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数字货币手动期现对冲策略

Author: 小小梦, Created: 2021-09-08 14:47:33, Updated: 2021-09-08 15:19:48

数字货币手动期现对冲策略

鉴于期现对冲策略对冲频率并不是特别高,实际上是可以手动操作的。但是如果纯手动去操作,切换各个交易所页面,观察价格,计算差价就很不方便,并且有时候还可能想多看几个品种,弄好几个显示器显示行情也是没太大必要。这样是不是用一个半自动的策略能实现手动操作的这个需求呢?最好还是多品种的,哦!对,最好还有一键开仓、平仓。哦!对,还要有仓位显示…

有了需求,马上动手!

设计一个数字货币手动期现对冲的策略

写的比较啰嗦,代码600行不到。

function createManager(fuEx, spEx, symbolPairs, cmdHedgeAmount, fuMarginLevel, fuMarginReservedRatio) {
    var self = {}
    self.fuEx = fuEx
    self.spEx = spEx
    self.symbolPairs = symbolPairs
    self.pairs = []                        
    self.fuExTickers = null                
    self.spExTickers = null                
    self.tickerUpdateTS = 0                
    self.fuMarginLevel = fuMarginLevel     
    self.fuMarginReservedRatio = fuMarginReservedRatio 
    self.cmdHedgeAmount = cmdHedgeAmount   
    self.preUpdateAccTS = 0                
    self.accAndPosUpdateCount = 0          
    self.profit = []                       
    self.allPairs = []                     

    self.PLUS = 0          
    self.MINUS = 1         
    self.COVER_PLUS = 2    
    self.COVER_MINUS = 3   
    self.arrTradeTypeDesc = ["正套", "反套", "平正套", "平反套"]

    self.updateTickers = function() {
        self.fuEx.goGetTickers()
        self.spEx.goGetTickers()
        var fuExTickers = self.fuEx.getTickers()
        var spExTickers = self.spEx.getTickers()

        if (!fuExTickers || !spExTickers) {
            return null
        }
        self.fuExTickers = fuExTickers
        self.spExTickers = spExTickers
        self.tickerUpdateTS = new Date().getTime()
        return true 
    }

    self.hedge = function(index, fuSymbol, spSymbol, tradeType, amount) {
        var fe = self.fuEx
        var se = self.spEx
        var pair = self.pairs[index]
        var timeStamp = new Date().getTime()

        var fuDirection = null 
        var spDirection = null     
        var fuPrice = null 
        var spPrice = null 

        if (tradeType == self.PLUS) {
            fuDirection = fe.OPEN_SHORT
            spDirection = se.OPEN_LONG
            fuPrice = pair.fuTicker.bid1
            spPrice = pair.spTicker.ask1
        } else if (tradeType == self.MINUS) {
            fuDirection = fe.OPEN_LONG
            spDirection = se.OPEN_SHORT
            fuPrice = pair.fuTicker.ask1
            spPrice = pair.spTicker.bid1
        } else if (tradeType == self.COVER_PLUS) {
            fuDirection = fe.COVER_SHORT
            spDirection = se.COVER_LONG
            fuPrice = pair.fuTicker.ask1
            spPrice = pair.spTicker.bid1            
        } else if (tradeType == self.COVER_MINUS) {
            fuDirection = fe.COVER_LONG
            spDirection = se.COVER_SHORT
            fuPrice = pair.fuTicker.bid1
            spPrice = pair.spTicker.ask1
        } else {
            throw "unknow tradeType!"
        }

        fe.goGetAcc(fuSymbol, timeStamp)              
        se.goGetAcc(spSymbol, timeStamp)
        var nowFuAcc = fe.getAcc(fuSymbol, timeStamp)
        var nowSpAcc = se.getAcc(spSymbol, timeStamp)
        if (!nowFuAcc || !nowSpAcc) {
            Log(fuSymbol, spSymbol, ",获取账户数据失败")
            return 
        }
        pair.nowFuAcc = nowFuAcc           
        pair.nowSpAcc = nowSpAcc

        var nowFuPos = fe.getFuPos(fuSymbol, timeStamp)
        var nowSpPos = se.getSpPos(spSymbol, spPrice, pair.initSpAcc, pair.nowSpAcc)
        if (!nowFuPos || !nowSpPos) {
            Log(fuSymbol, spSymbol, ",获取持仓数据失败")
            return 
        }
        pair.nowFuPos = nowFuPos
        pair.nowSpPos = nowSpPos

