策略原理：https://www.fmz.com/digest-topic/10457 源码解释：https://www.fmz.com/digest-topic/10461
需要OKX期货账户，单向持仓模式
function GetPosition(pair){
let pos = _C(exchange.GetPosition, pair)
if(pos.length == 0){
return {amount:0, price:0, profit:0}
}else if(pos.length > 1){
throw '不支持双向持仓'
}else{
return {amount:pos[0].Type == 0 ? pos[0].Amount : -pos[0].Amount, price:pos[0].Price, profit:pos[0].Profit}
}
}
function GetRatio(){
let kline_A = exchange.GetRecords(Pair_A+"_"+Quote+".swap", 60*60, N)
let kline_B = exchange.GetRecords(Pair_B+"_"+Quote+".swap", 60*60, N)
let total = 0
for(let i= Math.min(kline_A.length,kline_B.length)-1; i >= 0; i--){
total += kline_A[i].Close / kline_B[i].Close
}
return total / Math.min(kline_A.length,kline_B.length)
}
function GetAccount(){
let account = _C(exchange.GetAccount)
let total_eq = 0
if(exchange.GetName() == 'Futures_OKCoin'){
total_eq = parseFloat(account.Info.data[0].totalEq)
}else{
total_eq = account.Balance
}
let init_eq = 0
if(!_G('init_eq')){
init_eq = total_eq
_G('init_eq', total_eq)
}else{
init_eq = _G('init_eq')
}
LogProfit(total_eq - init_eq)
return total_eq
}
function main(){
var precision = exchange.GetMarkets()
var last_get_ratio_time = Date.now()
var ratio = GetRatio()
var total_eq = GetAccount()
while(true){
let start_loop_time = Date.now()
if(Date.now() - last_get_ratio_time > 10*60*1000){
ratio = GetRatio()
total_eq = GetAccount()
last_get_ratio_time = Date.now()
}
let pair_a = Pair_A+"_"+Quote+".swap"
let pair_b = Pair_B+"_"+Quote+".swap"
let CtVal_a = "CtVal" in precision[pair_a] ? precision[pair_a].CtVal : 1
let CtVal_b = "CtVal" in precision[pair_b] ? precision[pair_b].CtVal : 1
let position_A = GetPosition(pair_a)
let position_B = GetPosition(pair_b)
let ticker_A = exchange.GetTicker(pair_a)
let ticker_B = exchange.GetTicker(pair_b)
if(!ticker_A || !ticker_B){
continue
}
let diff = (ticker_A.Last / ticker_B.Last - ratio) / ratio
let aim_value = - Trade_Value * diff / Pct
let id_A = null
let id_B = null
if( -aim_value + position_A.amount*CtVal_a*ticker_A.Last > Trade_Value && position_A.amount*CtVal_a*ticker_A.Last > -Max_Value){
id_A = exchange.CreateOrder(pair_a, "sell", _N(ticker_A.Buy*0.99, precision[pair_a].PricePrecision), _N(Ice_Value / (ticker_A.Buy * CtVal_a), precision[pair_a].AmountPrecision))
}
if( -aim_value - position_B.amount*CtVal_b*ticker_B.Last > Trade_Value && position_B.amount*CtVal_b*ticker_B.Last < Max_Value){
id_B = exchange.CreateOrder(pair_b, "buy", _N(ticker_B.Sell*1.01, precision[pair_b].PricePrecision), _N(Ice_Value / (ticker_B.Sell * CtVal_b), precision[pair_b].AmountPrecision))
}
if( aim_value - position_A.amount*CtVal_a*ticker_A.Last > Trade_Value && position_A.amount*CtVal_a*ticker_A.Last < Max_Value){
id_A = exchange.CreateOrder(pair_a, "buy", _N(ticker_A.Sell*1.01, precision[pair_a].PricePrecision), _N(Ice_Value / (ticker_A.Sell * CtVal_a), precision[pair_a].AmountPrecision))
}
if( aim_value + position_B.amount*CtVal_b*ticker_B.Last > Trade_Value && position_B.amount*CtVal_b*ticker_B.Last > -Max_Value){
id_B = exchange.CreateOrder(pair_b, "sell", _N(ticker_B.Buy*0.99, precision[pair_b].PricePrecision), _N(Ice_Value / (ticker_B.Buy * CtVal_b), precision[pair_b].AmountPrecision))
}
if(id_A){
exchange.CancelOrder(id_A)
}
if(id_B){
exchange.CancelOrder(id_B)
}
let table = {
type: "table",
title: "交易信息",
cols: ["初始权益", "当前权益", Pair_A+"仓位", Pair_B+"仓位", Pair_A+"持仓价", Pair_B+"持仓价", Pair_A+"收益", Pair_B+"收益", Pair_A+"价格", Pair_B+"价格", "当前比价", "平均比价", "偏离均价", "循环延时"],
rows: [[_N(_G('init_eq'),2), _N(total_eq,2), _N(position_A.amount*CtVal_a*ticker_A.Last, 1), _N(position_B.amount*CtVal_b*ticker_B.Last,1),
_N(position_A.price, precision[pair_a].PircePrecision), _N(position_B.price, precision[pair_b].PircePrecision),
_N(position_A.profit, 1), _N(position_B.profit, 1), ticker_A.Last, ticker_B.Last,
_N(ticker_A.Last / ticker_B.Last,6), _N(ratio, 6), _N(diff, 4), (Date.now() - start_loop_time)+"ms"
]]
}
LogStatus("`" + JSON.stringify(table) + "`")
Sleep(Interval * 1000)
}
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6