exchange.SetBase(Url)
if(exchange.GetName()!= 'Futures_FMex'){
throw '此策略只支持FMEX永续'
}
var account = null
var depth = null
var pos = {direction:'empty',price:0,amount:0,unrealised_profit:0}
//官方的挖矿系数，可按需设置，如离盘口越远越大，减少成交风险
var factors = [1/4, 1/40, 1/40,1/40,1/40,1/50,1/50,1/50,1/50,1/50,1/100,1/100,1/100,1/100,1/100]
var total_efficiency = 0 //总效率
var avg_efficiency = 0
var avg_num = 0
var ordersInfo = {buy:[],sell:[]}//id:0, price:0, amount:0}
var coverInfo = {buyId:0, buyPrice:0, sellId:0, sellPrice:0}
var depthInfo = []
var lastProfitTime = 0 //控制打印收益时间
var lastRestTime = Date.now() //定时重置策略
var lastLogStatusTime = 0
var lastPeriod = 0
var today = _D().slice(8,11)
updateAccount()
var total_back = 0
if(_G('total_back')){
total_back = _G('total_back')
}else{
_G('total_back',total_back)
}
var init_value = 0
if(_G('init_value')){
init_value = _G('init_value')
}else{
init_value = _N(account.Info.data.BTC[0]+account.Info.data.BTC[1]+account.Info.data.BTC[2], 6)
Log('第一次启动策略, 始总价值为: ', init_value)
_G('init_value', init_value)
}
function updateDepth(){
var data = exchange.GetDepth()
if(data){
depth = data
}else{
Log('获取深度出错')
}
}
function updateAccount(){
var data = exchange.GetAccount()
if(data){
account = data
}else{
Log('获取账户出错')
}
}
function updatePosition(){
var data = exchange.GetPosition()
if(data){
if(data.length > 0){
if(data[0].Info.direction != pos.direction || data[0].Info.quantity != pos.amount){
Log('持仓变动：', pos.direction + ' ' + pos.amount + ' -> ' + data[0].Info.direction + ' ' + data[0].Info.quantity)
}
pos = {direction:data[0].Info.direction, price:data[0].Info.entry_price, amount:data[0].Info.quantity, unrealised_profit:data[0].Info.unrealized_pnl}
}else{
if(pos.amount){
Log('持仓变动：', pos.direction + ' ' + pos.amount + ' -> ' + 'empty')
}
pos = {direction:'empty',price:0,amount:0,unrealised_profit:0}
}
}else{
Log('获取持仓出错')
}
}
function calcDepth(){
depthInfo = [] // price amount efficent ratio
var ask_price = depth.Asks[0].Price
var bid_price = depth.Bids[0].Price
total_efficiency = 0
for(var i=0;i<15;i++){
var factor = factors[i]
total_efficiency += 1000000*(Amount*2/(depth.Asks[i].Amount+depth.Bids[i].Amount))*factor*0.5/288
while(ask_price <= depth.Asks[i].Price){ //考虑到未被占用的深度位置
var my_ask_amount = _.findWhere(ordersInfo.sell, {price:ask_price}) ? _.findWhere(ordersInfo.sell, {price:ask_price}).amount : 0 //排除掉自己订单的干扰
var ask_amount = ask_price == depth.Asks[i].Price ? Math.max(depth.Asks[i].Amount-my_ask_amount,0) : 0
depthInfo.push({side:'sell', pos:i+1, price:ask_price, amount:ask_amount, factor:factor, my_amount:0, e:0, r:0})
ask_price += 0.5
}
}
for(var i=0;i<15;i++){
var factor = factors[i]
total_efficiency += 1000000*(Amount*2/(depth.Asks[i].Amount+depth.Bids[i].Amount))*factor*0.5/288
while(bid_price >= depth.Bids[i].Price){
var my_bid_amount = _.findWhere(ordersInfo.buy, {price:bid_price}) ? _.findWhere(ordersInfo.buy, {price:bid_price}).amount : 0
var bid_amount = bid_price == depth.Bids[i].Price ? Math.max(depth.Bids[i].Amount-my_bid_amount,0) : 0
depthInfo.push({side:'buy', pos:i+1, price:bid_price, amount:bid_amount, factor:factor, my_amount:0, e:0, r:0})
bid_price -= 0.5
}
}
}
function calcAmount(){
var total_amount = Amount
