function getAccounts() {
var accounts = [];
while (true) {
for (var i = 0; i < exchanges.length; i++) {
if (accounts[i] == null) {
// 创建异步操作
accounts[i] = exchanges[i].Go("GetAccount");
}
}
var failed = 0;
for (var i = 0; i < exchanges.length; i++) {
if (typeof(accounts[i].wait) != "undefined") {
// 等待结果
var account = accounts[i].wait(5);
if (typeof(account) != "undefined") {
if (account) {
accounts[i] = account;
} else {
// 重试
accounts[i] = null;
failed++;
}
} else {
failed++;
}
}
}
if (failed == 0) {
break;
}
}
return accounts;
}
function getDepthInfo() {
var beginTime = new Date().getTime();
var depths = [];
var elapses = [];
// for (var i = 0; i < exchanges.length; i++) {
// var startTime = new Date().getTime();
// depths[i] = _C(exchanges[i].GetDepth);
// var endTime = new Date().getTime();
// elapses[i] = endTime - startTime;
// }
while (true) {
for (var i = 0; i < exchanges.length; i++) {
if (depths[i] == null && (elapses[i] == null || elapses[i] <= maxElapse)) {
// 创建异步操作
depths[i] = exchanges[i].Go("GetDepth");
}
}
var failed = 0;
for (var i = 0; i < exchanges.length; i++) {
if (depths[i] == null) {
continue;
}
if (typeof(depths[i].wait) != "undefined") {
var waitStartTime = new Date().getTime();
// 等待结果
var depth = depths[i].wait(5);
if (typeof(depth) != "undefined") {
if (depth) {
depths[i] = depth;
} else {
// 重试
depths[i] = null;
failed++;
}
} else {
failed++;
}
var waitEndTime = new Date().getTime();
if (elapses[i] == null) {
elapses[i] = waitEndTime - waitStartTime;
} else {
elapses[i] = elapses[i] + waitEndTime - waitStartTime;
}
}
}
if (failed == 0) {
break;
}
}
var finishTime = new Date().getTime();
return {
"totalElapse": finishTime - beginTime,
"elapses": elapses,
"depths": depths
};
}
function getExchangeTariff(index) {
var exchangeName = exchanges[index].GetName();
if (exchangeName == "Huobi") {
return 0.09 / 100;
} else if (exchangeName == "Binance") {
return 0.075 / 100;
} else if (exchangeName == "GateIO") {
return 0.03 / 100;
} else if (exchangeName == "OKEX") {
return 0.15 / 100;
} else {
return 0.1 / 100;
}
}
var pricesChart = Chart([{ // 这个 chart 在JS 语言中 是对象， 在使用Chart 函数之前我们需要声明一个配置图表的对象变量chart。
__isStock: true, // 标记是否为一般图表，有兴趣的可以改成 false 运行看看。
tooltip: {
xDateFormat: '%Y-%m-%d %H:%M:%S, %A'
}, // 缩放工具
title: {
text: '差价分析图'
}, // 标题
rangeSelector: { // 选择范围
buttons: [{
type: 'hour',
count: 1,
text: '1h'
}, {
type: 'hour',
count: 3,
text: '3h'
}, {
type: 'hour',
count: 8,
text: '8h'
}, {
type: 'all',
text: 'All'
}],
selected: 0,
inputEnabled: false
},
xAxis: {
type: 'datetime'
}, // 坐标轴横轴 即：x轴， 当前设置的类型是 ：时间
yAxis: { // 坐标轴纵轴 即：y轴， 默认数值随数据大小调整。
title: {
text: '差价'
}, // 标题
opposite: false, // 是否启用右边纵轴
},
series: [ // 数据系列，该属性保存的是 各个 数据系列（线， K线图， 标签等..）
{
name: "委托买价",
id: "委托买价,bidPrice",
data: []
}, {
name: "委托卖价",
id: "委托卖价,askPrice",
data: []
}, {
name: "套利买价",
id: "套利买价,arbitrageBidPrice",
data: []
}, {
name: "套利卖价",
id: "套利卖价,arbitrageAskPrice",
data: []
}, {
name: "买入下单价格",
id: "买入下单价格,placeOrderPrice",
dashStyle: 'shortdash',
data: []
}, {
name: "买入撤单价格",
id: "买入撤单价格,cancelOrderPrice",
dashStyle: 'shortdash',
data: []
},
]
}]);
function updatePriceChart(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio) {
var nowTime = new Date().getTime();
pricesChart.add([0, [nowTime, bidPrice.RealPrice]]);
pricesChart.add([1, [nowTime, askPrice.RealPrice]]);
pricesChart.add([2, [nowTime, arbitrageBidRealPrice]]);
pricesChart.add([3, [nowTime, arbitrageAskRealPrice]]);
pricesChart.add([4, [nowTime, bidPrice.RealPrice * (1 + placeOrderDiffPriceRatio)]]);
pricesChart.add([5, [nowTime, bidPrice.RealPrice * (1 + cancelOrderDiffPriceRatio)]]);
}
