796 फ्यूचर्स रिवर्स हैंड डबलिंग एल्गोरिथ्म, पहले खाली या अधिक, या यह भी निर्दिष्ट कर सकते हैं कि विफलता पिछली दिशा में जारी है, यदि विफलता निर्दिष्ट गुणक के अनुसार बढ़ जाती है, तो रणनीति जोखिम भरा है, केवल सीखने के लिए उपयोग किया जाता है।
var FirstTradeType = [ORDER_TYPE_BUY, ORDER_TYPE_SELL][OpType];
var OrgAccount = null;
var Counter = {s : 0, f: 0};
var LastProfit = 0;
var AllProfit = 0;
var _Failed = 0;
function StripOrders(e, orderId) {
var order = null;
if (typeof(orderId) == 'undefined') {
orderId = null;
}
while (true) {
var dropped = 0;
var orders = _C(e.GetOrders);
for (var i = 0; i < orders.length; i++) {
if (orders[i].Id == orderId) {
order = orders[i];
} else {
var extra = "";
if (orders[i].DealAmount > 0) {
extra = "成交: " + orders[i].DealAmount;
} else {
extra = "未成交";
}
e.SetDirection(orders[i].Type == ORDER_TYPE_BUY ? "buy" : "sell");
e.CancelOrder(orders[i].Id, orders[i].Type == ORDER_TYPE_BUY ? "买单" : "卖单", extra);
dropped++;
}
}
if (dropped == 0) {
break;
}
Sleep(300);
}
return order;
}
var preMsg = "";
function GetAccount(e, waitFrozen) {
if (typeof(waitFrozen) == 'undefined') {
waitFrozen = false;
}
var account = null;
var alreadyAlert = false;
while (true) {
account = _C(e.GetAccount);
if (!waitFrozen || account.FrozenStocks < MinStock) {
break;
}
if (!alreadyAlert) {
alreadyAlert = true;
Log("发现账户有冻结的钱或币", account);
}
Sleep(Interval);
}
msg = "成功: " + Counter.s + " 次, 失败: " + Counter.f + " 次, 当前账户 币: " + account.Stocks;
if (account.FrozenStocks > 0) {
msg += " 冻结的币: " + account.FrozenStocks;
}
if (msg != preMsg) {
preMsg = msg;
LogStatus(msg, "#ff0000");
}
return account;
}
function GetPosition(e, orderType) {
var positions = _C(e.GetPosition);
if (typeof(orderType) == 'undefined') {
return positions;
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].Type == orderType) {
return positions[i];
}
}
return null;
}
function GetTicker(e) {
while (true) {
var ticker = _C(e.GetTicker);
if (ticker.Buy > 0 && ticker.Sell > 0 && ticker.Sell > ticker.Buy) {
return ticker;
}
Sleep(100);
}
}
// mode = 0 : direct buy, 1 : buy as buy1
function Trade(e, tradeType, tradeAmount, mode, slidePrice, maxSpace, retryDelay) {
var initPosition = GetPosition(e, tradeType);
var nowPosition = initPosition;
var orderId = null;
var prePrice = 0;
var dealAmount = 0;
var diffMoney = 0;
var isFirst = true;
var tradeFunc = tradeType == ORDER_TYPE_BUY ? e.Buy : e.Sell;
var isBuy = tradeType == ORDER_TYPE_BUY;
while (true) {
var account = _C(e.GetAccount);
var ticker = GetTicker(e);
var tradePrice = 0;
if (isBuy) {
tradePrice = _N((mode == 0 ? ticker.Sell : ticker.Buy) + slidePrice, 4);
} else {
tradePrice = _N((mode == 0 ? ticker.Buy : ticker.Sell) - slidePrice, 4);
}
if (orderId == null) {
if (isFirst) {
isFirst = false;
} else {
nowPosition = GetPosition(e, tradeType);
}
dealAmount = _N((nowPosition ? nowPosition.Amount : 0) - (initPosition ? initPosition.Amount : 0), 6);
var doAmount = Math.min(tradeAmount - dealAmount, account.Stocks * MarginLevel, 4);
if (doAmount < MinStock) {
break;
}
prePrice = tradePrice;
e.SetDirection(tradeType == ORDER_TYPE_BUY ? "buy" : "sell");
orderId = tradeFunc(tradePrice, doAmount);
} else {
if (mode == 0 || Math.abs(tradePrice - prePrice) > maxSpace) {
orderId = null;
}
var order = StripOrders(exchange, orderId);
if (order == null) {
orderId = null;
}
}
Sleep(retryDelay);
}
if (dealAmount <= 0) {
return null;
}
return nowPosition;
}
function coverFutures(e, orderType) {
var coverAmount = 0;
while (true) {
var positions = _C(e.GetPosition);
var ticker = GetTicker(e);
var found = 0;
for (var i = 0; i < positions.length; i++) {
if (positions[i].Type == orderType) {
if (coverAmount == 0) {
