Transplanting OKCoin to the cabbage harvester
Author: lkk91297, Date: 2018-10-31 13:30:19Tags: High-frequency
Transplantation from:https://github.com/richox/okcoin-leeks-reaper
The original authors said that it would not work after the fee, so I just did the transplant, no physical testing, interested in learning. Because the strategy uses GetTrades, the function is simulated in the retest system, so retesting is meaningless, it can only be tested directly on the real disk!
The following is the original description
OKCoin is a cabbage harvester
This is a high-frequency trading robot program on the OKCoin Bitcoin trading platform, which was successfully brushed from its initial investment of 6,000 to 250,000 by mid-January 2017. The strategy has effectively failed due to the recent high-pressure policy of the Central Bank against Bitcoin, which has led to the cessation of all major platforms and the start of charging transaction fees.
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This robotic program is based on two main strategies:
- Trend strategy: order in a timely manner and follow up when price fluctuates in a trendy way, as the saying goesChasing and killing。
- Balancing strategy: When a position deviates 50%, the slips are released to gradually bring the position back down to 50%, preventing a reversal at the end of the trend from causing a retracement, i.e.Revenues dropped in bags, fish tails not eaten。
This procedure requires balancing the position, i.e. (capital + financing = money), so that the position is at 50% when the net assets do not fluctuate with the price, but also guarantees when trend fluctuations occur.It's all right.。
Thank you to the following two projects:
Thanks to OKCoin:
BTC: 3QFn1qfZMhMQ4FhgENR7fha3T8ZVw1bEeU
function LeeksReaper() { //创建构造函数LeeksReaper
var self = {} //构造一个空的对象
self.numTick = 0
self.lastTradeId = 0
self.vol = 0
self.askPrice = 0
self.bidPrice = 0
self.orderBook = { Asks: [], Bids: [] }
self.prices = []
self.tradeOrderId = 0
self.p = 0.5
self.account = null
self.preCalc = 0
self.preNet = 0
//以上都是self对象的属性
//创建一个方法
self.updateTrades = function () {
var trades = _C(exchange.GetTrades) //创建一个变量trades用来接收_C函数返回的值，传入的参数为：exchange.GetTrades
if (self.prices.length == 0) { //如果self.prices的长度等于0
while (trades.length == 0) { //如果trades等于0时执行下方的语句
trades = trades.concat(_C(exchange.GetTrades)) //通过数组拼接的方法把_C函数返回的值与trades进行拼接，传入的参数为：exchange.GetTrades
}
for (var i = 0; i < 15; i++) { //循环，结束条件为i=15，每次循环i都自加1
self.prices[i] = trades[trades.length - 1].Price//每次循环都把trades数组的最后一个值赋值给self对象的prices数组上，共循环15次
}
}
//self.vol的值等于他自己乘以0.7加上_.reduce函数的返回值*0.3，其中_.reduce函数传入的参数为trades和一个匿名函数，还有一个0，匿名函数的形参为men,trade
self.vol = 0.7 * self.vol + 0.3 * _.reduce(trades, function (mem, trade) {
// Huobi not support trade.Id
//前半段是比较rade.Id是否大于self.lastTradeId，如果结果是true就执行下方的语句，如果是fales就往后看，后半段的且运算符，trade.Id == 0和trade.Time > self.lastTradeId都为真时才会返回true,有fales时就返回fales
if ((trade.Id > self.lastTradeId) || (trade.Id == 0 && trade.Time > self.lastTradeId)) {
//等号右边是一个三目运算，如果trade.Id=0就返回trade.Time，否则就返回trade.Id, self.lastTradeId。并进行比较返回最大的值，最后把返回的最大值赋给self.lastTradeId
self.lastTradeId = Math.max(trade.Id == 0 ? trade.Time : trade.Id, self.lastTradeId)
//mem=trade.Amount+mem
mem += trade.Amount
