/*backtest
start: 2019-12-01 00:00:00
end: 2024-02-07 23:59:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":100000}]
args: [["pricePrecision",2],["amountPrecision",3],["linjie",30]]
*/
function cancelAll() {
while (1) {
var orders = _C(exchange.GetOrders)
if (orders.length == 0) {
break
}
for (var i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id, orders[i].Id)
Sleep(100)
}
Sleep(100)
}
}
function onexit() {
//
cancelAll()
}
function main() {
exchange.SetContractType("swap")
exchange.SetPrecision(pricePrecision, amountPrecision) //精度
exchange.SetMarginLevel(leverage) //杠杆
//LogProfitReset()
LogReset(1)
var buyOrderId
var sellOrderId
while (1) {
var pos = _C(exchange.GetPosition)
if (pos.length > 0) {
var Mar = pos[0].Margin //保证金
} else {
var Mar = 0
}
var MarginLevel = leverage //杠杆
var account = _C(exchange.GetAccount)
var Bala = account.Balance //可用余额
var Bal = Bala - Mar * (MarginLevel - 1) //去掉仓位的余额
var ticker = _C(exchange.GetTicker)
var price = ticker.Last //最新价
var Qian = Mar + Bala
LogStatus("币价：", price,"权益:",Qian)
var orders = _C(exchange.GetOrders)
if (orders.length == 0) { //没有订单
if (Mar * MarginLevel - Bal > 2 * linjie) { //仓位价值多于余额 //临界价值
exchange.SetDirection("closebuy")
var Amount = 0.5 * (Mar * MarginLevel - Bal) / price
exchange.Sell(-1, Amount)
} else if (Bal - Mar * MarginLevel > 2 * linjie) { //余额多于仓位价值 //临界价值
var Amount = 0.5 * (Bal - Mar * MarginLevel) / price
exchange.SetDirection("buy")
exchange.Buy(-1, Amount)
} else {//状态平衡时双向挂单
var Bprice = price * (Bal - linjie) / (Mar * leverage)
var BAmount = 0.5 * linjie / Bprice
exchange.SetDirection("buy")
buyOrderId = exchange.Buy(Bprice, BAmount)
var Sprice = price * (Bal - (-linjie)) / (Mar * leverage)
var SAmount = 0.5 * linjie / Sprice
exchange.SetDirection("closebuy")
sellOrderId = exchange.Sell(Sprice, SAmount)
}
} else { //有订单
var isFindBuyId = false
var isFindSellId = false
//Log("初始状态")
for (var i = 0; i < orders.length; i++) {
if (buyOrderId == orders[i].Id) {
isFindBuyId = true
//Log("有买单")
}
if (sellOrderId == orders[i].Id) {
isFindSellId = true
//Log("有卖单")
}
}
if (!isFindBuyId || !isFindSellId) { //有一方成交,取消订单进入新循环
cancelAll()
var Qian = Mar + Bala
LogProfit(Qian)
//LogStatus("币价：", price)
}
}
Sleep(5000)
}
}
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