Aunque elBinance.comEn la actualidad, hay más de 150 tipos de monedas que están cotizadas por BTC, y todavía están aumentando, lo que dificulta obtener muchos precios de divisas y K-line. Este artículo presentará principalmente cómo operar estrategias de monedas múltiples en la plataforma de negociación cuantitativa FMZ, e incluso para operar todas las monedas sin problemas, principalmente para usuarios con una cierta base de conocimiento.
Si desea operar 150 monedas al mismo tiempo, obviamente es inapropiado utilizar el protocolo REST para obtener la cotización del mercado.Binance.comSe da cuenta del problema de la estrategia multi-variedad para obtener la cotización de mercado, y proporciona una interfaz de cotización de mercado agregada.
Cuando se utiliza directamente esta interfaz REST (/api/v1/ticker/24hr), hay que tener en cuenta que su peso es de 40, lo que significa que un acceso es equivalente a ordinario de 40 veces de acceso, incluso si se accede a esta interfaz una vez cada 5 o 6 segundos, también es posible superar el límite.
Por lo tanto, necesitamos acceder a la versión websocket de esta interfaz, pero tenga en cuenta que debido a la gran cantidad de datos, los datos solo se fijan por 1s para impulsar los datos con los cambios del mercado. Para algunas monedas impopulares que no se han negociado durante unos minutos, es posible que no se impulsen durante mucho tiempo. Los tiempos de impulso fijos no son adecuados para estrategias de alta frecuencia, pero son suficientes para estrategias generales de múltiples monedas. El código específico es el siguiente:
function main() {
var client = Dial("wss://stream.binance.com:9443/ws/!ticker@arr");
while (true){
var data = client.read();
var msg = JSON.parse(data);
updateTicker(msg);//The updateTicker function handles market quotes and transactions, which will be introduced below.
}
}
Binance tiene muchas restricciones en el comercio, valor mínimo de transacción, volumen mínimo de transacción, precisión de precios y precisión de volumen de transacción.
Defined global variables:
var totalbtc = 0;//Total value, not necessarily btc
var baseCoin = ['BTC', 'ETH', 'BNB', 'USDT'][baseCoin_select];//Base currency selection baseCoin_select is a parameter of the drop-down box
var exceptList = Except_list_string.split(',');//Excluded currency, Except_list_string is the strategy parameter
//K line cycle selects PERIOD_M1, PERIOD_M5 is FMZ default global variable
var period = [PERIOD_M1, PERIOD_M5, PERIOD_M15, PERIOD_M30, PERIOD_H1, PERIOD_H1, PERIOD_D1][period_select]
var periodSecond = [60, 300, 900, 1800, 3600, 3600*24][period_select]//The number of seconds corresponding to each cycle
var lastPeriodTime = 0;//The most recent cycle time, used to update the K line
var updateProfitTime = 0//Recently updated earnings time to update revenue
var buyList = []//buying order list
var sellList = []//selling order list
var accountInfo = {};//Used to store transaction related data lists
El siguiente paso es mejorar el contenido de accountInfo, y todo el contenido relacionado con el par de operaciones se almacena en él.
if (!_G('accountInfo')){//If accountInfo is not stored in the database, reacquire the data.
var exchangeInfo = JSON.parse(HttpQuery('https://api.binance.com/api/v1/exchangeInfo'));//Get transaction related data
var ticker = JSON.parse(HttpQuery('https://api.binance.com/api/v1/ticker/24hr'));//First use the rest protocol to get a full amount of ticker
var tradeSymbol = exchangeInfo.symbols.filter(function(x){return x.quoteAsset == baseCoin});//Filter the required trading pairs
accountInfo[baseCoin] = {free:0, frozen:0, last:1, value:0};//Base currency information
for (var i=0; i<tradeSymbol.length; i++){
var info = tradeSymbol[i];
if(exceptList.indexOf(info.symbol.slice(0,info.symbol.length-baseCoin.length)) >= 0){
continue;//Filter out the currencies that was kicked out
}
for (var j=0; j<ticker.length; j++){
var symbol = info.symbol.slice(0,info.symbol.length-baseCoin.length)//Currency name
if(ticker[j].symbol.slice(ticker[j].symbol.length-baseCoin.length) == baseCoin && ticker[j].symbol == info.symbol){
//The stored contents of the exchangeInfo and ticker
accountInfo[symbol] = {
last:parseFloat(ticker[j].lastPrice), free:0, frozen:0,
minQty:parseFloat(info.filters[2].minQty), minNotional:parseFloat(info.filters[3].minNotional)
tickerSize:parseFloat(info.filters[0].tickSize), stepSize:parseFloat(info.filters[2].stepSize),
ask:parseFloat(ticker[j].askPrice), bid:parseFloat(ticker[j].bidPrice), volume:parseFloat(ticker[j].quoteVolume),
lowPrice:parseFloat(ticker[j].lowPrice), highPrice:parseFloat(ticker[j].highPrice),
priceChangePercent:parseFloat(ticker[j].priceChangePercent),
sellPrice:0, buyPrice:0, state:0, value:0, records:null
}
break;
}
}
}
}else{
accountInfo = _G('accountInfo');
}
//Automatically save accountInfo to the database when exiting
function onexit(){
_G('accountInfo', accountInfo);
}
Actualizar la función de información de la cuenta sin actualizaciones en tiempo real.
