火币有段时间搞活动，HUSD区免手续费，于是搞了个脚本薅羊毛。 根据总是会回归1的特点进行稳定套利
var _running = false
var _tickTimeCost = 0
var _profit = _G('profit') || 0
var _config = {
orderAmount: ORDER_AMOUNT,
priceCeil: PRICE_CEIL,
priceFloor: PRICE_FLOOR,
maxATR: MAX_ATR,
profitRate: PROFIT_RATE
}
var _arbitCount = _G('arbit_count') || 0
var _depthHistory = _G('depth_history') || []
function getNow() {
return UnixNano() / 1000000
}
function getDepth() {
var depth = _C(exchange.GetDepth)
_depthHistory.push(depth)
_depthHistory = _depthHistory.slice(-5)
_G('_depthHistory', JSON.stringify(_depthHistory))
return depth
}
function getBase(ex) {
return ex.GetCurrency().split('_')[0]
}
function getTypeText(type) {
var list = [
[ORDER_TYPE_BUY, 'Buy', '购买', '#01bf6a'],
[ORDER_TYPE_SELL, 'Sell', '出售', '#ff0000']
]
var found = _.find(list, function(items) {
return items[0] === type || items[1] === type
})
return found ? found[2] + found[3] : ''
}
function getPriceTypeText(type) {
if (type === 0) {
return '对手价'
} else if (type === 1) {
return '成交价'
} else if (type === 2) {
return '挂1价'
}
}
function getStatusText(st, showColor) {
showColor = showColor == null ? true : showColor
var list = [
[ORDER_STATE_CLOSED, '已完成', '#f4b300'],
[ORDER_STATE_PENDING, '未完成', '#000000'],
[ORDER_STATE_CANCELED, '已取消', '#a3a3a3'],
[ORDER_STATE_UNKNOWN, '未知状态', '#777777']
]
var found = _.find(list, function(item) {
return item[0] === st
})
return found && found.length > 0 ? found[1] + (showColor ? found[2] : '') : ''
}
function logMyProfit(num) {
var newProfit = _profit + num
if (newProfit !== _profit) {
LogProfit(newProfit)
_profit = newProfit
_G('profit', _profit)
}
}
function cancelOrder(id) {
while (1) {
var order = _C(exchange.GetOrder, id)
if (order.Status === ORDER_STATE_PENDING) {
exchange.CancelOrder(id)
} else {
return
}
Sleep(200)
}
}
function getLastATR() {
var askPrices = _.flatten(_.pluck(_depthHistory, 'Asks').map(function(d) { return d[0].Price }))
var slicedPrices = askPrices.slice(-5)
var avgPrice = new Decimal(_.reduce(slicedPrices, function(p, n) {
return new Decimal(p).plus(n).toNumber()
}, 0)).div(slicedPrices.length).toNumber()
var askVaiance = new Decimal(_.reduce(slicedPrices, function(p, n) {
return new Decimal(p).plus(new Decimal(n).minus(avgPrice).pow(2)).toNumber()
}, 0)).div(slicedPrices.length).toNumber()
var askSD = new Decimal(askVaiance).sqrt().toNumber()
return askSD
}
function getHighestPrice() {
var records = _C(exchange.GetRecords, PERIOD_H1)
var highestPrice = TA.Highest(records, 8, 'Close')
return highestPrice
}
function onTick() {
var depth = getDepth() //_C(exchange.GetDepth)
var arbitOrders = JSON.parse(_G('arbit_orders')) || []
arbitOrders = _.map(arbitOrders, function(arbitOrder) {
if (arbitOrder.Status === ORDER_STATE_CLOSED) {
