Artikel referensi khusus:https://www.fmz.com/digest-topic/5843
exchange.SetBase(Url)
if(exchange.GetName()!= 'Futures_FMex'){
throw '此策略只支持FMEX永续'
}
var account = null
var depth = null
var pos = {direction:'empty',price:0,amount:0,unrealised_profit:0}
//官方的挖矿系数，可按需设置，如离盘口越远越大，减少成交风险
var factors = [1/4, 1/40, 1/40,1/40,1/40,1/50,1/50,1/50,1/50,1/50,1/100,1/100,1/100,1/100,1/100]
var total_efficiency = 0 //总效率
var avg_efficiency = 0
var avg_num = 0
var ordersInfo = {buy:[],sell:[]}//id:0, price:0, amount:0}
var coverInfo = {buyId:0, buyPrice:0, sellId:0, sellPrice:0}
var depthInfo = []
var lastProfitTime = 0 //控制打印收益时间
var lastRestTime = Date.now() //定时重置策略
var lastLogStatusTime = 0
var lastPeriod = 0
var today = _D().slice(8,11)
updateAccount()
var total_back = 0
if(_G('total_back')){
total_back = _G('total_back')
}else{
_G('total_back',total_back)
}
var init_value = 0
if(_G('init_value')){
init_value = _G('init_value')
}else{
init_value = _N(account.Info.data.BTC[0]+account.Info.data.BTC[1]+account.Info.data.BTC[2], 6)
Log('第一次启动策略, 始总价值为: ', init_value)
_G('init_value', init_value)
}
function updateDepth(){
var data = exchange.GetDepth()
if(data){
depth = data
}else{
Log('获取深度出错')
}
}
function updateAccount(){
var data = exchange.GetAccount()
if(data){
account = data
}else{
Log('获取账户出错')
}
}
function updatePosition(){
var data = exchange.GetPosition()
if(data){
if(data.length > 0){
if(data[0].Info.direction != pos.direction || data[0].Info.quantity != pos.amount){
Log('持仓变动：', pos.direction + ' ' + pos.amount + ' -> ' + data[0].Info.direction + ' ' + data[0].Info.quantity)
}
pos = {direction:data[0].Info.direction, price:data[0].Info.entry_price, amount:data[0].Info.quantity, unrealised_profit:data[0].Info.unrealized_pnl}
}else{
if(pos.amount){
Log('持仓变动：', pos.direction + ' ' + pos.amount + ' -> ' + 'empty')
}
pos = {direction:'empty',price:0,amount:0,unrealised_profit:0}
}
}else{
Log('获取持仓出错')
}
}
function calcDepth(){
depthInfo = [] // price amount efficent ratio
var ask_price = depth.Asks[0].Price
var bid_price = depth.Bids[0].Price
total_efficiency = 0
for(var i=0;i<15;i++){
var factor = factors[i]
total_efficiency += 1000000*(Amount*2/(depth.Asks[i].Amount+depth.Bids[i].Amount))*factor*0.5/288
while(ask_price <= depth.Asks[i].Price){ //考虑到未被占用的深度位置
var my_ask_amount = _.findWhere(ordersInfo.sell, {price:ask_price}) ? _.findWhere(ordersInfo.sell, {price:ask_price}).amount : 0 //排除掉自己订单的干扰
var ask_amount = ask_price == depth.Asks[i].Price ? Math.max(depth.Asks[i].Amount-my_ask_amount,0) : 0
depthInfo.push({side:'sell', pos:i+1, price:ask_price, amount:ask_amount, factor:factor, my_amount:0, e:0, r:0})
ask_price += 0.5
}
}
for(var i=0;i<15;i++){
var factor = factors[i]
total_efficiency += 1000000*(Amount*2/(depth.Asks[i].Amount+depth.Bids[i].Amount))*factor*0.5/288
while(bid_price >= depth.Bids[i].Price){
var my_bid_amount = _.findWhere(ordersInfo.buy, {price:bid_price}) ? _.findWhere(ordersInfo.buy, {price:bid_price}).amount : 0
var bid_amount = bid_price == depth.Bids[i].Price ? Math.max(depth.Bids[i].Amount-my_bid_amount,0) : 0
depthInfo.push({side:'buy', pos:i+1, price:bid_price, amount:bid_amount, factor:factor, my_amount:0, e:0, r:0})
bid_price -= 0.5
}
}
}
function calcAmount(){
var total_amount = Amount
var per_amount = _N(Amount/100,0)
var max_id = 0
while(total_amount >= per_amount){
var max_e = 0
for(var i=0;i<30;i++){