function updateAccount(){
account = exchange.GetAccount();
if (!account){
Log('time out');
return;//Returning directly here is to save time, and the account information acquisition is not affected in time.
}
for (var i=0; i<account.Info.balances.length; i++){
var symbol = account.Info.balances[i].asset
//Are stored in accountInfo
if (symbol in accountInfo){
accountInfo[symbol].free = parseFloat(account.Info.balances[i].free);
accountInfo[symbol].frozen = parseFloat(account.Info.balances[i].locked);
accountInfo[symbol].value = (accountInfo[symbol].free + accountInfo[symbol].frozen)*accountInfo[symbol].last
}
}
}
//Update the current account total value in the selected base currency
function updateTotalBTC(){
var btc = 0;
for (var symbol in accountInfo){
btc += accountInfo[symbol].value
totalbtc = btc;
}
}
Update the K line, the initial update can use the GetRecords function in stages, and the later update uses push data synthesis.
function initRecords(){
for (var symbol in accountInfo){
if(symbol == baseCoin){continue}
if(!accountInfo[symbol].records){
var currency = symbol + '_' + baseCoin;
//Switch trading pair
exchange.IO("currency", currency)
accountInfo[symbol].records = exchange.GetRecords(period)
Log('Update', currency, 'K line', accountInfo[symbol].records[accountInfo[symbol].records.length-1])
Sleep(250)//Update four per second, no limit will be reached
}
//Recent K-line time
lastPeriodTime = Math.max(accountInfo[symbol].records[accountInfo[symbol].records.length-1].Time/1000, lastPeriodTime)
}
}
//Update K line based on push ticker data
function updateRecords(msgTime){
//If the current time is greater than the last updated cycle, it indicates that a new K line needs to be generated.
if(parseFloat(msgTime)/1000 - lastPeriodTime > periodSecond){
for (var symbol in accountInfo){
if(symbol != baseCoin){
//If the K line missing of a trading pair is too much, it will be re-acquired once, it may be that the transaction is not active, ticker did not push
if(parseFloat(msgTime)/1000 - accountInfo[symbol].records[accountInfo[symbol].records.length-1].Time/1000 > 1.5*periodSecond){
var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency)
var records = exchange.GetRecords(period)
if(records){
accountInfo[symbol].records = exchange.GetRecords(period)
}
Log(symbol, 'K line is missing, regain')
}else{
//Push a new K line
accountInfo[symbol].records.push({"Time":parseInt(lastPeriodTime + periodSecond)*1000, "Open":accountInfo[symbol].last, "High":accountInfo[symbol].last,
"Low":accountInfo[symbol].last, "Close":accountInfo[symbol].last, "Volume":0})
}
}
}
lastPeriodTime = lastPeriodTime + periodSecond
Log(parseFloat(msgTime)/1000, 'Adding K line')
}else{
//If it is in the current K line cycle, update the current K line
for (var symbol in accountInfo){
if(symbol != baseCoin){
var length = accountInfo[symbol].records.length
accountInfo[symbol].records[length-1].Close = accountInfo[symbol].last
accountInfo[symbol].records[length-1].Volume += accountInfo[symbol].volume
if(accountInfo[symbol].last > accountInfo[symbol].records[length-1].High){
accountInfo[symbol].records[length-1].High = accountInfo[symbol].last
}
else if(accountInfo[symbol].last < accountInfo[symbol].records[length-1].Low){
accountInfo[symbol].records[length-1].Low = accountInfo[symbol].last
}
}
}
}
}
//Cancel current trading pair orders
function CancelPendingOrders() {
var orders = _C(exchange.GetOrders);
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);
}
}
//Cancel all trading pair orders
function cancellAll(){
try{
var openOrders = exchange.IO('api', 'GET', '/api/v3/openOrders');
for (var i=0; i<openOrders.length; i++){
var order = openOrders[i];
var currency = order.symbol.slice(0,order.symbol.length-baseCoin.length) + '_' + baseCoin;
exchange.IO("currency", currency);
exchange.CancelOrder(order.orderId);
}
}
catch(err){
Log('Cancel order failed');
}
for (var symbol in accountInfo){
accountInfo[symbol].state = 0;
accountInfo[symbol].buyprice = 0;
accountInfo[symbol].sellPrice = 0;
}
}
//Placing the buying long order
function toBuy(){
//The currencies you need to buy are stored in the buyList
if (buyList.length == 0){
return;
}
for (var i=0; i<buyList.length; i++){
var symbol = buyList[i];
//Slippage is the "selling price 1" plus minimum trading unit, may not be completely executed immediately, you can modify it yourself
var buyPrice = accountInfo[symbol].ask + accountInfo[symbol].tickerSize;
buyPrice = _N(buyPrice, parseInt((Math.log10(1.1/accountInfo[symbol].tickerSize))));//Meet price accuracy
var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency);//Switch trading pair
//If you have placed an order and the price is same as this one, do not operate.