var buyOrder = arbitOrder.BuyOrder || {}
var sellOrder = arbitOrder.SellOrder || {}
var buyTradePrice = new Decimal(buyOrder.AvgPrice || 0).mul(buyOrder.DealAmount || 0).toNumber()
var sellTradePrice = new Decimal(sellOrder.AvgPrice || 0).mul(sellOrder.DealAmount || 0).toNumber()
var profit = new Decimal(sellTradePrice).minus(buyTradePrice).toNumber()
if (profit > 0) {
_arbitCount++
_G('arbit_count', _arbitCount)
logMyProfit(profit)
$.ddNotice('套利成功', [
'### 套利成功',
'- 买价: ' + buyOrder.Price,
'- 卖价: ' + sellOrder.Price,
'- 买量: ' + buyOrder.DealAmount,
'- 卖量: ' + sellOrder.DealAmount,
'- 买交易额: ' + buyTradePrice,
'- 卖交易额: ' + sellTradePrice,
'- 利润: ' + profit,
'- 耗时: ' + ((getNow() - arbitOrder.CreatedAt) / 1000).toFixed(2) + 's',
])
}
return null
}
return arbitOrder
})
arbitOrders = _.compact(arbitOrders)
_G('arbit_orders', JSON.stringify(arbitOrders))
arbitOrders = _.map(arbitOrders, function(arbitOrder) {
if (arbitOrder.Status === ORDER_STATE_PENDING) {
var buyOrder = _C(exchange.GetOrder, arbitOrder.BuyOrder.Id)
var sellOrder = arbitOrder.SellOrder ? _C(exchange.GetOrder, arbitOrder.SellOrder.Id) : null
// 标记订单完成
if (buyOrder && sellOrder && buyOrder.Status !== ORDER_STATE_PENDING && sellOrder.Status !== ORDER_STATE_PENDING) {
return _.extend(arbitOrder, {
Status: ORDER_STATE_CLOSED,
BuyOrder: buyOrder,
SellOrder: sellOrder,
})
}
// 购买完成后发起出售订单
if (buyOrder.Status !== ORDER_STATE_PENDING && !sellOrder) {
var sellAmount = _N(buyOrder.DealAmount, AMOUNT_PRECISION)
if (sellAmount >= MIN_ORDER_AMOUNT) {
var sellPrice = +(new Decimal(buyOrder.Price).mul(1 + FEE_RATE).div(1 - _config.profitRate).div(1 - FEE_RATE).toFixed(PRICE_PRECISION, Decimal.ROUND_UP))
var sellId = exchange.Sell(sellPrice, sellAmount)
if (sellId) {
sellOrder = _C(exchange.GetOrder, sellId)
}
} else {
return _.extend(arbitOrder, {
Status: ORDER_STATE_CLOSED
})
}
}
if (buyOrder.Status === ORDER_STATE_PENDING) {
/*
撤单条件
1. 买1价格发生变化
2. 均幅波动超出设定值
3. 当买1的量等于这个买单的剩余量的时候(说明是自己挂的单)
*/
if (buyOrder.Price !== depth.Bids[0].Price || getLastATR() > _config.maxATR || depth.Bids[0].Amount === _N(new Decimal(buyOrder.Amount).minus(buyOrder.DealAmount).toNumber(), AMOUNT_PRECISION)) {
cancelOrder(buyOrder.Id)
buyOrder = _C(exchange.GetOrder, buyOrder.Id)
}
}
return _.extend(arbitOrder, {
BuyOrder: buyOrder,
BuyPrice: buyOrder.Price,
SellOrder: sellOrder,
SellPrice: sellOrder ? sellOrder.Price || 0 : 0
})
}
return arbitOrder
})
_G('arbit_orders', JSON.stringify(arbitOrders))
var buyPrice = depth.Bids[0].Price
// 只有当上一笔同一价格的买单结束后才会开始新的一轮
if (!_.findWhere(arbitOrders, {
Status: ORDER_STATE_PENDING,
BuyPrice: buyPrice
}) && buyPrice >= _config.priceFloor && buyPrice <= (_config.priceCeil > 0 ? _config.priceCeil : getHighestPrice()) && getLastATR() <= _config.maxATR) {