if(depthInfo[i].amount == 0){
depthInfo[i].my_amount = per_amount
}else{
depthInfo[i].e = depthInfo[i].factor*depthInfo[i].amount/Math.pow(depthInfo[i].my_amount+per_amount+depthInfo[i].amount,2)
max_id = depthInfo[i].e > max_e ? i : max_id
max_e = depthInfo[i].e > max_e ? depthInfo[i].e : max_e
}
}
depthInfo[max_id].my_amount += per_amount
total_amount -= per_amount
}
}
function makeOrders(){
var e = 0
var new_orders = {buy:[],sell:[]}
for(var i=0;i<30;i++){
if(depthInfo[i].my_amount > 0){
var find = _.findWhere(ordersInfo[depthInfo[i].side], {price:depthInfo[i].price})
//Log(find)
var now_amount = find ? find.amount : 0
var now_id = find ? find.id : 0
if(Math.abs(now_amount - depthInfo[i].my_amount) > 2.1*Amount/100 || depthInfo[i].amount == 0){ //需要重新下单
if(now_id){
exchange.CancelOrder(now_id,find)
find.id = 0
}
if(depthInfo[i].my_amount > 0){
exchange.SetDirection(depthInfo[i].side)
var id = exchange[depthInfo[i].side == 'buy' ? 'Buy' : 'Sell'](depthInfo[i].price,depthInfo[i].my_amount)
if(id){
new_orders[depthInfo[i].side].push({price:depthInfo[i].price,amount:depthInfo[i].my_amount,id:id})
}
}
}else{
now_id = find ? find.id : 0
if(now_id){
new_orders[depthInfo[i].side].push(find)
}
}
depthInfo[i].r = 1000000*(depthInfo[i].my_amount/(depthInfo[i].my_amount+depthInfo[i].amount))*depthInfo[i].factor*0.5/288
e += depthInfo[i].r
}
}
for(var i=0;i<ordersInfo.buy.length;i++){
if(ordersInfo.buy[i].price < depth.Bids[15].Price && ordersInfo.buy[i].id ){
exchange.CancelOrder(ordersInfo.buy[i].id,'撤销范围之外的买单')
}
}
for(var i=0;i<ordersInfo.sell.length;i++){
if(ordersInfo.sell[i].price > depth.Asks[15].Price && ordersInfo.sell[i].id){
exchange.CancelOrder(ordersInfo.sell[i].id,'撤销范围之外的卖单')
}
}
ordersInfo = new_orders
var total = avg_efficiency*avg_num + e
avg_num += 1
avg_efficiency = total/avg_num
}
function logStatus(){
if(Date.now()-lastLogStatusTime < 4000){
return
}
lastLogStatusTime = Date.now()
var leverage = pos.amount/(account.Info.data.BTC[0]*(depth.Asks[0].Price+depth.Bids[0].Price)/2)
var table1 = {type: 'table', title: '账户信息',
cols: ['可用保证金', '冻结保证金', '持仓保证金', '持仓方向','持仓张数', '持仓价格', '未实现盈亏', '已用杠杆', '初始资金', '收益', '平仓买价', '卖价','平均效率','我的效率'],
rows: [[_N(account.Info.data.BTC[0], 6),_N(account.Info.data.BTC[1], 6),_N(account.Info.data.BTC[2], 6),
pos.direction,pos.amount,_N(pos.price,2),_N(pos.unrealised_profit,5),_N(leverage,2),
_N(init_value,6),_N(account.Info.data.BTC[0]-init_value, 6), coverInfo.buyPrice, coverInfo.sellPrice,
_N(total_efficiency/30,2),_N(avg_efficiency,2)
]]
}
var table2 = {type: 'table', title: '挂单信息', cols: ['位置', '买价', '买量','我的', '效率', '卖价', '卖量', '我的', '效率'], rows: []}
for(var i=0;i<15;i++){
table2.rows.push([i+1,depthInfo[i+15].price,depthInfo[i+15].amount,depthInfo[i+15].my_amount,_N(depthInfo[i+15].r,3),
depthInfo[i].price,depthInfo[i].amount,depthInfo[i].my_amount,_N(depthInfo[i].r,3)])
}
if(_D().slice(8,11) != today){
today = _D().slice(8,11)
Log('昨天总解锁额度百万分之',total_back,'。今日重新统计')
total_back = 0
}
var nowPeriod = _N(_D().slice(14,16)/5,0)
if(lastPeriod != nowPeriod){
lastPeriod = nowPeriod
total_back += avg_efficiency
avg_efficiency = 0
avg_num = 0
}
var logString = '当前挖矿周期：'+_D().slice(11,14) + nowPeriod*5 + ' - ' + _D().slice(11,14) + (nowPeriod*5+5) + ' '+'排序挖矿已获得当日解锁总额度的百万分之'+ _N(total_back,4) +'\n'
LogStatus(logString + '`' + JSON.stringify(table1) + '`'+'\n'+'`' + JSON.stringify(table2) + '`')
