250 lines
7.5 KiB
Markdown
250 lines
7.5 KiB
Markdown
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> Name
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现货预定价格循环买卖
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> Author
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小草
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> Strategy Description
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预设一个买价和卖价，策略将在这两个价格区间挂单，先买入后卖出，卖出后再挂买单，不断循环操作获利。
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|Buy_price|9000|买入价格|
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|Sell_price|9500|卖出价格|
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|Amount|0.1|交易数量|
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|Advance|false|显示更多参数|
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|Intervel|5000|休眠时间ms|
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|Log_profit|600000|打印收益时间ms|
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> Source (javascript)
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``` javascript
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/*backtest
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start: 2020-05-18 00:00:00
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end: 2020-06-16 23:59:00
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period: 1h
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basePeriod: 1h
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exchanges: [{"eid":"Binance","currency":"BTC_USDT","stocks":0}]
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*/
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var order = {buy_price:0,buy_amount:0,buy_id:0,sell_price:0,sell_amount:0,sell_id:0}
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var account = null
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var last = 0
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var symbol = ''
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var status = 0 //0：开始挂买单，1：买单成交挂卖单；2：卖单成交挂买单
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var log_profit_time = 0
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var update_status_time = 0
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var update_alpha_time = Date.now()
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if(exchange.GetName().slice(0,7) == 'Futures'){
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throw '此策略只支持现货'
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}
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if(_G('symbol')){
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symbol = _G('symbol')
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}else{
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symbol = exchange.GetCurrency()
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_G('symbol', symbol)
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}
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if(exchange.GetCurrency() != symbol){
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throw '不可更换币种,需要重新建立新机器人'
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}
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function GetPrecision(){
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if(IsVirtual()){
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return {price:6, amount:6}
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}
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var precision = {price:0, amount:0}
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var depth = exchange.GetDepth()
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if(!depth){
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throw '无法连接交易所行情,需要海外托管者'
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}
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for(var i=0;i<depth.Asks.length;i++){
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var amountPrecision = depth.Asks[i].Amount.toString().indexOf('.') > -1 ? depth.Asks[i].Amount.toString().split('.')[1].length : 0
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precision.amount = Math.max(precision.amount,amountPrecision)
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var pricePrecision = depth.Asks[i].Price.toString().indexOf('.') > -1 ? depth.Asks[i].Price.toString().split('.')[1].length : 0
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precision.price = Math.max(precision.price,pricePrecision)
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}
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return precision
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}
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function updateAccount() {
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var acc = exchange.GetAccount()
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if(acc){
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if(account && _N(acc.Stocks + acc.FrozenStocks,6) != _N(account.Stocks + account.FrozenStocks,6)){
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if(acc.Stocks + acc.FrozenStocks > account.Stocks + account.FrozenStocks){
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Log('买单成交：',_N(acc.Stocks + acc.FrozenStocks-account.Stocks - account.FrozenStocks,6), ' 数量变动：', _N(account.Stocks + account.FrozenStocks,6), ' -> ', _N(acc.Stocks + acc.FrozenStocks,6))
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}
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if(acc.Stocks + acc.FrozenStocks < account.Stocks + account.FrozenStocks){
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Log('卖单成交：',_N(account.Stocks + account.FrozenStocks - acc.Stocks - acc.FrozenStocks,6),' 数量变动：', _N(account.Stocks + account.FrozenStocks,6), ' -> ', _N(acc.Stocks + acc.FrozenStocks,6))
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}
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}
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account = acc
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}else{
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Log('获取账户信息出错')
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}
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}
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function updateTicker(){
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var ticker = exchange.GetTicker()
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if(ticker){
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last = ticker.Last
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}else{
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Log('获取行情出错')
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}
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}
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function cancelAll(){
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Log('撤销所有订单')
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var orders = exchange.GetOrders()
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if(!orders){
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Log('获取订单失败')
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}
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for(var j=0; j<orders.length; j++){
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exchange.CancelOrder(orders[j].Id)
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Sleep(10)
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}
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}
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cancelAll()
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last = exchange.GetTicker().Last
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updateAccount()
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var precision = GetPrecision()
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var init_value = 0
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var init_account = {balance:0, amount:0}
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if(_G('init_value')){
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init_value = _G('init_value')
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init_account = _G('init_account')
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}else{
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init_value = _N(account.Balance+account.FrozenBalance+(account.Stocks+account.FrozenStocks)*last, 6)
