6.24 update, improves 4 types of night time, including Saturday morning night time for trading hours Added lower limit list and limit list functionality based on the original zero available version to facilitate payment Added the ability to tell if the current is a trading period, while providing customized holidays
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());
}
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.