if (accountInfo[symbol].state && accountInfo[symbol].bid == accountInfo[symbol].buyprice){
continue;
}else{
//Order placed first will be cancelled first
if (accountInfo[symbol].state == 1){
CancelPendingOrders();
accountInfo[symbol].state = 0;
accountInfo[symbol].buyprice = 0;
}
var amount = (accountInfo[symbol].free + accountInfo[symbol].frozen)*buyPrice; //Value of existing currency
var needBuyBTC = HoldAmount - amount;//HoldAmount is a global parameter, which require value of the hold
var buyAmount = needBuyBTC/buyPrice;
buyAmount = _N(scale*buyAmount, parseInt((Math.log10(1.1/accountInfo[symbol].stepSize))));//Order quantity accuracy
//Meet minimum transaction volume and minimum transaction value requirements
if (buyAmount > accountInfo[symbol].minQty && buyPrice*buyAmount > accountInfo[symbol].minNotional){
if (accountInfo[baseCoin].free < buyPrice*buyAmount){return;}//Have enough base currency to buy
var id = exchange.Buy(buyPrice, buyAmount, currency);//Final order
if(id){
accountInfo[symbol].buyprice = buyPrice;
accountInfo[symbol].state = 1;
}
}
}
//If the buying orders are too much, it need a pause, Binance allows 10 orders every 1s maximum
if(buyList.length > 5){
Sleep(200)
}
}
}
//Placing the selling orders principles are similar to the buying orders
function toSell(){
if (sellList.length == 0){
return;
}
for (var i=0; i<sellList.length; i++){
var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency);
var sellPrice = accountInfo[symbol].bid - accountInfo[symbol].tickerSize;
sellPrice = _N(sellPrice, parseInt((Math.log10(1.1/accountInfo[symbol].tickerSize))));
if (accountInfo[symbol].state == 1 && accountInfo[symbol].bid != accountInfo[symbol].buyprice){
CancelPendingOrders();
accountInfo[symbol].state = 0;
accountInfo[symbol].sellPrice = 0;
}
var sellAmount = accountInfo[symbol].free;
sellAmount = _N(Math.min(scale*sellAmount,accountInfo[symbol].free), parseInt((Math.log10(1.1/accountInfo[symbol].stepSize))));
if (sellAmount > accountInfo[symbol].minQty && sellPrice*sellAmount > accountInfo[symbol].minNotional){
var id = exchange.Sell(sellPrice, sellAmount, currency);
if(id){
accountInfo[symbol].state = 1;
accountInfo[symbol].sellPrice = sellPrice;
}
}
if(sellList.length > 5){
Sleep(200)
}
}
}
La negociación es muy simple, simplemente empuje la moneda de la compra y venta a la buyList y sellList.
function checkTrade(){
buyList = []
sellList = []
for(var symbol in accountInfo){
if(symbol == baseCoin){
continue
}
var length = accountInfo[symbol].records.length
//Simple moving average, this is a simple demonstration example, don't use it at the real market.
var fast = TA.MA(accountInfo[symbol].records, FastPeriod)[length-1]
var slow = TA.MA(accountInfo[symbol].records, SlowPeriod)[length-1]
if(accountInfo[symbol].value > 2*accountInfo[symbol].minNotional && fast < 0.99*slow){
sellList.push(symbol)
}
//HoldAmount strategy parameter
if(accountInfo[symbol].value < 0.9*HoldAmount && fast > 1.01*slow){
buyList.push(symbol)
}
}
}
La forma de mostrar tantas monedas comerciales también es un problema. Afortunadamente, la Plataforma Cuantitativa FMZ proporciona una tabla completa de funciones. También se puede ordenar por número, lo que es simple y conveniente. Cada vez que el websocket empuja el ticker, se actualiza debido a la lógica de actualización basada en eventos, transaccionales y diversas.
