期现对冲是利用期货和现货之间存在的差价进行套利。因为在交割日的时候，期货会按现货价格成交，当期货和现货一旦出现差价时，就可以通过做空期货做多现货（或做多期货卖出现货）来获得无风险的差价收益。
比如，BTC现价20000刀/个，期货25000刀/个。这个时候我买入1个现货BTC, 同时做空一个期货BTC。等到交割之时，我就能得到5000刀的无风险利润。
期现对冲风险很低，目前按okex的行情大致能达到40%-50%的年化收益。极端大牛大熊行情时，收益会更高。
策略逻辑: 此策略会自动检测OKEX上现货和期货的差价，当差价达到期望盈利阀值时，通过等量对冲来获取盈利。
策略特色: 支持OKEX上的所有期货品种(BTC, EOS, BCH, ETH等等) 支持自定义杠杆倍数和合约类型(当周，次周等) 支持自定义盈利期望值(比如年化40%的利润) 详尽的报表（包括详尽的策略状态，交易历史，利润跟踪等） 全自动对冲，不需要人工操作
需要面对的风险: 交易所跑路风险
支持平台: Botvs/FMZ
策略参数详细说明：https://www.pcclean.io/7w0e
//【OKEX期现对冲】说明
//==============================================================================================================================
/*
注意：
确定操作的ok期货为“全仓模式”
确定操作的合约类型为“当周”
严格按照2个一组的顺序添加交易所 BCH/USDC, BCH/USD A:现货 B:期货
策略会用USDT/USD汇率修正现货价格！
版本历史：
9:51 2018/1/9 first release
14:57 2018/1/13 正式开始运行
15:12 2018/11/15 自动处理强平,提高盈利目标,报表支持显示期货仓位,取消显示交易历史,图标只显示stocks
23:12 2019/02/15 支持按钮清空所有收益日志
16:09 2019/06/16 支持按钮更新收益图表, 用USDT/USD汇率修正现货价格
*/
var ExchangProcessor={
createNew: function(exA,exB){
//策略参数
//==============================================================================================================================
var contract_type ="this_week"; //合约类型
var margin_level =10; //杠杆倍数
var want_profit =0.01; //想要的额外收入(+汇率损失)
var ignore_range =0.001; //例如USDT对USD, 对冲期的安全波动范围，策略会忽略这个范围的波动
var max_wait_order =10000; //订单等待
var wait_ms =3000; //默认等待毫秒
var traders_recorder =false; //记录所有交易
var handfee= {OKEX:0.001, Futures_OKCoin:0.001}; //手续费
var trade_amount={ETH_USD:0.5, BCH_USD:0.5, BTC_USD:0.05}; //每次交易数量 例如0.5个bch
var contract_min={ETH_USD:10, BCH_USD:10, BTC_USD:100}; //一合约价值多少美金 USD,用这个计算买入张数
var price_n ={ETH_USDT:4, ETH_USD:3, BCH_USDT:4, BCH_USD:3, BTC_USDT:4, BTC_USD:2}; //价格精度
var num_n ={ETH_USDT:3, ETH_USD:0, BCH_USDT:3, BCH_USD:0, BTC_USDT:3, BTC_USD:0}; //数量精度
var minestbuy ={ETH_USDT:0.001, ETH_USD:1, BCH_USDT:0.001, BCH_USD:1, BTC_USDT:0.001, BTC_USD:1}; //最小买入量
var price_step ={ETH_USDT:0.03, ETH_USD:0.03, BCH_USDT:0.05, BCH_USD:0.05, BTC_USDT:0.65, BTC_USD:0.65}; //定价单调整价格的单位(每次调整万1, 大致等于25分钟调整%1)
//全局状态变量
//==============================================================================================================================
var pre_time=null; //记录轮询间隔时间
var limit_orders=[]; //限价单
var trades=[]; //所有交易
var pending_pos=[]; //未完成对冲仓位
var hedging_op=0; //对冲机会
var hedging_real=0; //真实对冲次数
var hedging_complete=0; //对冲完成次数
//构建处理器
var processor={};
//工具函数
//==============================================================================================================================
//重试购买，直到成功返回
processor.retryBuy=function(ex,price,num,mode)
{
var currency=ex.GetCurrency();
var r=ex.Buy(_N(price,price_n[currency]), _N(num,num_n[currency]));
var tempnum=num;
while (!r){
Log("Buy失败，正在重试。");
Sleep(wait_ms);
if (mode==="spot"){
var account=_C(ex.GetAccount);
var ticker=_C(ex.GetTicker);
var last=ticker.Last;
var fixedAmount=Math.min(account.Balance*0.95/last,num);
r=ex.Buy(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency]));
}else if(mode==="futures"){
//tempnum=tempnum-1;
if (tempnum===0){
break;
}
r=ex.Buy(_N(price,price_n[currency]), _N(tempnum,num_n[currency]));
}
}
return r;
}
//重试卖出，直到成功返回
processor.retrySell=function(ex,price,num,mode){
var currency=ex.GetCurrency();
var r=ex.Sell(_N(price,price_n[currency]), _N(num,num_n[currency]));
var tempnum=num;
while (!r){
Log("Sell失败，正在重试。");
