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Strategy Framework and API Functions

In the strategies written in JavaScript, Python and cpp, the Sleep() function needs to be called in the main loop of those strategies. It will be used to control the backtracking speed. In live trading, it is used to control the strategy polling intervals, and also control the requesting frequency of accessing the API interface of the exchange.

function onTick(){
    //Write strategy logic here, and it will be called constantly, such as printing ticker information
    Log(exchange.GetTicker())
}

function main(){
    while(true){
        onTick()
        // The function "Sleep" is mainly used to control the polling frequency of cryptocurrency strategies to prevent accessing the exchange API interafce too frequently
        Sleep(60000)
    }
}

def onTick():
    Log(exchange.GetTicker())

def main():
    while True:
        onTick()
        Sleep(60000)

void onTick() {
    Log(exchange.GetTicker());
}

void main() {
    while(true) {
        onTick();
        Sleep(60000);
    }
}

Basic framework examples of cryptocurrency strategies:

function onTick(){
    // It is just an example; for all the assets will be used to place orders fast during backtest or in live trading, do not implement the example in live trading
    exchange.Buy(100, 1)
}

function main(){
    while(true){
        onTick()
        // The pause period can be customized in millisecond (1 second = 1000 milliseconds)
        Sleep(1000)
    }
}

def onTick():
    exchange.Buy(100, 1)

def main():
    while True:
        onTick()
        Sleep(1000)

void onTick() {
    exchange.Buy(100, 1);
}

void main() {
    while(true) {
        onTick();
        Sleep(1000);
    }
}

Take the simplest example, if I want to place a buy order with a price of 100 and a quantity of 1 on the exchange every second, I can write it like this:

function onTick() {
    Log("K-line update, new BAR generated")
}

function main() {
    var exName = exchange.GetName()
    if (exName.includes("Futures_")) {
        exchange.SetContractType("swap")
    }
    
    var lastTs = 0
    while (true) {
        var r = _C(exchange.GetRecords)
        if (r.length > 0 && r[r.length - 1].Time != lastTs) {
            onTick()
            lastTs = r[r.length - 1].Time
        }
        Sleep(1000)
    }
}

def onTick():
    Log("K-line update, new BAR generated")
    
def main():
    exName = exchange.GetName()
    if "Futures_" in exName:
        exchange.SetContractType("swap")
    
    lastTs = 0
    while True:
        r = _C(exchange.GetRecords)
        if len(r) > 0 and r[-1]["Time"] != lastTs:
            onTick()
            lastTs = r[-1].Time
        Sleep(1000)

void onTick() {
    Log("K-line update, new BAR generated");
}

void main() {
    auto exName = exchange.GetName();
    if (exName.find("Futures_") != std::string::npos) {
        exchange.SetContractType("swap");
    }
    
    Record lastBar;
    lastBar.Time = 0;
    while (true) {
        auto r = _C(exchange.GetRecords);
        if (r.size() > 0 && r[r.size() - 1].Time != lastBar.Time) {
            onTick();
            lastBar.Time = r[r.size() - 1].Time;
        }
        Sleep(1000);
    }
}

Design an On Bar architecture strategy The following shows the commonly used API functions in strategy development and design. For more detailed API descriptions, please refer to: FMZ Quant Trading Platform API Manual.

