/*backtest
start: 2020-01-08 00:00:00
end: 2020-04-06 00:00:00
period: 1d
exchanges: [{"eid":"Futures_OKCoin","currency":"ETH_USD","stocks":1400}]
args: [["PRICE_PRECISION",2],["AMOUNT_PRECISION",4]]
*/
var tempOrders = [];
var COLOR = {
GREEN: '#00a500',
RED: '#ff0000',
GRAY: '#b2b2b2',
ORANGE: '#ff9e38'
}
function cancelOrder(ex,order_id){
if (!order_id) return Log('不正确的订单id', order_id);
Log("取消订单" + order_id);
ex.CancelOrder(order_id);
Sleep(500);
var orders=_C(ex.GetOrders);
var find=false;
for (var i=0;i<orders.length;++i){
if (orders[i].Id===order_id){
find=true;
break;
}
}
if (find){
cancelOrder(ex.order_id);
}
}
var trade = function(direction, amount) {
var ticker = _C(exchange.GetTicker);
exchange.SetDirection(direction);
var price = 0
if (_.contains(['buy', 'closesell'], direction)) {
price = _N(new Decimal(ticker.Last).plus(SLIP_POINT).toNumber(), PRICE_PRECISION);
} else {
price = _N(new Decimal(ticker.Last).minus(SLIP_POINT).toNumber(), PRICE_PRECISION);
}
var orderInfo = null;
var avgPrice = null;
var oid = null;
var beginTime = null;
var dealAmount = _.reduce(tempOrders, function(p, n) {
return new Decimal(p).plus(n.DealAmount).toNumber();
}, 0);
var remainAmount = Math.floor(new Decimal(amount).minus(dealAmount).toNumber());
if (remainAmount < 1) {
avgPrice = _N(new Decimal(_.reduce(tempOrders, function(p, n) {
return new Decimal(p).plus(new Decimal(n.AvgPrice).mul(n.DealAmount).mul(FACE_VALUE)).toNumber()
}, 0)).div(new Decimal(dealAmount).mul(FACE_VALUE)).toNumber(), PRICE_PRECISION);
orderInfo = {
Id: _.last(tempOrders).Id,
Type: _.contains(['buy', 'closebuy'], direction) ? PD_LONG : PD_SHORT,
Price: price,
AvgPrice: avgPrice,
Amount: amount,
DealAmount: dealAmount,
Orders: _.pluck(tempOrders, 'Id')
}
tempOrders = [];
return orderInfo;
} else {
oid = _.contains(['buy', 'closesell'], direction) ? exchange.Buy(price, remainAmount) : exchange.Sell(price, remainAmount);
if (oid) {
beginTime = Unix();
while(1) {
orderInfo = _C(exchange.GetOrder, oid);
if (orderInfo.Status !== ORDER_STATE_PENDING) {
tempOrders.push(orderInfo);
return trade(direction, amount);
}
if (Unix() - beginTime >= TRADE_TIMEOUT) {
Log('交易超时, 撤销订单' + oid + COLOR.RED);
cancelOrder(exchange, oid);
continue;
}
Sleep(250);
}
} else {
return null;
}
}
}
$.OpenPos = function(direction, amount) {
return trade(direction, amount);
};
$.ClosePos = function(direction, amount) {
return trade('close' + direction, amount);
}
function main() {
exchange.SetContractType('this_week');
exchange.SetPrecision(PRICE_PRECISION, 0);
Log($.OpenPos('buy', 2));
$.OpenPos('sell', 1);
$.ClosePos('buy', 1);
$.ClosePos('buy', 1);
$.ClosePos('sell', 1);
Log(exchange.GetPosition());
}
XMaxZone /upload/asset/11d6077a5d7d32a32d709.png /upload/asset/11dfaef590e0c31a2b72b.png
XMaxZone 开仓后 再平仓 提示仓位不足 麻烦大神看看
bamsmen 请问 Id: _.last(tempOrders).Id 这里是不是有问题？报错main:58:35 - TypeError: Cannot read property 'Id' of undefined
bth2020 这个模板怎么引用啊？