Ada yang meminta saya untuk menulis strategi, tetapi saya tidak menulisnya dan tidak membayarnya. Saya menulis secara langsung, berharap dia mendapat kupon untuk membeli keranda. Kaedah ini tidak menyokong ujian semula. Kaedah ini hanya menyokong harga mata wang, memilih mata wang dan kemudian mengesan pesanan kenaikan harga mata wang yang sesuai, jika ada order kosong yang meletup, lebih banyak akan dibuka, jika banyak order meletup, kosong akan dibuka; tidak ada logik kenaikan harga.
/*backtest
start: 2021-05-07 00:00:00
end: 2021-08-04 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"LTC_USDT","balance":200},{"eid":"Futures_Binance","currency":"BTC_USDT","balance":500},{"eid":"Futures_Binance","currency":"ETH_USDT","balance":200},{"eid":"Futures_Binance","currency":"EOS_USDT","balance":500},{"eid":"Futures_Binance","currency":"BCH_USDT","balance":500}]
args: [["stopProfitRate",100],["cancelOrderTime",15]]
*/
class MyExchange{
constructor(tExchange,tIndex,tQtyValue){
this.exchange=tExchange;
this.getThis=()=>this;
this.exchange.SetContractType(contractType);
this.exchange.SetMarginLevel(margin);
this.currency=this.exchange.GetCurrency();
let precision = $.GetPrecision(this.exchange);
this.pricePrecision = $.GetPricePrecision(this.currency);
this.amountPrecision = $.GetAmountPrecision(this.currency);
this.index=tIndex;
this.qtyValue=tQtyValue;
//币本位账户资金
this.walletBalance=0;
this.unrealizedProfit=0;
this.marginBalance=0;
this.availableBalance=0;
this.exchange.SetMaxBarLen(2000);
//注册wss链接
let eName = this.currency.replace("_", "").toLowerCase();
let symbol=eName+"t@forceOrder";
if(xbtApi)
symbol=eName+"@forceOrder";
//let symbol=eName+"t@aggTrade";
let str = "wss://fstream.binance.com/ws/" + symbol + "|reconnect=true";
this.streamClient=Dial(str);
Log(this.currency+"wss链接为:"+str);
}
Open(direction,curPrice,distance){
let pricePrecision=this.pricePrecision;
let amountPrecision=this.amountPrecision;
//Log("价格精度",pricePrecision,"数量精度",amountPrecision);
if(this.walletBalance==0)
return;
let orderAmount = orderVolume;
if(orderType==1){//百分比
if(xbt)
orderAmount=Math.floor(Math.floor(this.walletBalance/this.qtyValue)*0.01*orderVolume);//张数
}
if($.GetPosByDirection(PD_LONG,this.exchange)==null && direction==PD_LONG){//同时只开一个多单
Log(this.exchange.GetCurrency(),"挂多单");
this.exchange.SetDirection("buy");
if(xbt)
this.exchange.Buy(distance==0?-1:_N(curPrice*(1-0.01*distance),pricePrecision),orderAmount);//张
else
this.exchange.Buy(distance==0?-1:_N(curPrice*(1-0.01*distance),pricePrecision),_N((buyVolume/curPrice)*margin,amountPrecision));
}
if($.GetPosByDirection(PD_SHORT,this.exchange)==null && direction==PD_SHORT){
this.exchange.SetDirection("sell");
Log(this.exchange.GetCurrency(),"挂空单");
if(xbt)
this.exchange.Sell(distance==0?-1:_N(curPrice*(1+0.01*distance),pricePrecision),orderAmount); //张
else
this.exchange.Sell(distance==0?-1:_N(curPrice*(1+0.01*distance),pricePrecision),_N((buyVolume/curPrice)*margin,amountPrecision));
}
}
UpdateBalance(walletBalance,unrealizedProfit,marginBalance,availableBalance){
this.walletBalance=walletBalance;
this.unrealizedProfit=unrealizedProfit;
this.marginBalance=marginBalance;
this.availableBalance=availableBalance;//同步资金用于开仓方法
}
run(){
let buy=false;
let sell=false;
let socketRs = null;
try {
socketRs = JSON.parse(this.streamClient.read(-2));//获取websocket
} catch (e) {
socketRs = null;
//Log('获取价格异常(不影响程序运行)：',e);
}
//Log(socketRs);
if (socketRs == null || typeof(socketRs) == "undefined") {
//Log("获取行情信息失败。。。。。。。。。。。。。。。。");
} else {
let o = socketRs.o;
Log("收到强平信息,socketRs.o为：",o);
if(o.S=="SELL")
buy=true;
if(o.S=="BUY")
sell=true;
}
//平掉漏开的单
let orders=_C(this.exchange.GetOrders);
for(let i=0;i<orders.length;i++){
if(orders[i]!=null && Math.floor(_N((Unix()*1000-orders[i].Info.time)/(PERIOD_M1*1000),1))>=cancelOrderTime){