var CurrencyOverturn = false;
var BidOrder = {
"DealAmount": 0,
"Amount": 0,
"Price": 0,
"RealPrice": 0,
"OrderId": 0,
}
var AskOrder = {
"DealAmount": 0,
"Amount": 0,
"Price": 0,
"RealPrice": 0,
"OrderId": 0,
}
var RunningInfo = {
"OpenOrders": [],
"Profit": 0,
"FeeCost": 0,
"CoinProfit": 0,
"CoinFeeCost": 0,
"Profit_hedge": 0,
"FeeCost_hedge": 0,
"Changed": false
};
var AccountInfo = {
"CurBalance": 0,
"CurStocks": 0,
"LastUpdateTime": 0,
}
function updateAccountInfo(flush) {
if (!flush && new Date().getTime() - AccountInfo.LastUpdateTime < 60 * 1000) {
return
}
var exAccount = _C(exchanges[0].GetAccount);
AccountInfo.CurBalance = exAccount.Balance;
AccountInfo.CurStocks = exAccount.Stocks;
AccountInfo.LastUpdateTime = new Date().getTime();
}
function getOrder(ex, orderId) {
order = ex.GetOrder(orderId);
if (order != null) {
fixOrder(ex, order);
}
return order;
}
function fixOrder(ex, order) {
var exName = ex.GetName();
if (exName == "GateIO") {
order.DealAmount = parseFloat(order.Info.filledAmount);
order.AvgPrice = parseFloat(order.Info.filledRate);
} else if (exName == "Binance") {
order.AvgPrice = parseFloat(order.Info.cummulativeQuoteQty) / order.DealAmount;
}
}
function mergeDepth(askOrBids, mergeAmount) {
var askOrBid = {
"Amout": 0,
"Price": 0
};
for (var i = 0; i < askOrBids.length; i++) {
if (askOrBid.Amout > mergeAmount) {
break;
}
askOrBid.Amout += askOrBids[i].Amount;
askOrBid.Price = askOrBids[i].Price;
}
return askOrBid;
}
function getArbitrageBidRealPrice(depths) {
var askPrice1 = mergeDepth(depths[1].Asks, maxTakerAmount).Price
var askMoney1 = askPrice1 * maxTakerAmount;
if (CurrencyOverturn) {
return (askPrice1 * (1 + getExchangeTariff(1))) * (mergeDepth(depths[2].Asks, askMoney1).Price * (1 + getExchangeTariff(2)));
} else {
return (askPrice1 * (1 + getExchangeTariff(1))) / (mergeDepth(depths[2].Bids, askMoney1 / depths[2].Bids[0].Price).Price * (1 - getExchangeTariff(2)));
}
}
function getArbitrageAskRealPrice(depths) {
var bidPrice1 = mergeDepth(depths[1].Bids, maxTakerAmount).Price;
var bidMoney1 = bidPrice1 * maxTakerAmount;
if (CurrencyOverturn) {
return (bidPrice1 * (1 - getExchangeTariff(1))) * (mergeDepth(depths[2].Bids, bidMoney1).Price * (1 - getExchangeTariff(2)));
} else {
return (bidPrice1 * (1 - getExchangeTariff(1))) / (mergeDepth(depths[2].Asks, bidMoney1 / depths[2].Asks[0].Price).Price * (1 + getExchangeTariff(2)));
}
}
function getOpenOrdersAmount() {
var amount = 0;
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
amount += RunningInfo.OpenOrders[i].Amout;
}
return amount;
}
function getOpenOrdersAvgRealPrice() {
var amount = 0;
var realMoney = 0;
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
amount += RunningInfo.OpenOrders[i].Amout;
realMoney += RunningInfo.OpenOrders[i].RealPrice * RunningInfo.OpenOrders[i].Amout;
}
if (amount > 0) {
return realMoney / amount;
} else {
return 0;
}
}
function mergeOpenOrders() {
var buyOpenOrders = [];
var sellOpenOrders = [];
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
if (RunningInfo.OpenOrders[i].Amout > 0) {
var contain = false;
for (var j = 0; j < buyOpenOrders.length; j++) {
if (buyOpenOrders[j].Price == RunningInfo.OpenOrders[i].Price) {
buyOpenOrders[j].Amout += RunningInfo.OpenOrders[i].Amout;
contain = true;
break;
}
}
if (!contain && RunningInfo.OpenOrders[i].Amout != 0) {
buyOpenOrders.push(RunningInfo.OpenOrders[i]);
}
} else {
var contain = false;
for (var j = 0; j < sellOpenOrders.length; j++) {
if (sellOpenOrders[j].Price == RunningInfo.OpenOrders[i].Price) {
sellOpenOrders[j].Amout += RunningInfo.OpenOrders[i].Amout;
contain = true;
break;
}
}