}
//返回mem
return mem
}, 0)
}
//self对象的一个方法
self.updateOrderBook = function () {
// 创建一个变量orderBook用来接收_C函数返回的值，传入的参数为：exchange.GetDepth
var orderBook = _C(exchange.GetDepth)
self.orderBook = orderBook //self.orderBook 的值等于orderBook
if (orderBook.Bids.length < 3 || orderBook.Asks.length < 3) {//前半段是判断orderBook.Bids的长度是否小于3，后半段是判断orderBook.Asks的长度是否小于3，如果两边都小于3就执行下方的语句
//返回undefined
return
}
//self.bidPrice的值等于orderBook.Bids数组的第一个值乘以0.618加上orderBook.Asks数组的第一个值乘以0.382加上0.01
self.bidPrice = orderBook.Bids[0].Price * 0.618 + orderBook.Asks[0].Price * 0.382 + 0.01
//同上
self.askPrice = orderBook.Bids[0].Price * 0.382 + orderBook.Asks[0].Price * 0.618 - 0.01
//删除price数组的第一个值，并返回第一个值
self.prices.shift()
//prices数组向后添加值，值为函数_N的返回值
self.prices.push(_N((orderBook.Bids[0].Price + orderBook.Asks[0].Price) * 0.35 +
(orderBook.Bids[1].Price + orderBook.Asks[1].Price) * 0.1 +
(orderBook.Bids[2].Price + orderBook.Asks[2].Price) * 0.05))
}
//self对象的一个方法
self.balanceAccount = function () {
// 创建一个变量account用来接收GetAccount函数返回的值
var account = exchange.GetAccount()
//判断account是否为空，是就返回undefined
if (!account) {
return
}
//赋值
self.account = account
//获取当前时间的时间戳数据
var now = new Date().getTime()
//判断self.orderBook.Bids的长度是否大于0和now - self.preCalc的值是否大于(CalcNetInterval * 1000)，如果都大于就执行下方语句
if (self.orderBook.Bids.length > 0 && now - self.preCalc > (CalcNetInterval * 1000)) {
//赋值
self.preCalc = now
//创建一个变量net用来接收_N函数的返回值
var net = _N(account.Balance + account.FrozenBalance + self.orderBook.Bids[0].Price * (account.Stocks + account.FrozenStocks))
//判断net是否不等于self.preNet，如果是就执行下方语句
if (net != self.preNet) {
//赋值
self.preNet = net
//调用函数LogProfit并传入net
LogProfit(net)
}
}
//赋值
self.btc = account.Stocks
self.cny = account.Balance
self.p = self.btc * self.prices[self.prices.length - 1] / (self.btc * self.prices[self.prices.length - 1] + self.cny)
var balanced = false
//判断self.p的值是否小于0.48
if (self.p < 0.48) {
//调用Log函数并传入参数"开始平衡", self.p
Log("开始平衡", self.p)
//self.cny =self.cny-300
self.cny -= 300
//判断self.orderBook.Bids的长度是否大于0，如果是就执行下方语句
if (self.orderBook.Bids.length > 0) {
//调用buy函数并传入相应的参数
exchange.Buy(self.orderBook.Bids[0].Price + 0.00, 0.01)
exchange.Buy(self.orderBook.Bids[0].Price + 0.01, 0.01)
exchange.Buy(self.orderBook.Bids[0].Price + 0.02, 0.01)
}
//如果self.p大于0.52就执行下方语句
} else if (self.p > 0.52) {
//调用Log函数并传入参数"开始平衡", self.p
Log("开始平衡", self.p)
//self.btc=self.btc-0.03
self.btc -= 0.03
//判断self.orderBook.Bids的长度是否大于0，如果是就执行下方语句
if (self.orderBook.Asks.length > 0) {
//调用Sell函数并传入相应的参数
exchange.Sell(self.orderBook.Asks[0].Price - 0.00, 0.01)
exchange.Sell(self.orderBook.Asks[0].Price - 0.01, 0.01)
exchange.Sell(self.orderBook.Asks[0].Price - 0.02, 0.01)
}
}
//调用函数Sleep并传入参数BalanceTimeout
Sleep(BalanceTimeout)
//创建标量order来接收GetOrders函数返回的值
var orders = exchange.GetOrders()
//判断orders是否为真
if (orders) {
//遍历orders
for (var i = 0; i < orders.length; i++) {
//判断orders的id是否不等于self.tradeOrderId
if (orders[i].Id != self.tradeOrderId) {
//如果是就调用CancelOrder函数并传入参数orders[i].Id
exchange.CancelOrder(orders[i].Id)
}
}
}
}
//self的一个方法
self.poll = function () {
//self.numTick自加1
self.numTick++
//执行上方创建的三个方法updateTrades，updateOrderBook，updateOrderBook
self.updateTrades()
self.updateOrderBook()
self.balanceAccount()
//burstPrice的值等于self.prices数组的最后一个值乘以BurstThresholdPct
