संबंधित लेखःhttps://www.fmz.com/digest-topic/7593
// 全局变量
var lastKeepBalanceTS = 0
function hedge(buyEx, sellEx, price, amount) {
var buyRoutine = buyEx.Go("Buy", price, amount)
var sellRoutine = sellEx.Go("Sell", price, amount)
Sleep(500)
buyRoutine.wait()
sellRoutine.wait()
}
function getDepthPrice(depth, side, amount) {
var arr = depth[side]
var sum = 0
var price = null
for (var i = 0 ; i < arr.length ; i++) {
var ele = arr[i]
sum += ele.Amount
if (sum >= amount) {
price = ele.Price
break
}
}
return price
}
function keepBalance(initAccs, nowAccs, depths) {
var initSumStocks = 0
var nowSumStocks = 0
_.each(initAccs, function(acc) {
initSumStocks += acc.Stocks + acc.FrozenStocks
})
_.each(nowAccs, function(acc) {
nowSumStocks += acc.Stocks + acc.FrozenStocks
})
var diff = nowSumStocks - initSumStocks
// 计算币差
if (Math.abs(diff) > minHedgeAmount && initAccs.length == nowAccs.length && nowAccs.length == depths.length) {
Log("触发平衡操作，平衡量：", Math.abs(diff))
var index = -1
var available = []
var side = diff > 0 ? "Bids" : "Asks"
for (var i = 0 ; i < nowAccs.length ; i++) {
var price = getDepthPrice(depths[i], side, Math.abs(diff))
if (side == "Bids" && nowAccs[i].Stocks > Math.abs(diff)) {
available.push(i)
} else if (price && nowAccs[i].Balance / price > Math.abs(diff)) {
available.push(i)
}
}
for (var i = 0 ; i < available.length ; i++) {
if (index == -1) {
index = available[i]
} else {
var priceIndex = getDepthPrice(depths[index], side, Math.abs(diff))
var priceI = getDepthPrice(depths[available[i]], side, Math.abs(diff))
if (side == "Bids" && priceIndex && priceI && priceI > priceIndex) {
index = available[i]
} else if (priceIndex && priceI && priceI < priceIndex) {
index = available[i]
}
}
}
if (index == -1) {
Log("无法平衡")
} else {
// 平衡下单
var price = getDepthPrice(depths[index], side, Math.abs(diff))
if (price) {
var tradeFunc = side == "Bids" ? exchanges[index].Sell : exchanges[index].Buy
tradeFunc(price, Math.abs(diff))
} else {
Log("价格无效", price)
}
}
return false
} else if (!(initAccs.length == nowAccs.length && nowAccs.length == depths.length)) {
Log("错误：", "initAccs.length:", initAccs.length, "nowAccs.length:", nowAccs.length, "depths.length:", depths.length)
return true
} else {
return true
}
}
function cancelAll() {
_.each(exchanges, function(ex) {
while (true) {
var orders = _C(ex.GetOrders)
if (orders.length == 0) {
break
}
for (var i = 0 ; i < orders.length ; i++) {
ex.CancelOrder(orders[i].Id, orders[i])
Sleep(500)
}
}
})
}
function updateAccs(arrEx) {
var ret = []
for (var i = 0 ; i < arrEx.length ; i++) {
var acc = arrEx[i].GetAccount()
if (!acc) {
return null
}
ret.push(acc)
}
return ret
}
function main() {
var exA = exchanges[0]
var exB = exchanges[1]
// 精度，汇率设置
if (rateA != 1) {
// 设置汇率A
exA.SetRate(rateA)
Log("交易所A设置汇率：", rateA, "#FF0000")
}
if (rateB != 1) {
// 设置汇率B
exB.SetRate(rateB)
Log("交易所B设置汇率：", rateB, "#FF0000")
}
exA.SetPrecision(pricePrecisionA, amountPrecisionA)
exB.SetPrecision(pricePrecisionB, amountPrecisionB)
if (isReset) {
_G(null)
LogReset(1)
LogProfitReset()
LogVacuum()
Log("重置所有数据", "#FF0000")
}
var nowAccs = _C(updateAccs, exchanges)
var initAccs = _G("initAccs")
if (!initAccs) {
initAccs = nowAccs
_G("initAccs", initAccs)
}
var isTrade = false
while (true) {
