function cancelAll(){
var ref = false;
for(var e in exchanges){
while(true){
var n = 0;
var my_orders = _C(exchanges[e].GetOrders);
for(var order1 in my_orders){
ref = true;
e.CancelOrder(my_orders[order1].Id);
n += 1;
}
if(n==0){
break;
}
}
}
return ref;
}
function main(){
if(exchanges.length != 2){
throw("Only two exchanges are supported");
}
LogReset();
LogProfitReset();
cancelAll();
var initStocks = 0.0;
var initBalance = 0.0;
var minAmount = 0.1;
var lastTradeTime = 0;
var lastTradeErrExchange = '';
var accountsCache = [];
var hedgeNum = [0, 0];
var names = [];
var baseCurrency = exchange.GetCurrency();
for(var e in exchanges){
if(exchanges[e].GetCurrency() != baseCurrency){
throw("It has to be the same currency to hedge:"+baseCurrency);
}
names.push(exchanges[e].GetName());
var account = _C(exchanges[e].GetAccount);
accountsCache.push(account);
initStocks += account.Stocks;
initBalance += account.Balance;
}
if(baseCurrency == "BTC"){
minAmount = 0.01
} else {
minAmount = 0.1
}
Log("all balance:", _N(initBalance), "all stocks", _N(initStocks))
while(true){
if(accountsCache.length <= 0){
for(var e in exchanges){
var account1 = _C(exchanges[e].GetAccount);
accountsCache.push(account1);
}
}
Sleep(LoopInterval);
cmd = GetCommand();
if(cmd){
Log("CMD", cmd);
var arr = cmd.split(":");
if(arr[0]=="A->B"){
MinSpreadA = parseFloat(arr[1]);
} else if(arr[0]=="B->A"){
MinSpreadB = parseFloat(arr[1]);
}
}
var depthA = exchanges[0].GetDepth();
if (!depthA){
continue;
}
var depthB = exchanges[1].GetDepth();
if (!depthB){
continue;
}
var time = new Date();
if(lastTradeTime > 0 && time.getTime() - lastTradeTime > BalanceTime){
var needUpdate = cancelAll();
if (!needUpdate){
for(var account2 in accountsCache){
if(accountsCache[account2].FrozenBalance >= 0.1 || accountsCache[account2].FrozenStocks >= 0.001){
needUpdate = true;
break;
}
}
}
if (needUpdate){
for(var k in exchanges){
account3 = _C(exchanges[k].GetAccount);
accountsCache.push(account3);
}
}
var nowStocks = 0.0;
var nowBalance = 0.0;
for(var account4 in accountsCache){
nowBalance += accountsCache[account4].Balance;
nowStocks += accountsCache[account4].Stocks;
}
var diff = _N(nowStocks-initStocks, 5);
var isReverse;
if(Math.abs(diff) < minAmount){
LogProfit(_N(nowBalance-initBalance, 3), "all balance", _N(nowBalance), "all stocks", _N(nowStocks), "stock offset:", diff);
lastTradeTime = 0;
} else if(diff > minAmount){
isReverse = depthA.Bids[0].Price < depthB.Bids[0].Price;
} else if(-diff > minAmount){
isReverse = depthA.Asks[0].Price > depthB.Asks[0].Price;
}
if(isReverse != null){
var depths = [depthA, depthB];
var opAmount;
var kk;
if(isReverse){
kk = [1, 0];
} else{
kk = [0, 1];
}
for(var pos in kk){
if(diff > minAmount){
opAmount = Math.min(diff, accountsCache[pos].Stocks, depths[pos].Bids[0].Amount + depths[pos].Bids[1].Amount);
diff = -opAmount;
if(opAmount >= minAmount){
exchanges[pos].Sell(depths[pos].Bids[1].Price, opAmount);
}
} else if(-diff >= minAmount){
opAmount = Math.min(-diff, _N(accountsCache[pos].Balance / depths[pos].Asks[1].Price, 3), depths[pos].Asks[0].Amount + depths[pos].Asks[1].Amount);
diff += opAmount;
if (opAmount >= minAmount){
exchanges[pos].Buy(depths[pos].Asks[1].Price, opAmount);
}
}
}
if (opAmount != undefined){
var time1 = new Date();
lastTradeTime = time1.getTime();
accountsCache = [];
}
}
continue;
}
var diffA = _N(depthA.Bids[0].Price - depthB.Asks[0].Price, 3)
var diffB = _N(depthB.Bids[0].Price - depthA.Asks[0].Price, 3)
LogStatus(JSON.stringify({type: 'table', title: 'status', cols: ['name', 'money', 'frozenmoney', 'stock', 'frozenstock', 'buyone', 'sellone', 'threshold', 'offset', 'num of times'], rows: [[names[0], accountsCache[0].Balance, accountsCache[0].FrozenBalance, accountsCache[0].Stocks, accountsCache[0].FrozenStocks, depthA.Bids[0].Price, depthA.Asks[0].Price, MinSpreadA, diffA, hedgeNum[0]], [names[1], accountsCache[1].Balance, accountsCache[1].FrozenBalance, accountsCache[1].Stocks, accountsCache[1].FrozenStocks, depthB.Bids[0].Price, depthB.Asks[0].Price, MinSpreadB, diffB, hedgeNum[0]]]}));
HPos = 0;
if (diffA >= MinSpreadA){
orderH = depthA.Bids[0];
orderL = depthB.Asks[0];
exchangeH = 0;
exchangeL = 1;
accountH = accountsCache[0];
accountL = accountsCache[1];
}
else if (diffB >= MinSpreadB){
HPos = 1;
orderH = depthB.Bids[0];
orderL = depthA.Asks[0];
exchangeH = 1;
exchangeL = 0;
accountH = accountsCache[1];
accountL = accountsCache[0];
}
else{
continue;
}
var opPrice = _N((orderH.Price + orderL.Price) / 2.0, 2);
var opAmount = Math.min(MaxAmount, orderH.Amount, orderL.Amount, accountH.Stocks, _N(accountL.Balance / opPrice, 3));
if(opAmount >= minAmount){
var tasks = [[exchangeH, "H"], [exchangeL, "L"]];
if(lastTradeErrExchange == "L"){
tasks.reverse();
}
lastTradeErrExchange = "";
for(var task in tasks){
if(tasks[task][1] == "H"){
var id = exchanges[tasks[task][0]].Sell(opPrice, opAmount);
if(id == undefined){
lastTradeErrExchange = tasks[task][1];
break;
}
}
if(tasks[task][1] == "L"){
var id = exchanges[tasks[task][0]].Buy(opPrice, opAmount);
if(id == undefined){
lastTradeErrExchange = tasks[task][1];
break;
}
}
}
var time = new Date();
lastTradeTime = time.getTime();
accountsCache = []
hedgeNum[HPos] += 1
}
}
}
dyhhu 这个如果如果不平衡了，是不是就需要调整差价，趋向于做平衡的方向调整差价
bijiasuo 测试没效益的？是不是那差价要改动的？
7meter 已改正
m0606 17行那儿返回ref写成ret了