if (!contain && RunningInfo.OpenOrders[i].Amout != 0) {
sellOpenOrders.push(RunningInfo.OpenOrders[i]);
}
}
}
var profitChange = false;
for (var i = 0; i < buyOpenOrders.length; i++) {
var buyOpenOrder = buyOpenOrders[i];
if (buyOpenOrder.Amout == 0) {
continue;
}
for (var j = 0; j < sellOpenOrders.length; j++) {
var sellOpenOrder = sellOpenOrders[j];
if (sellOpenOrder.Amout == 0) {
continue;
}
if (RunningInfo.Profit_hedge == null) {
RunningInfo.Profit_hedge = 0;
}
if (RunningInfo.FeeCost_hedge == null) {
RunningInfo.FeeCost_hedge = 0;
}
if (buyOpenOrder.Amout + sellOpenOrder.Amout > 0) {
RunningInfo.Profit_hedge += (-sellOpenOrder.Amout) * (sellOpenOrder.RealPrice - buyOpenOrder.RealPrice);
RunningInfo.FeeCost_hedge += (-sellOpenOrder.Amout * sellOpenOrder.Price * getExchangeTariff(0)) + (-sellOpenOrder.Amout * buyOpenOrder.Price * getExchangeTariff(0))
buyOpenOrder.Amout += sellOpenOrder.Amout;
sellOpenOrder.Amout = 0;
} else {
RunningInfo.Profit_hedge += (buyOpenOrder.Amout) * (sellOpenOrder.RealPrice - buyOpenOrder.RealPrice);
RunningInfo.FeeCost_hedge += (buyOpenOrder.Amout * sellOpenOrder.Price * getExchangeTariff(0)) + (buyOpenOrder.Amout * buyOpenOrder.Price * getExchangeTariff(0))
sellOpenOrder.Amout += buyOpenOrder.Amout;
buyOpenOrder.Amout = 0;
}
profitChange = true;
}
}
if (profitChange) {
RunningInfo.Changed = true;
// LogProfit(RunningInfo.Profit + RunningInfo.CoinProfit * RunningInfo.OpenOrders[i].Price);
}
var nowOpenOrders = [];
var fixOpenOrders = [];
for (var i = 0; i < buyOpenOrders.length; i++) {
if (buyOpenOrders[i].Amout == 0) {
continue;
}
if (buyOpenOrders[i].TransactionTime != null && new Date().getTime() - buyOpenOrders[i].TransactionTime < 5 * 60 * 1000) {
nowOpenOrders.push(buyOpenOrders[i])
continue;
}
if (fixOpenOrders.length == 0 || fixOpenOrders[fixOpenOrders.length - 1].Amout < 0) {
fixOpenOrders.push(buyOpenOrders[i]);
continue;
}
var mergeOpenOrder = fixOpenOrders[fixOpenOrders.length - 1];
var mergeAmount = buyOpenOrders[i].Amout + mergeOpenOrder.Amout;
var mergeMoney = buyOpenOrders[i].Amout * buyOpenOrders[i].Price + mergeOpenOrder.Amout * mergeOpenOrder.Price;
var mergeRealMoney = buyOpenOrders[i].Amout * buyOpenOrders[i].RealPrice + mergeOpenOrder.Amout * mergeOpenOrder.RealPrice;
mergeOpenOrder.Amout = mergeAmount;
mergeOpenOrder.Price = mergeMoney / mergeAmount;
mergeOpenOrder.RealPrice = mergeRealMoney / mergeAmount;
}
for (var i = 0; i < sellOpenOrders.length; i++) {
if (sellOpenOrders[i].Amout == 0) {
continue;
}
if (sellOpenOrders[i].TransactionTime != null && new Date().getTime() - sellOpenOrders[i].TransactionTime < 5 * 60 * 1000) {
nowOpenOrders.push(sellOpenOrders[i]);
continue;
}
if (fixOpenOrders.length == 0 || fixOpenOrders[fixOpenOrders.length - 1].Amout > 0) {
fixOpenOrders.push(sellOpenOrders[i]);
continue;
}
var mergeOpenOrder = fixOpenOrders[fixOpenOrders.length - 1];
var mergeAmount = sellOpenOrders[i].Amout + mergeOpenOrder.Amout;
var mergeMoney = sellOpenOrders[i].Amout * sellOpenOrders[i].Price + mergeOpenOrder.Amout * mergeOpenOrder.Price;
var mergeRealMoney = sellOpenOrders[i].Amout * sellOpenOrders[i].RealPrice + mergeOpenOrder.Amout * mergeOpenOrder.RealPrice;
mergeOpenOrder.Amout = mergeAmount;
mergeOpenOrder.Price = mergeMoney / mergeAmount;
mergeOpenOrder.RealPrice = mergeRealMoney / mergeAmount;
}
for (var i = 0; i < nowOpenOrders.length; i++) {
fixOpenOrders.push(nowOpenOrders[i]);
}
RunningInfo.OpenOrders = fixOpenOrders;
}
function marketSell(exIndex, amount, bidPrice) {
var orderId = null;
var ex = exchanges[exIndex];
if (ex.GetName() == "GateIO") {
orderId = ex.Sell(bidPrice * 0.8, amount, ex.GetCurrency());