        var fuAmount = amount 
        var spAmount = amount
        if (tradeType == self.PLUS || tradeType == self.MINUS) {
            if (nowFuAcc.Balance < (pair.initFuAcc.Balance + pair.initFuAcc.FrozenBalance) * self.fuMarginReservedRatio + (fuAmount * fuPrice / self.fuMarginLevel)) {
                Log(pair.fuSymbol, "保证金不足!", "本次计划使用", (fuAmount * fuPrice / self.fuMarginLevel), "当前可用:", nowFuAcc.Balance, 
                    "计划预留:", (pair.initFuAcc.Balance + pair.initFuAcc.FrozenBalance) * self.fuMarginReservedRatio)
                return 
            }
            if ((tradeType == self.PLUS && nowSpAcc.Balance < spAmount * spPrice)) {  
                Log(pair.spSymbol, "资金不足!", "本次买入计划使用", spAmount * spPrice, "当前可用:", nowSpAcc.Balance)
                return 
            } else if (tradeType == self.MINUS && nowSpAcc.Stocks < spAmount) {       
                Log(pair.spSymbol, "资金不足!", "本次卖出计划使用", spAmount, "当前可用:", nowSpAcc.Stocks)
                return 
            }
        } else {
            var fuLongPos = self.getLongPos(nowFuPos)
            var fuShortPos = self.getShortPos(nowFuPos)
            var spLongPos = self.getLongPos(nowSpPos)
            var spShortPos = self.getShortPos(nowSpPos)
            if ((tradeType == self.COVER_PLUS && !fuShortPos) || (tradeType == self.COVER_MINUS && !fuLongPos)) {  
                Log(fuSymbol, spSymbol, ",期货没有对应持仓!")
                return 
            } else if (tradeType == self.COVER_PLUS && Math.abs(fuShortPos.amount) < fuAmount) {
                fuAmount = Math.abs(fuShortPos.amount)
            } else if (tradeType == self.COVER_MINUS && Math.abs(fuLongPos.amount) < fuAmount) {
                fuAmount = Math.abs(fuLongPos.amount)
            }
            if ((tradeType == self.COVER_PLUS && !spLongPos) || (tradeType == self.COVER_MINUS && !spShortPos)) {  
                Log(fuSymbol, spSymbol, ",现货没有对应持仓!")
                return 
            } else if (tradeType == self.COVER_PLUS && Math.min(Math.abs(spLongPos.amount), nowSpAcc.Stocks) < spAmount) {               
                spAmount = Math.min(Math.abs(spLongPos.amount), nowSpAcc.Stocks)
            } else if (tradeType == self.COVER_MINUS && Math.min(Math.abs(spShortPos.amount), nowSpAcc.Balance / spPrice) < spAmount) {  
                spAmount = Math.min(Math.abs(spShortPos.amount), nowSpAcc.Balance / spPrice)
            }
        }

        fuAmount = fe.calcAmount(fuSymbol, fuDirection, fuPrice, fuAmount)  
        spAmount = se.calcAmount(spSymbol, spDirection, spPrice, spAmount)
        if (!fuAmount || !spAmount) {
            Log(fuSymbol, spSymbol, "下单量计算错误:", fuAmount, spAmount)
            return 
        } else {
            fuAmount = fe.calcAmount(fuSymbol, fuDirection, fuPrice, fuAmount[1])
            spAmount = se.calcAmount(spSymbol, spDirection, spPrice, Math.min(fuAmount[1], spAmount[1]))
            if (!fuAmount || !spAmount) {
                Log(fuSymbol, spSymbol, "下单量计算错误:", fuAmount, spAmount)
                return 
            }
        }
        Log("合约代码:", fuSymbol + "/" + spSymbol, "方向:", self.arrTradeTypeDesc[tradeType], "差价:", fuPrice - spPrice, "期货数量:", fuAmount, "现货数量:", spAmount, "@")  

        fe.goGetTrade(fuSymbol, fuDirection, fuPrice, fuAmount[0])
        se.goGetTrade(spSymbol, spDirection, spPrice, spAmount[0])

        var feIdMsg = fe.getTrade()
        var seIdMsg = se.getTrade()
        return [feIdMsg, seIdMsg]
    }

    self.process = function() {
        var nowTS = new Date().getTime()
        if(!self.updateTickers()) {
            return 
        }

