTime() - ts.getTime()) / 1000, "秒");
Log("*********************************************************************");
//下面计算买卖补充系数
//如果=33 计算 如果不等于33，不计算
if (lesssellx === 33) {
Log("计算少买少卖数量")
dongjieqian = accountok.FrozenBalance + fb;
if (dongjieqian < 5) {
dongjieqian = 0
}
lesssellx = dongjieqian / (bok * zhanghushu)
lessbuyx = (accountok.FrozenStocks + fs) / zhanghushu
}
Log("少卖数=", lesssellx, "少买数=", lessbuyx)
//下面计算火币卖的情况
while (true) {
ii = 0; //火币未交易
//火币能卖的量 chb
//ok能买的量 qok/sok
//二者取小Math.min（chb，qok/sok）
//火币已卖的量 qhb/bhb
//ok已买的量 cok
//二者取小Math.min(cok，qhb/bhb)
hbx = Math.min(cok, qhb / bhb) / (Math.min(chb, qok / sok) + Math.min(cok, qhb / bhb));
Log("火币卖程度", hbx);
/* if (hbx > 0.5) {
if (shiyongjizhun + fanwei * 0.5 > 0) {
Log("中心靠右，右移，速度缩减系数=", 1 - (shiyongjizhun + fanwei * 0.5) / 5);
shiyongjizhun = shiyongjizhun + 0.001 * (1 - (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5);
Log("使用基准=", shiyongjizhun, "增加", 0.001 * (1 - (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5));
} else {
Log("中心靠左，右移，速度增加系数=", 1 - (shiyongjizhun + fanwei * 0.5) / 5);
shiyongjizhun = shiyongjizhun + 0.001 * (1 - (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5);
Log("使用基准=", shiyongjizhun, "增加", 0.001 * (1 - (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5));
}
} else {
if (shiyongjizhun + fanwei * 0.5 > 0) {
Log("中心靠右，左移，速度增加系数=", 1 + (shiyongjizhun + fanwei * 0.5) / 5);
shiyongjizhun = shiyongjizhun + 0.001 * (1 + (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5);
Log("使用基准=", shiyongjizhun, "减小", 0.001 * (1 + (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5));
} else {
Log("中心靠左，左移，速度缩减系数=", 1 + (shiyongjizhun + fanwei * 0.5) / 5);
shiyongjizhun = shiyongjizhun + 0.001 * (1 + (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5);
Log("使用基准=", shiyongjizhun, "减小", 0.001 * (1 + (shiyongjizhun + fanwei * 0.5) / 5) * (hbx - 0.5));
}
}*/
cps = shiyongjizhun + fanwei * hbx;
if (cps > ((bhb - sok))) {
Log("火币已卖程度", hbx,"第一触发差价", cps, "实际差价", bhb-sok, "不会触发第一种");
break;
}
huajia = Math.abs((bhb - sok - cps) / 2) + 0.25 * lirun;
huajia = _N(huajia, 2);
iam = Math.min(chb, qok / (sok + huajia), bhbl, sokl, maxliang);
iam = _N(iam, 2);
Log("第一最大量=", maxliang)
Log("程度", hbx, "火币卖至少赚差价", cps, "实际赚差价", bhb - sok, "滑价=（1/2实际赚差价-至少赚差价）+0.25利润=", huajia, "下单量", iam);
if (iam < 0.01) {
break;
} else {
var hbid = exchanges[0].Go("Sell", bhb - huajia, Math.max((iam - lesssellx), 0.01));
var okid = exchanges[1].Buy(sok + huajia, Math.max((iam - lessbuyx), 0.01));
lastlesssellx = lesssellx;
lastlessbuyx = lessbuyx;
lesssellx = 33;
lessbuyx = 33;
++ii; //火币已经交易
++huai;
/* 不计算损失率，加速
Sleep(200);
hbid = hbid.wait()
if (!hbid) {
break;
}
var order = exchanges[0].GetOrder(hbid);
if (!order) {
break;
}
hbss = bhb * Math.max((iam-lastlesssellx),0.01) - order.DealAmount * order.AvgPrice - (bhb - huajia) * (Math.max((iam-lastlesssellx),0.01) - order.DealAmount);
Log(order);
Log(hbss, "损失的钱=", "火币买一", bhb, "*", "下单量", Math.max((iam-lastlesssellx),0.01), "-", "已成交量", order.DealAmount, "*", "成交均价", order.AvgPrice, "-(", "火币买一", bhb, "-", "滑价", huajia, ")", "*", "(", "下单量", Math.max((iam-lastlesssellx),0.01), "-", "已成交量", order.DealAmount);
Log(Math.max((iam-lastlesssellx),0.01) * huajia);
Log("火币卖损失率=", hbss / (Math.max((iam-lastlesssellx),0.01) * huajia))
*/
/* 不计算损失率，加速
if (!okid) {