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init_account = {balance:account.Balance+account.FrozenBalance, amount:account.Stocks+account.FrozenStocks}
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Log('第一次启动策略, 始总价值为: ', init_value)
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_G('init_value', init_value)
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_G('init_account', init_account)
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}
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function trade(direction, price, value, msg){
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if(price <= 0){return}
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var amount = _N(value/price, precision.amount)
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var new_order = true
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order[direction+'_price'] = price
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if(new_order){
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if(order[direction+'_id']){
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exchange.CancelOrder(order[direction+'_id'])
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order[direction+'_price'] = 0
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order[direction+'_id'] = 0
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}
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var id =null
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if(direction == 'buy'){
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if(account.Balance < 1*value){
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Log('资金不足, 无法挂买单, 等待卖出')
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}else{
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id = exchange.Buy(price, amount, msg)
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}
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}
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if(direction == 'sell'){
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if(account.Stocks < 1*amount){
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Log('余币不足, 无法挂卖单，等待买入')
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}else{
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id = exchange.Sell(price, amount, msg)
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}
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}
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order[direction+'_id'] = id
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order[direction+'_price'] = price
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}
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}
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function updateStatus(){
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if(Date.now()-update_status_time < 4000){
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return
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}
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update_status_time = Date.now()
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var now_value = (account.Stocks+account.FrozenStocks)*last + account.Balance+account.FrozenBalance
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var profit = _N( now_value - init_account.amount*last - init_account.balance, 6)
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var table = {
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type: 'table', title: '账户信息',
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cols: ['初始币', '初始资金', '当前币', '当前资金', '买单价格', '卖单价格', '现价', '初始市值', '当前市值', '收益'],
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rows: [[_N(init_account.amount,6), _N(init_account.balance,6), _N(account.Stocks+account.FrozenStocks,6),
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_N(account.Balance+account.FrozenBalance,6), order.buy_price, order.sell_price, _N(last,6),
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_N(init_value,6), _N(now_value,6), _N(profit,6)]]
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}
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var logString = _D()+' 策略代码最后更新时间6月10日 14:00\n'
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LogStatus(logString + '`' + JSON.stringify(table) + '`'+'\n')
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var log_profit_intervel = IsVirtual() ? 12*60*60*1000 : Log_profit
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if(Date.now()-log_profit_time > log_profit_intervel){
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LogProfit(_N((account.Stocks+account.FrozenStocks)*last + account.Balance+account.FrozenBalance - init_account.amount*last - init_account.balance, 6))
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log_profit_time = Date.now()
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}
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}
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function onTick(){
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if(last == 0){return}
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//0：开始挂买单，1：买单成交挂卖单；2：卖单成交挂买单
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var buy_price = _N(Buy_price, precision.price)
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var sell_price = _N(Sell_price, precision.price)
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if(status == 0 && !order.buy_id){
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trade('buy', buy_price, Amount*buy_price, '挂买单')
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}
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if(order.buy_id && status == 0 ){
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var buy_order = exchange.GetOrder(order.buy_id)
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if(buy_order && buy_order.Status == ORDER_STATE_CLOSED){
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status = 1
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order.buy_id = 0
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order.buy_price = 0
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}
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}
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if(status == 1 && !order.sell_id){
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trade('sell', sell_price, Amount*sell_price, '买单成交挂卖单')
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}
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if(status == 1 && order.sell_id){
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var sell_order = exchange.GetOrder(order.sell_id)
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if(sell_order && sell_order.Status == ORDER_STATE_CLOSED){
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status = 0
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order.sell_id = 0
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order.sell_price = 0
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}
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}
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}
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function onexit(){
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cancelAll()
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}
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function main() {
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while(true){
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updateTicker()
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updateAccount()
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onTick()
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updateStatus()
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if(!IsVirtual()){
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Sleep(Intervel)
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}
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}
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}
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```
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> Detail
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https://www.fmz.com/strategy/215007
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> Last Modified
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2020-06-19 16:06:36
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