Global Function

Function Name	Brief Introduction
Version	Returns the current version number of the system
Sleep	Sleep function, parameter is the value of milliseconds to pause
IsVirtual	Determine the execution environment, return a true value to indicate a backtest environment
Mail	Send an email
Mail_Go	Asynchronous version of the `Mail` function
SetErrorFilter	Filter error logs, the parameter is a regular expression string, the error logs matched by this regular expression will not be uploaded to the logging system
GetPid	Get the bot process Id
GetLastError	Get the last error message
GetCommand	Get strategy interaction commands, strategy interaction control settings can be queried: interaction control
GetMeta	Get the value of Meta written when generating the strategy registration code
Dial	Used for raw socket access
HttpQuery	Send Http request
HttpQuery_Go	Asynchronous version of the `HttpQuery` function
Encode	Data encoding function
UnixNano	Get nanosecond timestamps
Unix	Get second-level timestamps
GetOS	Getting system information
MD5	Calculate MD5
DBExec	Database functions that can be used to execute SQL statements and perform database operations
UUID	Generate UUID
EventLoop	Listen for events and return after any websocket is readable or concurrent tasks such as `exchange.Go`, `HttpQuery_Go`, etc. are completed, this function is only available for live tradings
_G	Persistently saving data, this function implements a saveable global dictionary function. The data structure is a KV table, which is stored in the docker’s local database file permanently
_D	Timestamp handler, converts a millisecond timestamp or Date object to a time string
_N	Formatting a floating point number, e.g. `_N(3.1415, 2)` will remove the value of 3.1415 after two decimal places, and the function returns 3.14
_C	Retry function for interface fault tolerance. Note that, for example, fault tolerance for the `exchange.GetTicker` function is `_C(exchange.GetTicker)` and not `_C(exchange.GetTicker())`
_Cross	Cross judgment function, `_Cross()` function’s return value is a positive number indicates the period of the upward penetration, a negative number indicates the period of the downward penetration, and 0 refers to the current price of the same
JSONParse	Parsing JSON, which can correctly parse JSON strings containing larger values, will parse larger values to a string type. The `JSONParse()` function is not supported in the backtesting system.

Log Functions

Function Name	Brief Introduction
Log	Output logs, support for setting log text color, support for setting push, support for printing images after base64 encoding
LogProfit	Output P&L data, print P&L values and plot yield curves based on P&L values
LogProfitReset	Empty the `LogProfit` function outputs all earnings logs, earnings charts
LogStatus	Output information in the status bar, support for designing button controls in the status bar, support for outputting forms
EnableLog	Turn logging of order information on or off
Chart	Charting functions, based on Highcharts/Highstocks charting library
KLineChart	Pine language style drawing function, which is used for customized drawing at the strategy runtime using a Pine-like language drawing style
LogReset	Clear logs, support to retain a certain number of recent logs through the parameter settings
LogVacuum	Reclaim SQLite resources for reclaiming storage space occupied by SQLite when deleting data after clearing the log by calling the `LogReset()` function
console.log	Output debugging information in the “Debug Information” column on the live trading page
console.error	Error information is output in the “Debug Information” column of the live trading page

Ticker Functions

Function Name	Brief Introduction
exchange.GetTicker	Get the Tick quote
exchange.GetDepth	Get order book depth data
exchange.GetTrades	Get market turnover data
exchange.GetRecords	Get K-line data
exchange.GetPeriod	Get the current K-period
exchange.SetMaxBarLen	Setting the maximum length of the K-line
exchange.GetRawJSON	Get the raw content returned by the most recent rest request
exchange.GetRate	Get the current set exchange rate
exchange.GetUSDCNY	Get the latest USD/CNY exchange rate
exchange.SetData	Set the data loaded when the strategy is running
exchange.GetData	Get loaded data or data provided by external links
exchange.GetMarkets	Get the exchange market information
exchange.GetTickers	Get aggregated market data from exchanges

Transaction Functions

Function Name	Brief Introduction
exchange.Buy	Submit a buy order, futures contracts must pay attention to the direction of the transaction is set correctly, if the direction of the transaction and the transaction function does not match, the error will be reported!
exchange.Sell	Submit sell orders, futures contracts when placing orders must pay attention to the transaction direction is set correctly, if the transaction direction and the transaction function does not match, it will report an error
exchange.CreateOrder	Submit an order and specify the transaction type, transaction direction, price, and quantity through parameters
exchange.CancelOrder	Cancel order
exchange.GetOrder	Get order information, data structure is Order structure
exchange.GetOrders	Get unfilled orders with data structure Order struct array (list)
exchange.GetHistoryOrders	Get the historical orders of the current trading pair and contract; support specifying specific trading products
exchange.SetPrecision	Set the precision of the price and order quantity of the exchange object, after setting the system will automatically ignore the data redundancy.
exchange.SetRate	Set the exchange rate
exchange.IO	For other interface calls related to exchange objects
exchange.Log	Output, record transaction logs and do not place orders
exchange.Encode	signature encryption calculation
exchange.Go	Multi-threaded asynchronous support functions
exchange.GetAccount	Get account information
exchange.GetAssets	Request exchange account asset information
exchange.GetName	Get the name of the exchange object
exchange.GetLabel	Get the label of the exchange object
exchange.GetCurrency	Get the current trading pair
exchange.SetCurrency	Switch trading pairs
exchange.GetQuoteCurrency	Get the name of the currency of the current trading pair