Sleep(wait_ms);
if (mode==="spot"){
var account=_C(ex.GetAccount);
var fixedAmount=Math.min(account.Stocks,num);
r=ex.Sell(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency]));
}else if(mode==="futures"){
//tempnum=tempnum-1;
var position=_C(ex.GetPosition);
if (tempnum===0 || position.length===0){
break;
}
r=ex.Sell(_N(price,price_n[currency]), _N(tempnum,num_n[currency]));
}
}
return r;
}
//获得美元汇率
processor.getUSDTratio=function(){
var r = _C(HttpQuery,"https://api.coinmarketcap.com/v2/ticker/825/");
var o = JSON.parse(r);
return o.data.quotes.USD.price;
}
//获得中国时间
processor.get_ChinaTimeString=function(){
var date = new Date();
var now_utc = Date.UTC(date.getUTCFullYear(), date.getUTCMonth(), date.getUTCDate(),date.getUTCHours(), date.getUTCMinutes(), date.getUTCSeconds());
var cdate=new Date(now_utc);
cdate.setHours(cdate.getHours()+8);
var localstring=cdate.getFullYear()+'/'+(cdate.getMonth()+1)+'/'+cdate.getDate()+' '+cdate.getHours()+':'+cdate.getMinutes()+':'+cdate.getSeconds();
return localstring;
}
//处理定价单
processor.process_limiteorders=function(){
var cur_time=new Date();
var limit_orders_new=[];
for (var i=0; i<limit_orders.length; ++i){
var create_time=limit_orders[i].create_time;
var passedtime=cur_time-create_time;
if (passedtime>max_wait_order){
var exchange_c=limit_orders[i].exchange;
var order_ID=limit_orders[i].ID;
var ordermode=limit_orders[i].mode;
var exname=exchange_c.GetName();
var account=_C(exchange_c.GetAccount);
var ticker=_C(exchange_c.GetTicker);
var last=ticker.Last;
var orderdata=_C(exchange_c.GetOrder,order_ID);
var type=orderdata.Type;
var currency=exchange_c.GetCurrency();
if (orderdata.Status!=ORDER_STATE_CLOSED){
var notcompleted=orderdata.Amount-orderdata.DealAmount;
exchange_c.CancelOrder(order_ID);
if (type===ORDER_TYPE_BUY){
var allowbuy=notcompleted;
if (allowbuy>=minestbuy[currency]){
var limited_order_ID=processor.retryBuy(exchange_c,orderdata.Price+price_step[currency],allowbuy,ordermode);
Log("加价买入。"+orderdata.Price+"|"+(orderdata.Price+price_step[currency]));
var limited_order_data={
exchange:exchange_c,
ID:limited_order_ID,
create_time:new Date(),
utcdate:processor.get_ChinaTimeString(),
mode:ordermode
};
limit_orders_new.push(limited_order_data);
}
}else if (type===ORDER_TYPE_SELL){
var allowsell=notcompleted;
if (allowsell>=minestbuy[currency]){
var limited_order_ID=processor.retrySell(exchange_c,orderdata.Price-price_step[currency],allowsell,ordermode);
Log("降价卖出。"+orderdata.Price+"|"+(orderdata.Price-price_step[currency]));
var limited_order_data={
exchange:exchange_c,
ID:limited_order_ID,
create_time:new Date(),
utcdate:processor.get_ChinaTimeString(),
mode:ordermode
};
limit_orders_new.push(limited_order_data);
}
}
//保存交易信息
if (type===ORDER_TYPE_BUY){
var details={
type:"限价买",
time:limit_orders[i].utcdate,
RealAmount:orderdata.DealAmount,
WantAmount:orderdata.Amount,
RealPrice:orderdata.Price,
WantPrice:orderdata.Price,
Memo:"部分完成",
exname:exname
};
if (traders_recorder){
trades.push(details);
}
}else if (type===ORDER_TYPE_SELL){
var details={
type:"限价卖",
time:limit_orders[i].utcdate,
RealAmount:orderdata.DealAmount,
WantAmount:orderdata.Amount,
RealPrice:orderdata.Price,
WantPrice:orderdata.Price,
Memo:"部分完成",
exname:exname
};
if (traders_recorder){
trades.push(details);
}
}
}else{
//保存交易信息
if (type===ORDER_TYPE_BUY){
var details={