break;
}
var order = exchanges[1].GetOrder(okid);
if (!order) {
break;
}
okss = 0 - sok * Math.max((iam-lastlessbuyx),0.01) + order.DealAmount * order.AvgPrice + (sok + huajia) * (Math.max((iam-lastlessbuyx),0.01) - order.DealAmount);
Log(order);
Log(okss, "损失的钱=", "-ok卖一", sok, "*", "下单量", Math.max((iam-lastlessbuyx),0.01), "+", "已成交量", order.DealAmount, "*", "成交均价", order.AvgPrice, "+(", "ok卖一", sok, "+", "滑价", huajia, ")", "*", "(", "下单量", Math.max((iam-lastlessbuyx),0.01), "-", "已成交量", order.DealAmount);
Log(Math.max((iam-lastlessbuyx),0.01) * huajia);
Log("ok买损失率=", okss / (Math.max((iam-lastlessbuyx),0.01) * huajia))
*/
break;
}
//触发价格cps=jizhun+fanwei*hbx
//下单数量Math.min（chb，qok/（sok+滑价），bhbl，sokl，maxliang）
//如果下单数量小于0.01 break else 下火币卖单 ok下买单 break
}
//下面计算火币买的情况
while (true) {
if (ii) {
Log("火币已经交易过了");
break;
} //火币已经交易过了
Log("没交易过，检测后一种情况");
//火币能买的量 qhb/shb
//ok能卖的量 cok
//二者取小Math.min（cok，qhb/shb）
//火币已买的量 chb
//ok已卖的量 qok/bok
//二者取小Math.min(chb，qok/bok)
hby = Math.min(chb, qok / bok) / (Math.min(chb, qok / bok) + Math.min(cok, qhb / shb)); //火币已经买的幅度
cps = shiyongjizhun + fanwei - lirun - fanwei * hby;
if (cps < ((shb - bok))) {
Log("火币已买程度", hby,"第二触发差价", cps, "实际差价", shb-bok, "没有触发第二种");
break;
}
huajia = Math.abs((cps - shb + bok) / 2) + 0.25 * lirun;
huajia = _N(huajia, 2); //到这
iam = Math.min(cok, qhb / (shb + huajia), bokl, shbl, maxliang);
iam = _N(iam, 2);
Log("第二最大=", maxliang)
Log("第二程度", hby, "火币买最多亏价差", cps, "实际亏差价", shb - bok, "滑价=（1/2最多亏差价-实际亏差价）+0.25利润=", huajia, "下单量", iam);
if (iam < 0.01) {
break;
} else {
var hbid = exchanges[0].Go("Buy", shb + huajia, Math.max((iam - lessbuyx), 0.01));
var okid = exchanges[1].Sell(bok - huajia, Math.max((iam - lesssellx), 0.01));
lastlesssellx = lesssellx;
lastlessbuyx = lessbuyx;
lesssellx = 33;
lessbuyx = 33;
++huai;
/* 不计算损失率，加速
Sleep(200);
hbid = hbid.wait()
if (!hbid) {
break;
}
var order = exchanges[0].GetOrder(hbid);
if (!order) {
break;
}
hbss = 0 - shb * Math.max((iam-lastlessbuyx),0.01) + order.DealAmount * order.AvgPrice + (shb + huajia) * (Math.max((iam-lastlessbuyx),0.01) - order.DealAmount);
Log(order);
Log(hbss, "损失的钱=", "-火币卖一", shb, "*", "下单量", Math.max((iam-lastlessbuyx),0.01), "+", "已成交量", order.DealAmount, "*", "成交均价", order.AvgPrice, +"(", "火币卖一", shb, "+", "滑价", huajia, ")", "*", "(", "下单量", Math.max((iam-lastlessbuyx),0.01), "-", "已成交量", order.DealAmount);
Log(Math.max((iam-lastlessbuyx),0.01) * huajia);
Log("火币买损失率=", hbss / (Math.max((iam-lastlessbuyx),0.01) * huajia))
if (!okid) {
break;
}
var order = exchanges[1].GetOrder(okid);
if (!order) {
break;
}
okss = bok * Math.max((iam-lastlesssellx),0.01) - order.DealAmount * order.AvgPrice - (bok - huajia) * (Math.max((iam-lastlesssellx),0.01) - order.DealAmount);
Log(order);
Log(okss, "损失的钱=", "ok买一", bok, "*", "下单量", Math.max((iam-lastlesssellx),0.01), "-", "已成交量", order.DealAmount, "*", "成交均价", order.AvgPrice, "-(", "ok买一", bok, "-", "滑价", huajia, ")", "*", "(", "下单量", Math.max((iam-lastlesssellx),0.01), "-", "已成交量", order.DealAmount);
Log(Math.max((iam-lastlesssellx),0.01) * huajia);
Log("ok卖损失率=", okss / (Math.max((iam-lastlesssellx),0.01) * huajia))
*/
break;
}
}
Log("全部使用时间 ", (new Date().getTime() - tss.getTime()) / 1000, "秒！！！！！！！");
if ((new Date().getTime() - ts.getTime()) < 500) {
Sleep(500 - (new Date().getTime() - ts.getTime()))
}
}
}