The code itself is a good commentary, and the person who knows the code takes it.
var TAmount, TBuyOffset, TSellOffset, TResetDiff, TStep, TSleep, TLen;
var OrdersBuy = [];
var OrdersSell = [];
var InitAccount = null;
var __chart = null;
var __lastUpdate = 0;
function CancelPendingOrders() {
while (true) {
var orders = _C(exchange.GetOrders);
if (orders.length === 0) {
return;
}
for (var i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id);
if (i < (orders.length-1)) {
Sleep(500);
}
}
}
}
function str2array(s) {
var ret = [];
var arr = s.split(',');
for (var i = 0; i < arr.length; i++) {
ret.push(parseFloat(arr[i]));
}
return ret;
}
function parseOption() {
TAmount = str2array(DicAmount);
TBuyOffset = str2array(DicBuyOffset);
TSellOffset = str2array(DicSellOffset);
TResetDiff = str2array(DicResetDiff);
TStep = str2array(DicStep);
TSleep = str2array(DicSleep);
TLen = TAmount.length;
if ((TAmount.length !== TBuyOffset.length) ||
(TAmount.length !== TSellOffset.length) ||
(TAmount.length !== TStep.length) ||
(TAmount.length !== TSleep.length) ||
(TAmount.length !== TResetDiff.length) ) {
throw "参数有误, 表长度不一";
}
for (var i = 0; i < TLen; i++) {
OrdersBuy.push({Id: 0, Price: 0, Amount: 0});
OrdersSell.push({Id: 0, Price: 0, Amount: 0});
}
}
function getOrderPrice(books, limitAmount, prePrice, defRatio) {
var amount = 0;
for (var i = 0; i < books.length; i++) {
if (i > books.length - 3) {
return [books[1].Price * defRatio, false];
}
if (books[i].Price === prePrice) {
continue;
}
amount += books[i].Amount;
if (amount > limitAmount) {
return [books[i].Price, true];
}
}
}
function updateOrders() {
var ueseless = [];
var orders = _C(exchange.GetOrders);
// Update orders state, 1: Complete
for (var i = 0; i < TLen; i++) {
var found = false;
var j = 0;
if (OrdersBuy[i].Id > 0) {
for (j = 0; j < orders.length; j++) {
if (OrdersBuy[i].Id == orders[j].Id) {
found = true;
break;
}
}
if (!found) {
OrdersBuy[i] = {Id: 0, Price: 0};
}
}
found = false;
if (OrdersSell[i].Id > 0) {
for (j = 0; j < orders.length; j++) {
if (OrdersSell[i].Id == orders[j].Id) {
found = true;
break;
}
}
if (!found) {
OrdersSell[i] = {Id: 0, Price: 0};
}
}
}
// remove useless orders
while (true) {
var dropped = 0;
for (i = 0; i < orders.length; i++) {
var found = false;
for (j = 0; j < TLen; j++) {
if (OrdersBuy[j].Id == orders[i].Id || OrdersSell[j].Id == orders[i].Id) {
found = true;
}
}
if (!found) {
exchange.CancelOrder(orders[i].Id);
dropped++;
}
}
if (dropped === 0) {
break;
} else {
Sleep(1000);
orders = _C(exchange.GetOrders);
}
}
return true;
}
function onTick(pos) {
var depth = exchange.GetDepth();
if (!depth || depth.length < 2) {
return;
}
// recalc order price
var buys = [];
var sells = [];
for (var i = 0; i < TLen; i++) {
var buyPrice = getOrderPrice(depth.Bids, TAmount[i], OrdersBuy[i].Price, 0.99)[0] + (0.03 * Math.random());
var sellPrice = getOrderPrice(depth.Asks, TAmount[i], OrdersSell[i].Price, 1.01)[0] - (0.03 * Math.random());
var newSellPrice = sellPrice;
var newBuyPrice = buyPrice;
for(var newSellAmount = TAmount[i]; (newSellPrice - buyPrice) <= TSellOffset[i]; newSellAmount += TStep[i]) {
var retS = getOrderPrice(depth.Asks, newSellAmount, OrdersSell[i].Price, 1.01);
if (!retS[1]) {
break;
}
newSellPrice = retS[0] - (0.03 * Math.random());
}
for(var newBuyAmount = TAmount[i]; (sellPrice - newBuyPrice) <= TBuyOffset[i]; newBuyAmount += TStep[i]) {
var retB = getOrderPrice(depth.Bids, newBuyAmount, OrdersBuy[i].Price, 0.99);
if (!retB[1]) {
break;
}
newBuyPrice = retB[0] + (0.03 * Math.random());
}
buys.push(_N(newBuyPrice, 2));
sells.push(_N(newSellPrice, 2));
}
while (true) {
if (!updateOrders()) {
Sleep(1000);
}
var dropped = 0;
for (i = 0; i < TLen; i++) {
if (pos === 0 || (pos % TSleep[i] !== 0)) {
continue;
}
if (OrdersBuy[i].Id > 0 && Math.abs(buys[i] - OrdersBuy[i].Price) > TResetDiff[i]) {
//if (OrdersBuy[i].Id > 0 && (buys[i] - OrdersBuy[i].Price) > TResetDiff[i]) {
exchange.CancelOrder(OrdersBuy[i].Id);
dropped++;
}
if (OrdersSell[i].Id > 0 && Math.abs(sells[i] - OrdersSell[i].Price) > TResetDiff[i]) {
