Les ressources ont été chargées... Je charge...

Le moissonneur à haute fréquence n°1

Auteur:Nul, Date: 29 septembre 2015 à 23h29
Les étiquettes:À haute fréquence

Le code lui-même est une bonne annotation, et les gens qui connaissent le code le prennent.



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);
    }
}

Relationnée

Plus de

le zsyh9612Vous pouvez annoter tout le code lié au websocket.

le zsyh9612Réessayer erreur main:230:14 - ReferenceError: setLastError n'est pas défini

Nick Huang est là.Z est grand, pouvez-vous nous dire comment modifier pour obtenir des gains positifs, les retouches ont été beaucoup de pertes

Nick Huang est là.Pourriez-vous simplement expliquer la logique et comment modifier les paramètres pour obtenir des résultats positifs?

banélineBonjour, je ne comprends pas le code de GetCommand, il n'y a pas de description de l'API, est-ce que cela peut être déroutant?

CréatineL'analogue assure que les achats et les ventes ne seront pas trop lourds, mais le disque réel n'est pas nécessairement aussi fréquent.

HaïxiongleePourquoi les données de retouche sont bonnes, mais les opérations sur disque réel ne servent à rien?

banélineMerci, nous l'avons trouvée.

Nul https://dn-filebox.qbox.me/3ef9d56aa015aa1b3f71f35ee9b709fb3e9a817e.png

NulLes stratégies de haute fréquence doivent être testées en disque réel.