var per_amount = _N(Amount/100,0)
var max_id = 0
while(total_amount >= per_amount){
var max_e = 0
for(var i=0;i<30;i++){
if(depthInfo[i].amount == 0){
depthInfo[i].my_amount = per_amount
}else{
depthInfo[i].e = depthInfo[i].factor*depthInfo[i].amount/Math.pow(depthInfo[i].my_amount+per_amount+depthInfo[i].amount,2)
max_id = depthInfo[i].e > max_e ? i : max_id
max_e = depthInfo[i].e > max_e ? depthInfo[i].e : max_e
}
}
depthInfo[max_id].my_amount += per_amount
total_amount -= per_amount
}
}
function makeOrders(){
var e = 0
var new_orders = {buy:[],sell:[]}
for(var i=0;i<30;i++){
if(depthInfo[i].my_amount > 0){
var find = _.findWhere(ordersInfo[depthInfo[i].side], {price:depthInfo[i].price})
//Log(find)
var now_amount = find ? find.amount : 0
var now_id = find ? find.id : 0
if(Math.abs(now_amount - depthInfo[i].my_amount) > 2.1*Amount/100 || depthInfo[i].amount == 0){ //需要重新下单
if(now_id){
exchange.CancelOrder(now_id,find)
find.id = 0
}
if(depthInfo[i].my_amount > 0){
exchange.SetDirection(depthInfo[i].side)
var id = exchange[depthInfo[i].side == 'buy' ? 'Buy' : 'Sell'](depthInfo[i].price,depthInfo[i].my_amount)
if(id){
new_orders[depthInfo[i].side].push({price:depthInfo[i].price,amount:depthInfo[i].my_amount,id:id})
}
}
}else{
now_id = find ? find.id : 0
if(now_id){
new_orders[depthInfo[i].side].push(find)
}
}
depthInfo[i].r = 1000000*(depthInfo[i].my_amount/(depthInfo[i].my_amount+depthInfo[i].amount))*depthInfo[i].factor*0.5/288
e += depthInfo[i].r
}
}
for(var i=0;i<ordersInfo.buy.length;i++){
if(ordersInfo.buy[i].price < depth.Bids[15].Price && ordersInfo.buy[i].id ){
exchange.CancelOrder(ordersInfo.buy[i].id,'撤销范围之外的买单')
}
}
for(var i=0;i<ordersInfo.sell.length;i++){
if(ordersInfo.sell[i].price > depth.Asks[15].Price && ordersInfo.sell[i].id){
exchange.CancelOrder(ordersInfo.sell[i].id,'撤销范围之外的卖单')
}
}
ordersInfo = new_orders
var total = avg_efficiency*avg_num + e
avg_num += 1
avg_efficiency = total/avg_num
}
function logStatus(){
if(Date.now()-lastLogStatusTime < 4000){
return
}
lastLogStatusTime = Date.now()
var leverage = pos.amount/(account.Info.data.BTC[0]*(depth.Asks[0].Price+depth.Bids[0].Price)/2)
var table1 = {type: 'table', title: '账户信息',
cols: ['可用保证金', '冻结保证金', '持仓保证金', '持仓方向','持仓张数', '持仓价格', '未实现盈亏', '已用杠杆', '初始资金', '收益', '平仓买价', '卖价','平均效率','我的效率'],
rows: [[_N(account.Info.data.BTC[0], 6),_N(account.Info.data.BTC[1], 6),_N(account.Info.data.BTC[2], 6),
pos.direction,pos.amount,_N(pos.price,2),_N(pos.unrealised_profit,5),_N(leverage,2),
_N(init_value,6),_N(account.Info.data.BTC[0]-init_value, 6), coverInfo.buyPrice, coverInfo.sellPrice,
_N(total_efficiency/30,2),_N(avg_efficiency,2)
]]
}
var table2 = {type: 'table', title: '挂单信息', cols: ['位置', '买价', '买量','我的', '效率', '卖价', '卖量', '我的', '效率'], rows: []}
for(var i=0;i<15;i++){
table2.rows.push([i+1,depthInfo[i+15].price,depthInfo[i+15].amount,depthInfo[i+15].my_amount,_N(depthInfo[i+15].r,3),
depthInfo[i].price,depthInfo[i].amount,depthInfo[i].my_amount,_N(depthInfo[i].r,3)])
}
if(_D().slice(8,11) != today){
today = _D().slice(8,11)
Log('昨天总解锁额度百万分之',total_back,'。今日重新统计')
total_back = 0
}
var nowPeriod = _N(_D().slice(14,16)/5,0)
if(lastPeriod != nowPeriod){
lastPeriod = nowPeriod
total_back += avg_efficiency