var ts = new Date().getTime()
var depthARoutine = exA.Go("GetDepth")
var depthBRoutine = exB.Go("GetDepth")
var depthA = depthARoutine.wait()
var depthB = depthBRoutine.wait()
if (!depthA || !depthB || depthA.Asks.length == 0 || depthA.Bids.length == 0 || depthB.Asks.length == 0 || depthB.Bids.length == 0) {
Sleep(500)
continue
}
var targetDiffPrice = hedgeDiffPrice
if (diffAsPercentage) {
targetDiffPrice = (depthA.Bids[0].Price + depthB.Asks[0].Price + depthB.Bids[0].Price + depthA.Asks[0].Price) / 4 * hedgeDiffPercentage
}
if (depthA.Bids[0].Price - depthB.Asks[0].Price > targetDiffPrice && Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount) >= minHedgeAmount) { // A -> B 盘口条件满足
var price = (depthA.Bids[0].Price + depthB.Asks[0].Price) / 2
var amount = Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount)
if (nowAccs[0].Stocks > minHedgeAmount && nowAccs[1].Balance / price > minHedgeAmount) {
amount = Math.min(amount, nowAccs[0].Stocks, nowAccs[1].Balance / price, maxHedgeAmount)
Log("触发A->B:", depthA.Bids[0].Price - depthB.Asks[0].Price, price, amount, nowAccs[1].Balance / price, nowAccs[0].Stocks) // 提示信息
hedge(exB, exA, price, amount)
cancelAll()
lastKeepBalanceTS = 0
isTrade = true
}
} else if (depthB.Bids[0].Price - depthA.Asks[0].Price > targetDiffPrice && Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount) >= minHedgeAmount) { // B -> A 盘口条件满足
var price = (depthB.Bids[0].Price + depthA.Asks[0].Price) / 2
var amount = Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount)
if (nowAccs[1].Stocks > minHedgeAmount && nowAccs[0].Balance / price > minHedgeAmount) {
amount = Math.min(amount, nowAccs[1].Stocks, nowAccs[0].Balance / price, maxHedgeAmount)
Log("触发B->A:", depthB.Bids[0].Price - depthA.Asks[0].Price, price, amount, nowAccs[0].Balance / price, nowAccs[1].Stocks) // 提示信息
hedge(exA, exB, price, amount)
cancelAll()
lastKeepBalanceTS = 0
isTrade = true
}
}
if (ts - lastKeepBalanceTS > keepBalanceCyc * 1000) {
nowAccs = _C(updateAccs, exchanges)
var isBalance = keepBalance(initAccs, nowAccs, [depthA, depthB])
cancelAll()
if (isBalance) {
lastKeepBalanceTS = ts
if (isTrade) {
var nowBalance = _.reduce(nowAccs, function(sumBalance, acc) {return sumBalance + acc.Balance}, 0)
var initBalance = _.reduce(initAccs, function(sumBalance, acc) {return sumBalance + acc.Balance}, 0)
LogProfit(nowBalance - initBalance, nowBalance, initBalance, nowAccs)
isTrade = false
}
}
}
LogStatus(_D(), "A->B:", depthA.Bids[0].Price - depthB.Asks[0].Price, " B->A:", depthB.Bids[0].Price - depthA.Asks[0].Price, " targetDiffPrice:", targetDiffPrice, "\n",
"当前A，Stocks:", nowAccs[0].Stocks, "FrozenStocks:", nowAccs[0].FrozenStocks, "Balance:", nowAccs[0].Balance, "FrozenBalance", nowAccs[0].FrozenBalance, "\n",
"当前B，Stocks:", nowAccs[1].Stocks, "FrozenStocks:", nowAccs[1].FrozenStocks, "Balance:", nowAccs[1].Balance, "FrozenBalance", nowAccs[1].FrozenBalance, "\n",
"初始A，Stocks:", initAccs[0].Stocks, "FrozenStocks:", initAccs[0].FrozenStocks, "Balance:", initAccs[0].Balance, "FrozenBalance", initAccs[0].FrozenBalance, "\n",
"初始B，Stocks:", initAccs[1].Stocks, "FrozenStocks:", initAccs[1].FrozenStocks, "Balance:", initAccs[1].Balance, "FrozenBalance", initAccs[1].FrozenBalance)
Sleep(1000)
}
}