if (orderId == null) {
Sleep(500);
orderId = ex.Sell(bidPrice * 0.8, amount, ex.GetCurrency());
}
} else {
orderId = ex.Sell(-1, amount, ex.GetCurrency());
if (orderId == null) {
Sleep(500);
orderId = ex.Sell(-1, amount, ex.GetCurrency());
}
}
if (orderId == null) {
return null;
}
var order = null;
while (true) {
order = getOrder(ex, orderId);
if (order != null && order.Status != ORDER_STATE_PENDING) {
break;
} else {
Sleep(50);
}
}
return order
}
function marketBuy(exIndex, amount, askPrice) {
var orderId = null;
var ex = exchanges[exIndex];
if (ex.GetName() == "GateIO") {
orderId = ex.Buy(askPrice * 1.2, amount, ex.GetCurrency())
if (orderId == null) {
Sleep(500);
orderId = ex.Buy(askPrice * 1.2, amount, ex.GetCurrency())
}
} else {
orderId = ex.Buy(-1, amount, ex.GetCurrency())
if (orderId == null) {
Sleep(500);
orderId = ex.Buy(-1, amount, ex.GetCurrency())
}
}
if (orderId == null) {
return null;
}
var order = null;
while (true) {
order = getOrder(ex, orderId);
if (order != null && order.Status != ORDER_STATE_PENDING) {
break;
} else {
Sleep(50);
}
}
return order
}
function isBuyAmount(exIndex) {
return exchanges[exIndex].GetName() == "Binance" || exchanges[exIndex].GetName() == "GateIO";
}
function handleOpenOrders(arbitrageBidRealPrice, arbitrageAskRealPrice, cancelOrderDiffPriceRatio, depths) {
if (RunningInfo.OpenOrders.length == 0) {
return false;
}
mergeOpenOrders();
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
var doTransaction = false;
if (RunningInfo.OpenOrders[i].Amout >= minTakerAmount && arbitrageAskRealPrice > RunningInfo.OpenOrders[i].RealPrice * (1 + cancelOrderDiffPriceRatio)) {
if (runMode == 1 && (AskOrder.OrderId != 0 && AskOrder.OrderId != null) && getOpenOrdersAmount() - (AskOrder.Amount + AskOrder.DealAmount) < math.min(maxTakerAmount, RunningInfo.OpenOrders[i].Amout)) {
exchanges[0].CancelOrder(AskOrder.OrderId, "卖出:", AskOrder, "当前单边数量:", getOpenOrdersAmount());
return false;
}
Log("套利路径: 【买入->卖出】, 买入价" + RunningInfo.OpenOrders[i].Price + ", 开始======");
//买进的小币种
var takerAmount = math.min(maxTakerAmount, RunningInfo.OpenOrders[i].Amout); //小币种
var takerMoney = takerAmount * RunningInfo.OpenOrders[i].Price; //大币种
var takerFeeCost = takerMoney * getExchangeTariff(0); //大币种手续费
//卖出小币种得到中间币种
var order = marketSell(1, takerAmount, mergeDepth(depths[1].Bids, takerAmount).Price);
if (order == null) {
continue;
}
//获得的中间币种
var swapCoinPrice = order.AvgPrice;
var swapCoinAmount = order.DealAmount * order.AvgPrice;
var swapCoinFeeCost = swapCoinAmount * getExchangeTariff(1); //中间币种手续费
if (CurrencyOverturn) {
//第三个交易所翻转: CoinC/CoinB, CoinC是中间币种
order = marketSell(2, swapCoinAmount, mergeDepth(depths[2].Bids, swapCoinAmount).Price)
} else {
//通过中间币种买进大币种: CoinB/CoinC
if (isBuyAmount(2)) {
//币安设置买进数量
var hedgeMoney = (RunningInfo.Profit_hedge + RunningInfo.FeeCost_hedge)
var compensateMoney = 0;
if (hedgeMoney < -takerMoney) {
compensateMoney = takerMoney / 4
} else if (hedgeMoney < 0) {
compensateMoney = -hedgeMoney
}
order = marketBuy(2, takerMoney + compensateMoney, mergeDepth(depths[2].Asks, takerMoney + compensateMoney).Price)
} else {
//其他设置买进金额
order = marketBuy(2, swapCoinAmount, 0)
}
}
if (order == null) {
RunningInfo.OpenOrders[i].Amout -= takerAmount;
return true;
}
var feeCost = 0;
var profit = 0;
if (CurrencyOverturn) {
feeCost = takerFeeCost + swapCoinFeeCost * order.AvgPrice + order.DealAmount * order.AvgPrice * getExchangeTariff(2);
profit = order.DealAmount * order.AvgPrice - takerMoney - feeCost;
} else {
if (isBuyAmount(2)) { //币安赚取的是中间币种
feeCost = takerFeeCost * order.AvgPrice + swapCoinFeeCost + order.DealAmount * order.AvgPrice * getExchangeTariff(2);