        _.each(self.pairs, function(pair, index) {
            var fuTicker = null 
            var spTicker = null
            _.each(self.fuExTickers, function(ticker) {
                if (ticker.originalSymbol == pair.fuSymbol) {
                    fuTicker = ticker
                }
            })
            _.each(self.spExTickers, function(ticker) {
                if (ticker.originalSymbol == pair.spSymbol) {
                    spTicker = ticker
                }
            })
            if (fuTicker && spTicker) {
                pair.canTrade = true 
            } else {
                pair.canTrade = false
            }
            fuTicker = fuTicker ? fuTicker : {}
            spTicker = spTicker ? spTicker : {}
            pair.fuTicker = fuTicker
            pair.spTicker = spTicker
            pair.plusDiff = fuTicker.bid1 - spTicker.ask1
            pair.minusDiff = fuTicker.ask1 - spTicker.bid1
            if (pair.plusDiff && pair.minusDiff) {
                pair.plusDiff = _N(pair.plusDiff, Math.max(self.fuEx.judgePrecision(fuTicker.bid1), self.spEx.judgePrecision(spTicker.ask1)))
                pair.minusDiff = _N(pair.minusDiff, Math.max(self.fuEx.judgePrecision(fuTicker.ask1), self.spEx.judgePrecision(spTicker.bid1)))
            }
            
            if (nowTS - self.preUpdateAccTS > 1000 * 60 * 5) {    
                self.fuEx.goGetAcc(pair.fuSymbol, nowTS)
                self.spEx.goGetAcc(pair.spSymbol, nowTS)
                var fuAcc = self.fuEx.getAcc(pair.fuSymbol, nowTS)   
                var spAcc = self.spEx.getAcc(pair.spSymbol, nowTS)
                if (fuAcc) {
                    pair.nowFuAcc = fuAcc
                }
                if (spAcc) {
                    pair.nowSpAcc = spAcc
                }
                var nowFuPos = self.fuEx.getFuPos(pair.fuSymbol, nowTS)
                var nowSpPos = self.spEx.getSpPos(pair.spSymbol, (pair.spTicker.ask1 + pair.spTicker.bid1) / 2, pair.initSpAcc, pair.nowSpAcc)

                if (nowFuPos && nowSpPos) {
                    pair.nowFuPos = nowFuPos
                    pair.nowSpPos = nowSpPos                    
                    self.keepBalance(pair)
                } else {
                    Log(pair.fuSymbol, pair.spSymbol, "组合仓位更新失败,nowFuPos:", nowFuPos, " nowSpPos:", nowSpPos)
                }
                self.accAndPosUpdateCount++    
            }
        })

        if (nowTS - self.preUpdateAccTS > 1000 * 60 * 5) {       
            self.preUpdateAccTS = nowTS
            self.profit = self.calcProfit()
            LogProfit(self.profit[0], "期货:", self.profit[1], "现货:", self.profit[2], "&")    // 打印总收益曲线,使用&字符不打印收益日志
        }

        var cmd = GetCommand()
        if(cmd) {
            Log("交互命令:", cmd)
            var arr = cmd.split(":") 
            if(arr[0] == "plus") {
                var pair = self.pairs[parseFloat(arr[1])]
                self.hedge(parseFloat(arr[1]), pair.fuSymbol, pair.spSymbol, self.PLUS, self.cmdHedgeAmount)
            } else if (arr[0] == "cover_plus") {
                var pair = self.pairs[parseFloat(arr[1])]
                self.hedge(parseFloat(arr[1]), pair.fuSymbol, pair.spSymbol, self.COVER_PLUS, self.cmdHedgeAmount)
            }
        }

        LogStatus("当前时间:", _D(), "  数据更新时间:", _D(self.tickerUpdateTS), "持仓账户更新计数:", self.accAndPosUpdateCount, "\n", "盈亏:", self.profit[0], "    期货盈亏:", self.profit[1],
            "    现货盈亏:", self.profit[2], "\n`" + JSON.stringify(self.returnTbl()) + "`", "\n`" + JSON.stringify(self.returnPosTbl()) + "`")
    }

    self.keepBalance = function (pair) {
        var nowFuPos = pair.nowFuPos
        var nowSpPos = pair.nowSpPos
        var fuLongPos = self.getLongPos(nowFuPos)
        var fuShortPos = self.getShortPos(nowFuPos)
        var spLongPos = self.getLongPos(nowSpPos)
        var spShortPos = self.getShortPos(nowSpPos)

