代码本身就是很好的注释, 识货的拿走.
var TAmount, TBuyOffset, TSellOffset, TResetDiff, TStep, TSleep, TLen;
var OrdersBuy = [];
var OrdersSell = [];
var InitAccount = null;
var __chart = null;
var __lastUpdate = 0;
function CancelPendingOrders() {
while (true) {
var orders = _C(exchange.GetOrders);
if (orders.length === 0) {
return;
}
for (var i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id);
if (i < (orders.length-1)) {
Sleep(500);
}
}
}
}
function str2array(s) {
var ret = [];
var arr = s.split(',');
for (var i = 0; i < arr.length; i++) {
ret.push(parseFloat(arr[i]));
}
return ret;
}
function parseOption() {
TAmount = str2array(DicAmount);
TBuyOffset = str2array(DicBuyOffset);
TSellOffset = str2array(DicSellOffset);
TResetDiff = str2array(DicResetDiff);
TStep = str2array(DicStep);
TSleep = str2array(DicSleep);
TLen = TAmount.length;
if ((TAmount.length !== TBuyOffset.length) ||
(TAmount.length !== TSellOffset.length) ||
(TAmount.length !== TStep.length) ||
(TAmount.length !== TSleep.length) ||
(TAmount.length !== TResetDiff.length) ) {
throw "参数有误, 表长度不一";
}
for (var i = 0; i < TLen; i++) {
OrdersBuy.push({Id: 0, Price: 0, Amount: 0});
OrdersSell.push({Id: 0, Price: 0, Amount: 0});
}
}
function getOrderPrice(books, limitAmount, prePrice, defRatio) {
var amount = 0;
for (var i = 0; i < books.length; i++) {
if (i > books.length - 3) {
return [books[1].Price * defRatio, false];
}
if (books[i].Price === prePrice) {
continue;
}
amount += books[i].Amount;
if (amount > limitAmount) {
return [books[i].Price, true];
}
}
}
function updateOrders() {
var ueseless = [];
var orders = _C(exchange.GetOrders);
// Update orders state, 1: Complete
for (var i = 0; i < TLen; i++) {
var found = false;
var j = 0;
if (OrdersBuy[i].Id > 0) {
for (j = 0; j < orders.length; j++) {
if (OrdersBuy[i].Id == orders[j].Id) {
found = true;
break;
}
}
if (!found) {
OrdersBuy[i] = {Id: 0, Price: 0};
}
}
found = false;
if (OrdersSell[i].Id > 0) {
for (j = 0; j < orders.length; j++) {
if (OrdersSell[i].Id == orders[j].Id) {
found = true;
break;
}
}
if (!found) {
OrdersSell[i] = {Id: 0, Price: 0};
}
}
}
// remove useless orders
while (true) {
var dropped = 0;
for (i = 0; i < orders.length; i++) {
var found = false;
for (j = 0; j < TLen; j++) {
if (OrdersBuy[j].Id == orders[i].Id || OrdersSell[j].Id == orders[i].Id) {
found = true;
}
}
if (!found) {
exchange.CancelOrder(orders[i].Id);
dropped++;
}
}
if (dropped === 0) {
break;
} else {
Sleep(1000);
orders = _C(exchange.GetOrders);
}
}
return true;
}
function onTick(pos) {
var depth = exchange.GetDepth();
if (!depth || depth.length < 2) {
return;
}
// recalc order price
var buys = [];
var sells = [];
for (var i = 0; i < TLen; i++) {
var buyPrice = getOrderPrice(depth.Bids, TAmount[i], OrdersBuy[i].Price, 0.99)[0] + (0.03 * Math.random());
var sellPrice = getOrderPrice(depth.Asks, TAmount[i], OrdersSell[i].Price, 1.01)[0] - (0.03 * Math.random());
var newSellPrice = sellPrice;
var newBuyPrice = buyPrice;
for(var newSellAmount = TAmount[i]; (newSellPrice - buyPrice) <= TSellOffset[i]; newSellAmount += TStep[i]) {
var retS = getOrderPrice(depth.Asks, newSellAmount, OrdersSell[i].Price, 1.01);
if (!retS[1]) {
break;
}
newSellPrice = retS[0] - (0.03 * Math.random());
}
for(var newBuyAmount = TAmount[i]; (sellPrice - newBuyPrice) <= TBuyOffset[i]; newBuyAmount += TStep[i]) {
var retB = getOrderPrice(depth.Bids, newBuyAmount, OrdersBuy[i].Price, 0.99);
if (!retB[1]) {
break;
}
newBuyPrice = retB[0] + (0.03 * Math.random());
}
buys.push(_N(newBuyPrice, 2));
sells.push(_N(newSellPrice, 2));
}
while (true) {
if (!updateOrders()) {
Sleep(1000);
}
var dropped = 0;
for (i = 0; i < TLen; i++) {
if (pos === 0 || (pos % TSleep[i] !== 0)) {
continue;
}
