function getAccounts() {
var accounts = [];
while (true) {
for (var i = 0; i < exchanges.length; i++) {
if (accounts[i] == null) {
// 创建异步操作
accounts[i] = exchanges[i].Go("GetAccount");
}
}
var failed = 0;
for (var i = 0; i < exchanges.length; i++) {
if (typeof(accounts[i].wait) != "undefined") {
// 等待结果
var account = accounts[i].wait(5);
if (typeof(account) != "undefined") {
if (account) {
accounts[i] = account;
} else {
// 重试
accounts[i] = null;
failed++;
}
} else {
failed++;
}
}
}
if (failed == 0) {
break;
}
}
return accounts;
}
function getDepthInfo() {
var beginTime = new Date().getTime();
var depths = [];
var elapses = [];
// for (var i = 0; i < exchanges.length; i++) {
// var startTime = new Date().getTime();
// depths[i] = _C(exchanges[i].GetDepth);
// var endTime = new Date().getTime();
// elapses[i] = endTime - startTime;
// }
while (true) {
for (var i = 0; i < exchanges.length; i++) {
if (depths[i] == null && (elapses[i] == null || elapses[i] <= maxElapse)) {
// 创建异步操作
depths[i] = exchanges[i].Go("GetDepth");
}
}
var failed = 0;
for (var i = 0; i < exchanges.length; i++) {
if (depths[i] == null) {
continue;
}
if (typeof(depths[i].wait) != "undefined") {
var waitStartTime = new Date().getTime();
// 等待结果
var depth = depths[i].wait(5);
if (typeof(depth) != "undefined") {
if (depth) {
depths[i] = depth;
} else {
// 重试
depths[i] = null;
failed++;
}
} else {
failed++;
}
var waitEndTime = new Date().getTime();
if (elapses[i] == null) {
elapses[i] = waitEndTime - waitStartTime;
} else {
elapses[i] = elapses[i] + waitEndTime - waitStartTime;
}
}
}
if (failed == 0) {
break;
}
}
var finishTime = new Date().getTime();
return {
"totalElapse": finishTime - beginTime,
"elapses": elapses,
"depths": depths
};
}
function getExchangeTariff(index) {
var exchangeName = exchanges[index].GetName();
if (exchangeName == "Huobi") {
return 0.09 / 100;
} else if (exchangeName == "Binance") {
return 0.075 / 100;
} else if (exchangeName == "GateIO") {
return 0.03 / 100;
} else if (exchangeName == "OKEX") {
return 0.15 / 100;
} else {
return 0.1 / 100;
}
}
var pricesChart = Chart([{ // 这个 chart 在JS 语言中 是对象， 在使用Chart 函数之前我们需要声明一个配置图表的对象变量chart。
__isStock: true, // 标记是否为一般图表，有兴趣的可以改成 false 运行看看。
tooltip: {
xDateFormat: '%Y-%m-%d %H:%M:%S, %A'
}, // 缩放工具
title: {
text: '差价分析图'
}, // 标题
rangeSelector: { // 选择范围
buttons: [{
type: 'hour',
count: 1,
text: '1h'
}, {
type: 'hour',
count: 3,
text: '3h'
}, {
type: 'hour',
count: 8,
text: '8h'
}, {
type: 'all',
text: 'All'
}],
selected: 0,
inputEnabled: false
},
xAxis: {
type: 'datetime'
}, // 坐标轴横轴 即：x轴， 当前设置的类型是 ：时间
yAxis: { // 坐标轴纵轴 即：y轴， 默认数值随数据大小调整。
title: {
text: '差价'
}, // 标题
opposite: false, // 是否启用右边纵轴
},
series: [ // 数据系列，该属性保存的是 各个 数据系列（线， K线图， 标签等..）
{
name: "委托买价",
id: "委托买价,bidPrice",
data: []
}, {
name: "委托卖价",
id: "委托卖价,askPrice",
data: []
}, {
name: "套利买价",
id: "套利买价,arbitrageBidPrice",
data: []
}, {
name: "套利卖价",
id: "套利卖价,arbitrageAskPrice",
data: []
}, {
name: "买入下单价格",
id: "买入下单价格,placeOrderPrice",
dashStyle: 'shortdash',
data: []
}, {
name: "买入撤单价格",
id: "买入撤单价格,cancelOrderPrice",
dashStyle: 'shortdash',
data: []
},
]
}]);
function updatePriceChart(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio) {
var nowTime = new Date().getTime();
pricesChart.add([0, [nowTime, bidPrice.RealPrice]]);
pricesChart.add([1, [nowTime, askPrice.RealPrice]]);
pricesChart.add([2, [nowTime, arbitrageBidRealPrice]]);
pricesChart.add([3, [nowTime, arbitrageAskRealPrice]]);
pricesChart.add([4, [nowTime, bidPrice.RealPrice * (1 + placeOrderDiffPriceRatio)]]);
pricesChart.add([5, [nowTime, bidPrice.RealPrice * (1 + cancelOrderDiffPriceRatio)]]);
}
var CurrencyOverturn = false;
var BidOrder = {
"DealAmount": 0,
"Amount": 0,
"Price": 0,
