Artikel terkait:https://www.fmz.com/digest-topic/7666
var lastKeepBalanceTS = 0
function hedge(buyEx, sellEx, priceBuy, priceSell, amount) {
var buyRoutine = buyEx.Go("Buy", priceBuy, amount)
var sellRoutine = sellEx.Go("Sell", priceSell, 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 * 0.9 > Math.abs(diff)) {
available.push(i)
} else if (side == "Asks" && price && nowAccs[i].Balance / price * 0.9 > 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 (side == "Asks" && 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)
// 切换杠杆模式
for (var i = 0 ; i < exchanges.length ; i++) {
if (exchanges[i].GetName() == "Binance" && marginType != 0) {
if (marginType == 1) {
Log(exchanges[i].GetName(), "设置为杠杆逐仓")
exchanges[i].IO("trade_margin")
} else if (marginType == 2) {
Log(exchanges[i].GetName(), "设置为杠杆全仓")
exchanges[i].IO("trade_super_margin")
}
}
}
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 targetDiffPriceA2B = hedgeDiffPriceA2B
var targetDiffPriceB2A = hedgeDiffPriceB2A
if (diffAsPercentage) {
targetDiffPriceA2B = (depthA.Bids[0].Price + depthB.Asks[0].Price + depthB.Bids[0].Price + depthA.Asks[0].Price) / 4 * (hedgeDiffPercentageA2B / 100)
targetDiffPriceB2A = (depthA.Bids[0].Price + depthB.Asks[0].Price + depthB.Bids[0].Price + depthA.Asks[0].Price) / 4 * (hedgeDiffPercentageB2A / 100)
}
// 画图
$.PlotHLine(targetDiffPriceA2B, "A->B")
$.PlotHLine(targetDiffPriceB2A, "B->A")
if (depthA.Bids[0].Price - depthB.Asks[0].Price > targetDiffPriceA2B && Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount) >= minHedgeAmount) { // A -> B 盘口条件满足
var priceSell = depthA.Bids[0].Price - slidePrice
var priceBuy = depthB.Asks[0].Price + slidePrice
// 处理负精度参数
if (pricePrecisionA < 0) {
// priceSell = _N(priceSell, pricePrecisionA) - slidePrice
priceSell = _N(priceSell - slidePrice, pricePrecisionA)
// Log("priceSell:", priceSell, "priceSell - slidePrice:", priceSell - slidePrice, "pricePrecisionA:", pricePrecisionA, typeof(pricePrecisionA)) // 测试
}
if (pricePrecisionB < 0) {
// priceBuy = _N(priceBuy, pricePrecisionB) + slidePrice
priceBuy = _N(priceBuy + slidePrice, pricePrecisionB)
// Log("priceBuy:", priceBuy, "priceBuy + slidePrice:", priceBuy + slidePrice, "pricePrecisionB:", pricePrecisionB, typeof(pricePrecisionB)) // 测试
}
var amount = Math.min(depthA.Bids[0].Amount, depthB.Asks[0].Amount)
if (nowAccs[0].Stocks > minHedgeAmount && nowAccs[1].Balance * 0.8 / priceSell > minHedgeAmount) {
amount = Math.min(amount, nowAccs[0].Stocks, nowAccs[1].Balance * 0.8 / priceSell, maxHedgeAmount)
Log("触发A->B:", depthA.Bids[0].Price - depthB.Asks[0].Price, priceBuy, priceSell, amount, nowAccs[1].Balance * 0.8 / priceSell, nowAccs[0].Stocks) // 提示信息
hedge(exB, exA, priceBuy, priceSell, amount)
cancelAll()
lastKeepBalanceTS = 0
isTrade = true
}
} else if (depthB.Bids[0].Price - depthA.Asks[0].Price > targetDiffPriceB2A && Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount) >= minHedgeAmount) { // B -> A 盘口条件满足
var priceBuy = depthA.Asks[0].Price + slidePrice
var priceSell = depthB.Bids[0].Price - slidePrice
// 处理负精度参数
if (pricePrecisionA < 0) {
// priceBuy = _N(priceBuy, pricePrecisionA) + slidePrice
priceBuy = _N(priceBuy + slidePrice, pricePrecisionA)
// Log("priceBuy:", priceBuy, "priceBuy + slidePrice:", priceBuy + slidePrice, "pricePrecisionA:", pricePrecisionA, typeof(pricePrecisionA)) // 测试
}
if (pricePrecisionB < 0) {
// priceSell = _N(priceSell, pricePrecisionB) - slidePrice
priceSell = _N(priceSell - slidePrice, pricePrecisionB)
// Log("priceSell:", priceSell, "priceSell - slidePrice:", priceSell - slidePrice, "pricePrecisionB:", pricePrecisionB, typeof(pricePrecisionB)) // 测试
}
var amount = Math.min(depthB.Bids[0].Amount, depthA.Asks[0].Amount)
if (nowAccs[1].Stocks > minHedgeAmount && nowAccs[0].Balance * 0.8 / priceBuy > minHedgeAmount) {
amount = Math.min(amount, nowAccs[1].Stocks, nowAccs[0].Balance * 0.8 / priceBuy, maxHedgeAmount)
Log("触发B->A:", depthB.Bids[0].Price - depthA.Asks[0].Price, priceBuy, priceSell, amount, nowAccs[0].Balance * 0.8 / priceBuy, nowAccs[1].Stocks) // 提示信息
hedge(exA, exB, priceBuy, priceSell, 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
}
}
$.PlotLine("A2B", depthA.Bids[0].Price - depthB.Asks[0].Price)
$.PlotLine("B2A", depthB.Bids[0].Price - depthA.Asks[0].Price)
}
// 交互
var cmd = GetCommand()
if (cmd) {
Log("接收到命令：", cmd)
var arr = cmd.split(":")
if (arr[0] == "A2B") {
Log("修改A2B的参数，", diffAsPercentage ? "参数为差价百分比" : "参数为差价：", arr[1])
if (diffAsPercentage) {
hedgeDiffPercentageB2A = parseFloat(arr[1])
} else {
hedgeDiffPriceA2B = parseFloat(arr[1])
}
} else if (arr[0] == "B2A") {
Log("修改B2A的参数，", diffAsPercentage ? "参数为差价百分比" : "参数为差价：", arr[1])
if (diffAsPercentage) {
hedgeDiffPercentageA2B = parseFloat(arr[1])
} else {
hedgeDiffPriceB2A = parseFloat(arr[1])
}
}
}
var tbl = {
"type" : "table",
"title" : "数据",
"cols" : ["交易所", "币", "冻结币", "计价币", "冻结计价币", "触发差价", "当前差价"],
"rows" : [],
}
tbl.rows.push(["A:" + exA.GetName(), nowAccs[0].Stocks, nowAccs[0].FrozenStocks, nowAccs[0].Balance, nowAccs[0].FrozenBalance, "A->B:" + targetDiffPriceA2B, "A->B:" + (depthA.Bids[0].Price - depthB.Asks[0].Price)])
tbl.rows.push(["B:" + exB.GetName(), nowAccs[1].Stocks, nowAccs[1].FrozenStocks, nowAccs[1].Balance, nowAccs[1].FrozenBalance, "B->A:" + targetDiffPriceB2A, "B->A:" + (depthB.Bids[0].Price - depthA.Asks[0].Price)])
LogStatus(_D(), "\n", "`" + JSON.stringify(tbl) + "`")
Sleep(1000)
}
}