高频收割机一号.md

Name

高频收割机一号

Author

Zero

Strategy Description

代码本身就是很好的注释, 识货的拿走.

Strategy Arguments

Argument	Default	Description
DicAmount	0.6,1.5,1.8,1.9	交易量
DicBuyOffset	1.5,2.5,4.5,8	买单距离
DicSellOffset	1,1.8,2.5,4	卖单距离
DicResetDiff	0.1,0.3,0.3,0.4	撤单差价
DicStep	9,12,17,25	增量步长
DicSleep	1,2,3,5	等待周期
SleepPeriod	3000	轮询周期
ChartPeriod	600	统计周期
IsEnableLog	true	开启订单跟踪

Button	Default	Description
开启/关闭订单跟踪	button	开启/关闭订单跟踪
统计周期	3600	秒数

Source (javascript)

var TAmount, TBuyOffset, TSellOffset, TResetDiff, TStep, TSleep, TLen;
var OrdersBuy = [];
var OrdersSell = [];
var InitAccount = null;
var __chart = null;
var __lastUpdate = 0;

function CancelPendingOrders() {
    while (true) {
        var orders = _C(exchange.GetOrders);
        if (orders.length === 0) {
            return;
        }

        for (var i = 0; i < orders.length; i++) {
            exchange.CancelOrder(orders[i].Id);
            if (i < (orders.length-1)) {
                Sleep(500);
            }
        }
    }
}

function str2array(s) {
    var ret = [];
    var arr = s.split(',');
    for (var i = 0; i < arr.length; i++) {
        ret.push(parseFloat(arr[i]));
    }
    return ret;
}

function parseOption() {
    TAmount = str2array(DicAmount);
    TBuyOffset = str2array(DicBuyOffset);
    TSellOffset = str2array(DicSellOffset);
    TResetDiff = str2array(DicResetDiff);
    TStep = str2array(DicStep);
    TSleep = str2array(DicSleep);
    TLen = TAmount.length;
    if ((TAmount.length !== TBuyOffset.length) ||
        (TAmount.length !== TSellOffset.length) ||
        (TAmount.length !== TStep.length) ||
        (TAmount.length !== TSleep.length) ||
        (TAmount.length !== TResetDiff.length) ) {
        throw "参数有误, 表长度不一";
    }
    for (var i = 0; i < TLen; i++) {
        OrdersBuy.push({Id: 0, Price: 0, Amount: 0});
        OrdersSell.push({Id: 0, Price: 0, Amount: 0});
    }
}

function getOrderPrice(books, limitAmount, prePrice, defRatio) {
    var amount = 0;
    for (var i = 0; i < books.length; i++) {
        if (i > books.length - 3) {
            return [books[1].Price * defRatio, false];
        }
        if (books[i].Price === prePrice) {
            continue;
        }
        amount += books[i].Amount;
        if (amount > limitAmount) {
            return [books[i].Price, true];
        }
    }
}

function updateOrders() {
    var ueseless = [];
    var orders = _C(exchange.GetOrders);
    // Update orders state, 1: Complete
    for (var i = 0; i < TLen; i++) {
        var found = false;
        var j = 0;
        if (OrdersBuy[i].Id > 0) {
            for (j = 0; j < orders.length; j++) {
                if (OrdersBuy[i].Id == orders[j].Id) {
                    found = true;
                    break;
                }
            }
            if (!found) {
                OrdersBuy[i] = {Id: 0, Price: 0};
            }
        }
        found = false;
        if (OrdersSell[i].Id > 0) {
            for (j = 0; j < orders.length; j++) {
                if (OrdersSell[i].Id == orders[j].Id) {
                    found = true;
                    break;
                }
            }
            if (!found) {
                OrdersSell[i] = {Id: 0, Price: 0};
            }
        }
    }
    
    // remove useless orders
    while (true) {
        var dropped = 0;
        for (i = 0; i < orders.length; i++) {
            var found = false;
            for (j = 0; j < TLen; j++) {
                if (OrdersBuy[j].Id == orders[i].Id || OrdersSell[j].Id == orders[i].Id) {
                    found = true;
                }
            }
            if (!found) {
                exchange.CancelOrder(orders[i].Id);
                dropped++;
            }
        }
        if (dropped === 0) {
            break;
        } else {
            Sleep(1000);
            orders = _C(exchange.GetOrders);
        }
    }
    
    return true;
}

function onTick(pos) {
    var depth = exchange.GetDepth();
    if (!depth || depth.length < 2) {
        return;
    }
    
    // recalc order price
    var buys = [];
    var sells = [];
    for (var i = 0; i < TLen; i++) {
        var buyPrice = getOrderPrice(depth.Bids, TAmount[i], OrdersBuy[i].Price, 0.99)[0] + (0.03 * Math.random());
        var sellPrice = getOrderPrice(depth.Asks, TAmount[i], OrdersSell[i].Price, 1.01)[0] - (0.03 * Math.random());
        var newSellPrice = sellPrice;
        var newBuyPrice = buyPrice;
        for(var newSellAmount = TAmount[i]; (newSellPrice - buyPrice) <= TSellOffset[i]; newSellAmount += TStep[i]) {
            var retS = getOrderPrice(depth.Asks, newSellAmount, OrdersSell[i].Price, 1.01);
            if (!retS[1]) {
                break;
            }
            newSellPrice = retS[0] - (0.03 * Math.random());
        }
        for(var newBuyAmount = TAmount[i]; (sellPrice - newBuyPrice) <= TBuyOffset[i]; newBuyAmount += TStep[i]) {
            var retB = getOrderPrice(depth.Bids, newBuyAmount, OrdersBuy[i].Price, 0.99);
            if (!retB[1]) {
                break;
            }
            newBuyPrice = retB[0] + (0.03 * Math.random());
        }
        buys.push(_N(newBuyPrice, 2));
        sells.push(_N(newSellPrice, 2));
    }
    