"RealPrice": 0,
"OrderId": 0,
}
var AskOrder = {
"DealAmount": 0,
"Amount": 0,
"Price": 0,
"RealPrice": 0,
"OrderId": 0,
}
var RunningInfo = {
"OpenOrders": [],
"Profit": 0,
"FeeCost": 0,
"CoinProfit": 0,
"CoinFeeCost": 0,
"Profit_hedge": 0,
"FeeCost_hedge": 0,
"Changed": false
};
var AccountInfo = {
"CurBalance": 0,
"CurStocks": 0,
"LastUpdateTime": 0,
}
function updateAccountInfo(flush) {
if (!flush && new Date().getTime() - AccountInfo.LastUpdateTime < 60 * 1000) {
return
}
var exAccount = _C(exchanges[0].GetAccount);
AccountInfo.CurBalance = exAccount.Balance;
AccountInfo.CurStocks = exAccount.Stocks;
AccountInfo.LastUpdateTime = new Date().getTime();
}
function getOrder(ex, orderId) {
order = ex.GetOrder(orderId);
if (order != null) {
fixOrder(ex, order);
}
return order;
}
function fixOrder(ex, order) {
var exName = ex.GetName();
if (exName == "GateIO") {
order.DealAmount = parseFloat(order.Info.filledAmount);
order.AvgPrice = parseFloat(order.Info.filledRate);
} else if (exName == "Binance") {
order.AvgPrice = parseFloat(order.Info.cummulativeQuoteQty) / order.DealAmount;
}
}
function mergeDepth(askOrBids, mergeAmount) {
var askOrBid = {
"Amout": 0,
"Price": 0
};
for (var i = 0; i < askOrBids.length; i++) {
if (askOrBid.Amout > mergeAmount) {
break;
}
askOrBid.Amout += askOrBids[i].Amount;
askOrBid.Price = askOrBids[i].Price;
}
return askOrBid;
}
function getArbitrageBidRealPrice(depths) {
var askPrice1 = mergeDepth(depths[1].Asks, maxTakerAmount).Price
var askMoney1 = askPrice1 * maxTakerAmount;
if (CurrencyOverturn) {
return (askPrice1 * (1 + getExchangeTariff(1))) * (mergeDepth(depths[2].Asks, askMoney1).Price * (1 + getExchangeTariff(2)));
} else {
return (askPrice1 * (1 + getExchangeTariff(1))) / (mergeDepth(depths[2].Bids, askMoney1 / depths[2].Bids[0].Price).Price * (1 - getExchangeTariff(2)));
}
}
function getArbitrageAskRealPrice(depths) {
var bidPrice1 = mergeDepth(depths[1].Bids, maxTakerAmount).Price;
var bidMoney1 = bidPrice1 * maxTakerAmount;
if (CurrencyOverturn) {
return (bidPrice1 * (1 - getExchangeTariff(1))) * (mergeDepth(depths[2].Bids, bidMoney1).Price * (1 - getExchangeTariff(2)));
} else {
return (bidPrice1 * (1 - getExchangeTariff(1))) / (mergeDepth(depths[2].Asks, bidMoney1 / depths[2].Asks[0].Price).Price * (1 + getExchangeTariff(2)));
}
}
function getOpenOrdersAmount() {
var amount = 0;
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
amount += RunningInfo.OpenOrders[i].Amout;
}
return amount;
}
function getOpenOrdersAvgRealPrice() {
var amount = 0;
var realMoney = 0;
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
amount += RunningInfo.OpenOrders[i].Amout;
realMoney += RunningInfo.OpenOrders[i].RealPrice * RunningInfo.OpenOrders[i].Amout;
}
if (amount > 0) {
return realMoney / amount;
} else {
return 0;
}
}
function mergeOpenOrders() {
var buyOpenOrders = [];
var sellOpenOrders = [];
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
if (RunningInfo.OpenOrders[i].Amout > 0) {
var contain = false;
for (var j = 0; j < buyOpenOrders.length; j++) {
if (buyOpenOrders[j].Price == RunningInfo.OpenOrders[i].Price) {
buyOpenOrders[j].Amout += RunningInfo.OpenOrders[i].Amout;
contain = true;
break;
}
}
if (!contain && RunningInfo.OpenOrders[i].Amout != 0) {
buyOpenOrders.push(RunningInfo.OpenOrders[i]);
}
} else {
var contain = false;
for (var j = 0; j < sellOpenOrders.length; j++) {
if (sellOpenOrders[j].Price == RunningInfo.OpenOrders[i].Price) {
sellOpenOrders[j].Amout += RunningInfo.OpenOrders[i].Amout;
contain = true;
break;
}
}
if (!contain && RunningInfo.OpenOrders[i].Amout != 0) {
sellOpenOrders.push(RunningInfo.OpenOrders[i]);
}
}
}
var profitChange = false;
for (var i = 0; i < buyOpenOrders.length; i++) {
