345 lines
13 KiB
Markdown
345 lines
13 KiB
Markdown
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> Name
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不同计价币的现货对冲策略-Ver11
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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 Ver1.1
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相关文章：https://www.fmz.com/digest-topic/7666
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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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|hedgeDiffPriceA2B|20|对冲差价AtoB|
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|hedgeDiffPriceB2A|20|对冲差价BtoA|
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|hedgeDiffPercentageA2B|4|对冲差价百分比AtoB|
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|hedgeDiffPercentageB2A|4|对冲差价百分比BtoA|
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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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|slidePrice|true|下单滑价|
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|marginType|0|杠杆类型: 普通币币|逐仓杠杆|全仓杠杆|
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|Button|Default|Description|
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|----|----|----|
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|A2B|false|修改AtoB的参数|
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|B2A|false|修改BtoA的参数|
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> Source (javascript)
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``` javascript
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var lastKeepBalanceTS = 0
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function hedge(buyEx, sellEx, priceBuy, priceSell, amount) {
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var buyRoutine = buyEx.Go("Buy", priceBuy, amount)
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var sellRoutine = sellEx.Go("Sell", priceSell, 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 * 0.9 > Math.abs(diff)) {
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available.push(i)
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} else if (side == "Asks" && price && nowAccs[i].Balance / price * 0.9 > 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 (side == "Asks" && 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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// 切换杠杆模式
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for (var i = 0 ; i < exchanges.length ; i++) {
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if (exchanges[i].GetName() == "Binance" && marginType != 0) {
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if (marginType == 1) {
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Log(exchanges[i].GetName(), "设置为杠杆逐仓")
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exchanges[i].IO("trade_margin")
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} else if (marginType == 2) {
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Log(exchanges[i].GetName(), "设置为杠杆全仓")
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exchanges[i].IO("trade_super_margin")
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}
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}
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}
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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 targetDiffPriceA2B = hedgeDiffPriceA2B
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var targetDiffPriceB2A = hedgeDiffPriceB2A
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if (diffAsPercentage) {
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targetDiffPriceA2B = (depthA.Bids[0].Price + depthB.Asks[0].Price + depthB.Bids[0].Price + depthA.Asks[0].Price) / 4 * (hedgeDiffPercentageA2B / 100)
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targetDiffPriceB2A = (depthA.Bids[0].Price + depthB.Asks[0].Price + depthB.Bids[0].Price + depthA.Asks[0].Price) / 4 * (hedgeDiffPercentageB2A / 100)
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}
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// 画图
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$.PlotHLine(targetDiffPriceA2B, "A->B")
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$.PlotHLine(targetDiffPriceB2A, "B->A")
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if (depthA.Bids[0].Price - depthB.Asks[0].Price > targetDiffPriceA2B && Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount) >= minHedgeAmount) { // A -> B 盘口条件满足
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var priceSell = depthA.Bids[0].Price - slidePrice
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var priceBuy = depthB.Asks[0].Price + slidePrice
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// 处理负精度参数
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if (pricePrecisionA < 0) {
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// priceSell = _N(priceSell, pricePrecisionA) - slidePrice
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priceSell = _N(priceSell - slidePrice, pricePrecisionA)
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// Log("priceSell:", priceSell, "priceSell - slidePrice:", priceSell - slidePrice, "pricePrecisionA:", pricePrecisionA, typeof(pricePrecisionA)) // 测试
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}
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if (pricePrecisionB < 0) {
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// priceBuy = _N(priceBuy, pricePrecisionB) + slidePrice
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priceBuy = _N(priceBuy + slidePrice, pricePrecisionB)
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// Log("priceBuy:", priceBuy, "priceBuy + slidePrice:", priceBuy + slidePrice, "pricePrecisionB:", pricePrecisionB, typeof(pricePrecisionB)) // 测试
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}
