FMZのアップグレード後に迅速にユニバーサルマルチ通貨取引戦略を構築する方法
作者: リン・ハーンFMZ~リディア作成日: 2024-10-08 10:01:41, 更新日: 2024-10-15 08:55:09
前言
FMZ量子取引プラットフォームは,あまりにも早期に確立された.当時,取引所や通貨が非常に限られ,取引モードもほとんどありませんでした.したがって,初期APIデザインはシンプルで,単一通貨取引戦略に焦点を当てていました.何年も繰り返された後,特に最新のバージョンは,比較的完全であり,一般的に使用される交換APIは,カプセル化された機能で完了できます.特にマルチ通貨戦略では,市場条件,アカウント,取引を取得することは,以前よりもはるかに簡単で,IO機能はもはや取引先のAPIインターフェイスにアクセスする必要はありません.バックテストのために,それはまたライブ取引と互換性を持つようにアップグレードされています. 要するに,あなたの戦略は当初,多くの専用方法を持っていたので,複数の取引所とバックテストに使用できない場合は,それをアップグレードすることができます.この記事では,現在の組み合わせで戦略アーキテクチャを紹介します.
ドッカーには,完全にサポートするために3.7にアップグレードする必要があります. APIインターフェースの新しい機能に関する情報は,FMZ Quant Trading PlatformのAPIドキュメントに更新されています:
構文ガイド:https://www.fmz.com/syntax-guideユーザーガイド:https://www.fmz.com/user-guide
精度 を 確保 する
現在,APIは精度を取得するための統一機能を有しており,ここで例として永久契約を用いて導入されています.
//Global variables store data. SYMBOLS represents the currency to be traded, and the format is "BTC,ETH,LTC". QUOTO is the base currency. Common perpetual contracts include USDT and USDC. INTERVAL represents the interval of the cycle.
var Info = { trade_symbols: SYMBOLS.split(","), base_coin: QUOTO, ticker: {}, order: {}, account: {}, precision: {},
position: {}, time:{}, count：{}, interval:INTERVAL}
function InitInfo() {
//Initialization strategy
if (!IsVirtual() && Version() < 3.7){
throw "FMZ platform upgrades API, you need to download the latest docker";
}
Info.account = {init_balance:0};
Info.time = {
update_ticker_time: 0,
update_pos_time: 0,
update_profit_time: 0,
update_account_time: 0,
update_status_time: 0,
last_loop_time:0,
loop_delay：0,
};
for (let i = 0; i < Info.trade_symbols.length; i++) {
let symbol = Info.trade_symbols[i];
Info.ticker[symbol] = { last: 0, ask: 0, bid: 0 };
Info.order[symbol] = { buy: { id: 0, price: 0, amount: 0 }, sell: { id: 0, price: 0, amount: 0 } };
Info.position[symbol] = { amount: 0, hold_price: 0, unrealised_profit: 0, open_time: 0, value: 0 };
Info.precision[symbol] = {};
}
}
//Get accuracy
function GetPrecision() {
let exchange_info = exchange.GetMarkets();
for (let pair in exchange_info) {
let symbol = pair.split('_')[0]; //The format of perpetual contract trading pairs is BTC_USDT.swap
if (Info.trade_symbols.indexOf(symbol) > -1 && pair.split('.')[0].endsWith(Info.base_coin) && pair.endsWith("swap")) {
Info.precision[symbol].tick_size = exchange_info[pair].TickSize;
Info.precision[symbol].amount_size = exchange_info[pair].AmountSize;
Info.precision[symbol].price_precision = exchange_info[pair].PricePrecision
Info.precision[symbol].amount_precision = exchange_info[pair].AmountPrecision
Info.precision[symbol].min_qty = exchange_info[pair].MinQty
Info.precision[symbol].max_qty = exchange_info[pair].MaxQty
Info.precision[symbol].min_notional = exchange_info[pair].MinNotional
Info.precision[symbol].ctVal = exchange_info[pair].CtVal; //Contract value, for example, 1 piece represents 0.01 coin
if (exchange_info[pair].CtValCcy != symbol){ //The currency used to denominate the value. This does not include currency-based situations, for example, 1 note worth 100 USD.
throw "No support for currency-based"
}
}
}
}
ティッカーを手に入れる
マルチプロダクト戦略を設計するには,市場全体の市場情報を入手する必要があります.この総合市場情報インターフェースは不可欠です.GetTickers機能はほとんどの主流取引所をサポートします.
