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- Grille dynamique par contrat inverse bybit (grille spécifique)
Grille dynamique par contrat inverse bybit (grille spécifique)
Auteur:
@cqz, Date: le 24 mai 2022 à 17h38
Les étiquettes:
//Arguments:
//1. StartPrice
//2. EndPrice
//3. MinOrderCoinSize
// noinspection SillyAssignmentJS
CoinSymbol = CoinSymbol;
// noinspection SillyAssignmentJS
StartPrice = StartPrice;
// noinspection SillyAssignmentJS
EndPrice = EndPrice;
// noinspection SillyAssignmentJS
StartPositionRate = StartPositionRate;//0.3
// noinspection SillyAssignmentJS
EndPositionRate = EndPositionRate;//0.7
// noinspection SillyAssignmentJS
GridPercentage = GridPercentage;//0.05
// noinspection SillyAssignmentJS
MinOrderAmount = MinOrderAmount;
// noinspection SillyAssignmentJS
Reset = Reset;
let varA = (EndPositionRate - StartPositionRate) / (StartPrice - EndPrice);
let varB = EndPositionRate - StartPrice * varA;
let buyVarA = varA / (1 - GridPercentage / 100);
let sellVarA = varA / (1 + GridPercentage / 100);
function getPositionRate(varA, price) {
if (price < StartPrice) {
price = StartPrice;
}
if (price > EndPrice) {
price = EndPrice;
}
return varA * price + varB;
}
function getAmounts(coinSize, currency, currentPrice, minOrderCoinSize) {
let buyPrice = currentPrice - 5;
let buyPositionRate = getPositionRate(buyVarA, buyPrice);
let buyCoin = buyPositionRate * (coinSize * buyPrice + currency) / buyPrice - coinSize;
buyCoin = buyCoin > minOrderCoinSize ? buyCoin : minOrderCoinSize;
let sellPrice = currentPrice + 5;
let sellPositionRate = getPositionRate(sellVarA, sellPrice);
let sellCoin = sellPositionRate * (coinSize * sellPrice + currency) / sellPrice - coinSize;
sellCoin = sellCoin < -minOrderCoinSize ? sellCoin : -minOrderCoinSize;
return [buyCoin, sellCoin];
}
function getPrice(coinSize, currency, amount) {
let varA = amount < 0 ? sellVarA : buyVarA;
// Log("(" + (coinSize + amount) + " * y) / (" + coinSize + " * y + " + currency + ") = " + varA + " * y + " + varB);
// ((coinSize + amount) * y) / (coinSize * y + currency) = varA * y + varB;
// Log("(" + (coinSize + amount) + " * y) = " + (varA * coinSize) + " * y^ + " + ((varA * currency) + (varB * coinSize)) + " * y + " + (varB * currency));
//((coinSize + amount) * y) = varA * coinSize * y^ + ((varA * currency) + (varB * coinSize)) * y + (varB * currency)
// Log("y^2 + " + (((varA * currency) + (varB * coinSize) - (coinSize + amount)) / (varA * coinSize)) + " * y = " + (-(varB * currency) / (varA * coinSize)));
// y^ + (((varA * currency) + (varB * coinSize) - (coinSize + amount))/(varA * coinSize)) * y = -(varB * currency)/(varA * coinSize)
let k = (varA * currency + varB * coinSize - coinSize - amount) / (2 * varA * coinSize);
let l = Math.sqrt(-((varB * currency) / (varA * coinSize)) + Math.pow(k, 2));
let p1 = -l - k;
let p2 = l - k;
let price;
if (p1 > 0 && p2 > 0) {
price = amount < 0 ? Math.max(p1, p2) : Math.min(p1, p2);
} else {
price = Math.max(p1, p2);
}
let z = (coinSize + amount) * price / (coinSize * price + currency);
let z1 = varA * StartPrice + varB;
let z2 = varA * EndPrice + varB;
if (z > z1) {
price = z1 * currency / (coinSize + amount - z1 * coinSize)
} else if (z < z2) {
price = z2 * currency / (coinSize + amount - z2 * coinSize)
}
return parseInt(price);