var account = _C(exchange.GetAccount)
var buyTradePrice = _N(new Decimal(buyPrice).mul(_config.orderAmount).toNumber(), PRICE_PRECISION)
if (account.Balance >= buyTradePrice) {
var buyId = exchange.Buy(buyPrice, _config.orderAmount)
if (buyId) {
var buyOrder = _C(exchange.GetOrder, buyId)
arbitOrders.push({
Status: ORDER_STATE_PENDING,
BuyOrder: buyOrder,
BuyPrice: buyPrice,
SellOrder: null,
SellPrice: 0,
CreatedAt: getNow()
})
_G('arbit_orders', JSON.stringify(arbitOrders))
}
}
}
}
function logMyStatus() {
var account = _C(exchange.GetAccount)
var arbitOrders = JSON.parse(_G('arbit_orders')) || []
var basicStatus = {
type: 'table',
title: '基本信息',
cols: ['运行状态', '耗时', '套利次数', '实现盈亏', '最大均幅 (最近5个卖1标准差 | 设定最大值)', '单次下单量', '阻力位', '支撑位'],
rows: [
[
_running ? '运行中#01c401' : '未运行#a3a3a3',
new Date().toLocaleString() + ' - ' + (_tickTimeCost / 1000).toFixed(2) + 's',
_arbitCount,
(_profit || 0) + '#ff0000',
getLastATR() + ' | ' + _config.maxATR,
_config.orderAmount,
_config.priceCeil > 0 ? _config.priceCeil : getHighestPrice(),
_config.priceFloor
]
]
}
var assetsStatus = {
type: 'table',
title: '资产信息',
cols: [exchanges[0].GetQuoteCurrency() + ' (可用 | 冻结)', getBase(exchanges[0]) + ' (可用 | 冻结)'],
rows: [
[
new Decimal(account.Balance).plus(account.FrozenBalance).toNumber() + ' (' + account.Balance + ' | ' + account.FrozenBalance + ')',
new Decimal(account.Stocks).plus(account.FrozenStocks).toNumber() + ' (' + account.Stocks + ' | ' + account.FrozenStocks + ')',
]
]
}
var arbitOrdersStatus = {
type: 'table',
title: '套利订单列表',
cols: ['套利状态', '买单 (状态 | 价格 | 单量)', '卖单 (状态 | 价格 | 单量)', '创建时间'],
rows: _.map(arbitOrders, function(arbitOrder) {
var sideOrders = _.map([arbitOrder.BuyOrder, arbitOrder.SellOrder], function(order) {
if (order) {
return getStatusText(order.Status, false) + ' | ' + order.Price + ' | ' + order.DealAmount
} else {
return '-'
}
})
return [getStatusText(arbitOrder.Status), sideOrders[0], sideOrders[1], new Date(arbitOrder.CreatedAt).toLocaleString()]
})
}
var statusList = _.flatten([
basicStatus,
assetsStatus,
arbitOrdersStatus
])
LogStatus(_.compact(statusList).map(function(d) {
return '`' + JSON.stringify(d) + '`'
}).join('\n'))
}
function main() {
_.each(_config, function(v, k) {
$.BindingFunc(k, function(cmd, val) {
if (typeof(v) === 'number') {
val = +val
}
_config[k] = val
})
})
$.BindingFunc("开始", function() {
_running = true
})
$.BindingFunc("暂停", function() {
_running = false
})
while (true) {
var _tickStartTime = getNow()
LogReset(1000)
$.GetCommand()
if (_running) {
onTick()
}
_tickTimeCost = getNow() - _tickStartTime
logMyStatus()
Sleep(500)
}
}
区块人 你好 请原谅我是个小白，实盘的时候一直报错GetAccount: 500: ["error",10100,"apikey: digest invalid"] 这是什么意思啊？嘻嘻 还有一个问题是当价格只有0.0001的基差的时候挂单一直不成交是不是机器人就会一直停滞的呢？感谢