if (OrdersBuy[i].Id > 0 && Math.abs(buys[i] - OrdersBuy[i].Price) > TResetDiff[i]) {
//if (OrdersBuy[i].Id > 0 && (buys[i] - OrdersBuy[i].Price) > TResetDiff[i]) {
exchange.CancelOrder(OrdersBuy[i].Id);
dropped++;
}
if (OrdersSell[i].Id > 0 && Math.abs(sells[i] - OrdersSell[i].Price) > TResetDiff[i]) {
//if (OrdersSell[i].Id > 0 && (OrdersSell[i].Price - sells[i]) > TResetDiff[i]) {
exchange.CancelOrder(OrdersSell[i].Id);
dropped++;
}
}
if (dropped === 0) {
break;
} else {
Sleep(1000);
}
}
var account = _C(exchange.GetAccount);
var now = new Date().getTime();
if ((now - __lastUpdate) > (1000 * ChartPeriod)) {
__lastUpdate = now;
var btcPrice = depth.Bids[0].Price;
var net = _N(account.Balance + account.FrozenBalance + ((account.Stocks + account.FrozenStocks) * btcPrice));
__chart.add([0, [now, net]]);
__chart.add([1, [now, btcPrice]]);
}
var freeAmount = account.Stocks;
var freeBalance = account.Balance;
for (i = 0; i < TLen; i++) {
if (OrdersBuy[i].Id === 0) {
var orderAmount = Math.min(_N(freeBalance / buys[i]), TAmount[i]);
if (orderAmount >= 0.01) {
var orderId = exchange.Buy(buys[i], orderAmount);
if (orderId) {
OrdersBuy[i] = {Id: orderId, Price: buys[i], Amount: orderAmount};
}
}
freeBalance -= ((buys[i] + 1) * orderAmount);
}
if (OrdersSell[i].Id === 0 && freeAmount >= 0.01) {
var orderAmount = Math.min(freeAmount, TAmount[i]);
var orderId = exchange.Sell(sells[i], orderAmount);
if (orderId) {
OrdersSell[i] = {Id: orderId, Price: sells[i], Amount: orderAmount};
}
freeAmount -= orderAmount;
}
}
}
function onexit() {
CancelPendingOrders();
Log("exit");
}
function main() {
SetErrorFilter("订单不存在|10050|net");
exchange.IO("websocket")
__chart = Chart({
tooltip: {xDateFormat: '%Y-%m-%d %H:%M:%S, %A'},
title : { text : '资产趋势'},
rangeSelector: {
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'},
yAxis: [{ // Primary yAxis
labels: { format: '{value}元', style: { color: '#FF0000' } },
title: { text: '资产估值', style: { color: '#FF0000' } }
}, { title: { text: 'BTC单价', style: { color: '#4572A7' } },
labels: { format: '{value} 元', style: { color: '#4572A7' } },
opposite: false
}],
series : [{
name : '净产净值',
data : [],
tooltip: {
valueDecimals: 2
}
},{
name : 'BTC单价',
yAxis: 1,
data : [],
tooltip: {
valueDecimals: 2
}
}]
});
__chart.reset();
EnableLog(IsEnableLog);
Log("Switch to websocket => ", exchange.IO("websocket"));
CancelPendingOrders();
InitAccount = _C(exchange.GetAccount);
Log(InitAccount);
parseOption();
var allAmount = _.reduce(TAmount, function(memo, num){ return memo + num; }, 0);
var ticker = _C(exchange.GetTicker);
var ratio = (InitAccount.Balance + InitAccount.FrozenBalance + ((InitAccount.Stocks + InitAccount.FrozenStocks) * ticker.Buy)) / 2 / ticker.Buy / allAmount;
for (var i = 0; i < TAmount.length; i++) {
TAmount[i] = _N(TAmount[i] * ratio, 3);
}
Log("订单跟踪已经: " + (IsEnableLog ? "开启" : "关闭"), " 统计周期为", ChartPeriod, "秒, ", TAmount, "缩放比例:", _N(ratio));
for (var count = 0; ; count++) {
var cmd = GetCommand();
if (cmd == '开启/关闭订单跟踪') {
IsEnableLog = !IsEnableLog;
EnableLog(IsEnableLog);
Log("订单跟踪已经: " + (IsEnableLog ? "开启" : "关闭"));
} else if (cmd && cmd.indexOf('统计周期:') === 0) {
ChartPeriod = parseFloat(cmd.split(':')[1]);
Log("统计周期变更为", ChartPeriod, "秒");
}
onTick(count);
Sleep(SleepPeriod);
}
}
zsyh9612 注释掉所有跟websocket有关的代码就好了。。。
zsyh9612 回测 错误 main:230:14 - ReferenceError: setLastError is not defined
nick_huang Z大大，可否讲一下如何调参可以得到正收益，回测一直亏损很多
nick_huang 可以简单介绍一下逻辑吗？另外 如何调参可以使回测结果得到正收益呢？我试了默认的参数和数据，亏了好多
banelen Z老大好，看代码 GetCommand 这里看不懂，API也没有描述，能否解惑一下？
creat 模拟盘保证买卖不卡壳的，但是实盘这么频繁的买卖不一定挂的进去
haixionglee 为什么回测的数据很好，实盘操作却没有什么用处。
banelen 感谢，找到啦
Zero https://dn-filebox.qbox.me/3ef9d56aa015aa1b3f71f35ee9b709fb3e9a817e.png
Zero 高频策略必须实盘测试. 模拟盘没人那么高的逼真度.