}
let pricesChart = Chart([{ // 这个 chart 在JS 语言中 是对象， 在使用Chart 函数之前我们需要声明一个配置图表的对象变量chart。
__isStock: true, // 标记是否为一般图表，有兴趣的可以改成 false 运行看看。
tooltip: {
xDateFormat: '%Y-%m-%d %H:%M:%S, %A'
}, // 缩放工具
title: {
text: '收益分析图'
}, // 标题
rangeSelector: { // 选择范围
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'
}, // 坐标轴横轴 即：x轴， 当前设置的类型是 ：时间
yAxis: { // 坐标轴纵轴 即：y轴， 默认数值随数据大小调整。
title: {
text: '收益'
}, // 标题
opposite: false, // 是否启用右边纵轴
},
series: [ // 数据系列，该属性保存的是 各个 数据系列（线， K线图， 标签等..）
{
name: "零",
id: "Zero",
dashStyle: 'shortdash',
data: []
}, {
name: "策略收益",
id: "策略收益,strategyProfit",
data: []
}, {
name: "现货收益",
id: "现货收益,spotProfit",
data: []
}
]
}]);
function GetOrders() {
let ordersResp = exchange.IO("api", "GET", "/v2/private/order", "symbol=" + CoinSymbol + "USD");
if (!ordersResp || ordersResp.ret_code !== 0) {
return false;
}
let orderIds = [];
for (let i = 0; i < ordersResp.result.length; i++) {
orderIds.push(ordersResp.result[i].order_id);
}
return orderIds;
}
function GetFilledOrder(orderId) {
let orderResp = exchange.IO("api", "GET", "/v2/private/order", "symbol=" + CoinSymbol + "USD&order_id=" + orderId);
if (!orderResp || orderResp.ret_code !== 0 || orderResp.result.order_status !== "Filled") {
return false;
}
let amount = orderResp.result.qty;
amount = orderResp.result.side === "Sell" ? -amount : amount;
return [orderResp.result.price, amount];
}
function sell(price, amount) {
let createOrderResp = exchange.IO("api", "POST", "/v2/private/order/create", "symbol=" + CoinSymbol + "USD&side=Sell&order_type=Limit&qty=" + -amount + "&price=" + price + "&time_in_force=PostOnly");
if (!createOrderResp || createOrderResp.ret_code !== 0) {
return false;
}
Log("[Sell] Price:" + price + ", Amount:" + amount + ", orderId:" + createOrderResp.result.order_id);
return createOrderResp.result.order_id;
}
function buy(price, amount) {
let createOrderResp = exchange.IO("api", "POST", "/v2/private/order/create", "symbol=" + CoinSymbol + "USD&side=Buy&order_type=Limit&qty=" + amount + "&price=" + price + "&time_in_force=PostOnly");
if (!createOrderResp || createOrderResp.ret_code !== 0) {
return false;
}
Log("[Buy] Price:" + price + ", Amount:" + amount + ", orderId:" + createOrderResp.result.order_id);
return createOrderResp.result.order_id;
}
function GetInversePosition() {
let positionResp = exchange.IO("api", "GET", "/v2/private/position/list", "symbol=" + CoinSymbol + "USD");
if (!positionResp || positionResp.ret_code !== 0) {
return false;
}
let amount = positionResp.result.size;
amount = positionResp.result.side === "Sell" ? -amount : amount;
return [positionResp.result.entry_price, amount];
}
function GetInverseBalance() {
let balanceResp = exchange.IO("api", "GET", "/v2/private/wallet/balance", "coin=" + CoinSymbol);
if (!balanceResp || balanceResp.ret_code !== 0) {
return false;
}
return balanceResp.result[CoinSymbol].wallet_balance;
}
function GetInverseAccount() {
let position = GetInversePosition();
if (!position) {
return false;
}
let balance = GetInverseBalance();
if (!balance) {
return false;
}
let entry_price = position[0];
let currency = -position[1];
let coin = balance;
coin = coin - (currency / entry_price);
return [coin, currency];
}
function GetInverseTickerPrice() {