var buyOpenOrder = buyOpenOrders[i];
if (buyOpenOrder.Amout == 0) {
continue;
}
for (var j = 0; j < sellOpenOrders.length; j++) {
var sellOpenOrder = sellOpenOrders[j];
if (sellOpenOrder.Amout == 0) {
continue;
}
if (RunningInfo.Profit_hedge == null) {
RunningInfo.Profit_hedge = 0;
}
if (RunningInfo.FeeCost_hedge == null) {
RunningInfo.FeeCost_hedge = 0;
}
if (buyOpenOrder.Amout + sellOpenOrder.Amout > 0) {
RunningInfo.Profit_hedge += (-sellOpenOrder.Amout) * (sellOpenOrder.RealPrice - buyOpenOrder.RealPrice);
RunningInfo.FeeCost_hedge += (-sellOpenOrder.Amout * sellOpenOrder.Price * getExchangeTariff(0)) + (-sellOpenOrder.Amout * buyOpenOrder.Price * getExchangeTariff(0))
buyOpenOrder.Amout += sellOpenOrder.Amout;
sellOpenOrder.Amout = 0;
} else {
RunningInfo.Profit_hedge += (buyOpenOrder.Amout) * (sellOpenOrder.RealPrice - buyOpenOrder.RealPrice);
RunningInfo.FeeCost_hedge += (buyOpenOrder.Amout * sellOpenOrder.Price * getExchangeTariff(0)) + (buyOpenOrder.Amout * buyOpenOrder.Price * getExchangeTariff(0))
sellOpenOrder.Amout += buyOpenOrder.Amout;
buyOpenOrder.Amout = 0;
}
profitChange = true;
}
}
if (profitChange) {
RunningInfo.Changed = true;
// LogProfit(RunningInfo.Profit + RunningInfo.CoinProfit * RunningInfo.OpenOrders[i].Price);
}
var nowOpenOrders = [];
var fixOpenOrders = [];
for (var i = 0; i < buyOpenOrders.length; i++) {
if (buyOpenOrders[i].Amout == 0) {
continue;
}
if (buyOpenOrders[i].TransactionTime != null && new Date().getTime() - buyOpenOrders[i].TransactionTime < 5 * 60 * 1000) {
nowOpenOrders.push(buyOpenOrders[i])
continue;
}
if (fixOpenOrders.length == 0 || fixOpenOrders[fixOpenOrders.length - 1].Amout < 0) {
fixOpenOrders.push(buyOpenOrders[i]);
continue;
}
var mergeOpenOrder = fixOpenOrders[fixOpenOrders.length - 1];
var mergeAmount = buyOpenOrders[i].Amout + mergeOpenOrder.Amout;
var mergeMoney = buyOpenOrders[i].Amout * buyOpenOrders[i].Price + mergeOpenOrder.Amout * mergeOpenOrder.Price;
var mergeRealMoney = buyOpenOrders[i].Amout * buyOpenOrders[i].RealPrice + mergeOpenOrder.Amout * mergeOpenOrder.RealPrice;
mergeOpenOrder.Amout = mergeAmount;
mergeOpenOrder.Price = mergeMoney / mergeAmount;
mergeOpenOrder.RealPrice = mergeRealMoney / mergeAmount;
}
for (var i = 0; i < sellOpenOrders.length; i++) {
if (sellOpenOrders[i].Amout == 0) {
continue;
}
if (sellOpenOrders[i].TransactionTime != null && new Date().getTime() - sellOpenOrders[i].TransactionTime < 5 * 60 * 1000) {
nowOpenOrders.push(sellOpenOrders[i]);
continue;
}
if (fixOpenOrders.length == 0 || fixOpenOrders[fixOpenOrders.length - 1].Amout > 0) {
fixOpenOrders.push(sellOpenOrders[i]);
continue;
}
var mergeOpenOrder = fixOpenOrders[fixOpenOrders.length - 1];
var mergeAmount = sellOpenOrders[i].Amout + mergeOpenOrder.Amout;
var mergeMoney = sellOpenOrders[i].Amout * sellOpenOrders[i].Price + mergeOpenOrder.Amout * mergeOpenOrder.Price;
var mergeRealMoney = sellOpenOrders[i].Amout * sellOpenOrders[i].RealPrice + mergeOpenOrder.Amout * mergeOpenOrder.RealPrice;
mergeOpenOrder.Amout = mergeAmount;
mergeOpenOrder.Price = mergeMoney / mergeAmount;
mergeOpenOrder.RealPrice = mergeRealMoney / mergeAmount;
}
for (var i = 0; i < nowOpenOrders.length; i++) {
fixOpenOrders.push(nowOpenOrders[i]);
}
RunningInfo.OpenOrders = fixOpenOrders;
}
function marketSell(exIndex, amount, bidPrice) {
var orderId = null;
var ex = exchanges[exIndex];
if (ex.GetName() == "GateIO") {
orderId = ex.Sell(bidPrice * 0.8, amount, ex.GetCurrency());
if (orderId == null) {
Sleep(500);
orderId = ex.Sell(bidPrice * 0.8, amount, ex.GetCurrency());
}
} else {
orderId = ex.Sell(-1, amount, ex.GetCurrency());
if (orderId == null) {
Sleep(500);
orderId = ex.Sell(-1, amount, ex.GetCurrency());
}
}
if (orderId == null) {
return null;