        if (fuLongPos || spShortPos) {    
            Log("不支持反套") 
        }
        if (fuShortPos || spLongPos) {    
            var fuHoldAmount = fuShortPos ? fuShortPos.amount : 0
            var spHoldAmount = spLongPos ? spLongPos.amount : 0
            var sum = fuHoldAmount + spHoldAmount
            if (sum > 0) {            
                var spAmount = self.spEx.calcAmount(pair.spSymbol, self.spEx.COVER_LONG, pair.spTicker.bid1, Math.abs(sum), true)
                if (spAmount) {
                    Log(pair.fuSymbol, pair.spSymbol, "现货头寸多出", Math.abs(sum), "fuShortPos:", fuShortPos, "spLongPos:", spLongPos)
                    self.spEx.goGetTrade(pair.spSymbol, self.spEx.COVER_LONG, pair.spTicker.bid1, spAmount[0])
                    var seIdMsg = self.spEx.getTrade()                    
                }
            } else if (sum < 0) {     
                var fuAmount = self.fuEx.calcAmount(pair.fuSymbol, self.fuEx.COVER_SHORT, pair.fuTicker.ask1, Math.abs(sum), true)
                if (fuAmount) {
                    Log(pair.fuSymbol, pair.spSymbol, "期货头寸多出", Math.abs(sum), "fuShortPos:", fuShortPos, "spLongPos:", spLongPos)
                    self.fuEx.goGetTrade(pair.fuSymbol, self.fuEx.COVER_SHORT, pair.fuTicker.ask1, fuAmount[0])
                    var feIdMsg = self.fuEx.getTrade()
                }
            }
        }
    }

    self.getLongPos = function (positions) {
        return self.getPosByDirection(positions, PD_LONG)
    }

    self.getShortPos = function (positions) {
        return self.getPosByDirection(positions, PD_SHORT)
    }

    self.getPosByDirection = function (positions, direction) {
        var ret = null
        if (positions.length > 2) {
            Log("持仓错误,检测到三个持仓:", JSON.stringify(positions))
            return ret 
        }
        _.each(positions, function(pos) {
            if ((direction == PD_LONG && pos.amount > 0) || (direction == PD_SHORT && pos.amount < 0)) {
                ret = pos
            }
        })
        return ret 
    }

    self.calcProfit = function() {   
        var arrInitFuAcc = []
        var arrNowFuAcc = []
        _.each(self.pairs, function(pair) {
            arrInitFuAcc.push(pair.initFuAcc)
            arrNowFuAcc.push(pair.nowFuAcc)
        })
        var fuProfit = self.fuEx.calcProfit(arrInitFuAcc, arrNowFuAcc)
        var spProfit = 0
        var deltaBalance = 0
        _.each(self.pairs, function(pair) {
            var nowSpAcc = pair.nowSpAcc
            var initSpAcc = pair.initSpAcc
            var stocksDiff = nowSpAcc.Stocks + nowSpAcc.FrozenStocks - (initSpAcc.Stocks + initSpAcc.FrozenStocks)
            var price = stocksDiff > 0 ? pair.spTicker.bid1 : pair.spTicker.ask1
            spProfit += stocksDiff * price
            deltaBalance = nowSpAcc.Balance + nowSpAcc.FrozenBalance - (initSpAcc.Balance + initSpAcc.FrozenBalance)
        })
        spProfit += deltaBalance
        return [fuProfit + spProfit, fuProfit, spProfit]    
    }

    self.returnPosTbl = function() {
        var posTbl = {
            type : "table", 
            title : "positions", 
            cols : ["索引", "期货", "期货杠杆", "数量", "现货", "数量"], 
            rows : []
        }
        _.each(self.pairs, function(pair, index) {
            var nowFuPos = pair.nowFuPos
            var nowSpPos = pair.nowSpPos
            for (var i = 0 ; i < nowFuPos.length ; i++) {
                if (nowSpPos.length > 0) {
                    posTbl.rows.push([index, nowFuPos[i].symbol, nowFuPos[i].marginLevel, nowFuPos[i].amount, nowSpPos[0].symbol, nowSpPos[0].amount])
                } else {
                    posTbl.rows.push([index, nowFuPos[i].symbol, nowFuPos[i].marginLevel, nowFuPos[i].amount, "--", "--"])
                }               
            }
        })