let tickersResp = exchange.IO("api", "GET", "/v2/public/tickers", "symbol=" + CoinSymbol + "USD");
if (!tickersResp || tickersResp.ret_code !== 0) {
return false;
}
return (parseInt(tickersResp.result[0].bid_price) + parseInt(tickersResp.result[0].ask_price)) / 2;
}
function GetUSDTPosition() {
let positionResp = null;
let retryCount = 0;
while (!positionResp || positionResp.ret_code !== 0) {
if (retryCount++ > 0) {
Sleep(2000);
}
positionResp = exchange.IO("api", "GET", "/private/linear/position/list", "symbol=" + CoinSymbol + "USDT");
}
// noinspection JSConstructorReturnsPrimitive
return positionResp;
}
// function loop1(ctx) {
// if (PendingOrders.length === 0) {
// let account = _C(exchange.GetAccount);
// let position = _C(exchange.GetPosition);
// let ticker = _C(exchange.GetTicker);
// let askPrice = ticker.Sell;
// let bidPrice = ticker.Buy;
// let balance = position.length === 0 ? 0 : (position[0].Amount + position[0].FrozenAmount);
// let stocks = account.Stocks + account.FrozenStocks;
// let dynamicPrice = balance / stocks;
// let nextBuyPrice = _N(dynamicPrice * (1 - trimSpreadRatio / 100), pricePrecision);
// let nextBuyAmount = _N((balance - stocks * nextBuyPrice) / 2, amountPrecision);
// let nextSellPrice = _N(dynamicPrice * (1 + trimSpreadRatio / 100), pricePrecision);
// let nextSellAmount = _N((stocks * nextSellPrice - balance) / 2, amountPrecision);
// // Log("balance:" + balance + ", stocks:" + stocks + ", dynamicPrice:" + dynamicPrice + ", buyPrice:" + nextBuyPrice + ", sellPrice:" + nextSellPrice);
// let sellOrder = sell(askPrice > nextSellPrice ? askPrice : nextSellPrice, nextSellAmount);
// if (sellOrder) {
// PendingOrders.push(sellOrder.orderID);
// }
// let buyOrder = buy(bidPrice < nextBuyPrice ? bidPrice : nextBuyPrice, nextBuyAmount);
// if (buyOrder) {
// PendingOrders.push(buyOrder.orderID);
// }
// } else {
// let orders = [];
// for (let i = 0; i < PendingOrders.length; i++) {
// while (true) {
// orders[i] = _C(exchange.GetOrder, PendingOrders[i]);
// if (orders[i].Status !== ORDER_STATE_UNKNOWN) {
// break
// } else {
// Sleep(1000)
// }
// }
// }
// let allOrderFinish = true;
// let hasFinishOrder = false;
// for (let i = 0; i < orders.length; i++) {
// if (orders[i].Status === ORDER_STATE_PENDING) {
// allOrderFinish = false;
// } else {
// hasFinishOrder = true;
// }
// }
// if (hasFinishOrder) {
// for (let i = 0; i < orders.length; i++) {
// if (orders[i].Status === ORDER_STATE_PENDING) {
// exchange.CancelOrder(PendingOrders[i], orders[i]);
// }
// }
// }
// if (allOrderFinish) {
// let avgPrice = 0;
// for (let i = 0; i < orders.length; i++) {
// if (orders[i].DealAmount > 0) {
// avgPrice = orders[i].AvgPrice;
// Log(orders[i].Type === ORDER_TYPE_BUY ? "买入成功:" : "卖出成功:", "价格" + orders[i].AvgPrice + ", 成交数量", orders[i].DealAmount);
// }
// }
// if (avgPrice > 0) {
// ctx.positionChange = true;
// ctx.avgPrice = avgPrice;
// }
// PendingOrders = [];
// } else {
// if (PendingOrders.length === 1 && new Date().getTime() - new Date(orders[0].transactTime).getTime() > 5 * 1000) {
// exchange.CancelOrder(PendingOrders[0], orders[0]);
// }
// }
// }
// }
// function checkArgs() {
// exchange.SetContractType("XBTU20");
// exchange.SetMarginLevel(1);
// let RunningInfo = _G("runningInfo");
// if (RunningInfo == null) {
// RunningInfo = {};
