Artikel strategi:https://www.fmz.com/bbs-topic/6611
var TickInterval = 100
function LeeksReaper() {
var self = {}
self.numTick = 0
self.lastTradeId = 0
self.vol = 0
self.askPrice = 0
self.bidPrice = 0
self.orderBook = {
Asks: [],
Bids: []
}
self.prices = []
self.tradeOrderId = 0
self.account = null
self.buyPrice = 0
self.sellPrice = 0
self.state = 0
self.depth = null
self.updateTrades = function() {
var trades = _C(exchange.GetTrades)
if (self.prices.length == 0) {
while (trades.length == 0) {
trades = trades.concat(_C(exchange.GetTrades))
}
for (var i = 0; i < 15; i++) {
self.prices[i] = trades[trades.length - 1].Price
}
}
self.vol = 0.7 * self.vol + 0.3 * _.reduce(trades, function(mem, trade) {
// Huobi not support trade.Id
if ((trade.Id > self.lastTradeId) || (trade.Id == 0 && trade.Time > self.lastTradeId)) {
self.lastTradeId = Math.max(trade.Id == 0 ? trade.Time : trade.Id, self.lastTradeId)
mem += trade.Amount
}
return mem
}, 0)
}
self.updateOrderBook = function() {
var orderBook = _C(exchange.GetDepth)
self.depth = orderBook
self.buyPrice = orderBook.Bids[pendingLevel].Price
self.sellPrice = orderBook.Asks[pendingLevel].Price
self.orderBook = orderBook
if (orderBook.Bids.length < 3 || orderBook.Asks.length < 3) {
return
}
self.bidPrice = orderBook.Bids[0].Price * 0.618 + orderBook.Asks[0].Price * 0.382 + 0.01
self.askPrice = orderBook.Bids[0].Price * 0.382 + orderBook.Asks[0].Price * 0.618 - 0.01
self.prices.shift()
self.prices.push(_N((orderBook.Bids[0].Price + orderBook.Asks[0].Price) * 0.15 +
(orderBook.Bids[1].Price + orderBook.Asks[1].Price) * 0.1 +
(orderBook.Bids[2].Price + orderBook.Asks[2].Price) * 0.1 +
(orderBook.Bids[3].Price + orderBook.Asks[3].Price) * 0.075 +
(orderBook.Bids[4].Price + orderBook.Asks[4].Price) * 0.05 +
(orderBook.Bids[5].Price + orderBook.Asks[5].Price) * 0.025))
}
self.updateAccount = function() {
var account = exchange.GetAccount()
if (!account) {
return
}
self.account = account
LogProfit(parseFloat(account.Info.totalWalletBalance), account)
}
self.CancelAll = function() {
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)
}
Sleep(100)
}
}
self.poll = function() {
self.numTick++
self.updateTrades()
self.updateOrderBook()
var pos = _C(exchange.GetPosition)
var burstPrice = self.prices[self.prices.length - 1] * burstThresholdPct
var bull = false
var bear = false
LogStatus(_D(), "\n", 'Tick:', self.numTick, 'self.vol:', self.vol, ', lastPrice:', self.prices[self.prices.length - 1], ', burstPrice: ', burstPrice)
if (self.numTick > 2 && (
self.prices[self.prices.length - 1] - _.max(self.prices.slice(-6, -1)) > burstPrice ||
self.prices[self.prices.length - 1] - _.max(self.prices.slice(-6, -2)) > burstPrice && self.prices[self.prices.length - 1] > self.prices[self.prices.length - 2]
)) {
bull = true
} else if (self.numTick > 2 && (
self.prices[self.prices.length - 1] - _.min(self.prices.slice(-6, -1)) < -burstPrice ||
self.prices[self.prices.length - 1] - _.min(self.prices.slice(-6, -2)) < -burstPrice && self.prices[self.prices.length - 1] < self.prices[self.prices.length - 2]
)) {
bear = true
}
if (pos.length != 0) {
if (pos[0].Type == PD_LONG) {
self.state = 1
} else {
self.state = 2
}
} else {
self.state = 0
}
if ((!bull && !bear)) {
return
}
if (bull) {
var price = (self.state == 0 || self.state == 1) ? self.buyPrice : self.depth.Bids[coverPendingLevel].Price
var amount = (self.state == 0 || self.state == 1) ? pendingAmount : pos[0].Amount
exchange.SetDirection("buy")
exchange.Buy(price, amount)
} else if (bear) {
var price = (self.state == 0 || self.state == 2) ? self.sellPrice : self.depth.Asks[coverPendingLevel].Price
var amount = (self.state == 0 || self.state == 2) ? pendingAmount : pos[0].Amount
exchange.SetDirection("sell")
exchange.Sell(price, amount)
}
self.numTick = 0
Sleep(TickInterval)
self.CancelAll()
self.updateAccount()
}
while (!self.account) {
self.updateAccount()
Sleep(500)
}
Log("self.account:", self.account)
return self
}
function main() {
LogProfitReset()
exchange.SetPrecision(pricePrecision, amountPrecision)
exchange.SetContractType("swap")
var reaper = LeeksReaper()
while (true) {
reaper.poll()
Sleep(100)
}
}
wh1578Adakah terdapat data yang jelas mengenai kerugian yang berlaku?
Oscar459Adakah ini masih berguna sekarang?
QslllAdakah ada cara untuk mengulangnya?
Eddie.Mimpi berjumlah 666
diudiu.meiJika anda tidak dapat menggunakan kos pembedahan, anda akan rugi.
Pencipta Kuantiti - Impian KecilPengukuran semula tidak dapat mengembalikan 100 peratus keadaan yang sebenarnya.
ItaaaaMengapa tidak penting untuk mengulas semula?
Pencipta Kuantiti - Impian KecilTaktik ini tidak begitu bermakna.