        return posTbl
    }

    self.returnTbl = function() {
        var fuExName = "[" + self.fuEx.getExName() + "]"
        var spExName = "[" + self.spEx.getExName() + "]"
        var combiTickersTbl = {
            type : "table", 
            title : "combiTickersTbl", 
            cols : ["期货", "代码" + fuExName, "卖一", "买一", "现货", "代码" + spExName, "卖一", "买一", "正对冲差价", "反对冲差价", "正对冲", "正对冲平仓"], 
            rows : []
        }
        _.each(self.pairs, function(pair, index) {
            var spSymbolInfo = self.spEx.getSymbolInfo(pair.spTicker.originalSymbol)  
            combiTickersTbl.rows.push([
                pair.fuTicker.symbol, 
                pair.fuTicker.originalSymbol, 
                pair.fuTicker.ask1, 
                pair.fuTicker.bid1, 
                pair.spTicker.symbol, 
                pair.spTicker.originalSymbol, 
                pair.spTicker.ask1, 
                pair.spTicker.bid1,
                pair.plusDiff,
                pair.minusDiff,
                {'type':'button', 'cmd': 'plus:' + String(index), 'name': '正套'},
                {'type':'button', 'cmd': 'cover_plus:' + String(index), 'name': '平正套'}
            ])
        })

        var accsTbl = {
            type : "table", 
            title : "accs",
            cols : ["代码" + fuExName, "初币", "初冻币", "初钱", "初冻钱", "币", "冻币", "钱", "冻钱",
                "代码" + spExName, "初币", "初冻币", "初钱", "初冻钱", "币", "冻币", "钱", "冻钱"], 
            rows : []
        }
        _.each(self.pairs, function(pair) {
            var arr = [pair.fuTicker.originalSymbol, pair.initFuAcc.Stocks, pair.initFuAcc.FrozenStocks, pair.initFuAcc.Balance, pair.initFuAcc.FrozenBalance, pair.nowFuAcc.Stocks, pair.nowFuAcc.FrozenStocks, pair.nowFuAcc.Balance, pair.nowFuAcc.FrozenBalance,
                pair.spTicker.originalSymbol, pair.initSpAcc.Stocks, pair.initSpAcc.FrozenStocks, pair.initSpAcc.Balance, pair.initSpAcc.FrozenBalance, pair.nowSpAcc.Stocks, pair.nowSpAcc.FrozenStocks, pair.nowSpAcc.Balance, pair.nowSpAcc.FrozenBalance]
            for (var i = 0 ; i < arr.length ; i++) {
                if (typeof(arr[i]) == "number") {
                    arr[i] = _N(arr[i], 6)  
                }
            }
            accsTbl.rows.push(arr)
        })

        var symbolInfoTbl = {
            type : "table", 
            title : "symbolInfos", 
            cols : ["合约代码" + fuExName, "量精度", "价格精度", "乘数", "最小下单量", "现货代码" + spExName, "量精度", "价格精度", "乘数", "最小下单量"], 
            rows : []
        }
        _.each(self.pairs, function(pair) {
            var fuSymbolInfo = self.fuEx.getSymbolInfo(pair.fuTicker.originalSymbol)
            var spSymbolInfo = self.spEx.getSymbolInfo(pair.spTicker.originalSymbol)
            symbolInfoTbl.rows.push([fuSymbolInfo.symbol, fuSymbolInfo.amountPrecision, fuSymbolInfo.pricePrecision, fuSymbolInfo.multiplier, fuSymbolInfo.min, 
                spSymbolInfo.symbol, spSymbolInfo.amountPrecision, spSymbolInfo.pricePrecision, spSymbolInfo.multiplier, spSymbolInfo.min])
        })
        
        var allPairs = []
        _.each(self.fuExTickers, function(fuTicker) {
            _.each(self.spExTickers, function(spTicker) {
                if (fuTicker.symbol == spTicker.symbol) {
                    allPairs.push({symbol: fuTicker.symbol, fuSymbol: fuTicker.originalSymbol, spSymbol: spTicker.originalSymbol, plus: fuTicker.bid1 - spTicker.ask1})
                }
            })
        })
        _.each(allPairs, function(pair) {
            var findPair = null 
            _.each(self.allPairs, function(selfPair) {
                if (pair.fuSymbol == selfPair.fuSymbol && pair.spSymbol == selfPair.spSymbol) {
                    findPair = selfPair
                }
            })
            if (findPair) {  
                findPair.minPlus = pair.plus < findPair.minPlus ? pair.plus : findPair.minPlus
                findPair.maxPlus = pair.plus > findPair.maxPlus ? pair.plus : findPair.maxPlus
                pair.minPlus = findPair.minPlus
                pair.maxPlus = findPair.maxPlus
            } else {        
                self.allPairs.push({symbol: pair.symbol, fuSymbol: pair.fuSymbol, spSymbol: pair.spSymbol, plus: pair.plus, minPlus: pair.plus, maxPlus: pair.plus})
                pair.minPlus = pair.plus
                pair.maxPlus = pair.plus
            }
        })
        return [combiTickersTbl, accsTbl, symbolInfoTbl]
    }