// let account = _C(exchange.GetAccount);
// let position = _C(exchange.GetPosition);
// OriginStocks = account.Stocks + account.FrozenStocks + (position.length === 0 ? 0 : (position[0].Amount + position[0].FrozenAmount) / position[0].Price);
// RunningInfo.OriginStocks = OriginStocks;
// _G("runningInfo", RunningInfo);
// } else {
// OriginStocks = RunningInfo.OriginStocks;
// }
// Log(OriginStocks);
// }
let PendingOrders = {};
let transactionalData = {
"initTime": 0,
"initAssets": 0,
"initPrice": 1,
"buyAmount": 0,
"buyPrice": 1,
"sellAmount": 0,
"sellPrice": 1,
"transactions": [],
};
function Init() {
_CDelay(2000);
let _transactionalData = _G("transactionalData");
if (_transactionalData !== null) {
transactionalData = _transactionalData;
}
if (!transactionalData.initTime || transactionalData.initTime <= 0) {
resetTransaction();
}
Log(transactionalData);
cancelAllOrders();
}
function resetTransaction() {
transactionalData.initTime = 0;
cancelAllOrders();
while (!transactionalData.initTime || transactionalData.initTime <= 0) {
let position = GetInversePosition();
let balance = GetInverseBalance();
let currentPrice = GetInverseTickerPrice();
if (!position || !balance || !currentPrice) {
Log("获取账户信息失败");
Sleep(1000);
continue
}
let entry_price = parseFloat(position[0]);
let currency = -position[1];
transactionalData.initTime = new Date().getTime();
transactionalData.initPrice = currentPrice;
transactionalData.initAssets = currency + (balance - (currency / entry_price)) * currentPrice;
transactionalData.buyPrice = 1;
transactionalData.buyAmount = 0;
transactionalData.sellPrice = 1;
transactionalData.sellAmount = 0;
transactionalData.transactions = [];
transactionalData.transactions.push([-currency, currentPrice]);
LogReset(2);
LogProfitReset();
pricesChart.reset();
Log("reset transactionalData:", transactionalData);
_G("transactionalData", transactionalData);
LogStatusInfo({
"currentPrice": currentPrice,
"coinSize": balance - (currency / entry_price),
"currency": currency
});
}
}
function mergeTransactions() {
let checkAmountSameSign = function (a1, a2) {
return a1 === 0 || a2 === 0 || (a1 > 0 && a2 > 0) || (a1 < 0 && a2 < 0);
};
let mergeTransaction = function (amount, price) {
if (amount > 0) {
let buyCoin = amount / price + transactionalData.buyAmount / transactionalData.buyPrice;
transactionalData.buyAmount = transactionalData.buyAmount + amount;
transactionalData.buyPrice = transactionalData.buyAmount / buyCoin;
} else if (amount < 0) {
let sellCoin = -amount / price + transactionalData.sellAmount / transactionalData.sellPrice;
transactionalData.sellAmount = transactionalData.sellAmount - amount;
transactionalData.sellPrice = transactionalData.sellAmount / sellCoin;
}
};
let length = transactionalData.transactions.length;
if (length <= 2) {
return;
}
let transaction1 = transactionalData.transactions[length - 2];
let transaction2 = transactionalData.transactions[length - 1];
if (checkAmountSameSign(transaction1[0], transaction2[0])) {
return
}
let transactions = [];
for (let i = 0; i < length - 2; i++) {
transactions.push(transactionalData.transactions[i])
}
let mergeAmount = transaction1[0] + transaction2[0];
if (mergeAmount === 0) {
mergeTransaction(transaction1[0], transaction1[1]);
mergeTransaction(transaction2[0], transaction2[1]);