type:"限价买",
time:limit_orders[i].utcdate,
RealAmount:orderdata.DealAmount,
WantAmount:orderdata.Amount,
RealPrice:orderdata.Price,
WantPrice:orderdata.Price,
Memo:"已完成",
exname:exname
};
if (traders_recorder){
trades.push(details);
}
}else if (type===ORDER_TYPE_SELL){
var details={
type:"限价卖",
time:limit_orders[i].utcdate,
RealAmount:orderdata.DealAmount,
WantAmount:orderdata.Amount,
RealPrice:orderdata.Price,
WantPrice:orderdata.Price,
Memo:"已完成",
exname:exname
};
if (traders_recorder){
trades.push(details);
}
}
}
}else{
limit_orders_new.push(limit_orders[i]);
}
}
limit_orders=limit_orders_new;
}
//强制执行限价单
processor.force_limited_order=function(type,ex,price,num,mode){
if (type==="buy"){
var buyID=processor.retryBuy(ex,price,num,mode);
var order1={
exchange:ex,
ID:buyID,
create_time:new Date(),
utcdate:processor.get_ChinaTimeString(),
mode:mode
};
limit_orders.push(order1);
}
if (type==="sell"){
var sellID=processor.retrySell(ex,price,num,mode);
var order1={
exchange:ex,
ID:sellID,
create_time:new Date(),
utcdate:processor.get_ChinaTimeString(),
mode:mode
};
limit_orders.push(order1);
}
while(limit_orders.length!==0){
//process limited orders
processor.process_limiteorders();
Sleep(wait_ms);
}
}
//初始化
//==============================================================================================================================
processor.init_obj=function(){
_CDelay(wait_ms);
pre_time = new Date();
}
//处理交易
//==============================================================================================================================
processor.work=function(){
var cur_time = new Date();
var passedtime=cur_time-pre_time;
pre_time=cur_time;
var USDT_r=processor.getUSDTratio();
//get information
var A_account=_C(exA.GetAccount);
var A_exname=exA.GetName();
var A_currency=exA.GetCurrency();
var A_quotecurrency=exA.GetQuoteCurrency();
var A_ticker=_C(exA.GetTicker);
var A_last=A_ticker.Last;
var A_last_fixed=A_last*USDT_r; //Fixed price: ETH/USD
var A_depth=_C(exA.GetDepth);
var A_orders=_C(exA.GetOrders);
var A_buy1=A_depth.Bids[0].Price;
var A_sell1=A_depth.Asks[0].Price;
exB.SetContractType(contract_type);
exB.SetMarginLevel(margin_level);
var B_account=_C(exB.GetAccount);
var B_exname=exB.GetName();
var B_currency=exB.GetCurrency();
var B_quotecurrency=exB.GetQuoteCurrency();
var B_ticker=_C(exB.GetTicker);
var B_last=B_ticker.Last;
var B_depth=_C(exB.GetDepth);
var B_orders=_C(exB.GetOrders);
var B_buy1=B_depth.Bids[0].Price;
var B_sell1=B_depth.Asks[0].Price;
var cdiff=Math.abs(B_last-A_last_fixed)/A_last_fixed;
var cdiff2=(B_last-A_last_fixed)/A_last_fixed;
var target_bofu=want_profit+handfee[A_exname]*2+handfee[B_exname]*2+ignore_range;
//开始对冲
if (limit_orders.length===0 && A_last_fixed>B_last && cdiff>target_bofu){
hedging_op++;
var heyuefenshu_B=_N(trade_amount[B_currency]*B_last/contract_min[B_currency],0);
var exact_amount=heyuefenshu_B*contract_min[B_currency]/B_last;
if (A_account.Stocks*0.9>exact_amount && B_account.Stocks*0.9>exact_amount){
hedging_real++;
//sell 1 bch from A
processor.force_limited_order("sell",exA,A_buy1,exact_amount,"spot");
//buy 1 bch from B
exB.SetDirection("buy");
processor.force_limited_order("buy",exB,B_sell1,heyuefenshu_B,"futures");
var posA={
type:'spot-sell',
exchange:exA,
price:A_buy1,
amount:exact_amount,
starttime:processor.get_ChinaTimeString()
};
