500 lines
18 KiB
Markdown
500 lines
18 KiB
Markdown
|
||
> Name
|
||
|
||
比特币现货阶梯差价对冲
|
||
|
||
> Author
|
||
|
||
我要发
|
||
|
||
> Strategy Description
|
||
|
||
阶梯差价对冲，新手策略
|
||
|
||
> Strategy Arguments
|
||
|
||
|
||
|
||
|Argument|Default|Description|
|
||
|----|----|----|
|
||
|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|
|
||
|
||
|
||
> Source (javascript)
|
||
|
||
``` javascript
|
||
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()))
|
||
}
|
||
|
||
|
||
}
|
||
}
|
||
```
|
||
|
||
> Detail
|
||
|
||
https://www.fmz.com/strategy/30573
|
||
|
||
> Last Modified
|
||
|
||
2017-01-26 22:10:43
|