    while (true) {
        if (!updateOrders()) {
            Sleep(1000);
        }
        var dropped = 0;
        for (i = 0; i < TLen; i++) {
            if (pos === 0 || (pos % TSleep[i] !== 0)) {
                continue;
            }
            if (OrdersBuy[i].Id > 0 && Math.abs(buys[i] - OrdersBuy[i].Price) > TResetDiff[i]) {
            //if (OrdersBuy[i].Id > 0 && (buys[i] - OrdersBuy[i].Price) > TResetDiff[i]) {
                exchange.CancelOrder(OrdersBuy[i].Id);
                dropped++;
            }
            if (OrdersSell[i].Id > 0 && Math.abs(sells[i] - OrdersSell[i].Price) > TResetDiff[i]) {
            //if (OrdersSell[i].Id > 0 && (OrdersSell[i].Price - sells[i]) > TResetDiff[i]) {
                exchange.CancelOrder(OrdersSell[i].Id);
                dropped++;
            }
        }
        if (dropped === 0) {
            break;
        } else {
            Sleep(1000);
        }
    }
    var account = _C(exchange.GetAccount);
    
    var now = new Date().getTime();
    if ((now - __lastUpdate) > (1000 * ChartPeriod)) {
        __lastUpdate = now;
        var btcPrice = depth.Bids[0].Price;
        var net = _N(account.Balance + account.FrozenBalance + ((account.Stocks + account.FrozenStocks) * btcPrice));
        __chart.add([0, [now, net]]);
        __chart.add([1, [now, btcPrice]]);
    }
    
    var freeAmount = account.Stocks;
    var freeBalance = account.Balance;
    
    for (i = 0; i < TLen; i++) {
        if (OrdersBuy[i].Id === 0) {
            var orderAmount = Math.min(_N(freeBalance / buys[i]), TAmount[i]);
            if (orderAmount >= 0.01) {
                var orderId = exchange.Buy(buys[i], orderAmount);
                if (orderId) {
                    OrdersBuy[i] = {Id: orderId, Price: buys[i], Amount: orderAmount};
                }
            }
            freeBalance -= ((buys[i] + 1) * orderAmount);
        }
        if (OrdersSell[i].Id === 0 && freeAmount >= 0.01) {
            var orderAmount = Math.min(freeAmount, TAmount[i]);
            var orderId = exchange.Sell(sells[i], orderAmount);
            if (orderId) {
                OrdersSell[i] = {Id: orderId, Price: sells[i], Amount: orderAmount};
            }
            freeAmount -= orderAmount;
        }
    }
}

function onexit() {
    CancelPendingOrders();
    Log("exit");
}

function main() {
    SetErrorFilter("订单不存在|10050|net");
    exchange.IO("websocket")
    __chart = Chart({
        tooltip: {xDateFormat: '%Y-%m-%d %H:%M:%S, %A'},
        title : { text : '资产趋势'},
        rangeSelector: {
            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'},
        yAxis: [{ // Primary yAxis
            labels: { format: '{value}元', style: { color: '#FF0000' } },
            title: { text: '资产估值', style: { color: '#FF0000' } }
        }, { title: { text: 'BTC单价', style: { color: '#4572A7' } },
            labels: { format: '{value} 元', style: { color: '#4572A7' } },
            opposite: false
        }],
        series : [{
            name : '净产净值',
            data : [],
            tooltip: {
                valueDecimals: 2
            }
        },{
            name : 'BTC单价',
            yAxis: 1,
            data : [],
            tooltip: {
                valueDecimals: 2
            }
        }]
    });
    __chart.reset();
    EnableLog(IsEnableLog);
    Log("Switch to websocket => ", exchange.IO("websocket"));
    CancelPendingOrders();
    InitAccount = _C(exchange.GetAccount);
    Log(InitAccount);
    parseOption();
    var allAmount = _.reduce(TAmount, function(memo, num){ return memo + num; }, 0);
    var ticker = _C(exchange.GetTicker);
    var ratio = (InitAccount.Balance + InitAccount.FrozenBalance + ((InitAccount.Stocks + InitAccount.FrozenStocks) * ticker.Buy)) / 2 / ticker.Buy / allAmount;
    for (var i = 0; i < TAmount.length; i++) {
        TAmount[i] = _N(TAmount[i] * ratio, 3);
    }
    Log("订单跟踪已经: " + (IsEnableLog ? "开启" : "关闭"), " 统计周期为", ChartPeriod, "秒, ", TAmount, "缩放比例:", _N(ratio));
    for (var count = 0; ; count++) {
        var cmd = GetCommand();
        if (cmd == '开启/关闭订单跟踪') {
            IsEnableLog = !IsEnableLog;
            EnableLog(IsEnableLog);
            Log("订单跟踪已经: " + (IsEnableLog ? "开启" : "关闭"));
        } else if (cmd && cmd.indexOf('统计周期:') === 0) {
            ChartPeriod = parseFloat(cmd.split(':')[1]);
            Log("统计周期变更为", ChartPeriod, "秒");
        }
        onTick(count);
        Sleep(SleepPeriod);
    }
}

Detail

https://www.fmz.com/strategy/6237

Last Modified

2016-11-30 14:12:21