if(Date.now()-lastProfitTime > ProfitTime*1000){
updateAccount()
lastProfitTime = Date.now()
LogProfit(_N(account.Info.data.BTC[0]+account.Info.data.BTC[1]+account.Info.data.BTC[2],6))
}
}
function cancelAll(){ //重置策略，防止一些订单卡住，可能会影响其它正在运行的策略
var orders = exchange.GetOrders()
if(orders){
for(var i=0;i<orders.length;i++){
exchange.CancelOrder(orders[i].Id)
}
ordersInfo = {buy:[],sell:[]}
coverInfo = {buyId:0, buyPrice:0, sellId:0, sellPrice:0}
}
}
function coverPosition(){
if(pos.amount>0){
if(pos.direction == 'long'){ //平多仓
var sellPrice = _N(pos.price,0)+_N(CoverProfit,0)
if(sellPrice != coverInfo.sellPrice){
if(coverInfo.sellId){
exchange.CancelOrder(coverInfo.sellId)
coverInfo.sellId = 0
}
exchange.SetDirection('sell')
var sellId = exchange.Sell(sellPrice, pos.amount, '平多仓')
coverInfo.sellPrice = sellPrice
if(sellId){
coverInfo.sellId = sellId
}else{
coverInfo.sellId = 0
}
}
}else{
var buyPrice = _N(pos.price,0)-_N(CoverProfit,0)
if(buyPrice != coverInfo.buyPrice){
if(coverInfo.buyId){
exchange.CancelOrder(coverInfo.buyId)
coverInfo.buyId = 0
}
exchange.SetDirection('buy')
var buyId = exchange.Buy(buyPrice, pos.amount, '平空仓')
coverInfo.buyPrice = buyPrice
if(buyId){
coverInfo.buyId = buyId
}else{
coverInfo.buyId = 0
}
}
}
}
}
function onTick(){
calcDepth()
calcAmount()
makeOrders()
if(Date.now()-lastRestTime > 3*60*1000){
lastRestTime = Date.now()
cancelAll()
}
}
function onexit(){ //退出后撤销订单
cancelAll()
_G('total_back',total_back)
}
exchange.SetContractType('swap')
exchange.SetMarginLevel(0)
function main() {
cancelAll()
while(true){
updatePosition()
updateDepth()
onTick()
coverPosition()
logStatus()
Sleep(Intervel*1000)
}
}
Bersepedafungsi showTable (() { var table = {type: 'table', title:'mohon info', cols: ['lokasi', 'harga', 'kuantitas', 'persegi dari jumlahnya (seperseribu) ', 'lokasi mohon saat ini'], rows: []} for ((var i=depthInfo.asks.length - 1; i>=0; i--) { var data = depthInfo.asks[i]; if (data[1] == ordersInfo.sellPrice) { table.rows.push (([data[0], data[1], data[2], data[3], '√' + data[0]]); } lainnya { table.rows.push (([data[0], data[1], data[2], data[3], '']); Aku tidak tahu. Aku tidak tahu. table.rows.push ((['', '--- garis pemisah---', '', '', '']); // Masukkan baris tengah baris, terlihat bagus for ((var i=0; i
SaintbirdLogika dari bagian perpaduan tidak jelas, mengapa nilai diambil adalah Math.min ((CoverAmount, pos[0].Amount), bukan pos[0].Amount?
kau tahuKerusakan tambang terlalu besar
Kualifikasi kelasJika semua orang menambang, saya khawatir strategi ini akan cepat gagal. Jika pasar ekstrim terjadi, maka fmex yang bertumpu tidak akan cukup kehilangan modal.
mengoleskan 1992Apakah FMEX mendukung Exchange.IO? Apakah FMEX mendukung Exchange.IO?
TerbangApakah Anda bisa mengubahnya menjadi level berikutnya di atas harga saham yang sama?
TerbangDapatkah Anda menambahkan jumlah leverage maksimum yang ditetapkan? Uji terus bertransaksi, mudah untuk melakukan pembiayaan. Mencapai batas ini mengingatkan Anda untuk berhenti memesan
RumputPerbandingan hanya untuk referensi, perlu menulis logika sendiri.
RumputAda beberapa kode yang digunakan untuk referensi dan perlu dioptimalkan sendiri.
RumputHanya satu contoh, penggunaan real disk membutuhkan modifikasi sendiri.
RumputGetDepth dilengkapi dengan 20 file dan menggunakan httpQuery untuk mengakses 150 file.
RumputAnda bisa mengubahnya sendiri, strategi hanya referensi.
RumputAnda bisa mengubahnya sendiri.