How to hedge digital currencies manually

How to hedge digital currencies manually

Given that the hedging frequency of the hedging strategy is not particularly high, it can actually be operated manually. But it is not convenient to operate purely manually, switch the various exchange pages, observe the price, calculate the difference, and sometimes you may also want to look at several more varieties, get several displays showing the market situation is not too much necessary. Is this the need for a semi-automatic strategy to achieve this manual operation?

If there is a demand, get started!

Designing a strategy for the manual hedging of digital currencies

It's written in a rather sloppy way, with less than 600 lines of code.

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()
    }
}

Since the multi-variety strategy is more suitable for designing with IO, the name is used in the code.MultiSymbolCtrlLibA template class library (wrapped, called an exchange interface via IO) so the policy is not retested, but can be tested with an analog disk (although the physical disk has been running for 2 months, testing, familiarity phase or running with an analog disk).

Parameters

Before we start testing, let's talk about parameter design first.

There are few strategic parameters, but the most important ones are:

• Hedging controls

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

  This is where the setup strategy monitors both of those portfolios, for example the above setup monitors both the Litecoin contract (LTC-USDT-211231) on the futures exchange and the Litecoin (LTC_USDT) on the spot exchange.|The symbols are separated to form a combination.,The symbols are separated. Note that the symbols here are the English-type status bars! You may be asking me how to find the contract codes, which are defined by the exchange and not by the FMZ platform. For example:LTC-USDT-211231This contract is currently a second-quarter contract, and it's on FMZ.next_quarterThe OKEX interface system is what it is called.LTC-USDT-211231WexApp's analog drive is designed forLitecoin and USDTIt's a trade-off.LTC_USDTThe name of the exchange is defined by the name of the exchange.

• Hedge of the interactive controller hedge Click on the status button, the amount of the hedge. The unit is the number of coins, the policy will automatically convert to the number of contract sheets.

  

The rest is setup of the analogue disk, reset data, use of the OKEX V5 interface (as it is also compatible with V3) and other functions that are not particularly important.

Testing

The first exchange object adds the futures exchange, the second adds the spot exchange object.

Futures exchanges use OKEX's V5 interface analogue and spot exchanges use wexApp analogue.

After pressing the right button for the BTC portfolio, the position is open.

I'm not going to say that I'm not.

It seems that when the profit difference is small, the clearing cannot cover the processing fee, you need to calculate the processing fee, probably a slippage point, and then plan the clearing difference rationally, and then the clearing.

The source code of the strategy:https://www.fmz.com/strategy/314352

I'm not sure if this is a good idea, but I'm going to try and make it work.