profit = swapCoinAmount - order.DealAmount * order.AvgPrice - feeCost;
RunningInfo.Profit_hedge += (order.DealAmount - takerMoney)
if (RunningInfo.FeeCost_hedge > 0) {
feeCost += RunningInfo.FeeCost_hedge * order.AvgPrice
profit -= RunningInfo.FeeCost_hedge * order.AvgPrice
RunningInfo.Profit_hedge += RunningInfo.FeeCost_hedge;
RunningInfo.FeeCost_hedge = 0;
}
} else { //其他赚取的是大币种
feeCost = takerFeeCost + swapCoinFeeCost / order.AvgPrice + order.DealAmount * getExchangeTariff(2);
profit = order.DealAmount - takerMoney - feeCost;
}
}
RunningInfo.Profit += profit;
RunningInfo.FeeCost += feeCost;
RunningInfo.Changed = true;
Log("套利途径: 【买入->卖出】, 卖出价", CurrencyOverturn ? swapCoinPrice * order.AvgPrice : swapCoinPrice / order.AvgPrice, ", 数量", takerAmount, ", 手续费", feeCost, ", 盈利", profit);
LogProfit(RunningInfo.Profit + (RunningInfo.CoinProfit - RunningInfo.CoinFeeCost) * RunningInfo.OpenOrders[i].Price);
RunningInfo.OpenOrders[i].Amout -= takerAmount;
doTransaction = true;
} else if (RunningInfo.OpenOrders[i].Amout <= -minTakerAmount && arbitrageBidRealPrice < RunningInfo.OpenOrders[i].RealPrice * (1 - cancelOrderDiffPriceRatio)) {
if (runMode == 2 && (BidOrder.OrderId != 0 && BidOrder.OrderId != null) && getOpenOrdersAmount() + (BidOrder.Amount - BidOrder.DealAmount) > -math.min(maxTakerAmount, -RunningInfo.OpenOrders[i].Amout)) {
exchanges[0].CancelOrder(BidOrder.OrderId, "买入:", BidOrder, "当前单边数量:", getOpenOrdersAmount());
return false;
}
Log("套利路径: 【卖出->买入】, 卖出价" + RunningInfo.OpenOrders[i].Price + ", 开始======");
//卖出的小币种
var takerAmount = math.min(maxTakerAmount, -RunningInfo.OpenOrders[i].Amout);
var takerMoney = takerAmount * RunningInfo.OpenOrders[i].Price; //大币种
var takerFeeCost = takerMoney * getExchangeTariff(0); //大币种手续费
//卖出大币种得到中间币种
//todo: 第三个交易对翻转没处理
var order = marketSell(2, takerMoney, mergeDepth(depths[2].Bids, takerMoney).Price)
if (order == null) {
continue;
}
//获得的中间币种
var swapCoinPrice = order.AvgPrice;
var swapCoinAmount = order.DealAmount * order.AvgPrice;
var swapCoinFeeCost = swapCoinAmount * getExchangeTariff(2); //中间币种手续费
var bigSwapPrice = order.AvgPrice;
//通过中间币种买进小币种
if (isBuyAmount(1)) {
//币安设置买进数量
order = marketBuy(1, takerAmount, mergeDepth(depths[1].Asks, takerAmount).Price)
} else {
//其他设置买进金额
order = marketBuy(1, swapCoinAmount, 0)
}
if (order == null) {
RunningInfo.OpenOrders[i].Amout += takerAmount;
return true;
}
var feeCost = 0;
var profit = 0;
var coinProfit = 0;
var coinFeeCost = 0;
if (isBuyAmount(1)) { //币安赚取的是中间币种
feeCost = takerFeeCost * bigSwapPrice + swapCoinFeeCost + order.DealAmount * order.AvgPrice * getExchangeTariff(2);
profit = swapCoinAmount - order.DealAmount * order.AvgPrice - feeCost;
} else { //其他赚取的是小币种
feeCost = takerFeeCost + swapCoinFeeCost / bigSwapPrice + order.DealAmount * order.AvgPrice / bigSwapPrice * getExchangeTariff(2);
coinProfit = order.DealAmount - takerAmount;
coinFeeCost = order.DealAmount * getExchangeTariff(1);
}
RunningInfo.FeeCost += feeCost;
RunningInfo.Profit += profit;
RunningInfo.CoinProfit += coinProfit;
RunningInfo.CoinFeeCost += coinFeeCost;
RunningInfo.Changed = true;
if (isBuyAmount(1)) {
Log("套利途径: 【卖出->买入】, 买入价", CurrencyOverturn ? swapCoinPrice * order.AvgPrice : order.AvgPrice / swapCoinPrice, ", 数量", takerAmount, ", 手续费", feeCost, ", 盈利", profit);
} else {
Log("套利途径: 【卖出->买入】, 买入价", CurrencyOverturn ? swapCoinPrice * order.AvgPrice : order.AvgPrice / swapCoinPrice, ", 数量", takerAmount, ", 手续费", feeCost, ", 获取货币", coinProfit);
}
LogProfit(RunningInfo.Profit + (RunningInfo.CoinProfit - RunningInfo.CoinFeeCost) * RunningInfo.OpenOrders[i].Price);
