function cancelAll(){
var ref = false;
for(var e in exchanges){
while(true){
var n = 0;
var my_orders = _C(exchanges[e].GetOrders);
for(var order1 in my_orders){
ref = true;
e.CancelOrder(my_orders[order1].Id);
n += 1;
}
if(n==0){
break;
}
}
}
return ref;
}
function main(){
if(exchanges.length != 2){
throw("Only two exchanges are supported");
}
LogReset();
LogProfitReset();
cancelAll();
var initStocks = 0.0;
var initBalance = 0.0;
var minAmount = 0.1;
var lastTradeTime = 0;
var lastTradeErrExchange = '';
var accountsCache = [];
var hedgeNum = [0, 0];
var names = [];
var baseCurrency = exchange.GetCurrency();
for(var e in exchanges){
if(exchanges[e].GetCurrency() != baseCurrency){
throw("It has to be the same currency to hedge:"+baseCurrency);
}
names.push(exchanges[e].GetName());
var account = _C(exchanges[e].GetAccount);
accountsCache.push(account);
initStocks += account.Stocks;
initBalance += account.Balance;
}
if(baseCurrency == "BTC"){
minAmount = 0.01
} else {
minAmount = 0.1
}
Log("all balance:", _N(initBalance), "all stocks", _N(initStocks))
while(true){
if(accountsCache.length <= 0){
for(var e in exchanges){
var account1 = _C(exchanges[e].GetAccount);
accountsCache.push(account1);
}
}
Sleep(LoopInterval);
cmd = GetCommand();
if(cmd){
Log("CMD", cmd);
var arr = cmd.split(":");
if(arr[0]=="A->B"){
MinSpreadA = parseFloat(arr[1]);
} else if(arr[0]=="B->A"){
MinSpreadB = parseFloat(arr[1]);
}
}
var depthA = exchanges[0].GetDepth();
if (!depthA){
continue;
}
var depthB = exchanges[1].GetDepth();
if (!depthB){
continue;
}
var time = new Date();
if(lastTradeTime > 0 && time.getTime() - lastTradeTime > BalanceTime){
var needUpdate = cancelAll();
if (!needUpdate){
for(var account2 in accountsCache){
if(accountsCache[account2].FrozenBalance >= 0.1 || accountsCache[account2].FrozenStocks >= 0.001){
needUpdate = true;
break;
}
}
}
if (needUpdate){
for(var k in exchanges){
account3 = _C(exchanges[k].GetAccount);
accountsCache.push(account3);
}
}
var nowStocks = 0.0;
var nowBalance = 0.0;
for(var account4 in accountsCache){
nowBalance += accountsCache[account4].Balance;
nowStocks += accountsCache[account4].Stocks;
}
var diff = _N(nowStocks-initStocks, 5);
var isReverse;
if(Math.abs(diff) < minAmount){
LogProfit(_N(nowBalance-initBalance, 3), "all balance", _N(nowBalance), "all stocks", _N(nowStocks), "stock offset:", diff);
lastTradeTime = 0;
} else if(diff > minAmount){
isReverse = depthA.Bids[0].Price < depthB.Bids[0].Price;
} else if(-diff > minAmount){
isReverse = depthA.Asks[0].Price > depthB.Asks[0].Price;
}
if(isReverse != null){
var depths = [depthA, depthB];
var opAmount;
var kk;
if(isReverse){
kk = [1, 0];
} else{
kk = [0, 1];
}
for(var pos in kk){
if(diff > minAmount){
opAmount = Math.min(diff, accountsCache[pos].Stocks, depths[pos].Bids[0].Amount + depths[pos].Bids[1].Amount);
diff = -opAmount;
if(opAmount >= minAmount){
exchanges[pos].Sell(depths[pos].Bids[1].Price, opAmount);
}
} else if(-diff >= minAmount){
opAmount = Math.min(-diff, _N(accountsCache[pos].Balance / depths[pos].Asks[1].Price, 3), depths[pos].Asks[0].Amount + depths[pos].Asks[1].Amount);
diff += opAmount;
if (opAmount >= minAmount){
exchanges[pos].Buy(depths[pos].Asks[1].Price, opAmount);
}
}
}
if (opAmount != undefined){
var time1 = new Date();
lastTradeTime = time1.getTime();
accountsCache = [];
}
}
continue;
}
var diffA = _N(depthA.Bids[0].Price - depthB.Asks[0].Price, 3)
var diffB = _N(depthB.Bids[0].Price - depthA.Asks[0].Price, 3)
LogStatus(JSON.stringify({type: 'table', title: 'status', cols: ['name', 'money', 'frozenmoney', 'stock', 'frozenstock', 'buyone', 'sellone', 'threshold', 'offset', 'num of times'], rows: [[names[0], accountsCache[0].Balance, accountsCache[0].FrozenBalance, accountsCache[0].Stocks, accountsCache[0].FrozenStocks, depthA.Bids[0].Price, depthA.Asks[0].Price, MinSpreadA, diffA, hedgeNum[0]], [names[1], accountsCache[1].Balance, accountsCache[1].FrozenBalance, accountsCache[1].Stocks, accountsCache[1].FrozenStocks, depthB.Bids[0].Price, depthB.Asks[0].Price, MinSpreadB, diffB, hedgeNum[0]]]}));
HPos = 0;
if (diffA >= MinSpreadA){
orderH = depthA.Bids[0];
orderL = depthB.Asks[0];
exchangeH = 0;
exchangeL = 1;
accountH = accountsCache[0];
accountL = accountsCache[1];
}
else if (diffB >= MinSpreadB){
HPos = 1;
orderH = depthB.Bids[0];
orderL = depthA.Asks[0];
exchangeH = 1;
exchangeL = 0;
accountH = accountsCache[1];
accountL = accountsCache[0];
}
else{
continue;
}
var opPrice = _N((orderH.Price + orderL.Price) / 2.0, 2);
var opAmount = Math.min(MaxAmount, orderH.Amount, orderL.Amount, accountH.Stocks, _N(accountL.Balance / opPrice, 3));
if(opAmount >= minAmount){
var tasks = [[exchangeH, "H"], [exchangeL, "L"]];
if(lastTradeErrExchange == "L"){
tasks.reverse();
}
lastTradeErrExchange = "";
for(var task in tasks){
if(tasks[task][1] == "H"){
var id = exchanges[tasks[task][0]].Sell(opPrice, opAmount);
if(id == undefined){
lastTradeErrExchange = tasks[task][1];
break;
}
}
if(tasks[task][1] == "L"){
var id = exchanges[tasks[task][0]].Buy(opPrice, opAmount);
if(id == undefined){
lastTradeErrExchange = tasks[task][1];
break;
}
}
}
var time = new Date();
lastTradeTime = time.getTime();
accountsCache = []
hedgeNum[HPos] += 1
}
}
}
Das ist alles.Wenn es nicht ausgeglichen ist, müssen wir die Differenz anpassen, wenn wir die Differenz anpassen, wenn wir die Differenz anpassen.
- Das ist nicht wahr.Wenn wir uns nicht auf die Kosten konzentrieren, dann ist es nicht gut, wenn wir uns nicht auf die Kosten konzentrieren, sondern auf die Kosten, die wir selbst bezahlen.
7 MeterKorrigiert
m0606Die Linie 17 ist zurückgekommen und wird als Ret geschrieben.