Pada hakikatnya adalah strategi keseimbangan dinamik, tetapi ia hanya direka untuk menggantung terlebih dahulu. Strategi ini adalah pengajaran utama, strategi tidak diuji secara nyata dalam jangka masa panjang, dan digunakan dengan berhati-hati. 2020.09.04 OKEX Mengukur Perdagangan Menghormati Mesyuarat OKEX
var Shannon = {
// member
e : exchanges[0],
arrPlanOrders : [],
distance : BalanceDistance,
account : null,
ticker : null,
initAccount : null,
isAskPending : false,
isBidPending : false,
// function
CancelAllOrders : function (e) {
while(true) {
var orders = _C(e.GetOrders)
if(orders.length == 0) {
return
}
Sleep(500)
for(var i = 0; i < orders.length; i++) {
e.CancelOrder(orders[i].Id, orders[i])
Sleep(500)
}
}
},
Balance : function () {
if (this.arrPlanOrders.length == 0) {
this.CancelAllOrders(this.e)
var acc = _C(this.e.GetAccount)
this.account = acc
var askPendingPrice = (this.distance + acc.Balance) / acc.Stocks
var bidPendingPrice = (acc.Balance - this.distance) / acc.Stocks
var askPendingAmount = this.distance / 2 / askPendingPrice
var bidPendingAmount = this.distance / 2 / bidPendingPrice
this.arrPlanOrders.push({tradeType : "ask", price : askPendingPrice, amount : askPendingAmount})
this.arrPlanOrders.push({tradeType : "bid", price : bidPendingPrice, amount : bidPendingAmount})
} else if(this.isAskPending == false && this.isBidPending == false) {
for(var i = 0; i < this.arrPlanOrders.length; i++) {
var tradeFun = this.arrPlanOrders[i].tradeType == "ask" ? this.e.Sell : this.e.Buy
var id = tradeFun(this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount)
if(id) {
this.isAskPending = this.arrPlanOrders[i].tradeType == "ask" ? true : this.isAskPending
this.isBidPending = this.arrPlanOrders[i].tradeType == "bid" ? true : this.isBidPending
} else {
Log("挂单失败，清理！")
this.CancelAllOrders(this.e)
return
}
}
}
if(this.isBidPending || this.isAskPending) {
var orders = _C(this.e.GetOrders)
Sleep(1000)
var ticker = _C(this.e.GetTicker)
this.ticker = ticker
if(this.isAskPending) {
var isFoundAsk = false
for (var i = 0; i < orders.length; i++) {
if(orders[i].Type == ORDER_TYPE_SELL) {
isFoundAsk = true
}
}
if(!isFoundAsk) {
Log("卖单成交，撤销订单，重置")
this.CancelAllOrders(this.e)
this.arrPlanOrders = []
this.isAskPending = false
this.isBidPending = false
LogProfit(this.CalcProfit(ticker))
return
}
}
if(this.isBidPending) {
var isFoundBid = false
for(var i = 0; i < orders.length; i++) {
if(orders[i].Type == ORDER_TYPE_BUY) {
isFoundBid = true
}
}
if(!isFoundBid) {
Log("买单成交，撤销订单，重置")
this.CancelAllOrders(this.e)
this.arrPlanOrders = []
this.isAskPending = false
this.isBidPending = false
LogProfit(this.CalcProfit(ticker))
return
}
}
}
},
ShowTab : function() {
var tblPlanOrders = {
type : "table",
title : "计划挂单",
cols : ["方向", "价格", "数量"],
rows : []
}
for(var i = 0; i < this.arrPlanOrders.length; i++) {
tblPlanOrders.rows.push([this.arrPlanOrders[i].tradeType, this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount])
}
var tblAcc = {
type : "table",
title : "账户信息",
cols : ["type", "Stocks", "FrozenStocks", "Balance", "FrozenBalance"],
rows : []
}
tblAcc.rows.push(["初始", this.initAccount.Stocks, this.initAccount.FrozenStocks, this.initAccount.Balance, this.initAccount.FrozenBalance])
tblAcc.rows.push(["当前", this.account.Stocks, this.account.FrozenStocks, this.account.Balance, this.account.FrozenBalance])
return "时间：" + _D() + "\n `" + JSON.stringify([tblPlanOrders, tblAcc]) + "`" + "\n" + "ticker:" + JSON.stringify(this.ticker)
},
CalcProfit : function(ticker) {
var acc = _C(this.e.GetAccount)
this.account = acc
return (this.account.Balance - this.initAccount.Balance) + (this.account.Stocks - this.initAccount.Stocks) * ticker.Last
},
Init : function() {
this.initAccount = _C(this.e.GetAccount)
if(IsReset) {
var acc = _G("account")
if(acc) {
this.initAccount = acc
} else {
Log("恢复初始账户信息失败！以初始状态运行！")
_G("account", this.initAccount)
}
} else {
_G("account", this.initAccount)
LogReset(1)
LogProfitReset()
}
},
Exit : function() {
Log("停止前，取消所有挂单...")
this.CancelAllOrders(this.e)
}
}
function main() {
// 初始化
Shannon.Init()
// 主循环
while(true) {
Shannon.Balance()
LogStatus(Shannon.ShowTab())
// 交互
var cmd = GetCommand()
if(cmd) {
if(cmd == "stop") {
while(true) {
LogStatus("暂停", Shannon.ShowTab())
cmd = GetCommand()
if(cmd) {
if(cmd == "continue") {
break
}
}
Sleep(1000)
}
}
}
Sleep(5000)
}
}
function onexit() {
Shannon.Exit()
}
Baguslah.Berapa banyak mesej anda?
liwaywayBagaimana untuk menetapkan keuntungan untuk strategi ini?
Pencipta Kuantiti - Impian KecilKaedah ini terbuka, dan boleh dilihat dalam kod. Parameter untuk menetapkan kawalan mengikut industri.