}
var order = null;
while (true) {
order = getOrder(ex, orderId);
if (order != null && order.Status != ORDER_STATE_PENDING) {
break;
} else {
Sleep(50);
}
}
return order
}
function marketBuy(exIndex, amount, askPrice) {
var orderId = null;
var ex = exchanges[exIndex];
if (ex.GetName() == "GateIO") {
orderId = ex.Buy(askPrice * 1.2, amount, ex.GetCurrency())
if (orderId == null) {
Sleep(500);
orderId = ex.Buy(askPrice * 1.2, amount, ex.GetCurrency())
}
} else {
orderId = ex.Buy(-1, amount, ex.GetCurrency())
if (orderId == null) {
Sleep(500);
orderId = ex.Buy(-1, amount, ex.GetCurrency())
}
}
if (orderId == null) {
return null;
}
var order = null;
while (true) {
order = getOrder(ex, orderId);
if (order != null && order.Status != ORDER_STATE_PENDING) {
break;
} else {
Sleep(50);
}
}
return order
}
function isBuyAmount(exIndex) {
return exchanges[exIndex].GetName() == "Binance" || exchanges[exIndex].GetName() == "GateIO";
}
function handleOpenOrders(arbitrageBidRealPrice, arbitrageAskRealPrice, cancelOrderDiffPriceRatio, depths) {
if (RunningInfo.OpenOrders.length == 0) {
return false;
}
mergeOpenOrders();
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
var doTransaction = false;
if (RunningInfo.OpenOrders[i].Amout >= minTakerAmount && arbitrageAskRealPrice > RunningInfo.OpenOrders[i].RealPrice * (1 + cancelOrderDiffPriceRatio)) {
if (runMode == 1 && (AskOrder.OrderId != 0 && AskOrder.OrderId != null) && getOpenOrdersAmount() - (AskOrder.Amount + AskOrder.DealAmount) < math.min(maxTakerAmount, RunningInfo.OpenOrders[i].Amout)) {
exchanges[0].CancelOrder(AskOrder.OrderId, "卖出:", AskOrder, "当前单边数量:", getOpenOrdersAmount());
return false;
}
Log("套利路径: 【买入->卖出】, 买入价" + RunningInfo.OpenOrders[i].Price + ", 开始======");
//买进的小币种
var takerAmount = math.min(maxTakerAmount, RunningInfo.OpenOrders[i].Amout); //小币种
var takerMoney = takerAmount * RunningInfo.OpenOrders[i].Price; //大币种
var takerFeeCost = takerMoney * getExchangeTariff(0); //大币种手续费
//卖出小币种得到中间币种
var order = marketSell(1, takerAmount, mergeDepth(depths[1].Bids, takerAmount).Price);
if (order == null) {
continue;
}
//获得的中间币种
var swapCoinPrice = order.AvgPrice;
var swapCoinAmount = order.DealAmount * order.AvgPrice;
var swapCoinFeeCost = swapCoinAmount * getExchangeTariff(1); //中间币种手续费
if (CurrencyOverturn) {
//第三个交易所翻转: CoinC/CoinB, CoinC是中间币种
order = marketSell(2, swapCoinAmount, mergeDepth(depths[2].Bids, swapCoinAmount).Price)
} else {
//通过中间币种买进大币种: CoinB/CoinC
if (isBuyAmount(2)) {
//币安设置买进数量
var hedgeMoney = (RunningInfo.Profit_hedge + RunningInfo.FeeCost_hedge)
var compensateMoney = 0;
if (hedgeMoney < -takerMoney) {
compensateMoney = takerMoney / 4
} else if (hedgeMoney < 0) {
compensateMoney = -hedgeMoney
}
order = marketBuy(2, takerMoney + compensateMoney, mergeDepth(depths[2].Asks, takerMoney + compensateMoney).Price)
} else {
//其他设置买进金额
order = marketBuy(2, swapCoinAmount, 0)
}
}
if (order == null) {
RunningInfo.OpenOrders[i].Amout -= takerAmount;
return true;
}
var feeCost = 0;
var profit = 0;
if (CurrencyOverturn) {
feeCost = takerFeeCost + swapCoinFeeCost * order.AvgPrice + order.DealAmount * order.AvgPrice * getExchangeTariff(2);
profit = order.DealAmount * order.AvgPrice - takerMoney - feeCost;
} else {
if (isBuyAmount(2)) { //币安赚取的是中间币种
feeCost = takerFeeCost * order.AvgPrice + swapCoinFeeCost + order.DealAmount * order.AvgPrice * getExchangeTariff(2);
profit = swapCoinAmount - order.DealAmount * order.AvgPrice - feeCost;
RunningInfo.Profit_hedge += (order.DealAmount - takerMoney)
if (RunningInfo.FeeCost_hedge > 0) {
feeCost += RunningInfo.FeeCost_hedge * order.AvgPrice
profit -= RunningInfo.FeeCost_hedge * order.AvgPrice
RunningInfo.Profit_hedge += RunningInfo.FeeCost_hedge;
