256 lines
9.2 KiB
Markdown
256 lines
9.2 KiB
Markdown
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> Name
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不同计价币的现货对冲策略教学
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> Author
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小小梦
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> Strategy Description
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## 不同计价币的现货对冲策略（教学）
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相关文章：https://www.fmz.com/digest-topic/7593
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|keepBalanceCyc|300|平衡周期|
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|diffAsPercentage|true|使用差价百分比|
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|hedgeDiffPrice|20|对冲差价|
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|hedgeDiffPercentage|0.04|对冲差价百分比|
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|minHedgeAmount|0.005|对冲最小下单量|
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|maxHedgeAmount|0.2|对冲最大下单量|
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|rateA|true|A交易所汇率|
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|rateB|true|B交易所汇率|
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|isReset|false|重置所有信息|
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|pricePrecisionA|2|A价格精度|
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|amountPrecisionA|3|A下单量精度|
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|pricePrecisionB|2|B价格精度|
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|amountPrecisionB|3|B下单量精度|
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> Source (javascript)
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``` javascript
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// 全局变量
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var lastKeepBalanceTS = 0
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function hedge(buyEx, sellEx, price, amount) {
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var buyRoutine = buyEx.Go("Buy", price, amount)
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var sellRoutine = sellEx.Go("Sell", price, amount)
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Sleep(500)
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buyRoutine.wait()
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sellRoutine.wait()
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}
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function getDepthPrice(depth, side, amount) {
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var arr = depth[side]
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var sum = 0
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var price = null
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for (var i = 0 ; i < arr.length ; i++) {
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var ele = arr[i]
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sum += ele.Amount
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if (sum >= amount) {
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price = ele.Price
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break
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}
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}
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return price
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}
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function keepBalance(initAccs, nowAccs, depths) {
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var initSumStocks = 0
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var nowSumStocks = 0
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_.each(initAccs, function(acc) {
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initSumStocks += acc.Stocks + acc.FrozenStocks
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})
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_.each(nowAccs, function(acc) {
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nowSumStocks += acc.Stocks + acc.FrozenStocks
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})
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var diff = nowSumStocks - initSumStocks
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// 计算币差
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if (Math.abs(diff) > minHedgeAmount && initAccs.length == nowAccs.length && nowAccs.length == depths.length) {
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Log("触发平衡操作，平衡量：", Math.abs(diff))
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var index = -1
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var available = []
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var side = diff > 0 ? "Bids" : "Asks"
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for (var i = 0 ; i < nowAccs.length ; i++) {
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var price = getDepthPrice(depths[i], side, Math.abs(diff))
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if (side == "Bids" && nowAccs[i].Stocks > Math.abs(diff)) {
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available.push(i)
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} else if (price && nowAccs[i].Balance / price > Math.abs(diff)) {
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available.push(i)
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}
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}
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for (var i = 0 ; i < available.length ; i++) {
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if (index == -1) {
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index = available[i]
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} else {
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var priceIndex = getDepthPrice(depths[index], side, Math.abs(diff))
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var priceI = getDepthPrice(depths[available[i]], side, Math.abs(diff))
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if (side == "Bids" && priceIndex && priceI && priceI > priceIndex) {
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index = available[i]
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} else if (priceIndex && priceI && priceI < priceIndex) {
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index = available[i]
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}
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}
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}
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if (index == -1) {
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Log("无法平衡")
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} else {
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// 平衡下单
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var price = getDepthPrice(depths[index], side, Math.abs(diff))
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if (price) {
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var tradeFunc = side == "Bids" ? exchanges[index].Sell : exchanges[index].Buy
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tradeFunc(price, Math.abs(diff))
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} else {
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Log("价格无效", price)
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}
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}
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return false
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} else if (!(initAccs.length == nowAccs.length && nowAccs.length == depths.length)) {
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Log("错误：", "initAccs.length:", initAccs.length, "nowAccs.length:", nowAccs.length, "depths.length:", depths.length)
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return true
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} else {
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return true
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}
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}
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function cancelAll() {
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_.each(exchanges, function(ex) {
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while (true) {
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var orders = _C(ex.GetOrders)
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if (orders.length == 0) {
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break
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}
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for (var i = 0 ; i < orders.length ; i++) {
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ex.CancelOrder(orders[i].Id, orders[i])
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Sleep(500)
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}
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}
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})
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}
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function updateAccs(arrEx) {
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var ret = []