avg_efficiency = 0
avg_num = 0
}
var logString = '当前挖矿周期：'+_D().slice(11,14) + nowPeriod*5 + ' - ' + _D().slice(11,14) + (nowPeriod*5+5) + ' '+'排序挖矿已获得当日解锁总额度的百万分之'+ _N(total_back,4) +'\n'
LogStatus(logString + '`' + JSON.stringify(table1) + '`'+'\n'+'`' + JSON.stringify(table2) + '`')
if(Date.now()-lastProfitTime > ProfitTime*1000){
updateAccount()
lastProfitTime = Date.now()
LogProfit(_N(account.Info.data.BTC[0]+account.Info.data.BTC[1]+account.Info.data.BTC[2],6))
}
}
function cancelAll(){ //重置策略，防止一些订单卡住，可能会影响其它正在运行的策略
var orders = exchange.GetOrders()
if(orders){
for(var i=0;i<orders.length;i++){
exchange.CancelOrder(orders[i].Id)
}
ordersInfo = {buy:[],sell:[]}
coverInfo = {buyId:0, buyPrice:0, sellId:0, sellPrice:0}
}
}
function coverPosition(){
if(pos.amount>0){
if(pos.direction == 'long'){ //平多仓
var sellPrice = _N(pos.price,0)+_N(CoverProfit,0)
if(sellPrice != coverInfo.sellPrice){
if(coverInfo.sellId){
exchange.CancelOrder(coverInfo.sellId)
coverInfo.sellId = 0
}
exchange.SetDirection('sell')
var sellId = exchange.Sell(sellPrice, pos.amount, '平多仓')
coverInfo.sellPrice = sellPrice
if(sellId){
coverInfo.sellId = sellId
}else{
coverInfo.sellId = 0
}
}
}else{
var buyPrice = _N(pos.price,0)-_N(CoverProfit,0)
if(buyPrice != coverInfo.buyPrice){
if(coverInfo.buyId){
exchange.CancelOrder(coverInfo.buyId)
coverInfo.buyId = 0
}
exchange.SetDirection('buy')
var buyId = exchange.Buy(buyPrice, pos.amount, '平空仓')
coverInfo.buyPrice = buyPrice
if(buyId){
coverInfo.buyId = buyId
}else{
coverInfo.buyId = 0
}
}
}
}
}
function onTick(){
calcDepth()
calcAmount()
makeOrders()
if(Date.now()-lastRestTime > 3*60*1000){
lastRestTime = Date.now()
cancelAll()
}
}
function onexit(){ //退出后撤销订单
cancelAll()
_G('total_back',total_back)
}
exchange.SetContractType('swap')
exchange.SetMarginLevel(0)
function main() {
cancelAll()
while(true){
updatePosition()
updateDepth()
onTick()
coverPosition()
logStatus()
Sleep(Intervel*1000)
}
}
司马 function showTable(){ var table = {type: 'table', title: '挂单信息', cols: ['位置', '价格', '数量', '额度占比（万分之一）', '当前挂单位置'], rows: []} for(var i=depthInfo.asks.length - 1;i>=0;i--){ var data = depthInfo.asks[i]; if (data[1] == ordersInfo.sellPrice) { table.rows.push([data[0], data[1], data[2], data[3], '√ ' + data[0]]); } else { table.rows.push([data[0], data[1], data[2], data[3], '']); } } table.rows.push(['', '---分割线---', '', '', '']); // 插入一行中间行，视觉好看点 for(var i=0;i<depthInfo.bids.length;i++){ var data = depthInfo.bids[i]; if (data[1] == ordersInfo.buyPrice) { table.rows.push([data[0], data[1], data[2], data[3], '√ ' + data[0]]); } else { table.rows.push([data[0], data[1], data[2], data[3], '']); } } LogStatus('`' + JSON.stringify(table) + '`\n'+JSON.stringify(ordersInfo)) } 无聊修改log样式
saintbird 平仓部分的逻辑不是很理解，为什么取值是Math.min(CoverAmount, pos[0].Amount)，而不是pos[0].Amount? 另外，平仓单立即撤销是基于什么考虑呢？谢谢。
youtiao 矿损太大了
区班量化 如果大家都挖矿的话，我怕这个策略很快就失效了。遇到极端行情，容易爆仓，然后赚的fmex还不够本金损失。
mingren1992 FMEX的 接口都是 通过 HTTPQUERY来访问的？刚从BITMEX上转过来，FMEX是否支持Exchange.IO哈？
飞扬 按盘口价格平仓容易亏损，能不能改成按持仓均价上下一档平仓？
飞扬 能增加一个设置最大持仓杠杆数量吗？测试下来一直成交，很容易爆仓。达到这个限制就提醒不再下单
小草 平仓只为了参考，需要自己写逻辑
小草 代码是用来参考的，需要自己优化
小草 只是个例子，实盘使用需要自己修改
小草 GetDepth封装的是20档，为了访问150档采用HttpQuery。交易所都支持IO
小草 自己可以改，策略只是个参考
小草 可以自己修改