RunningInfo.FeeCost_hedge = 0;
}
} else { //其他赚取的是大币种
feeCost = takerFeeCost + swapCoinFeeCost / order.AvgPrice + order.DealAmount * getExchangeTariff(2);
profit = order.DealAmount - takerMoney - feeCost;
}
}
RunningInfo.Profit += profit;
RunningInfo.FeeCost += feeCost;
RunningInfo.Changed = true;
Log("套利途径: 【买入->卖出】, 卖出价", CurrencyOverturn ? swapCoinPrice * order.AvgPrice : swapCoinPrice / order.AvgPrice, ", 数量", takerAmount, ", 手续费", feeCost, ", 盈利", profit);
LogProfit(RunningInfo.Profit + (RunningInfo.CoinProfit - RunningInfo.CoinFeeCost) * RunningInfo.OpenOrders[i].Price);
RunningInfo.OpenOrders[i].Amout -= takerAmount;
doTransaction = true;
} else if (RunningInfo.OpenOrders[i].Amout <= -minTakerAmount && arbitrageBidRealPrice < RunningInfo.OpenOrders[i].RealPrice * (1 - cancelOrderDiffPriceRatio)) {
if (runMode == 2 && (BidOrder.OrderId != 0 && BidOrder.OrderId != null) && getOpenOrdersAmount() + (BidOrder.Amount - BidOrder.DealAmount) > -math.min(maxTakerAmount, -RunningInfo.OpenOrders[i].Amout)) {
exchanges[0].CancelOrder(BidOrder.OrderId, "买入:", BidOrder, "当前单边数量:", getOpenOrdersAmount());
return false;
}
Log("套利路径: 【卖出->买入】, 卖出价" + RunningInfo.OpenOrders[i].Price + ", 开始======");
//卖出的小币种
var takerAmount = math.min(maxTakerAmount, -RunningInfo.OpenOrders[i].Amout);
var takerMoney = takerAmount * RunningInfo.OpenOrders[i].Price; //大币种
var takerFeeCost = takerMoney * getExchangeTariff(0); //大币种手续费
//卖出大币种得到中间币种
//todo: 第三个交易对翻转没处理
var order = marketSell(2, takerMoney, mergeDepth(depths[2].Bids, takerMoney).Price)
if (order == null) {
continue;
}
//获得的中间币种
var swapCoinPrice = order.AvgPrice;
var swapCoinAmount = order.DealAmount * order.AvgPrice;
var swapCoinFeeCost = swapCoinAmount * getExchangeTariff(2); //中间币种手续费
var bigSwapPrice = order.AvgPrice;
//通过中间币种买进小币种
if (isBuyAmount(1)) {
//币安设置买进数量
order = marketBuy(1, takerAmount, mergeDepth(depths[1].Asks, takerAmount).Price)
} else {
//其他设置买进金额
order = marketBuy(1, swapCoinAmount, 0)
}
if (order == null) {
RunningInfo.OpenOrders[i].Amout += takerAmount;
return true;
}
var feeCost = 0;
var profit = 0;
var coinProfit = 0;
var coinFeeCost = 0;
if (isBuyAmount(1)) { //币安赚取的是中间币种
feeCost = takerFeeCost * bigSwapPrice + swapCoinFeeCost + order.DealAmount * order.AvgPrice * getExchangeTariff(2);
profit = swapCoinAmount - order.DealAmount * order.AvgPrice - feeCost;
} else { //其他赚取的是小币种
feeCost = takerFeeCost + swapCoinFeeCost / bigSwapPrice + order.DealAmount * order.AvgPrice / bigSwapPrice * getExchangeTariff(2);
coinProfit = order.DealAmount - takerAmount;
coinFeeCost = order.DealAmount * getExchangeTariff(1);
}
RunningInfo.FeeCost += feeCost;
RunningInfo.Profit += profit;
RunningInfo.CoinProfit += coinProfit;
RunningInfo.CoinFeeCost += coinFeeCost;
RunningInfo.Changed = true;
if (isBuyAmount(1)) {
Log("套利途径: 【卖出->买入】, 买入价", CurrencyOverturn ? swapCoinPrice * order.AvgPrice : order.AvgPrice / swapCoinPrice, ", 数量", takerAmount, ", 手续费", feeCost, ", 盈利", profit);
} else {
Log("套利途径: 【卖出->买入】, 买入价", CurrencyOverturn ? swapCoinPrice * order.AvgPrice : order.AvgPrice / swapCoinPrice, ", 数量", takerAmount, ", 手续费", feeCost, ", 获取货币", coinProfit);
}
LogProfit(RunningInfo.Profit + (RunningInfo.CoinProfit - RunningInfo.CoinFeeCost) * RunningInfo.OpenOrders[i].Price);
RunningInfo.OpenOrders[i].Amout += takerAmount;
doTransaction = true;
}
if (doTransaction) {
return true;
}
}
return false;
}
function loop(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio) {
if ((arbitrageAskRealPrice > bidPrice.RealPrice * (1 + placeOrderDiffPriceRatio) && (runMode == 3 || runMode == 1)) ||
(runMode == 2 && getOpenOrdersAmount() < -minTakerAmount &&
(getOpenOrdersAvgRealPrice() > bidPrice.RealPrice ||