    self.onexit = function() {        
        _G("pairs", self.pairs)
        _G("allPairs", self.allPairs)
        Log("执行扫尾处理,数据保存", "#FF0000")
    }

    self.init = function() {
        var fuExName = self.fuEx.getExName()
        var spExName = self.spEx.getExName()
        var gFuExName = _G("fuExName")
        var gSpExName = _G("spExName")
        if ((gFuExName && gFuExName != fuExName) || (gSpExName && gSpExName != spExName)) {
            throw "交易所对象发生变化,需要重置数据"
        }
        if (!gFuExName) {
            _G("fuExName", fuExName)
        }
        if (!gSpExName) {
            _G("spExName", spExName)
        }

        self.allPairs = _G("allPairs")
        if (!self.allPairs) {
            self.allPairs = []
        }

        var arrPair = _G("pairs")
        if (!arrPair) {
            arrPair = []
        }
        var arrStrPair = self.symbolPairs.split(",")
        var timeStamp = new Date().getTime()
        _.each(arrStrPair, function(strPair) {
            var arrSymbol = strPair.split("|")
            var recoveryPair = null 
            _.each(arrPair, function(pair) {
                if (pair.fuSymbol == arrSymbol[0] && pair.spSymbol == arrSymbol[1]) {
                    recoveryPair = pair
                }
            })

            if (!recoveryPair) {
                var pair = {
                    fuSymbol : arrSymbol[0],
                    spSymbol : arrSymbol[1],
                    fuTicker : {}, 
                    spTicker : {},
                    plusDiff : null,
                    minusDiff : null,
                    canTrade : false,        
                    initFuAcc : null,        
                    initSpAcc : null,        
                    nowFuAcc : null,         
                    nowSpAcc : null,         
                    nowFuPos : null,         
                    nowSpPos : null,         
                    fuMarginLevel : null     
                }
                self.pairs.push(pair)
                Log("初始化:", pair)
            } else {
                self.pairs.push(recoveryPair)
                Log("恢复:", recoveryPair)
            }
            self.fuEx.pushSubscribeSymbol(arrSymbol[0])
            self.spEx.pushSubscribeSymbol(arrSymbol[1])
            if (!self.pairs[self.pairs.length - 1].initFuAcc) {
                self.fuEx.goGetAcc(arrSymbol[0], timeStamp)
                var nowFuAcc = self.fuEx.getAcc(arrSymbol[0], timeStamp)
                self.pairs[self.pairs.length - 1].initFuAcc = nowFuAcc
                self.pairs[self.pairs.length - 1].nowFuAcc = nowFuAcc
            }
            if (!self.pairs[self.pairs.length - 1].initSpAcc) {
                self.spEx.goGetAcc(arrSymbol[1], timeStamp)
                var nowSpAcc = self.spEx.getAcc(arrSymbol[1], timeStamp)
                self.pairs[self.pairs.length - 1].initSpAcc = nowSpAcc
                self.pairs[self.pairs.length - 1].nowSpAcc = nowSpAcc
            }
            Sleep(300)
        })
        Log("self.pairs:", self.pairs)
        _.each(self.pairs, function(pair) {
            var fuSymbolInfo = self.fuEx.getSymbolInfo(pair.fuSymbol)
            if (!fuSymbolInfo) {
                throw pair.fuSymbol + ",品种信息获取失败!"
            } else {
                Log(pair.fuSymbol, fuSymbolInfo)
            }
            var spSymbolInfo = self.spEx.getSymbolInfo(pair.spSymbol)
            if (!spSymbolInfo) {
                throw pair.spSymbol + ",品种信息获取失败!"
            } else {
                Log(pair.spSymbol, spSymbolInfo)
            }
        })