} else if (checkAmountSameSign(mergeAmount, transaction1[0])) {
mergeTransaction(-transaction2[0], transaction1[1]);
mergeTransaction(transaction2[0], transaction2[1]);
transactions.push([mergeAmount, transaction1[1]])
} else {
mergeTransaction(transaction1[0], transaction1[1]);
mergeTransaction(-transaction1[0], transaction2[1]);
transactions.push([mergeAmount, transaction2[1]])
}
transactionalData.transactions = transactions;
mergeTransactions()
}
function loop() {
let orders = GetOrders();
if (!orders) {
return false;
}
//取消未知订单
let cancelUnknownOrder = false;
for (let i = 0; i < orders.length; i++) {
if (!PendingOrders.hasOwnProperty(orders[i])) {
exchange.CancelOrder(orders[i], "未知订单:", orders[i]);
cancelUnknownOrder = true;
}
}
if (cancelUnknownOrder) {
return false;
}
let pendingOrderIds = Object.getOwnPropertyNames(PendingOrders);
if (pendingOrderIds.length !== 0) {
if (orders.length === pendingOrderIds.length) {
return false;
}
for (let i = 0; i < orders.length; i++) {
PendingOrders[orders[i]] = false;
exchange.CancelOrder(orders[i], "未成交订单:", orders[i]);
}
for (let pendingOrderId of pendingOrderIds) {
if (PendingOrders[pendingOrderId] === true) {
let order = GetFilledOrder(pendingOrderId);
if (!order) {
continue
}
let price = order[0];
let amount = order[1];
transactionalData.transactions.push([amount, price]);
mergeTransactions();
_G("transactionalData", transactionalData);
}
}
PendingOrders = {};
return false;
}
let inverseAccount = GetInverseAccount();
if (!inverseAccount) {
return false;
}
let currentPrice = GetInverseTickerPrice();
if (!currentPrice) {
return false;
}
let minOrderCoinSize = MinOrderAmount / currentPrice;
// Log("account:", inverseAccount, "currentPrice:", currentPrice);
let amounts = getAmounts(inverseAccount[0], inverseAccount[1], currentPrice, minOrderCoinSize);
let buyPrice = getPrice(inverseAccount[0], inverseAccount[1], amounts[0]);
let buyAmount = Math.round(amounts[0] * buyPrice);
let sellPrice = getPrice(inverseAccount[0], inverseAccount[1], amounts[1]);
let sellAmount = Math.round(amounts[1] * sellPrice);
// Log("buy:", buyAmount, buyPrice);
// Log("sell:", sellAmount, sellPrice);
if ((currentPrice - buyPrice) / currentPrice < 0.1) {
let buyOrderId = buy(buyPrice, buyAmount);
if (buyOrderId) {
PendingOrders[buyOrderId] = true
}
}
if ((sellPrice - currentPrice) / currentPrice < 0.1) {
let sellOrderId = sell(sellPrice, sellAmount);
if (sellOrderId) {
PendingOrders[sellOrderId] = true;
}
}
return {"currentPrice": currentPrice, "coinSize": inverseAccount[0], "currency": inverseAccount[1]}
}
function LogStatusInfo(ctx) {
let now = new Date();
let statusTable = [{
type: 'table',
title: '网格统计',
cols: ["买入价格", "买入数量", "卖出价格", "卖出数量", "网格盈亏(U)", "挂单手续费(U)", "收益率", "年化", ""],
rows: [[]]
}, {
type: 'table',
title: '资产汇总',
cols: [CoinSymbol + "|价值(U)", "法币(U)", "比例", "汇总资产(U)", "初始资产(U)", "持仓收益(U)", "网格收益(U)", "总收益(U)", "收益率", "年化"],
rows: [[]]
}];
statusTable[0].rows[0][0] = _N(transactionalData.buyPrice, 1);
statusTable[0].rows[0][1] = transactionalData.buyAmount;
statusTable[0].rows[0][2] = _N(transactionalData.sellPrice, 1);
statusTable[0].rows[0][3] = transactionalData.sellAmount;
let transactionPrice = (transactionalData.buyPrice + transactionalData.sellPrice) / 2;