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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 * 0.8 / priceSell > minHedgeAmount) {
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amount = Math.min(amount, nowAccs[0].Stocks, nowAccs[1].Balance * 0.8 / priceSell, maxHedgeAmount)
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Log("触发A->B:", depthA.Bids[0].Price - depthB.Asks[0].Price, priceBuy, priceSell, amount, nowAccs[1].Balance * 0.8 / priceSell, nowAccs[0].Stocks) // 提示信息
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hedge(exB, exA, priceBuy, priceSell, 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 > targetDiffPriceB2A && Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount) >= minHedgeAmount) { // B -> A 盘口条件满足
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var priceBuy = depthA.Asks[0].Price + slidePrice
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var priceSell = depthB.Bids[0].Price - slidePrice
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// 处理负精度参数
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if (pricePrecisionA < 0) {
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// priceBuy = _N(priceBuy, pricePrecisionA) + slidePrice
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priceBuy = _N(priceBuy + slidePrice, pricePrecisionA)
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// Log("priceBuy:", priceBuy, "priceBuy + slidePrice:", priceBuy + slidePrice, "pricePrecisionA:", pricePrecisionA, typeof(pricePrecisionA)) // 测试
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}
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if (pricePrecisionB < 0) {
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// priceSell = _N(priceSell, pricePrecisionB) - slidePrice
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priceSell = _N(priceSell - slidePrice, pricePrecisionB)
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// Log("priceSell:", priceSell, "priceSell - slidePrice:", priceSell - slidePrice, "pricePrecisionB:", pricePrecisionB, typeof(pricePrecisionB)) // 测试
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}
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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 * 0.8 / priceBuy > minHedgeAmount) {
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amount = Math.min(amount, nowAccs[1].Stocks, nowAccs[0].Balance * 0.8 / priceBuy, maxHedgeAmount)
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Log("触发B->A:", depthB.Bids[0].Price - depthA.Asks[0].Price, priceBuy, priceSell, amount, nowAccs[0].Balance * 0.8 / priceBuy, nowAccs[1].Stocks) // 提示信息
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hedge(exA, exB, priceBuy, priceSell, 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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$.PlotLine("A2B", depthA.Bids[0].Price - depthB.Asks[0].Price)
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$.PlotLine("B2A", depthB.Bids[0].Price - depthA.Asks[0].Price)
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}
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// 交互
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var cmd = GetCommand()
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if (cmd) {
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Log("接收到命令：", cmd)
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var arr = cmd.split(":")
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if (arr[0] == "A2B") {
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Log("修改A2B的参数，", diffAsPercentage ? "参数为差价百分比" : "参数为差价：", arr[1])
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if (diffAsPercentage) {
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hedgeDiffPercentageB2A = parseFloat(arr[1])
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} else {
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hedgeDiffPriceA2B = parseFloat(arr[1])
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}
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} else if (arr[0] == "B2A") {
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Log("修改B2A的参数，", diffAsPercentage ? "参数为差价百分比" : "参数为差价：", arr[1])
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if (diffAsPercentage) {
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hedgeDiffPercentageA2B = parseFloat(arr[1])
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} else {
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hedgeDiffPriceB2A = parseFloat(arr[1])
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}
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}
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}
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var tbl = {
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"type" : "table",
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"title" : "数据",
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"cols" : ["交易所", "币", "冻结币", "计价币", "冻结计价币", "触发差价", "当前差价"],
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"rows" : [],
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}
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tbl.rows.push(["A:" + exA.GetName(), nowAccs[0].Stocks, nowAccs[0].FrozenStocks, nowAccs[0].Balance, nowAccs[0].FrozenBalance, "A->B:" + targetDiffPriceA2B, "A->B:" + (depthA.Bids[0].Price - depthB.Asks[0].Price)])
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tbl.rows.push(["B:" + exB.GetName(), nowAccs[1].Stocks, nowAccs[1].FrozenStocks, nowAccs[1].Balance, nowAccs[1].FrozenBalance, "B->A:" + targetDiffPriceB2A, "B->A:" + (depthB.Bids[0].Price - depthA.Asks[0].Price)])
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LogStatus(_D(), "\n", "`" + JSON.stringify(tbl) + "`")
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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/302834
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> Last Modified
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2021-08-29 15:51:59
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