RunningInfo.OpenOrders[i].Amout += takerAmount;
doTransaction = true;
}
if (doTransaction) {
return true;
}
}
return false;
}
function loop(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio) {
if ((arbitrageAskRealPrice > bidPrice.RealPrice * (1 + placeOrderDiffPriceRatio) && (runMode == 3 || runMode == 1)) ||
(runMode == 2 && getOpenOrdersAmount() < -minTakerAmount &&
(getOpenOrdersAvgRealPrice() > bidPrice.RealPrice ||
(arbitrageAskRealPrice > bidPrice.RealPrice * (1 - cancelOrderDiffPriceRatio) &&
arbitrageBidRealPrice > bidPrice.RealPrice * (1 + (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio) * 1.5)
)
)
)
) {
if (BidOrder.OrderId == 0 || BidOrder.OrderId == null) {
var buyAmount = math.min(AccountInfo.CurBalance / bidPrice.Price, buyMaxTakerAmount);
if (buyAmount > minTakerAmount) {
BidOrder.OrderId = exchanges[0].Buy(bidPrice.Price, buyAmount);
BidOrder.Price = bidPrice.Price;
BidOrder.RealPrice = bidPrice.RealPrice;
BidOrder.Amount = buyAmount;
}
} else {
var order = _C(exchanges[0].GetOrder, BidOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
BidOrder.OrderId = 0;
BidOrder.DealAmount = 0;
} else if (bidPrice.Price > BidOrder.Price) {
exchanges[0].CancelOrder(BidOrder.OrderId, "买入:", BidOrder);
} else {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
BidOrder.DealAmount = order.DealAmount;
}
}
}
} else if (BidOrder.OrderId != 0 && BidOrder.OrderId != null) {
var order = _C(exchanges[0].GetOrder, BidOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
BidOrder.OrderId = 0;
BidOrder.DealAmount = 0;
} else if ((arbitrageAskRealPrice < bidPrice.RealPrice * (1 + cancelOrderDiffPriceRatio) && bidPrice.Price <= BidOrder.Price && (runMode == 3 || runMode == 1)) ||
(runMode == 2 && getOpenOrdersAvgRealPrice() <= BidOrder.RealPrice && bidPrice.Price <= BidOrder.Price &&
(arbitrageAskRealPrice < bidPrice.RealPrice * (1 - placeOrderDiffPriceRatio) ||
arbitrageBidRealPrice < bidPrice.RealPrice * (1 + (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio))
)
)
) {
exchanges[0].CancelOrder(BidOrder.OrderId, "买入:", BidOrder);
} else {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
BidOrder.DealAmount = order.DealAmount;
}
}
}
if ((arbitrageBidRealPrice < askPrice.RealPrice * (1 - placeOrderDiffPriceRatio) && (runMode == 3 || runMode == 2)) ||
(runMode == 1 && getOpenOrdersAmount() > minTakerAmount &&
(getOpenOrdersAvgRealPrice() < askPrice.RealPrice ||
(arbitrageBidRealPrice < askPrice.RealPrice * (1 + cancelOrderDiffPriceRatio) &&
arbitrageAskRealPrice < askPrice.RealPrice * (1 - (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio) * 1.5)
)
)
)
) {
if (AskOrder.OrderId == 0 || AskOrder.OrderId == null) {
var sellAmount = math.min(AccountInfo.CurStocks, sellMaxTakerAmount);
if (sellAmount > minTakerAmount) {
AskOrder.OrderId = exchanges[0].Sell(askPrice.Price, sellAmount);
AskOrder.Price = askPrice.Price;
AskOrder.RealPrice = askPrice.RealPrice;
AskOrder.Amount = sellAmount;
}
} else {
var order = _C(exchanges[0].GetOrder, AskOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
AskOrder.OrderId = 0;
AskOrder.DealAmount = 0;
} else if (askPrice.Price < AskOrder.Price) {
exchanges[0].CancelOrder(AskOrder.OrderId, "卖出:", AskOrder);
} else {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
AskOrder.DealAmount = -order.DealAmount;
}
}
}
} else if (AskOrder.OrderId != 0 && AskOrder.OrderId != null) {
var order = _C(exchanges[0].GetOrder, AskOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
AskOrder.OrderId = 0;
AskOrder.DealAmount = 0;
} else if ((arbitrageBidRealPrice > askPrice.RealPrice * (1 - cancelOrderDiffPriceRatio) && askPrice.Price >= AskOrder.Price && (runMode == 3 || runMode == 2)) ||