Log("发现开仓订单经过"+cancelOrderTime+"分钟后仍未成交");
Log("撤销开仓订单");
this.exchange.CancelOrder(orders[i].Id,orders[i]);
}
}
let curMinute=new Date().getMinutes();
//测试
if(curMinute==buyMinute)
buy=true;
if(curMinute==sellMinute)
sell=true;
if(buy){
Log("买入开始");
let shortPos=$.GetPosByDirection(PD_SHORT,this.exchange);
if(shortPos)
$.CloseAmount(PD_SHORT,shortPos.Amount,shortPos,this.exchange);//平空
$.CancelAllOrder(this.exchange);//清空所有订单
let curPrice=_C(this.exchange.GetTicker).Last;
this.Open(PD_LONG,curPrice,openDistance);//开多
}
if(sell){
Log("卖出开始");
let longPos=$.GetPosByDirection(PD_LONG,this.exchange);
if(longPos)
$.CloseAmount(PD_LONG,longPos.Amount,longPos,this.exchange);//平多
$.CancelAllOrder(this.exchange);//清空所有订单
let curPrice=_C(this.exchange.GetTicker).Last;
this.Open(PD_SHORT,curPrice,openDistance);
}
table.rows.push([this.currency,this.walletBalance,this.unrealizedProfit,this.marginBalance,this.availableBalance]);
}
}
function GetAllBalance(exchange){
let account=_C(exchange.GetAccount);
let info=account.Info;
let assets=info.assets;
/*let totalWalletBalance=info.totalWalletBalance;//钱包余额
let canUseBalance=account.Balance;//可用余额
let frozenBalance=account.FrozenBalance;
let frozenStocks=account.FrozenStocks;
return {totalWalletBalance,canUseBalance,frozenBalance,frozenStocks};*/
return {account,assets};
}
function FindExchange(currency){
for(let myE of myExchanges){
//Log(myE.currency,currency);
if(myE.currency==currency){
return myE.getThis();
}
}
}
var lastRunSecond = 0;
var myExchanges=new Array();
let qtyValueArray=new Array();
var xbt=true;
function main() {
if(_G("profit")){
LogProfit(_G("profit"));
}else{
_G("profit",0);
LogProfit(0);
}
qtyValueArray=qtyValueSequence.split(",");
for (let i = 0; i < exchanges.length; i++) {
myExchanges.push(new MyExchange(exchanges[i],i,parseFloat(qtyValueArray[i])));
}
table = {
type: "table",
title: "账户信息",
cols: ["币种","钱包余额", "未实现盈亏", "保证金余额", "可下单余额"],
rows: [
]
}
/*if (IsVirtual() == false) {
var symbols = "";
for (let i = 0; i < exchanges.length; i++) {
let e = exchanges[i];
let eName = e.GetCurrency().replace("_", "").toLowerCase();
symbols += eName + "@forceOrder" + (i == exchanges.length - 1 ? "" : "/");
}
let str = "wss://fstream.binance.com/stream?streams=" + symbols + "|reconnect=true";
let str1="wss://fstream.binance.com/stream?streams=!forceOrder@arr|reconnect=true"
Log("websocket请求链接为:" + str1);
streamClient = Dial(str1);
}*/
while(true){
let date = new Date();
let curMinute = date.getMinutes();
/*if(useTKTick && Math.abs( curSecond - lastCloseSecond)> basePeriod ){
//Log("检测价格");
for(let myE of myExchanges){
myE.getThis().CloseImmidiate();
//Log("实时止盈");
}
lastCloseSecond=Unix();
}*/
if (Unix() - lastRunSecond > tickPeriod ) {
table.rows.length=0;
for (let myE of myExchanges) {
myE.getThis().run();
}
lastRunSecond = Unix();
//打印账户信息
let balance=GetAllBalance(exchange);
let account=balance.account;
let assets=balance.assets;
for(let i=0;i<assets.length;i++){
let asset=assets[i];
//table.rows.push([asset.asset+"USD",asset.walletBalance,asset.unrealizedProfit,asset.marginBalance,asset.availableBalance]);
let e=FindExchange(asset.asset+"_USD");
if(e!=null)
e.UpdateBalance(asset.walletBalance,asset.unrealizedProfit,asset.marginBalance,asset.availableBalance);
//Log(asset.walletBalance,asset.unrealizedProfit,asset.marginBalance,asset.availableBalance);
}
LogStatus("`" + JSON.stringify(table) + "`")
}
let curMillSecond = date.getMilliseconds();
Sleep(1000 - curMillSecond);
}
}
function onexit(){
Log("撤销所有订单");
for(let e of exchanges){
let orders= _C(e.GetOrders);
for (var i = 0 ; i < orders.length ; i++) {
e.CancelOrder(orders[i].Id)
}
}
}
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menunggang 。。。