function updateStatus(msgTime){
//The specific data to be displayed can be defined by itself.
var table = {type: 'table', title: 'Position information',
cols: ['Currency', 'Bid', 'Ask','Last', 'Lowest price','Highest price','Price Amplitude','Volume','buying price','Selling price', 'frozen','Available','Present value'],
rows: []};
for (var symbol in accountInfo){
if(symbol == baseCoin){
var infoList = [symbol,0, 0, 1,0, 0, 0,0, 0, 0, 0, _N(accountInfo[symbol].frozen,4),_N(accountInfo[symbol].free,4), _N(accountInfo[symbol].value,5)];
}else{
var infoList = [symbol,accountInfo[symbol].bid, accountInfo[symbol].ask, accountInfo[symbol].last,
accountInfo[symbol].lowPrice, accountInfo[symbol].highPrice, accountInfo[symbol].priceChangePercent,
_N(accountInfo[symbol].volume,2), accountInfo[symbol].buyPrice, accountInfo[symbol].sellPrice,
_N(accountInfo[symbol].frozen,4),_N(accountInfo[symbol].free,4), _N(accountInfo[symbol].value,5)];
}
table.rows.push(infoList);
}
var logString = _D() + ' Net value:' + _N(totalbtc,6) + (typeof(msgTime) == 'number' ? (', Latest market time: ' + _D(msgTime)) : '') + '\n';
logString += 'The currency to be bought：' + buyList.join(',') + ' \n';
logString += 'The currency to be sold：' + sellList.join(',') + ' \n';
logString += 'Currently available'+ baseCoin + '：' + _N(accountInfo[baseCoin].free,6) + ',frozen：' + _N(accountInfo[baseCoin].frozen,6) + '\n';
LogStatus(logString + '`' + JSON.stringify(table) + '`');//Update to robot interface
}
//Every time pushes the ticker, it is updated because of the event-driven, transactional and various update logic.
function updateTicker(msg){
var ticker = msg;
var msgTime = 0;
for (var i=0; i<ticker.length; i++){
msgTime = Math.max(msgTime, ticker[i].E);
var symbol = ticker[i].s.slice(0,ticker[i].s.length-baseCoin.length)
if (ticker[i].s.slice(ticker[i].s.length-baseCoin.length) == baseCoin && parseFloat(ticker[i].c) && symbol in accountInfo){
accountInfo[symbol].last = parseFloat(ticker[i].c);
accountInfo[symbol].volume = _N(parseFloat(ticker[i].q),1);
accountInfo[symbol].lowPrice = parseFloat(ticker[i].l);
accountInfo[symbol].highPrice = parseFloat(ticker[i].h);
accountInfo[symbol].ask = parseFloat(ticker[i].a);
accountInfo[symbol].bid = parseFloat(ticker[i].b);
accountInfo[symbol].priceChangePercent = parseFloat(ticker[i].P);
accountInfo[symbol].value = (accountInfo[symbol].free + accountInfo[symbol].frozen)*accountInfo[symbol].last
}
}
if (Date.now() - updateProfitTime > LogProfitTime*1000){
updateAccount();
updateProfitTime = Date.now();//Reset revenue time
LogProfit(totalbtc);//Update revenue
}
updateRecords(msgTime)//Update K line
updateTotalBTC();//Update total market value
updateStatus(msgTime);//Update robot status
checkTrade()//Check which orders need to be placed
toBuy();//placing buying order
toSell();//placing selling order
}
function main() {
cancellAll();
initRecords()
updateAccount();
updateTotalBTC()
Log('Total transaction digital currency:', Object.keys(accountInfo).length-1);
updateStatus();
var client = Dial("wss://stream.binance.com:9443/ws/!ticker@arr");
while (true){
var data = client.read();
var msg = JSON.parse(data);
updateTicker(msg);
}
}
Este artículo muestra principalmente un marco básico de negociación de monedas múltiples de Binance, que incluye principalmente cómo almacenar información de negociación, cómo sintetizar la línea K de acuerdo con el ticker, cómo colocar un pedido, cómo mostrar gráficos de estrategia y activar el comercio basado en eventos de ticker push. Hay muchos lugares que se pueden cambiar y personalizar. El conjunto se extrae de mi estrategia personal. Puede implicar un error y solo es para usuarios que tienen una cierta base de conocimiento.