let transactionProfit = (transactionalData.buyAmount / transactionalData.buyPrice * transactionPrice - transactionalData.buyAmount) + (transactionalData.sellAmount - transactionalData.sellAmount / transactionalData.sellPrice * transactionPrice);
statusTable[0].rows[0][4] = _N(transactionProfit, 2);
let feeProfit = (transactionalData.buyAmount + transactionalData.sellAmount) * 0.025 / 100;
statusTable[0].rows[0][5] = _N(feeProfit, 2);
let profitRate = (feeProfit + transactionProfit) / transactionalData.initAssets * 100;
statusTable[0].rows[0][6] = _N(profitRate, 2) + "%";
statusTable[0].rows[0][7] = _N(profitRate / ((now.getTime() - transactionalData.initTime) / 24 / 3600 / 1000) * 365, 2) + "%";
statusTable[0].rows[0][8] = {"type": "button", "name": "重置", "cmd": "resetTransaction", "description": "重置交易信息"};
statusTable[1].rows[0][0] = _N(ctx.coinSize, 5) + "|" + _N(ctx.coinSize * ctx.currentPrice, 2);
statusTable[1].rows[0][1] = _N(ctx.currency, 2);
let currentAssets = ctx.coinSize * ctx.currentPrice + ctx.currency;
statusTable[1].rows[0][2] = _N(ctx.coinSize * ctx.currentPrice / currentAssets, 3) + "%";
statusTable[1].rows[0][3] = _N(currentAssets, 2);
statusTable[1].rows[0][4] = _N(transactionalData.initAssets, 2);
statusTable[1].rows[0][5] = _N(currentAssets - transactionProfit - feeProfit - transactionalData.initAssets, 2);
statusTable[1].rows[0][6] = _N(transactionProfit + feeProfit, 2);
statusTable[1].rows[0][7] = _N(currentAssets - transactionalData.initAssets, 2);
let assetsProfitRate = (currentAssets - transactionalData.initAssets) / transactionalData.initAssets * 100;
statusTable[1].rows[0][8] = _N(assetsProfitRate, 2) + "%";
statusTable[1].rows[0][9] = _N(assetsProfitRate / ((now.getTime() - transactionalData.initTime) / 24 / 3600 / 1000) * 365, 2) + "%";
LogStatus('`' + JSON.stringify(statusTable) + '`'
// + "\n当前时间: " + _D(now.getTime())
+ "\n运行时长: " + _N((now.getTime() - transactionalData.initTime) / 24 / 3600 / 1000, 1) + "天"
// + "\n上次重置: " + _N((now.getTime() - transactionalData.resetTime) / 24 / 3600 / 1000, 1) + "天"
);
LogProfit(transactionProfit + feeProfit, '&');
pricesChart.add([0, [now.getTime(), 0]]);
pricesChart.add([1, [now.getTime(), currentAssets - transactionalData.initAssets]]);
pricesChart.add([2, [now.getTime(), (transactionalData.initAssets / transactionalData.initPrice) * ctx.currentPrice - transactionalData.initAssets]]);
}
function main() {
if (Reset) {
resetTransaction();
}
LogReset(1000);
LogVacuum();
Init();
while (true) {
let cmd = GetCommand();
if (cmd) {
Log(cmd);
if (cmd === "resetTransaction") {
resetTransaction();
}
}
Sleep(3000);
let ctx = loop();
if (!ctx) {
continue
}
LogStatusInfo(ctx);
}
// Log(GetUSDTPosition());
// if (restoreData) {
// LogProfitReset();
// LogReset(1);
// LogVacuum();
// pricesChart.reset();
// _G(null);
// }
// checkArgs();
// _CDelay(2000);
// // noinspection InfiniteLoopJS
// while (true) {
// let ctx = {};
// loop(ctx);
// Sleep(2000);
// if (ctx.positionChange) {
// updateChart(ctx.avgPrice);
// }
// }
}
function onexit() {
Log("取消所有订单...");
cancelAllOrders();
}
function onerror() {
Log("取消所有订单...");
cancelAllOrders();
}
function cancelAllOrders() {
let orders = _C(exchange.GetOrders);
for (let i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id, orders[i]);
}
}
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