coverAmount = positions[i].Amount;
}
if (positions[i].Type == ORDER_TYPE_BUY) {
e.SetDirection("closebuy");
e.Sell(ticker.Buy, positions[i].Amount);
} else {
e.SetDirection("closesell");
e.Buy(ticker.Sell, positions[i].Amount);
}
found++;
}
}
if (found == 0) {
break;
}
Sleep(2000);
StripOrders(e);
}
return coverAmount;
}
function loop(pos) {
var tradeType = null;
if (typeof(pos) == 'undefined' || !pos) {
tradeType = FirstTradeType;
pos = Trade(exchange, tradeType, OpAmount, OpMode, SlidePrice, MaxSpace, Interval);
if (!pos) {
throw "出师不利, 开仓失败";
} else {
Log(tradeType == ORDER_TYPE_BUY ? "开多仓完成" : "开空仓完成", "均价:", pos.Price, "数量:", pos.Amount);
}
} else {
tradeType = pos.Type;
}
var holdPrice = pos.Price;
var holdAmount = pos.Amount;
var openFunc = tradeType == ORDER_TYPE_BUY ? exchange.Buy : exchange.Sell;
var coverFunc = tradeType == ORDER_TYPE_BUY ? exchange.Sell : exchange.Buy;
var reversePrice = 0;
var coverPrice = 0;
var canOpen = true;
if (tradeType == ORDER_TYPE_BUY) {
reversePrice = _N(holdPrice * (1 - StopLoss), 4);
coverPrice = _N(holdPrice * (1 + StopProfit), 4);
} else {
reversePrice = _N(holdPrice * (1 + StopLoss), 4);
coverPrice = _N(holdPrice * (1 - StopProfit), 4);
}
var coverId = null;
var msg = "持仓价: " + holdPrice + " 止损价: " + reversePrice;
for (var i = 0; i < 10; i++) {
if (coverId) {
break;
}
if (tradeType == ORDER_TYPE_BUY) {
exchange.SetDirection("closebuy");
coverId = exchange.Sell(coverPrice, holdAmount, msg);
} else {
exchange.SetDirection("closesell");
coverId = exchange.Buy(coverPrice, holdAmount, msg);
}
Sleep(Interval);
}
if (!coverId) {
StripOrders(exchange);
throw "下单失败";
}
while (true) {
Sleep(Interval);
var ticker = GetTicker(exchange);
if ((tradeType == ORDER_TYPE_BUY && ticker.Last < reversePrice) || (tradeType == ORDER_TYPE_SELL && ticker.Last > reversePrice)) {
StripOrders(exchange);
var coverAmount = coverFutures(exchange, tradeType);
if (_Failed >= MaxLoss) {
Counter.f++;
Log("超过最大失败次数", MaxLoss);
break;
}
var reverseAmount = _N(coverAmount * ReverseRate, 4);
var account = GetAccount(exchange, true);
if (_N(account.Stocks * MarginLevel, 4) < reverseAmount) {
Log("没有币反手开仓, 需要开仓: ", reverseAmount, "个, 只有", account.Stocks, "个币");
Counter.f++;
break;
}
var reverseType = tradeType;
if (ReverseMode == 0) {
reverseType = tradeType == ORDER_TYPE_BUY ? ORDER_TYPE_SELL : ORDER_TYPE_BUY;
}
var pos = Trade(exchange, reverseType, reverseAmount, OpMode, SlidePrice, MaxSpace, Interval);
if (pos) {
Log(reverseType == ORDER_TYPE_BUY ? "多仓" : "空仓", "加倍开仓完成");
}
return pos;
} else {
var orders = _C(exchange.GetOrders);
if (orders.length == 0) {
Counter.s++;
var account = GetAccount(exchange, true);
LogProfit(account.Stocks, account);
break;
}
}
}
return null;
}
function onexit() {
StripOrders(exchange);
Log("Exit");
}
function main() {
if (exchange.GetName().indexOf("Futures") == -1) {
throw "只支持期货, 现货暂不支持";
}
EnableLogLocal(SaveLocal);
if (exchange.GetRate() != 1) {
Log("已禁用汇率转换");
exchange.SetRate(1);
}
StopProfit /= 100;
StopLoss /= 100;
var eName = exchange.GetName();
if (eName == "Futures_CTP") {
throw "暂只支持数字货币期货"
}
exchange.SetContractType(Symbol);
exchange.SetMarginLevel(MarginLevel);
Interval *= 1000;
SetErrorFilter("502:|503:|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF");
StripOrders(exchange);
OrgAccount = GetAccount(exchange, true);
LogStatus("启动成功");
var pos = null;
var positions = GetPosition(exchange);
if (positions.length == 1) {
pos = positions[0];
Log("发现一个仓位, 已经自动恢复进度");
} else if (positions.length > 1) {
throw "发现持仓超过1个";
}
while (true) {
pos = loop(pos);
if (!pos) {
_Failed = 0;
} else {
_Failed++;
}
Sleep(Interval);
}
}
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