function UpdateTicker() {
//Updated prices
let ticker = exchange.GetTickers();
if (!ticker) {
Log("Failed to obtain market information", GetLastError());
return;
}
Info.time.update_ticker_time = Date.now();
for (let i = 0; i < ticker.length; i++) {
let symbol = ticker[i].Symbol.split('_')[0];
if (!ticker[i].Symbol.split('.')[0].endsWith(Info.base_coin) || Info.trade_symbols.indexOf(symbol) < 0) {
continue;
}
Info.ticker[symbol].ask = parseFloat(ticker[i].Sell);
Info.ticker[symbol].bid = parseFloat(ticker[i].Buy);
Info.ticker[symbol].last = parseFloat(ticker[i].Last);
}
}
アカウント位置情報を取得
株式フィールドとUPnLフィールドは先物口座情報に追加され,追加の処理によって引き起こされる互換性の必要性をなくしました.GetPositions関数はすべてのポジションを取得することもサポートします.詳細は,実際の番号を得るためにポジションの数を契約の値で倍する必要があります.例えば,OKX永久契約はウェブページで量によって取引できるが,APIは契約数に基づいています.
function UpdateAccount() {
//Update account
if (Date.now() - Info.time.update_account_time < 60 * 1000) {
return;
}
Info.time.update_account_time = Date.now();
let account = exchange.GetAccount();
if (account === null) {
Log("Failed to update account");
return;
}
Info.account.margin_used = _N(account.Equity - account.Balance, 2);
Info.account.margin_balance = _N(account.Equity, 2); //Current balance
Info.account.margin_free = _N(account.Balance, 2);
Info.account.wallet_balance = _N(account.Equity - account.UPnL, 2);
Info.account.unrealised_profit = _N(account.UPnL, 2);
if (!Info.account.init_balance) {
if (_G("init_balance") && _G("init_balance") > 0) {
Info.account.init_balance = _N(_G("init_balance"), 2);
} else {
Info.account.init_balance = Info.account.margin_balance;
_G("init_balance", Info.account.init_balance);
}
}
Info.account.profit = _N(Info.account.margin_balance - Info.account.init_balance, 2);
Info.account.profit_rate = _N((100 * Info.account.profit) / init_balance, 2);
}
function UpdatePosition() {
let pos = exchange.GetPositions(Info.base_coin + ".swap");
if (!pos) {
Log("Timeout for updating position");
return;
}
Info.time.update_pos_time = Date.now();
let position_info = {};
for (let symbol of Info.trade_symbols) {
position_info[symbol] = {
amount: 0,
hold_price: 0,
unrealised_profit: 0
}; //Some exchanges have no positions and return empty
}
for (let k = 0; k < pos.length; k++) {
let symbol = pos[k].Symbol.split("_")[0];
if (!pos[k].Symbol.split(".")[0].endsWith(Info.base_coin) || Info.trade_symbols.indexOf(symbol) < 0) {
continue;
}
if (position_info[symbol].amount != 0){
throw "One-way position required";
}
position_info[symbol] = {
amount: pos[k].Type == 0 ? pos[k].Amount * Info.precision[symbol].ctVal : -pos[k].Amount * Info.precision[symbol].ctVal,
hold_price: pos[k].Price,
unrealised_profit: pos[k].Profit
};
}
Info.count = { long: 0, short: 0, total: 0, leverage: 0 };
for (let symbol in position_info) {
let deal_volume = Math.abs(position_info[symbol].amount - Info.position[symbol].amount);
let direction = position_info[symbol].amount - Info.position[symbol].amount > 0 ? 1 : -1;
if (deal_volume) {
let deal_price = direction == 1 ? Info.order[symbol].buy.price : Info.order[symbol].sell.price;
Log(
symbol,
"position update:",
_N(Info.position[symbol].value, 1),
" -> ",
_N(position_info[symbol].amount * Info.ticker[symbol].last, 1),
direction == 1 ? ", buy" : ", sell",
", transaction price:",
deal_price,
", cost price:",
_N(Info.position[symbol].hold_price, Info.precision[symbol].price_precision),
);
}
Info.position[symbol].amount = position_info[symbol].amount;
Info.position[symbol].hold_price = position_info[symbol].hold_price;
Info.position[symbol].value = _N(Info.position[symbol].amount * Info.ticker[symbol].last, 2);
Info.position[symbol].unrealised_profit = position_info[symbol].unrealised_profit;
Info.count.long += Info.position[symbol].amount > 0 ? Math.abs(Info.position[symbol].value) : 0;
Info.count.short += Info.position[symbol].amount < 0 ? Math.abs(Info.position[symbol].value) : 0;
}
Info.count.total = _N(Info.count.long + Info.count.short, 2);
Info.count.leverage = _N(Info.count.total / Info.account.margin_balance, 2);
}
取引
取引には,契約数の問題も扱わなければなりません. 最新のCreateOrder機能がここで注文の処理に使用されています. これははるかに便利です.