(runMode == 1 && getOpenOrdersAvgRealPrice() >= AskOrder.RealPrice && askPrice.Price >= AskOrder.Price &&
(arbitrageBidRealPrice > askPrice.RealPrice * (1 + placeOrderDiffPriceRatio) ||
arbitrageAskRealPrice > askPrice.RealPrice * (1 - (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio))
)
)
) {
exchanges[0].CancelOrder(AskOrder.OrderId, "卖出:", AskOrder);
} else {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
AskOrder.DealAmount = -order.DealAmount;
}
}
}
}
function checkArgs() {
Log("检测参数...");
if (exchanges.length != 3) {
throw "交易对必须三个才能对冲";
}
if (exchanges[0].GetName() != exchanges[1].GetName() || exchanges[0].GetName() != exchanges[2].GetName()) {
throw "交易对不在同一个交易所";
}
var coinA = exchanges[0].GetCurrency().split("_")[0];
var coinB = exchanges[0].GetCurrency().split("_")[1];
if (exchanges[1].GetCurrency().split("_")[0] != coinA) {
throw "第二个交易对" + exchanges[1].GetCurrency() + "币种不等于" + coinA;
}
var coinC = exchanges[1].GetCurrency().split("_")[1];
if (exchanges[2].GetCurrency() == coinB + "_" + coinC) {
CurrencyOverturn = false;
} else if (exchanges[2].GetCurrency() == coinC + "_" + coinB) {
CurrencyOverturn = true;
} else {
throw "第三个交易对" + exchanges[2].GetCurrency() + "无法形成对冲";
}
if (placePriceRatio < 0.5) {
throw "下单价格比例:" + placePriceRatio + " 小于0.5";
}
if (cancelPriceRatio > placePriceRatio) {
throw "撤单价格比例:" + cancelPriceRatio + " 大于" + placePriceRatio;
}
Log("开始三角套利 CoinA:", coinA, ", CoinB:", coinB, ", CoinC:", coinC, ", 第三个交易对翻转:", CurrencyOverturn);
}
function updateStatus(totalElapse) {
var coinA = exchanges[0].GetCurrency().split("_")[0];
var coinB = exchanges[0].GetCurrency().split("_")[1];
var coinC = exchanges[1].GetCurrency().split("_")[1];
var makeCoin = !CurrencyOverturn && isBuyAmount(2) ? coinC : coinB;
var profitPrecisions = !CurrencyOverturn && isBuyAmount(2) ? parseInt(pricePrecisions.split(",")[1]) : parseInt(pricePrecisions.split(",")[0]);
var statusTable = [{
type: 'table',
title: '持仓信息',
cols: [],
rows: []
}, {
type: 'table',
title: '当前订单',
cols: ['订单号', '数量', '完成数量', '价格'],
rows: []
}, {
type: 'table',
title: '单边成交',
cols: ['数量', '价格'],
rows: []
}];
if (makeCoin != coinB) {
statusTable[0].cols = ['交易所', '费率%', '延迟', '当前余额', '当前币数',
'收益' + makeCoin, '收益' + coinA, '手续费' + makeCoin, "对冲收益" + coinB, "对冲手续费" + coinB, '操作'
];
statusTable[0].rows[0] = [
exchanges[0].GetName(),
getExchangeTariff(0) * 100,
totalElapse,
_N(AccountInfo.CurBalance, parseInt(pricePrecisions.split(",")[0])),
_N(AccountInfo.CurStocks, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.Profit, profitPrecisions),
_N(RunningInfo.CoinProfit, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.FeeCost, profitPrecisions),
_N(RunningInfo.Profit_hedge, parseInt(pricePrecisions.split(",")[0])),
_N(RunningInfo.FeeCost_hedge, parseInt(pricePrecisions.split(",")[0])),
]
} else {
statusTable[0].cols = ['交易所', '费率%', '延迟', '当前余额', '当前币数',
'收益' + makeCoin, '收益' + coinA, '手续费' + makeCoin, '操作'
];
RunningInfo.Profit += RunningInfo.Profit_hedge;
RunningInfo.Profit_hedge = 0;
RunningInfo.FeeCost += RunningInfo.FeeCost_hedge;
RunningInfo.FeeCost_hedge = 0;
statusTable[0].rows[0] = [
exchanges[0].GetName(),
getExchangeTariff(0) * 100,
totalElapse,
_N(AccountInfo.CurBalance, parseInt(pricePrecisions.split(",")[0])),
_N(AccountInfo.CurStocks, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.Profit, profitPrecisions),
_N(RunningInfo.CoinProfit, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.FeeCost, profitPrecisions),
]
}
if (AskOrder.OrderId != 0 && AskOrder.OrderId != null) {
