1. Square
2. Commodity futures trading library ((added lower price cap feature)

Commodity futures trading library ((added lower price cap feature)

Author: edwardgyw, Date: 2016-04-25 10:50:58
Tags: ToolCommodity-futures

---

---

function GetPosition(e, contractType, direction) {
    var allCost = 0;
    var allAmount = 0;
    var allProfit = 0;
    var allFrozen = 0;
    var posMargin = 0;
    var positions = _C(e.GetPosition);
    for (var i = 0; i < positions.length; i++) {
        if (positions[i].ContractType == contractType &&
            (((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) && direction == PD_LONG) || ((positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) && direction == PD_SHORT))
        ) {
            posMargin = positions[i].MarginLevel;
            allCost += (positions[i].Price * positions[i].Amount);
            allAmount += positions[i].Amount;
            allProfit += positions[i].Profit;
            allFrozen += positions[i].FrozenAmount;
        }
    }
    if (allAmount === 0) {
        return null;
    }
    return {
        MarginLevel: posMargin,
        FrozenAmount: allFrozen,
        Price: _N(allCost / allAmount),
        Amount: allAmount,
        Profit: allProfit,
        Type: direction,
        ContractType: contractType
    };
}



function Open(e, contractType, direction, opAmount, price) {
    var initPosition = GetPosition(e, contractType, direction);
    var isFirst = true;
    var initAmount = initPosition ? initPosition.Amount : 0;
    var positionNow = initPosition;
    while (true) {
        var needOpen = opAmount;
        if (isFirst) {
            isFirst = false;
        } else {
            positionNow = GetPosition(e, contractType, direction);
            if (positionNow) {
                needOpen = opAmount - (positionNow.Amount - initAmount);
            }
        }
        var insDetail = _C(e.SetContractType, contractType);
        //Log("初始持仓", initAmount, "当前持仓", positionNow, "需要加仓", needOpen);
        if (needOpen < insDetail.MinLimitOrderVolume) {
            break;
        }
        var depth = _C(e.GetDepth);
        var pr = price;
        if (!price) pr = direction == PD_LONG ? depth.Asks[0].Price : depth.Bids[0].Price;
        var amount = Math.min(insDetail.MaxLimitOrderVolume, needOpen);
        e.SetDirection(direction == PD_LONG ? "buy" : "sell");
        var orderId;
        if (direction == PD_LONG) {
            orderId = e.Buy(pr + SlidePrice, Math.min(amount, depth.Asks[0].Amount), contractType, 'Ask', depth);
        } else {
            orderId = e.Sell(pr - SlidePrice, Math.min(amount, depth.Bids[0].Amount), contractType, 'Bid', depth);
        }
        // CancelPendingOrders
        while (true) {
            Sleep(Interval);
            var orders = _C(e.GetOrders);
            if (orders.length === 0) {
                break;
            }
            for (var j = 0; j < orders.length; j++) {
                e.CancelOrder(orders[j].Id);
                if (j < (orders.length - 1)) {
                    Sleep(Interval);
                }
            }
        }
    }
    var ret = {
        price: 0,
        amount: 0,
        position: positionNow
    };
    if (!positionNow) {
        return ret;
    }
    if (!initPosition) {
        ret.price = positionNow.Price;
        ret.amount = positionNow.Amount;
    } else {
        ret.amount = positionNow.Amount - initPosition.Amount;
        ret.price = _N(((positionNow.Price * positionNow.Amount) - (initPosition.Price * initPosition.Amount)) / ret.amount);
    }
    return ret;
}

function Cover(e, contractType, price) {
    var insDetail = _C(e.SetContractType, contractType);
    while (true) {
        var n = 0;
        var positions = _C(e.GetPosition);
        for (var i = 0; i < positions.length; i++) {
            if (positions[i].ContractType != contractType) {
                continue;
            }
            while (positions[i].FrozenAmount !== 0) {
                var orders = _C(e.GetOrders);
                if (orders.length === 0) {
                    break;
                }
                for (var j = 0; j < orders.length; j++) {
                    e.CancelOrder(orders[j].Id);
                    if (j < (orders.length - 1)) {
                        Sleep(Interval);
                    }
                }
                positions = _C(e.GetPosition);
            }
            var amount = Math.min(insDetail.MaxLimitOrderVolume, positions[i].Amount);
            var depth;
            if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) {
                depth = _C(e.GetDepth);
                var pr = price;
                if (!price) pr = depth.Bids[0].Price;
                e.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy");
                e.Sell(pr - SlidePrice, Math.min(amount, depth.Bids[0].Amount), contractType, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]);
                n++;
            } else if (positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) {
                depth = _C(e.GetDepth);
                var pr = price;
                if (!price) pr = depth.Asks[0].Price;
                e.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell");
                e.Buy(pr + SlidePrice, Math.min(amount, depth.Asks[0].Amount), contractType, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]);
                n++;
            }
        }
        if (n === 0 || price) {
            break;
        }
        while (true) {
            Sleep(Interval);
            var orders = _C(e.GetOrders);
            if (orders.length === 0) {
                break;
            }
            for (var j = 0; j < orders.length; j++) {
                e.CancelOrder(orders[j].Id);
                if (j < (orders.length - 1)) {
                    Sleep(Interval);
                }
            }
        }
    }
}


var PositionManager = (function() {
    function PositionManager(e) {
        if (typeof(e) === 'undefined') {
            e = exchange;
        }
        if (e.GetName() !== 'Futures_CTP') {
            throw 'Only support CTP';
        }
        this.e = e;
        this.account = null;
    }
    PositionManager.prototype.GetAccount = function() {
        return _C(this.e.GetAccount);
    };