        _.each(self.pairs, function(pair) {
            pair.fuMarginLevel = self.fuMarginLevel
            var ret = self.fuEx.setMarginLevel(pair.fuSymbol, self.fuMarginLevel)
            Log(pair.fuSymbol, "杠杆设置:", ret)
            if (!ret) {
                throw "初始设置杠杆失败!"
            }
        })
    }

    self.init()
    return self
}

var manager = null 
function main() {
    if(isReset) {        
        _G(null)
        LogReset(1)
        LogProfitReset()
        LogVacuum()
        Log("重置所有数据", "#FF0000")
    }

    if (isOKEX_V5_Simulate) {
        for (var i = 0 ; i < exchanges.length ; i++) {
            if (exchanges[i].GetName() == "Futures_OKCoin" || exchanges[i].GetName() == "OKEX") {
                var ret = exchanges[i].IO("simulate", true)
                Log(exchanges[i].GetName(), "切换模拟盘")
            }
        }
    }

    var fuConfigureFunc = null 
    var spConfigureFunc = null 
    if (exchanges.length != 2) {
        throw "需要添加两个交易所对象!"
    } else {
        var fuName = exchanges[0].GetName()
        if (fuName == "Futures_OKCoin" && isOkexV5) {
            fuName += "_V5"
            Log("使用OKEX V5接口")
        }
        var spName = exchanges[1].GetName()
        fuConfigureFunc = $.getConfigureFunc()[fuName]
        spConfigureFunc = $.getConfigureFunc()[spName]
        if (!fuConfigureFunc || !spConfigureFunc) {
            throw (fuConfigureFunc ? "" : fuName) + " " +  (spConfigureFunc ? "" : spName) + " not support!"
        }
    }
    var fuEx = $.createBaseEx(exchanges[0], fuConfigureFunc)
    var spEx = $.createBaseEx(exchanges[1], spConfigureFunc)
    manager = createManager(fuEx, spEx, symbolPairs, cmdHedgeAmount, fuMarginLevel, fuMarginReservedRatio)

    while(true) {
        manager.process()
        Sleep(interval)
    }
}

function onerror() {
    if (manager) {
        manager.onexit()
    }    
}

function onexit() {
    if (manager) {
        manager.onexit()
    }
}

由于多品种策略比较适合使用IO来设计,所以代码中用到了名为MultiSymbolCtrlLib的一个模板类库(封装,通过IO调用交易所接口)。所以策略是不能回测的,不过可以用模拟盘测试(虽说实盘也跑了有2个月了,测试、熟悉阶段还是用模拟盘跑跑)。

参数

在上手测试之前首先说说参数设计方面。

img

策略参数不多,比较重要的参数有:

  • 对冲控制表

    LTC-USDT-211231|LTC_USDT,BTC-USDT-211231|BTC_USDT
    

    这里就是设置策略都监控那些组合,例如以上的设置是监控期货交易所的莱特币合约(LTC-USDT-211231)和现货交易所的莱特币(LTC_USDT)。一个组合期货合约和现货交易对用|符号隔开,形成一个组合。不同组合使用,符号隔开。注意这里的符号都是英文输入法状态哦! 那可能你问我合约代码要怎么找,这些合约代码、现货交易对使用的都是交易所定义的。并非FMZ平台上定义的。 例如LTC-USDT-211231这个合约目前是次季度合约,在FMZ上叫next_quarter,OKEX的接口系统就是叫它LTC-USDT-211231。WexApp模拟盘对于莱特币/USDT交易对写法就是LTC_USDT。所以这里具体怎么填写,就看交易所里定义的名称。

  • 交互控件对冲的对冲量 点击状态栏控件按钮,对冲的量。单位是币数,策略会自动换算成合约张数下单。

    img

其它的都是设置模拟盘、重置数据、使用OKEX V5接口(因为也兼容V3)等功能,不是特别重要。

测试

第一个交易所对象添加期货的交易所,第二个添加现货交易所对象。

期货交易所使用OKEX的V5接口模拟盘,现货交易所使用wexApp模拟盘。

点了下BTC组合的正套按钮,开仓了。

img

img

img

又点了下正套平仓。

img

img

亏了!!!看来利润差价小的时候平仓覆盖不了手续费,需要算下手续费、大概滑点,然后合理规划平仓的差价,再平仓。

策略源码:https://www.fmz.com/strategy/314352

有兴趣的可以使用、魔改。


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