pending_pos.push(posA);
var posB={
type:'futures-buyup',
exchange:exB,
price:B_sell1,
amount:heyuefenshu_B,
starttime:processor.get_ChinaTimeString()
};
pending_pos.push(posB);
}
}
if (limit_orders.length===0 && A_last_fixed<B_last && cdiff>target_bofu){
hedging_op++;
var heyuefenshu_B=_N(trade_amount[B_currency]*B_last/contract_min[B_currency],0);
var exact_amount=heyuefenshu_B*contract_min[B_currency]/B_last;
if (A_account.Balance*0.9>exact_amount*A_last && B_account.Stocks*0.9>exact_amount){
hedging_real++;
//buy 1 bch from A
processor.force_limited_order("buy",exA,A_sell1,exact_amount,"spot");
//sell 1 bch from B
exB.SetDirection("sell");
processor.force_limited_order("buy",exB,B_sell1,heyuefenshu_B,"futures");
var posA={
type:'spot-buy',
exchange:exA,
price:A_sell1,
amount:exact_amount,
starttime:processor.get_ChinaTimeString()
};
pending_pos.push(posA);
var posB={
type:'futures-buydown',
exchange:exB,
price:B_sell1,
amount:heyuefenshu_B,
starttime:processor.get_ChinaTimeString()
};
pending_pos.push(posB);
}
}
//结束对冲
if (limit_orders.length===0 && cdiff<=ignore_range && A_orders.length===0 && B_orders.length===0 && pending_pos.length>0){
hedging_complete++;
for (var thidx=0; thidx<pending_pos.length; ++thidx){
var posinfo=pending_pos[thidx];
var ticker=_C(posinfo.exchange.GetTicker);
var last=ticker.Last;
var depth=_C(posinfo.exchange.GetDepth);
var buy1=depth.Bids[0].Price;
var sell1=depth.Asks[0].Price;
var account=_C(posinfo.exchange.GetAccount);
if (posinfo.type==='futures-buydown'){
posinfo.exchange.SetDirection("closesell");
processor.force_limited_order("sell",posinfo.exchange,buy1,posinfo.amount,"futures");
}
if (posinfo.type==='futures-buyup'){
posinfo.exchange.SetDirection("closebuy");
processor.force_limited_order("sell",posinfo.exchange,buy1,posinfo.amount,"futures");
}
if (posinfo.type==='spot-buy'){
processor.force_limited_order("sell",posinfo.exchange,buy1,Math.min(account.Stocks,posinfo.amount),"spot");
}
if (posinfo.type==='spot-sell'){
processor.force_limited_order("buy",posinfo.exchange,sell1,Math.min(account.Balance/last,posinfo.amount),"spot");
}
}
pending_pos=[];
}
//自动释放对冲仓位
var B_position=_C(exB.GetPosition);
if (B_position.length===0 && pending_pos.length>0 && limit_orders.length===0 && A_orders.length===0 && B_orders.length===0){
Log('检测到Okex的仓位已被强平，执行自动释放对冲仓位。');
hedging_complete++;
for (var thidx=0; thidx<pending_pos.length; ++thidx){
var posinfo=pending_pos[thidx];
var ticker=_C(posinfo.exchange.GetTicker);
var last=ticker.Last;
var depth=_C(posinfo.exchange.GetDepth);
var buy1=depth.Bids[0].Price;
var sell1=depth.Asks[0].Price;
var account=_C(posinfo.exchange.GetAccount);
if (posinfo.type==='spot-buy'){
processor.force_limited_order("sell",posinfo.exchange,buy1,Math.min(account.Stocks,posinfo.amount),"spot");
}
if (posinfo.type==='spot-sell'){
processor.force_limited_order("buy",posinfo.exchange,sell1,Math.min(account.Balance/last,posinfo.amount),"spot");
}
}
pending_pos=[];
}
//status
var table1 = {type: 'table', title: '交易所', cols: ['交易所','交易对','最新价格','钱','币','未完成订单','买一','卖一'], rows: []};
var table2 = {type: 'table', title: '统计', cols: ['轮询时间','当前价差','目标价差','对冲机会/实际对冲次数/对冲完成次数','USDT/USD','忽略波动范围'], rows: []};
var table3 = {type: 'table', title: '未完成对冲仓位', cols: ['交易所','类型','价格','数量','开仓时间'], rows: []};
var table4 = {type: 'table', title: '未完成定价单', cols: ['交易所','订单ID','发单日期'], rows: []};