var burstPrice = self.prices[self.prices.length - 1] * BurstThresholdPct
//创建变量并赋值
var bull = false
var bear = false
var tradeAmount = 0
//判断self.account是否为真
if (self.account) {
//是真的话就调用LogStatus函数并传入相应的参数
LogStatus(self.account, 'Tick:', self.numTick, ', lastPrice:', self.prices[self.prices.length - 1], ', burstPrice: ', burstPrice)
}
//前半段是判断self.numTick的值是否大于2，如果是大于2就往执行||后面的语句，如果不是则判断&&运算符后面的语句，如果为fales直接返回fales,执行else的语句
if (self.numTick > 2 && (
self.prices[self.prices.length - 1] - _.max(self.prices.slice(-6, -1)) > burstPrice ||
self.prices[self.prices.length - 1] - _.max(self.prices.slice(-6, -2)) > burstPrice && self.prices[self.prices.length - 1] > self.prices[self.prices.length - 2]
)) {
//变量bull赋值为true,tradeAmount赋值为self.cnyv/self.bidPrice乘以0.99
bull = true
tradeAmount = self.cny / self.bidPrice * 0.99
}
//同上面if
else if (self.numTick > 2 && (
self.prices[self.prices.length - 1] - _.min(self.prices.slice(-6, -1)) < -burstPrice ||
self.prices[self.prices.length - 1] - _.min(self.prices.slice(-6, -2)) < -burstPrice && self.prices[self.prices.length - 1] < self.prices[self.prices.length - 2]
)) {
bear = true
//赋值
tradeAmount = self.btc
}
//判断self.vol是否小于BurstThresholdVol，如果是就执行if语句内的代码
if (self.vol < BurstThresholdVol) {
tradeAmount *= self.vol / BurstThresholdVol
}
//判断self.numTick是否小于5，如果是就执行if语句内的代码
if (self.numTick < 5) {
//tradeAmount=tradeAmount*0.8
tradeAmount *= 0.8
}
//判断self.numTick是否小于10
if (self.numTick < 10) {
tradeAmount *= 0.8
}
//前半段是判断!bull和!bear哪一个为真，后半段是判断tradeAmount是否小于MinStock，当两边都为真时就执行if语句内的代码
if ((!bull && !bear) || tradeAmount < MinStock) {
return
}
//如果bull为真时就返回self.bidPrice的值，否则返回self.askPrice的值
var tradePrice = bull ? self.bidPrice : self.askPrice
//tradeAmount是否大于或者等于MinStock，如果时就进行循环while的语句
while (tradeAmount >= MinStock) {
//当bull为真时返回Buy函数的返回值，否则返回Sell函数的返回值
var orderId = bull ? exchange.Buy(self.bidPrice, tradeAmount) : exchange.Sell(self.askPrice, tradeAmount)
//调用Sleep函数传入参数400，0.4秒后执行
Sleep(400)
//判断orderId是否为true
if (orderId) {
//赋值
self.tradeOrderId = orderId
//赋值
var order = null
while (true) {
//rder的值等于GetOrder函数的返回值
order = exchange.GetOrder(orderId)
//判断order是否为true
if (order) {
//判断两边的值是否相等
if (order.Status == ORDER_STATE_PENDING) {
//调用CancelOrder函数
exchange.CancelOrder(orderId)
//0.2秒后执行
Sleep(200)
} else {
//跳出循环
break
}
}
}
//赋值
self.tradeOrderId = 0
tradeAmount -= order.DealAmount
tradeAmount *= 0.9
//判断两边是否相等
if (order.Status == ORDER_STATE_CANCELED) {
//调用self的updateOrderBook方法
self.updateOrderBook()
//判断是否为true,如果时就进行循环
while (bull && self.bidPrice - tradePrice > 0.1) {
//赋值
tradeAmount *= 0.99
tradePrice += 0.1
}
//判断是否为true,如果时就进行循环
while (bear && self.askPrice - tradePrice < -0.1) {
tradeAmount *= 0.99
tradePrice -= 0.1
}
}
}
}
//赋值
self.numTick = 0
}
//返回self
return self
}
//函数main
function main() {
//reaper 是构造函数的实例
var reaper = LeeksReaper()
while (true) {
//通过实例调用poll方法
reaper.poll()
Sleep(TickInterval)
}
}
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lkk91297I'm not a programmer.
lkk91297It's not that I don't like you, it's that I don't understand myself.
bwxiaokHello! Can I get a contact number please? Some of the comments are not very clear.
lkk91297This commentary is not perfect enough.
fmzeroWhere is it?