(arbitrageAskRealPrice > bidPrice.RealPrice * (1 - cancelOrderDiffPriceRatio) &&
arbitrageBidRealPrice > bidPrice.RealPrice * (1 + (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio) * 1.5)
)
)
)
) {
if (BidOrder.OrderId == 0 || BidOrder.OrderId == null) {
var buyAmount = math.min(AccountInfo.CurBalance / bidPrice.Price, buyMaxTakerAmount);
if (buyAmount > minTakerAmount) {
BidOrder.OrderId = exchanges[0].Buy(bidPrice.Price, buyAmount);
BidOrder.Price = bidPrice.Price;
BidOrder.RealPrice = bidPrice.RealPrice;
BidOrder.Amount = buyAmount;
}
} else {
var order = _C(exchanges[0].GetOrder, BidOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
BidOrder.OrderId = 0;
BidOrder.DealAmount = 0;
} else if (bidPrice.Price > BidOrder.Price) {
exchanges[0].CancelOrder(BidOrder.OrderId, "买入:", BidOrder);
} else {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
BidOrder.DealAmount = order.DealAmount;
}
}
}
} else if (BidOrder.OrderId != 0 && BidOrder.OrderId != null) {
var order = _C(exchanges[0].GetOrder, BidOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
BidOrder.OrderId = 0;
BidOrder.DealAmount = 0;
} else if ((arbitrageAskRealPrice < bidPrice.RealPrice * (1 + cancelOrderDiffPriceRatio) && bidPrice.Price <= BidOrder.Price && (runMode == 3 || runMode == 1)) ||
(runMode == 2 && getOpenOrdersAvgRealPrice() <= BidOrder.RealPrice && bidPrice.Price <= BidOrder.Price &&
(arbitrageAskRealPrice < bidPrice.RealPrice * (1 - placeOrderDiffPriceRatio) ||
arbitrageBidRealPrice < bidPrice.RealPrice * (1 + (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio))
)
)
) {
exchanges[0].CancelOrder(BidOrder.OrderId, "买入:", BidOrder);
} else {
if (order.DealAmount > BidOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": order.DealAmount - BidOrder.DealAmount,
"Price": order.Price,
"RealPrice": order.Price * (1 + getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount - BidOrder.DealAmount > minTakerAmount) {
Log("买入成交, 数量", order.DealAmount - BidOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
BidOrder.DealAmount = order.DealAmount;
}
}
}
if ((arbitrageBidRealPrice < askPrice.RealPrice * (1 - placeOrderDiffPriceRatio) && (runMode == 3 || runMode == 2)) ||
(runMode == 1 && getOpenOrdersAmount() > minTakerAmount &&
(getOpenOrdersAvgRealPrice() < askPrice.RealPrice ||
(arbitrageBidRealPrice < askPrice.RealPrice * (1 + cancelOrderDiffPriceRatio) &&
arbitrageAskRealPrice < askPrice.RealPrice * (1 - (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio) * 1.5)
)
)
)
) {
if (AskOrder.OrderId == 0 || AskOrder.OrderId == null) {
var sellAmount = math.min(AccountInfo.CurStocks, sellMaxTakerAmount);
if (sellAmount > minTakerAmount) {
AskOrder.OrderId = exchanges[0].Sell(askPrice.Price, sellAmount);
AskOrder.Price = askPrice.Price;
AskOrder.RealPrice = askPrice.RealPrice;
AskOrder.Amount = sellAmount;
}
} else {
var order = _C(exchanges[0].GetOrder, AskOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
AskOrder.OrderId = 0;
AskOrder.DealAmount = 0;
} else if (askPrice.Price < AskOrder.Price) {
exchanges[0].CancelOrder(AskOrder.OrderId, "卖出:", AskOrder);
} else {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
AskOrder.DealAmount = -order.DealAmount;
}
}
}
} else if (AskOrder.OrderId != 0 && AskOrder.OrderId != null) {
var order = _C(exchanges[0].GetOrder, AskOrder.OrderId);
fixOrder(exchanges[0], order);
if (order.Status != ORDER_STATE_PENDING) {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
}
AskOrder.OrderId = 0;
AskOrder.DealAmount = 0;
} else if ((arbitrageBidRealPrice > askPrice.RealPrice * (1 - cancelOrderDiffPriceRatio) && askPrice.Price >= AskOrder.Price && (runMode == 3 || runMode == 2)) ||
(runMode == 1 && getOpenOrdersAvgRealPrice() >= AskOrder.RealPrice && askPrice.Price >= AskOrder.Price &&
