The most basic market strategy is to buy and sell at the same price, and to buy and sell at the same price. For example, now sell 1 is 60 buy 1 is 70, this strategy will be 65 as the middle line, under 65 full orders, over 65 full orders, because of the need to constantly adjust the order layout, for now called high frequency approximation. Note: The simulated test of GetTicker's buy/sell fixed spread is 1.6, the actual effect requires a live test.
function adjustFloat(v) {
return Math.floor(v*100)/100;
}
function GetOrders() {
var orders = null;
while (!(orders = exchange.GetOrders())) {
Sleep(Interval);
}
return orders;
}
function GetAccount() {
var account;
while (!(account = exchange.GetAccount())) {
Sleep(Interval);
}
return account;
}
function GetTicker(e) {
if (typeof(e) == 'undefined') {
e = exchange;
}
var ticker;
while (!(ticker = e.GetTicker())) {
Sleep(Interval);
}
return ticker;
}
function updateProfit(accountInit, accountNow, ticker) {
var netNow = accountNow.Balance + accountNow.FrozenBalance + ((accountNow.Stocks + accountNow.FrozenStocks) * ticker.Buy);
var netInit = accountInit.Balance + accountInit.FrozenBalance + ((accountInit.Stocks + accountInit.FrozenStocks) * ticker.Buy);
LogProfit(adjustFloat(netNow - netInit));
}
var InitAccount = null;
var LastOrdersLength = null;
function onTick() {
var ticker = GetTicker();
var account = GetAccount();
var orders = GetOrders();
if (LastOrdersLength != null && LastOrdersLength != orders.length) {
updateProfit(InitAccount, account, ticker);
}
LastOrdersLength = orders.length;
var mid = adjustFloat(ticker.Buy + ((ticker.Sell - ticker.Buy) / 2));
var numBuy = parseInt(Math.min(MaxNets / 2 , (mid - ticker.Buy) / Step, account.Balance / ticker.Buy / Lot));
var numSell = parseInt(Math.min(MaxNets / 2, account.Stocks / Lot));
var num = Math.max(numBuy, numSell);
var ordersKeep = [];
var queue = [];
for (var i = 1; i < num; i++) {
var buyPrice = adjustFloat(mid - (i * Step));
var sellPrice = adjustFloat(mid + (i * Step));
var alreadyBuy = false;
var alreadySell = false;
for (j = 0; j < orders.length; j++) {
if (orders[j].Type == ORDER_TYPE_BUY) {
if (Math.abs(orders[j].Price - buyPrice) < (Step / 2)) {
alreadyBuy = true;
ordersKeep.push(orders[j].Id);
}
} else {
if (Math.abs(orders[j].Price - sellPrice) < (Step / 2)) {
alreadySell = true;
ordersKeep.push(orders[j].Id);
}
}
}
if ((!alreadyBuy) && (i < numBuy)) {
queue.push([buyPrice, ORDER_TYPE_BUY]);
}
if ((!alreadySell) && (i < numSell)) {
queue.push([sellPrice, ORDER_TYPE_SELL]);
}
}
for (var i = 0; i < orders.length; i++) {
var keep = false;
for (var j = 0; j < ordersKeep.length; j++) {
if (orders[i].Id == ordersKeep[j]) {
keep = true;
}
}
if (!keep) {
exchange.CancelOrder(orders[i].Id);
LastOrdersLength--;
}
}
for (var i = 0; i < queue.length; i++) {
if (queue[i][1] == ORDER_TYPE_BUY) {
exchange.Buy(queue[i][0], Lot);
} else {
exchange.Sell(queue[i][0], Lot);
}
LastOrdersLength++;
}
}
function main() {
if (DisableLog) {
EnableLog(false);
}
InitAccount = GetAccount();
Log(InitAccount);
LoopInterval = Math.max(LoopInterval, 1);
Lot = Math.max(MinStock, Lot);
while (true) {
onTick();
Sleep(LoopInterval * 1000);
}
}
qq813380629It is not possible to use the futures, it will not change.