var table5 = {type: 'table', title: '交易历史', cols: ['交易所','日期','类型', '成交数量','发单数量','成交价','发单价','备注'], rows: []};
var table6 = {type: 'table', title: '期货仓位', cols: ['交易所','持仓量','冻结量','持仓均价','实现盈余','类型','合约代码'], rows: []};
table1.rows.push([A_exname,A_currency,A_last+'(修正价:'+A_last_fixed+')',A_account.Balance,A_account.Stocks,A_orders.length,A_depth.Bids[0].Price,A_depth.Asks[0].Price]);
table1.rows.push([B_exname,B_currency,B_last,B_account.Balance,B_account.Stocks,B_orders.length,B_depth.Bids[0].Price,B_depth.Asks[0].Price]);
table2.rows.push([passedtime+'毫秒',cdiff2,target_bofu,hedging_op+'/'+hedging_real+'/'+hedging_complete,USDT_r,ignore_range]);
for (var thidx=0; thidx<pending_pos.length; ++thidx){
var posinfo=pending_pos[thidx];
table3.rows.push([posinfo.exchange.GetName(),posinfo.type,posinfo.price,posinfo.amount,posinfo.starttime]);
}
for (var idx2=0; idx2<limit_orders.length; ++idx2){
var info=limit_orders[idx2];
table4.rows.push([info.exchange.GetName(),info.ID,info.utcdate]);
}
for (var i=0; i < trades.length; i++){
table5.rows.push([trades[i].exname,trades[i].time,trades[i].type,trades[i].RealAmount,trades[i].WantAmount,trades[i].RealPrice,trades[i].WantPrice,trades[i].Memo]);
}
for (var i=0; i < B_position.length; i++){
table6.rows.push([B_exname,B_position[i].Amount,B_position[i].FrozenAmount,B_position[i].Price,B_position[i].Profit,B_position[i].Type,B_position[i].ContractType]);
}
processor.logstatus=('`' + JSON.stringify([table1,table2,table3,table4,table6,table5])+'`'+'\n');
processor.stocksbalance=A_account.Stocks+B_account.Stocks;
//sleep
Sleep(wait_ms);
}
return processor;
}
};
//主函数
//==============================================================================================================================
function main(){
var processors=[];
for (var i=0; i<exchanges.length; i+=2){
var p=ExchangProcessor.createNew(exchanges[i],exchanges[i+1]);
processors.push(p);
}
for (i=0; i<processors.length; ++i){
processors[i].init_obj();
}
var pre_profit=Number(_G("pre_profit"));
Log('之前收入累计：'+pre_profit);
var lastprofit=-1;
var total_loop=0;
var beginrunning=processors[0].get_ChinaTimeString();
while(true){
//running processors
total_loop++;
var allstatus='';
allstatus+=('♞策略启动时间: '+beginrunning+'#0000ff\n');
var mybalance=0;
for (i=0; i<processors.length; ++i){
processors[i].work();
allstatus+=processors[i].logstatus;
mybalance+=processors[i].stocksbalance;
}
allstatus+=('♜轮询次数: '+total_loop+'\n');
allstatus+=('♜更新时间: '+processors[0].get_ChinaTimeString()+'\n');
allstatus+=('♜策略仅作为学习交流之用!实盘风险自担！#0000ff'+'\n');
allstatus+=('♜微信：alinwo (验证消息: botvs)'+'\n');
allstatus+=('`'+JSON.stringify({'type':'button', 'cmd': 'clearprofitchart', 'name': '清空收益图表'})+'`'+'\n');
allstatus+=('`'+JSON.stringify({'type':'button', 'cmd': 'logprofit', 'name': '更新收益图表'})+'`'+'\n');
LogStatus(allstatus);
if (lastprofit!==mybalance && total_loop%300===0){
LogProfit(mybalance);
_G("pre_profit", mybalance);
lastprofit=mybalance;
}
//process button commands
var cmd=GetCommand();
if (cmd!==null && cmd==='clearprofitchart') {
LogProfitReset();
Log("已清空所有收益日志!");
}
if (cmd!==null && cmd==='logprofit') {
LogProfit(mybalance);
_G("pre_profit", mybalance);
Log("已更新收益图表!");
}
}
}
gurengjun@yeah.net 提示127行 utc不是一个函数
fmz_awa 用不了 exB.SetContractType(contract_type); 报这里不是一个方法
timtu 复制策略之后，提示“Only support CTP”的错误