(arbitrageBidRealPrice > askPrice.RealPrice * (1 + placeOrderDiffPriceRatio) ||
arbitrageAskRealPrice > askPrice.RealPrice * (1 - (placeOrderDiffPriceRatio + cancelOrderDiffPriceRatio))
)
)
) {
exchanges[0].CancelOrder(AskOrder.OrderId, "卖出:", AskOrder);
} else {
if (order.DealAmount > -AskOrder.DealAmount) {
RunningInfo.OpenOrders.push({
"Amout": -(order.DealAmount + AskOrder.DealAmount),
"Price": order.Price,
"RealPrice": order.Price * (1 - getExchangeTariff(0)),
"TransactionTime": new Date().getTime(),
});
if (order.DealAmount + AskOrder.DealAmount > minTakerAmount) {
Log("卖出成交, 数量", order.DealAmount + AskOrder.DealAmount, ", 价格", order.Price, "#ff0000@");
}
AskOrder.DealAmount = -order.DealAmount;
}
}
}
}
function checkArgs() {
Log("检测参数...");
if (exchanges.length != 3) {
throw "交易对必须三个才能对冲";
}
if (exchanges[0].GetName() != exchanges[1].GetName() || exchanges[0].GetName() != exchanges[2].GetName()) {
throw "交易对不在同一个交易所";
}
var coinA = exchanges[0].GetCurrency().split("_")[0];
var coinB = exchanges[0].GetCurrency().split("_")[1];
if (exchanges[1].GetCurrency().split("_")[0] != coinA) {
throw "第二个交易对" + exchanges[1].GetCurrency() + "币种不等于" + coinA;
}
var coinC = exchanges[1].GetCurrency().split("_")[1];
if (exchanges[2].GetCurrency() == coinB + "_" + coinC) {
CurrencyOverturn = false;
} else if (exchanges[2].GetCurrency() == coinC + "_" + coinB) {
CurrencyOverturn = true;
} else {
throw "第三个交易对" + exchanges[2].GetCurrency() + "无法形成对冲";
}
if (placePriceRatio < 0.5) {
throw "下单价格比例:" + placePriceRatio + " 小于0.5";
}
if (cancelPriceRatio > placePriceRatio) {
throw "撤单价格比例:" + cancelPriceRatio + " 大于" + placePriceRatio;
}
Log("开始三角套利 CoinA:", coinA, ", CoinB:", coinB, ", CoinC:", coinC, ", 第三个交易对翻转:", CurrencyOverturn);
}
function updateStatus(totalElapse) {
var coinA = exchanges[0].GetCurrency().split("_")[0];
var coinB = exchanges[0].GetCurrency().split("_")[1];
var coinC = exchanges[1].GetCurrency().split("_")[1];
var makeCoin = !CurrencyOverturn && isBuyAmount(2) ? coinC : coinB;
var profitPrecisions = !CurrencyOverturn && isBuyAmount(2) ? parseInt(pricePrecisions.split(",")[1]) : parseInt(pricePrecisions.split(",")[0]);
var statusTable = [{
type: 'table',
title: '持仓信息',
cols: [],
rows: []
}, {
type: 'table',
title: '当前订单',
cols: ['订单号', '数量', '完成数量', '价格'],
rows: []
}, {
type: 'table',
title: '单边成交',
cols: ['数量', '价格'],
rows: []
}];
if (makeCoin != coinB) {
statusTable[0].cols = ['交易所', '费率%', '延迟', '当前余额', '当前币数',
'收益' + makeCoin, '收益' + coinA, '手续费' + makeCoin, "对冲收益" + coinB, "对冲手续费" + coinB, '操作'
];
statusTable[0].rows[0] = [
exchanges[0].GetName(),
getExchangeTariff(0) * 100,
totalElapse,
_N(AccountInfo.CurBalance, parseInt(pricePrecisions.split(",")[0])),
_N(AccountInfo.CurStocks, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.Profit, profitPrecisions),
_N(RunningInfo.CoinProfit, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.FeeCost, profitPrecisions),
_N(RunningInfo.Profit_hedge, parseInt(pricePrecisions.split(",")[0])),
_N(RunningInfo.FeeCost_hedge, parseInt(pricePrecisions.split(",")[0])),
]
} else {
statusTable[0].cols = ['交易所', '费率%', '延迟', '当前余额', '当前币数',
'收益' + makeCoin, '收益' + coinA, '手续费' + makeCoin, '操作'
];
RunningInfo.Profit += RunningInfo.Profit_hedge;
RunningInfo.Profit_hedge = 0;
RunningInfo.FeeCost += RunningInfo.FeeCost_hedge;
RunningInfo.FeeCost_hedge = 0;
statusTable[0].rows[0] = [
exchanges[0].GetName(),
getExchangeTariff(0) * 100,
totalElapse,
_N(AccountInfo.CurBalance, parseInt(pricePrecisions.split(",")[0])),
_N(AccountInfo.CurStocks, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.Profit, profitPrecisions),
_N(RunningInfo.CoinProfit, parseInt(amountPrecisions.split(",")[0])),