function Order(symbol, direction, price, amount, msg) {
let ret = null;
let pair = symbol + "_" + Info.base_coin + ".swap"
ret = exchange.CreateOrder(pair, direction, price, amount, msg)
if (ret) {
Info.order[symbol][direction].id = ret;
Info.order[symbol][direction].price = price;
}else {
Log(symbol, direction, price, amount, "abnormal order");
}
}
function Trade(symbol, direction, price, amount, msg) {
price = _N(price - (price % Info.precision[symbol].tick_size), Info.precision[symbol].price_precision);
amount = amount / Info.precision[symbol].ctVal;
amount = _N(amount - (amount % Info.precision[symbol].amount_size), Info.precision[symbol].amount_precision);
amount = Info.precision[symbol].max_qty > 0 ? Math.min(amount, Info.precision[symbol].max_qty) : amount;
let new_order = false;
if (price > 0 && Math.abs(price - Info.order[symbol][direction].price) / price > 0.0001) { //The order will be cancelled only if there is a price difference between the two orders.
new_order = true;
}
if (amount <= 0 || Info.order[symbol][direction].id == 0) { //The amount passed in is 0 to cancel the order
new_order = true;
}
if (new_order) {
if (Info.order[symbol][direction].id) { //Cancellation of existing order
CancelOrder(symbol, direction, Info.order[symbol][direction].id);
Info.order[symbol][direction].id = 0;
}
if ( //The delay is too high and the order is not placed
Date.now() - Info.time.update_pos_time > 2 * Info.interval * 1000 ||
Date.now() - Info.time.update_ticker_time > 2 * Info.interval * 1000 ||
) {
return;
}
if (price * amount <= Info.precision[symbol].min_notional || amount < Info.precision[symbol].min_qty) {
Log(symbol, "the order quantity is too small", price * amount);
return;
}
Order(symbol, direction, price, amount, msg);
}
}
状態表示
一般的に2つの表が表示されます.口座情報と取引対情報です.
function UpdateStatus() {
if (Date.now() - Info.time.update_status_time < 4000) {
return;
}
Info.time.update_status_time = Date.now();
let table1 = {
type: "table",
title: "Account info",
cols: [
"Initial balance",
"Wallet balance",
"Margin balance",
"Used margin",
"Avaiable margin",
"Total profit",
"Profit rate",
"Unrealised profit",
"Total position",
"Leverage-used",
"Loop delay",
],
rows: [
[
Info.account.init_balance,
Info.account.wallet_balance,
Info.account.margin_balance,
Info.account.margin_used,
Info.account.margin_free,
Info.account.profit,
Info.account.profit_rate + "%",
_N(Info.account.unrealised_profit, 2),
_N(Info.count.total, 2),
Info.count.leverage,
Info.time.loop_delay + "ms",
],
],
};
let table2 = {
type: "table",
title: "Trading pair information",
cols: [
"Symbol",
"Direction",
"Amount",
"Position price",
"Position value",
"Current price",
"Buy price",
"Sell price",
"Unrealised profit / loss",
],
rows: [],
};
for (let i in Info.trade_symbols) {
let symbol = Info.trade_symbols[i];
table2.rows.push([
symbol,
Info.position[symbol].amount > 0 ? "LONG" : "SHORT",
_N(Info.position[symbol].amount, Info.precision[symbol].amount_precision+2),
_N(Info.position[symbol].hold_price, Info.precision[symbol].price_precision),
_N(Info.position[symbol].value, 2),
_N(Info.ticker[symbol].last, Info.precision[symbol].price_precision),
Info.order[symbol].buy.price,
Info.order[symbol].sell.price,
_N(Info.position[symbol].unrealised_profit, 2),
]);
}
LogStatus(
"Initial date: " + _D(new Date(Info.time.start_time)) + "\n",
"`" + JSON.stringify(table1) + "`" + "\n" + "`" + JSON.stringify(table2) + "`\n",
"Last execution time: " + _D() + "\n",
);
if (Date.now() - Info.time.update_profit_time > 5 * 60 * 1000) {
UpdateAccount();
LogProfit(_N(Info.account.profit, 3));
Info.time.update_profit_time = Date.now();
}
}
取引の論理
基本の取引の論理コードはシンプルです これが最もシンプルなアイスバーグオーダー戦略です
function MakeOrder() {
for (let i in Info.trade_symbols) {
let symbol = Info.trade_symbols[i];
let buy_price = Info.ticker[symbol].bid;
let buy_amount = 50 / buy_price;
if (Info.position[symbol].value < 2000){
Trade(symbol, "buy", buy_price, buy_amount, symbol);
}
}
}
メインループ
function OnTick() {
try {
UpdateTicker();
UpdatePosition();
MakeOrder();
UpdateStatus();
} catch (error) {
Log("Loop error: " + error);
}
}
function main() {
InitInfo();
while (true) {
let loop_start_time = Date.now();
if (Date.now() - Info.time.last_loop_time > Info.interval * 1000) {
OnTick();
Info.time.last_loop_time = Date.now();
Info.time.loop_delay = Date.now() - loop_start_time;
}
Sleep(5);
}
}
概要
この記事では,シンプルな永続契約マルチ通貨取引フレームワークを提供します.最新のAPIを使用して,より便利で迅速に互換性のある戦略を構築できます.試してみる価値があります.
もっと