Futures Functions

Function Name	Brief Introduction
[exchange.GetPositions(/syntax-guide#fun_exchange.getpositions)	Get futures positions with data structure Position struct array (list)
exchange.SetMarginLevel	Set the leverage
exchange.SetDirection	Function used to set the exchange.Buy function, exchange.Sell function to carry out the futures contract order order direction
exchange.SetContractType	Set the contract code, for example: `exchange.SetContractType("swap")` function sets the contract code to `swap`, which sets the contract for the current operation to be a perpetual contract
exchange.GetContractType	Get the current set contract code
exchange.GetFundings	Get the current futures exchange perpetual contract funding rate data

Network Functions

Function Name	Brief Introduction
exchange.SetBase	Sets the base address of the wrapped Exchange API interface
exchange.GetBase	Get the current exchange API interface base address
exchange.SetProxy	Set up the proxy
exchange.SetTimeout	Set rest protocol timeout

JavaScript Multi-Threading

The FMZ Quant Trading Platform truly supports the multi-threaded function of the JavaScript language strategy from the bottom of the system, and implements the following objects:

Objects	Directions	Remarks
threading	Multithreaded global object	Member functions: `Thread`, `getThread`, `mainThread`, etc.
Thread	Thread object	Member functions: `peekMessage`, `postMessage`, `join`, etc.
ThreadLock	Thread lock object	Member functions: `acquire`, `release`. They can be passed into the thread environment as parameters of the thread execution function.
ThreadEvent	Event object	Member functions: `set`, `clear`, `wait`, `isSet`. They can be passed into the thread environment as a parameter of the thread execution function.
ThreadCondition	Condition object	Member functions: `notify`, `notifyAll`, `wait`, `acquire`, `release`. They can be passed into the thread environment as a parameter of the thread execution function.
ThreadDict	Dictionary object	Member functions: `get`, `set`. They can be passed into the thread environment as parameters of the thread execution function.

FMZ Quant Trading Platform Syntax Manual:JavaScript Multi-Threading

Web3

Function Name	Brief Introduction
exchange.IO(“abi”, …)	Register for ABI
exchange.IO(“api”, “eth”, …)	Calling the Ethernet RPC method
exchange.IO(“encode”, …)	coding function
exchange.IO(“encodePacked”, …)	encodePacked encoding function
exchange.IO(“decode”, …)	decoding function
exchange.IO(“key”, …)	Used to switch private keys
exchange.IO(“api”, …)	Methods to invoke a smart contract
exchange.IO(“address”)	Get the currently configured wallet address
exchange.IO(“base”, …)	Setting up RPC nodes

TA Indicator Library

Function Name	Brief Introduction
TA.MACD	Calculate the exponential smoothed divergence average indicator
TA.KDJ	Calculation of stochastic indicators
TA.RSI	Calculate the strength indicator
TA.ATR	Calculate the average true volatility indicator
TA.OBV	Calculation of energy tide indicators
TA.MA	Calculating moving average indicators
TA.EMA	Calculation of indicators of exponential averages
TA.BOLL	Calculate the Bollinger Band indicator
TA.Alligator	Calculate the Alligator Line Indicator
TA.CMF	Calculation of the Chaikin Money Flow indicator
TA.Highest	Calculate the period maximum price
TA.Lowest	Calculate the period minimum price
TA.SMA	Calculate the simple moving average indicators

talib Indicator Library

The talib indicator library has numerous trading indicators, such as talib.CDL2CROWS. You can go to the syntax manual for specifics.

Strategy Entry Functions Template Libraries

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