本质为动态平衡策略，只不过设计为预先挂单。策略教学为主，策略未经长期实盘测试，实盘慎用。 2020.09.04 OKEX量化交易尊享会郑州站议题讲解策略。
var Shannon = {
// member
e : exchanges[0],
arrPlanOrders : [],
distance : BalanceDistance,
account : null,
ticker : null,
initAccount : null,
isAskPending : false,
isBidPending : false,
// function
CancelAllOrders : function (e) {
while(true) {
var orders = _C(e.GetOrders)
if(orders.length == 0) {
return
}
Sleep(500)
for(var i = 0; i < orders.length; i++) {
e.CancelOrder(orders[i].Id, orders[i])
Sleep(500)
}
}
},
Balance : function () {
if (this.arrPlanOrders.length == 0) {
this.CancelAllOrders(this.e)
var acc = _C(this.e.GetAccount)
this.account = acc
var askPendingPrice = (this.distance + acc.Balance) / acc.Stocks
var bidPendingPrice = (acc.Balance - this.distance) / acc.Stocks
var askPendingAmount = this.distance / 2 / askPendingPrice
var bidPendingAmount = this.distance / 2 / bidPendingPrice
this.arrPlanOrders.push({tradeType : "ask", price : askPendingPrice, amount : askPendingAmount})
this.arrPlanOrders.push({tradeType : "bid", price : bidPendingPrice, amount : bidPendingAmount})
} else if(this.isAskPending == false && this.isBidPending == false) {
for(var i = 0; i < this.arrPlanOrders.length; i++) {
var tradeFun = this.arrPlanOrders[i].tradeType == "ask" ? this.e.Sell : this.e.Buy
var id = tradeFun(this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount)
if(id) {
this.isAskPending = this.arrPlanOrders[i].tradeType == "ask" ? true : this.isAskPending
this.isBidPending = this.arrPlanOrders[i].tradeType == "bid" ? true : this.isBidPending
} else {
Log("挂单失败，清理！")
this.CancelAllOrders(this.e)
return
}
}
}
if(this.isBidPending || this.isAskPending) {
var orders = _C(this.e.GetOrders)
Sleep(1000)
var ticker = _C(this.e.GetTicker)
this.ticker = ticker
if(this.isAskPending) {
var isFoundAsk = false
for (var i = 0; i < orders.length; i++) {
if(orders[i].Type == ORDER_TYPE_SELL) {
isFoundAsk = true
}
}
if(!isFoundAsk) {
Log("卖单成交，撤销订单，重置")
this.CancelAllOrders(this.e)
this.arrPlanOrders = []
this.isAskPending = false
this.isBidPending = false
LogProfit(this.CalcProfit(ticker))
return
}
}
if(this.isBidPending) {
var isFoundBid = false
for(var i = 0; i < orders.length; i++) {
if(orders[i].Type == ORDER_TYPE_BUY) {
isFoundBid = true
}
}
if(!isFoundBid) {
Log("买单成交，撤销订单，重置")
this.CancelAllOrders(this.e)
this.arrPlanOrders = []
this.isAskPending = false
this.isBidPending = false
LogProfit(this.CalcProfit(ticker))
return
}
}
}
},
ShowTab : function() {
var tblPlanOrders = {
type : "table",
title : "计划挂单",
cols : ["方向", "价格", "数量"],
rows : []
}
for(var i = 0; i < this.arrPlanOrders.length; i++) {
tblPlanOrders.rows.push([this.arrPlanOrders[i].tradeType, this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount])
}
var tblAcc = {
type : "table",
title : "账户信息",
cols : ["type", "Stocks", "FrozenStocks", "Balance", "FrozenBalance"],
rows : []
}
tblAcc.rows.push(["初始", this.initAccount.Stocks, this.initAccount.FrozenStocks, this.initAccount.Balance, this.initAccount.FrozenBalance])
tblAcc.rows.push(["当前", this.account.Stocks, this.account.FrozenStocks, this.account.Balance, this.account.FrozenBalance])
return "时间：" + _D() + "\n `" + JSON.stringify([tblPlanOrders, tblAcc]) + "`" + "\n" + "ticker:" + JSON.stringify(this.ticker)
},
CalcProfit : function(ticker) {
var acc = _C(this.e.GetAccount)
this.account = acc
return (this.account.Balance - this.initAccount.Balance) + (this.account.Stocks - this.initAccount.Stocks) * ticker.Last
},
Init : function() {
this.initAccount = _C(this.e.GetAccount)
if(IsReset) {
var acc = _G("account")
if(acc) {
this.initAccount = acc
} else {
Log("恢复初始账户信息失败！以初始状态运行！")
_G("account", this.initAccount)
}
} else {
_G("account", this.initAccount)
LogReset(1)
LogProfitReset()
}
},
Exit : function() {
Log("停止前，取消所有挂单...")
this.CancelAllOrders(this.e)
}
}
function main() {
// 初始化
Shannon.Init()
// 主循环
while(true) {
Shannon.Balance()
LogStatus(Shannon.ShowTab())
// 交互
var cmd = GetCommand()
if(cmd) {
if(cmd == "stop") {
while(true) {
LogStatus("暂停", Shannon.ShowTab())
cmd = GetCommand()
if(cmd) {
if(cmd == "continue") {
break
}
}
Sleep(1000)
}
}
}
Sleep(5000)
}
}
function onexit() {
Shannon.Exit()
}
好的啊 你的微信多少
liwayway 这个策略间隔多少挂单呢？盈利怎么设置？
发明者量化-小小梦 策略公开的，具体可以参看代码。参数根据行情把控设置。