_N(RunningInfo.FeeCost, profitPrecisions),
]
}
if (AskOrder.OrderId != 0 && AskOrder.OrderId != null) {
statusTable[1].rows[statusTable[1].rows.length] = [AskOrder.OrderId, AskOrder.Amount, AskOrder.DealAmount, AskOrder.Price];
}
if (BidOrder.OrderId != 0 && BidOrder.OrderId != null) {
statusTable[1].rows[statusTable[1].rows.length] = [BidOrder.OrderId, BidOrder.Amount, BidOrder.DealAmount, BidOrder.Price];
}
for (var i = 0; i < RunningInfo.OpenOrders.length; i++) {
statusTable[2].rows[i] = [RunningInfo.OpenOrders[i].Amout, RunningInfo.OpenOrders[i].Price];
}
LogStatus('`' + JSON.stringify(statusTable) + '`' +
"\n更新时间: " + _D(new Date().getTime())
);
}
function main() {
_CDelay(100);
checkArgs();
if (restoreData) {
LogProfitReset();
LogReset(1);
LogVacuum();
pricesChart.reset();
_G(null);
}
SetErrorFilter("500:|502:|GetAccount: Failed to load data|Unknown order sent|Incorrect order state|timeout|network is unreachable|The request could not be satisfied|Too many requests; current limit is 1200 requests per minute|Request Timeout|timeout awaiting response headers|request canceled|GetOrder[\\w\\W]*?429 Too Many Requests|GetOrder[\\w\\W]*?Order does not exist|The order \\d* cancelled or not found");
for (var i = 0; i < exchanges.length; i++) {
exchanges[i].SetPrecision(parseInt(pricePrecisions.split(",")[i]), parseInt(amountPrecisions.split(",")[i]));
}
var runningInfo = _G("runningInfo");
if (runningInfo != null) {
RunningInfo = runningInfo;
if (RunningInfo.CoinFeeCost == null) {
RunningInfo.CoinFeeCost = 0;
}
if (RunningInfo.FeeCost_hedge == null) {
RunningInfo.FeeCost_hedge = 0;
}
if (RunningInfo.Profit_hedge == null) {
RunningInfo.Profit_hedge = 0;
}
}
updateAccountInfo(true);
Log(AccountInfo);
while (true) {
var sleepMillis = 500;
var depthInfo = getDepthInfo();
var reloop = false;
for (var i = 0; i < depthInfo.elapses.length; i++) {
if (depthInfo.elapses[i] > maxElapse) {
reloop = true;
break
}
}
if (reloop) {
Sleep(sleepMillis);
continue;
}
var depths = depthInfo.depths;
var bidPrice = {
"Price": depths[0].Bids[0].Price,
"RealPrice": depths[0].Bids[0].Price * (1 + getExchangeTariff(0))
};
var askPrice = {
"Price": depths[0].Asks[0].Price,
"RealPrice": depths[0].Asks[0].Price * (1 - getExchangeTariff(0))
};
var arbitrageBidRealPrice = getArbitrageBidRealPrice(depths);
var arbitrageAskRealPrice = getArbitrageAskRealPrice(depths);
var diffPriceRatio = (askPrice.RealPrice - bidPrice.RealPrice) / askPrice.RealPrice;
if (diffPriceRatio < 0.5 / 100) {
throw "交易对差价比例过小"
}
var placeOrderDiffPriceRatio = placePriceRatio * (diffPriceRatio / 2);
var cancelOrderDiffPriceRatio = math.max(cancelPriceRatio * (diffPriceRatio / 2), 0.1 / 100);
var bidOrderId = BidOrder.OrderId;
var askOrderId = AskOrder.OrderId;
var openOrdersAmount = getOpenOrdersAmount();
if (runMode != 0) {
if (handleOpenOrders(arbitrageBidRealPrice, arbitrageAskRealPrice, cancelOrderDiffPriceRatio, depths)) {
sleepMillis = 50
} else {
loop(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio);
}
_G("runningInfo", RunningInfo);
}
flushAccountInfo = BidOrder.OrderId != bidOrderId || AskOrder.OrderId != askOrderId || openOrdersAmount != getOpenOrdersAmount();
updateAccountInfo(flushAccountInfo);
updatePriceChart(bidPrice, askPrice, arbitrageBidRealPrice, arbitrageAskRealPrice, placeOrderDiffPriceRatio, cancelOrderDiffPriceRatio);
updateStatus(depthInfo.totalElapse);
Sleep(sleepMillis);
}
}
function onexit() {
cancelAllOrders();
}
function onerror() {
cancelAllOrders();
}
function cancelAllOrders() {
Log("取消所有订单...")
var orders = _C(exchanges[0].GetOrders);
for (var i = 0; i < orders.length; i++) {
exchanges[0].CancelOrder(orders[i].Id, orders[i]);
}
}
xunfeng91 这是现
BNMBNM 大佬 请教一下 怎么老是报 交易对差价比例过小
trump 你好，有联系方式吗 想合作