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for (var i = 0 ; i < arrEx.length ; i++) {
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var acc = arrEx[i].GetAccount()
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if (!acc) {
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return null
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}
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ret.push(acc)
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}
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return ret
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}
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function main() {
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var exA = exchanges[0]
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var exB = exchanges[1]
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// 精度，汇率设置
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if (rateA != 1) {
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// 设置汇率A
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exA.SetRate(rateA)
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Log("交易所A设置汇率：", rateA, "#FF0000")
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}
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if (rateB != 1) {
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// 设置汇率B
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exB.SetRate(rateB)
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Log("交易所B设置汇率：", rateB, "#FF0000")
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}
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exA.SetPrecision(pricePrecisionA, amountPrecisionA)
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exB.SetPrecision(pricePrecisionB, amountPrecisionB)
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if (isReset) {
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_G(null)
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LogReset(1)
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LogProfitReset()
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LogVacuum()
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Log("重置所有数据", "#FF0000")
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}
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var nowAccs = _C(updateAccs, exchanges)
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var initAccs = _G("initAccs")
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if (!initAccs) {
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initAccs = nowAccs
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_G("initAccs", initAccs)
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}
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var isTrade = false
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while (true) {
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var ts = new Date().getTime()
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var depthARoutine = exA.Go("GetDepth")
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var depthBRoutine = exB.Go("GetDepth")
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var depthA = depthARoutine.wait()
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var depthB = depthBRoutine.wait()
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if (!depthA || !depthB || depthA.Asks.length == 0 || depthA.Bids.length == 0 || depthB.Asks.length == 0 || depthB.Bids.length == 0) {
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Sleep(500)
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continue
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}
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var targetDiffPrice = hedgeDiffPrice
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if (diffAsPercentage) {
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targetDiffPrice = (depthA.Bids[0].Price + depthB.Asks[0].Price + depthB.Bids[0].Price + depthA.Asks[0].Price) / 4 * hedgeDiffPercentage
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}
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if (depthA.Bids[0].Price - depthB.Asks[0].Price > targetDiffPrice && Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount) >= minHedgeAmount) { // A -> B 盘口条件满足
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var price = (depthA.Bids[0].Price + depthB.Asks[0].Price) / 2
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var amount = Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount)
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if (nowAccs[0].Stocks > minHedgeAmount && nowAccs[1].Balance / price > minHedgeAmount) {
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amount = Math.min(amount, nowAccs[0].Stocks, nowAccs[1].Balance / price, maxHedgeAmount)
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Log("触发A->B:", depthA.Bids[0].Price - depthB.Asks[0].Price, price, amount, nowAccs[1].Balance / price, nowAccs[0].Stocks) // 提示信息
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hedge(exB, exA, price, amount)
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cancelAll()
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lastKeepBalanceTS = 0
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isTrade = true
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}
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} else if (depthB.Bids[0].Price - depthA.Asks[0].Price > targetDiffPrice && Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount) >= minHedgeAmount) { // B -> A 盘口条件满足
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var price = (depthB.Bids[0].Price + depthA.Asks[0].Price) / 2
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var amount = Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount)
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if (nowAccs[1].Stocks > minHedgeAmount && nowAccs[0].Balance / price > minHedgeAmount) {
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amount = Math.min(amount, nowAccs[1].Stocks, nowAccs[0].Balance / price, maxHedgeAmount)
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Log("触发B->A:", depthB.Bids[0].Price - depthA.Asks[0].Price, price, amount, nowAccs[0].Balance / price, nowAccs[1].Stocks) // 提示信息
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hedge(exA, exB, price, amount)
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cancelAll()
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lastKeepBalanceTS = 0
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isTrade = true
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}
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}
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if (ts - lastKeepBalanceTS > keepBalanceCyc * 1000) {
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nowAccs = _C(updateAccs, exchanges)
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var isBalance = keepBalance(initAccs, nowAccs, [depthA, depthB])
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cancelAll()
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if (isBalance) {
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lastKeepBalanceTS = ts
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if (isTrade) {
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var nowBalance = _.reduce(nowAccs, function(sumBalance, acc) {return sumBalance + acc.Balance}, 0)
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var initBalance = _.reduce(initAccs, function(sumBalance, acc) {return sumBalance + acc.Balance}, 0)
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LogProfit(nowBalance - initBalance, nowBalance, initBalance, nowAccs)
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isTrade = false
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}
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}
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}
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LogStatus(_D(), "A->B:", depthA.Bids[0].Price - depthB.Asks[0].Price, " B->A:", depthB.Bids[0].Price - depthA.Asks[0].Price, " targetDiffPrice:", targetDiffPrice, "\n",
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"当前A，Stocks:", nowAccs[0].Stocks, "FrozenStocks:", nowAccs[0].FrozenStocks, "Balance:", nowAccs[0].Balance, "FrozenBalance", nowAccs[0].FrozenBalance, "\n",
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"当前B，Stocks:", nowAccs[1].Stocks, "FrozenStocks:", nowAccs[1].FrozenStocks, "Balance:", nowAccs[1].Balance, "FrozenBalance", nowAccs[1].FrozenBalance, "\n",
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"初始A，Stocks:", initAccs[0].Stocks, "FrozenStocks:", initAccs[0].FrozenStocks, "Balance:", initAccs[0].Balance, "FrozenBalance", initAccs[0].FrozenBalance, "\n",
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"初始B，Stocks:", initAccs[1].Stocks, "FrozenStocks:", initAccs[1].FrozenStocks, "Balance:", initAccs[1].Balance, "FrozenBalance", initAccs[1].FrozenBalance)
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Sleep(1000)
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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/298752
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> Last Modified
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2021-07-30 16:54:39
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