    PositionManager.prototype.OpenLong = function(contractType, shares, price) {
        if (!this.account) {
            this.account = _C(exchange.GetAccount);
        }
        return Open(this.e, contractType, PD_LONG, shares, price, price);
    };

    PositionManager.prototype.OpenShort = function(contractType, shares, price) {
        if (!this.account) {
            this.account = _C(exchange.GetAccount);
        }
        return Open(this.e, contractType, PD_SHORT, shares, price);
    };

    PositionManager.prototype.Cover = function(contractType, price) {
        if (!this.account) {
            this.account = _C(exchange.GetAccount);
        }
        return Cover(this.e, contractType, price);
    };

    PositionManager.prototype.Profit = function(contractType) {
        var accountNow = _C(this.e.GetAccount);
        return _N(accountNow.Balance - this.account.Balance);
    };

    return PositionManager;
})();

$.NewPositionManager = function(e) {
    return new PositionManager(e);
};

function getHolidays(holidaysList) {
    if (!holidaysList) return {
        'mon': [],
        'day': []
    };
    var x = holidaysList.split(',');
    var t = {
        'mon': [],
        'day': []
    };
    for (var i = 0; i < x.length; i++) {
        var m = x[i].split('.');
        t.mon.push(m[0]);
        t.day.push(m[1]);
    }
    return t;
}

$.judgeTrading = function() {
    var now = new Date();
    var day = now.getDay();
    var mon = now.getMonth() + 1;
    var min = now.getMinutes();
    var date = now.getDate();
    var hours = now.getHours();
    var isHolidays = false;
    var holidays = getHolidays(holidaysList);
    if (holidays) {
        for (var i = 0; i < holidays.mon.length; i++) {
            if (holidays.mon[i] == mon && holidays.day[i] == date) {
                isHolidays = true;
                break;
            }
        }
    }
    if (day === 0 || (day === 6 && hours>=3) || isHolidays) return false;
    else if ((hours >= 9 && hours <= 11) || (hours >= 13 && hours < 15)) {
        if (hours == 11 && min >= 30) return false;
        else if (hours == 13 && min < 30) return false;
        else if ((hours == 10 && min >= 15) && (hours == 10 && min < 30)) return false;
        else return true;
    } else if (nightType == 1 && hours >= 21 && hours < 23) return true;
    else if (nightType == 2 && ((hours >= 21 && hours < 24) || (hours >= 0 && hours < 1 && day !== 1))) return true;
    else if(nightType===3&& ((hours>=21&&hours<23)||(hours===23&&min<30))) return true;
    else if(nightType===4&&((hours >= 21 && hours < 24)||(hours>=0&&hours<2)||(hours===2&&min<30))&&day!==1) return true;
    else return false;
};

//未成功登陆前要多次尝试login，所以写了一个准备交易的函数，可以放到main函数开头
$.ready4ctp = function(contractType) {
    var insDetail;
    var retry = 0;
    while (!(insDetail = exchange.SetContractType(contractType)) && retry < 20) {
        Sleep(2000);
        retry++;
    }
    if (insDetail) Log("合约", insDetail.InstrumentName, "一手", insDetail.VolumeMultiple, "份, 最大下单量", insDetail.MaxLimitOrderVolume, "保证金率:", insDetail.LongMarginRatio, "交割日期", insDetail.StartDelivDate);
    else throw ('连接超时，请检查账号');
    return insDetail;
};

function main() {
    $.ready4ctp('MA609');
    var isTrading = $.judgeTrading();
    Log('当前正在交易？:'+isTrading);
    var p = $.NewPositionManager();
    p.OpenShort("MA609", 1, 1000);
    Sleep(60000 * 10);
    p.Cover("MA609", 1000);
    p.Cover('MA609');
    LogProfit(p.Profit());

}

---

• Futures based strategy
• How to use dynamic adjustment policy parameters to interact with dynamic adjustment policy
• Monitor and display changes in total assets across multiple platforms
• Bitmex acquires amount
• Multi-threaded access to account information for multiple transactions
• Set the price of Bitcoin and WeChat push 100 to get a full breakthrough push
• You're right about the price of holding equity?
• Precision of coins
• Calculate the gain separately (code from zero)
• The price of the platform is 1.0

---

• Chart template (added status bar form)
• Python simple testing strategies
• The strategic framework
• StochRSI strategy (framework of indicators)
• Access the weekly K line
• Statistics on the rate of return
• Hedge 2.7 yield statistics system Support for multi-account statistics
• Get the real-time price of the OK futures
• Bitcoin Profit Verification with Regular Quota Investment
• Example - Timing test of WeChat message push
• The most commonly used type of watermelon is the yellow-brown-brown-brown.
• The Swallows - Mobile Stop Damage Edition
• Get the K-line from a third-party website (0804 updates)
• Monitoring of platform price indicators 1.1
• The classic straight-line strategy
• Dual Thrust OKCoin is a futures
• A function that automatically accepts errors
• RSI_now_sb_ok
• Examples of using the template library
• The value is 0.418.

---

The number is crazy.There are problems with the nightly judgement: varieties that can be traded on Saturday morning, varieties that end at 23:30 in Zhejiang, varieties that end at 2:30 in Shanghai.

edwardgyw ok

The number is crazy.This is the first time I've been to Shanghai. He was arrested in the early hours of Saturday. Varieties that are sold after midnight can be traded on Saturday mornings.

edwardgywWhat are the different types of nightstands, where can I find them, or more specifically, I'm going to add them up.