statusTable[1].rows[statusTable[1].rows.length] = [AskOrder.OrderId, AskOrder.Amount, AskOrder.DealAmount, AskOrder.Price];
}
if (BidOrder.OrderId != 0 && BidOrder.OrderId != null) {
statusTable[1].rows[statusTable[1].rows.length] = [BidOrder.OrderId, BidOrder.Amount, BidOrder.DealAmount, BidOrder.Price];
}
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
statusTable[2].rows[i] = [RunningInfo.OpenOrders[i].Amout, RunningInfo.OpenOrders[i].Price];
}
LogStatus('`' + JSON.stringify(statusTable) + '`' +
"\n更新时间: " + _D(new Date().getTime())
);
}
function main() {
_CDelay(100);
checkArgs();
if (restoreData) {
LogProfitReset();
LogReset(1);
LogVacuum();
pricesChart.reset();
_G(null);
}
SetErrorFilter("500:|502:|GetAccount: Failed to load data|Unknown order sent|Incorrect order state|timeout|network is unreachable|The request could not be satisfied|Too many requests; current limit is 1200 requests per minute|Request Timeout|timeout awaiting response headers|request canceled|GetOrder[\\w\\W]*?429 Too Many Requests|GetOrder[\\w\\W]*?Order does not exist|The order \\d* cancelled or not found");
for (var i = 0; i < exchanges.length; i++) {
exchanges[i].SetPrecision(parseInt(pricePrecisions.split(",")[i]), parseInt(amountPrecisions.split(",")[i]));
}
var runningInfo = _G("runningInfo");
if (runningInfo != null) {
RunningInfo = runningInfo;
if (RunningInfo.CoinFeeCost == null) {
RunningInfo.CoinFeeCost = 0;
}
if (RunningInfo.FeeCost_hedge == null) {
RunningInfo.FeeCost_hedge = 0;
}
if (RunningInfo.Profit_hedge == null) {
RunningInfo.Profit_hedge = 0;
}
}
updateAccountInfo(true);
Log(AccountInfo);
while (true) {
var sleepMillis = 500;
var depthInfo = getDepthInfo();
var reloop = false;
for (var i = 0; i < depthInfo.elapses.length; i++) {
if (depthInfo.elapses[i] > maxElapse) {
reloop = true;
break
}
}
if (reloop) {
Sleep(sleepMillis);
continue;
}
var depths = depthInfo.depths;
var bidPrice = {
"Price": depths[0].Bids[0].Price,
"RealPrice": depths[0].Bids[0].Price * (1 + getExchangeTariff(0))
};
var askPrice = {
"Price": depths[0].Asks[0].Price,
"RealPrice": depths[0].Asks[0].Price * (1 - getExchangeTariff(0))
};
var arbitrageBidRealPrice = getArbitrageBidRealPrice(depths);
var arbitrageAskRealPrice = getArbitrageAskRealPrice(depths);
var diffPriceRatio = (askPrice.RealPrice - bidPrice.RealPrice) / askPrice.RealPrice;
if (diffPriceRatio < 0.5 / 100) {
throw "交易对差价比例过小"
}
var placeOrderDiffPriceRatio = placePriceRatio * (diffPriceRatio / 2);
var cancelOrderDiffPriceRatio = math.max(cancelPriceRatio * (diffPriceRatio / 2), 0.1 / 100);
var bidOrderId = BidOrder.OrderId;
var askOrderId = AskOrder.OrderId;
var openOrdersAmount = getOpenOrdersAmount();
if (runMode != 0) {
if (handleOpenOrders(arbitrageBidRealPrice, arbitrageAskRealPrice, cancelOrderDiffPriceRatio, depths)) {
sleepMillis = 50
} else {
loop(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio);
}
_G("runningInfo", RunningInfo);
}
flushAccountInfo = BidOrder.OrderId != bidOrderId || AskOrder.OrderId != askOrderId || openOrdersAmount != getOpenOrdersAmount();
updateAccountInfo(flushAccountInfo);
updatePriceChart(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio);
updateStatus(depthInfo.totalElapse);
Sleep(sleepMillis);
}
}
function onexit() {
cancelAllOrders();
}
function onerror() {
cancelAllOrders();
}
function cancelAllOrders() {
Log("取消所有订单...")
var orders = _C(exchanges[0].GetOrders);
for (var i = 0; i < orders.length; i++) {
exchanges[0].CancelOrder(orders[i].Id, orders[i]);
}
}
زون فینگ91یہ اب ہے
بی این ایم بی این ایمڈوگ، براہ کرم مجھے بتائیں کہ کس طرح پرانے ہیں، تجارت کی قیمت کا تناسب بہت کم ہے.
ٹرمپہیلو، کیا آپ کے پاس رابطہ نمبر ہے؟