//if (OrdersSell[i].Id > 0 && (OrdersSell[i].Price - sells[i]) > TResetDiff[i]) {
exchange.CancelOrder(OrdersSell[i].Id);
dropped++;
}
}
if (dropped === 0) {
break;
} else {
Sleep(1000);
}
}
var account = _C(exchange.GetAccount);
var now = new Date().getTime();
if ((now - __lastUpdate) > (1000 * ChartPeriod)) {
__lastUpdate = now;
var btcPrice = depth.Bids[0].Price;
var net = _N(account.Balance + account.FrozenBalance + ((account.Stocks + account.FrozenStocks) * btcPrice));
__chart.add([0, [now, net]]);
__chart.add([1, [now, btcPrice]]);
}
var freeAmount = account.Stocks;
var freeBalance = account.Balance;
for (i = 0; i < TLen; i++) {
if (OrdersBuy[i].Id === 0) {
var orderAmount = Math.min(_N(freeBalance / buys[i]), TAmount[i]);
if (orderAmount >= 0.01) {
var orderId = exchange.Buy(buys[i], orderAmount);
if (orderId) {
OrdersBuy[i] = {Id: orderId, Price: buys[i], Amount: orderAmount};
}
}
freeBalance -= ((buys[i] + 1) * orderAmount);
}
if (OrdersSell[i].Id === 0 && freeAmount >= 0.01) {
var orderAmount = Math.min(freeAmount, TAmount[i]);
var orderId = exchange.Sell(sells[i], orderAmount);
if (orderId) {
OrdersSell[i] = {Id: orderId, Price: sells[i], Amount: orderAmount};
}
freeAmount -= orderAmount;
}
}
}
function onexit() {
CancelPendingOrders();
Log("exit");
}
function main() {
SetErrorFilter("订单不存在|10050|net");
exchange.IO("websocket")
__chart = Chart({
tooltip: {xDateFormat: '%Y-%m-%d %H:%M:%S, %A'},
title : { text : '资产趋势'},
rangeSelector: {
buttons: [{type: 'hour',count: 1, text: '1h'}, {type: 'hour',count: 3, text: '3h'}, {type: 'hour', count: 8, text: '8h'}, {type: 'all',text: 'All'}],
selected: 0,
inputEnabled: false
},
xAxis: { type: 'datetime'},
yAxis: [{ // Primary yAxis
labels: { format: '{value}元', style: { color: '#FF0000' } },
title: { text: '资产估值', style: { color: '#FF0000' } }
}, { title: { text: 'BTC单价', style: { color: '#4572A7' } },
labels: { format: '{value} 元', style: { color: '#4572A7' } },
opposite: false
}],
series : [{
name : '净产净值',
data : [],
tooltip: {
valueDecimals: 2
}
},{
name : 'BTC单价',
yAxis: 1,
data : [],
tooltip: {
valueDecimals: 2
}
}]
});
__chart.reset();
EnableLog(IsEnableLog);
Log("Switch to websocket => ", exchange.IO("websocket"));
CancelPendingOrders();
InitAccount = _C(exchange.GetAccount);
Log(InitAccount);
parseOption();
var allAmount = _.reduce(TAmount, function(memo, num){ return memo + num; }, 0);
var ticker = _C(exchange.GetTicker);
var ratio = (InitAccount.Balance + InitAccount.FrozenBalance + ((InitAccount.Stocks + InitAccount.FrozenStocks) * ticker.Buy)) / 2 / ticker.Buy / allAmount;
for (var i = 0; i < TAmount.length; i++) {
TAmount[i] = _N(TAmount[i] * ratio, 3);
}
Log("订单跟踪已经: " + (IsEnableLog ? "开启" : "关闭"), " 统计周期为", ChartPeriod, "秒, ", TAmount, "缩放比例:", _N(ratio));
for (var count = 0; ; count++) {
var cmd = GetCommand();
if (cmd == '开启/关闭订单跟踪') {
IsEnableLog = !IsEnableLog;
EnableLog(IsEnableLog);
Log("订单跟踪已经: " + (IsEnableLog ? "开启" : "关闭"));
} else if (cmd && cmd.indexOf('统计周期:') === 0) {
ChartPeriod = parseFloat(cmd.split(':')[1]);
Log("统计周期变更为", ChartPeriod, "秒");
}
onTick(count);
Sleep(SleepPeriod);
}
}
zsyh9612It's okay to comment on all the code related to the websocket.
zsyh9612Error main:230:14 - ReferenceError: setLastError is not defined
nick_huangZ is big, can you tell me how to modify to get positive returns, retesting has been losing a lot.
nick_huangCan you give me a little bit of logic? How else can you tweak the results to get a positive return? I tried the default parameters and data, and I lost a lot.
banelenZ boss, look at the GetCommand code here, I can't understand it, there is no description of the API, can you help me?
creatThe analogue disk ensures that the buying and selling will be smooth, but the physical disk that is so frequent in buying and selling is not necessarily hanging in there.
haixiongleeWhy is it that the retested data is good, but the real disk operation is useless?
banelenThank you, I found it.
Zero https://dn-filebox.qbox.me/3ef9d56aa015aa1b3f71f35ee9b709fb3e9a817e.png
ZeroThe high-frequency strategy must be tested on a real disk.