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