主交易所参考其它交易所价格, 判断当前价格的走向, 所以策略需要添加两个交易所
function adjustFloat(v) {
return Math.floor(v*1000)/1000;
}
function GetOrders() {
var orders = null;
while (!(orders = exchange.GetOrders())) {
Sleep(Interval);
}
return orders;
}
function CancelPendingOrders() {
while (true) {
var orders = GetOrders();
if (orders.length == 0) {
return;
}
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);
if (j < (orders.length-1)) {
Sleep(Interval);
}
}
}
}
function GetAccount() {
var account;
while (!(account = exchange.GetAccount())) {
Sleep(Interval);
}
return account;
}
function GetTicker(e) {
if (typeof(e) == 'undefined') {
e = exchange;
}
var ticker;
while (!(ticker = e.GetTicker())) {
Sleep(Interval);
}
return ticker;
}
function updateProft(accountInit, accountNow, ticker) {
var netNow = accountNow.Balance + accountNow.FrozenBalance + ((accountNow.Stocks + accountNow.FrozenStocks) * ticker.Buy);
var netInit = accountInit.Balance + accountInit.FrozenBalance + ((accountInit.Stocks + accountInit.FrozenStocks) * ticker.Buy);
LogProfit(netNow - netInit);
}
var STATE_WAIT_IDLE = 0;
var STATE_WAIT_BUY = 1;
var STATE_WAIT_SELL = 2;
var STATE_BUY = 3;
var STATE_SELL = 4;
var State = STATE_WAIT_IDLE;
var InitAccount = null;
var LastBuyPrice = 0;
var LastSellPrice = 0;
var LastHighPrice = 0;
var LastLowPrice = 0;
var LastRecord = null;
var Goingshort = false;
function onTick(exchange) {
var oldState = State;
var ticker = GetTicker();
if (State == STATE_WAIT_IDLE) {
var tickerOther = GetTicker(exchanges[1]);
// 价格被低估
if ((tickerOther.Buy - ticker.Sell) > PriceDiff) {
Goingshort = false;
State = STATE_BUY;
Log('开始做多, 价差:', adjustFloat(tickerOther.Buy - ticker.Sell));
} else if ((ticker.Buy - tickerOther.Sell) > PriceDiff) {
Goingshort = true;
State = STATE_SELL;
Log('开始做空, 价差:', adjustFloat(ticker.Buy - tickerOther.Sell));
} else {
return;
}
}
// 重新设置这两个参数
if (oldState == STATE_WAIT_IDLE && State != STATE_WAIT_IDLE) {
LastLowPrice = ticker.Last;
LastHighPrice = ticker.Last;
}
// 做多
if (!Goingshort) {
if (State == STATE_WAIT_SELL) {
var ratioStopLoss = Math.abs((LastHighPrice - ticker.Last) / LastHighPrice) * 100;
var ratioStopProfit = Math.abs((ticker.Last - LastBuyPrice) / LastBuyPrice) * 100;
var ratioMaxUp = Math.abs((LastHighPrice - LastBuyPrice) / LastBuyPrice) * 100;
if (ticker.Last < LastBuyPrice && ratioStopLoss >= StopLoss) {
State = STATE_SELL;
Log("开始止损, 当前下跌点数:", adjustFloat(ratioStopLoss), "当前价格", ticker.Last, "对比价格", adjustFloat(LastHighPrice));
} else if (ticker.Last > LastBuyPrice && ticker.Last < LastHighPrice && ratioStopProfit <= (ratioMaxUp*StopProfitThreshold)) {
State = STATE_SELL;
Log("开始止赢, 当前上涨点数:", adjustFloat(ratioStopProfit), "当前价格", ticker.Last, "对比价格", adjustFloat(LastBuyPrice));
}
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
}
} else {
if (State == STATE_WAIT_BUY) {
var ratioStopLoss = Math.abs((ticker.Last - LastLowPrice) / LastLowPrice) * 100;
var ratioStopProfit = Math.abs((LastSellPrice - ticker.Last) / LastSellPrice) * 100;
var ratioMaxDown = Math.abs((LastSellPrice - LastLowPrice) / LastSellPrice) * 100;
if (ticker.Last > LastSellPrice && ratioStopLoss >= StopLoss) {
State = STATE_BUY;
Log("开始止损, 当前上涨点数:", adjustFloat(ratioStopLoss), "当前价格", ticker.Last, "对比价格", adjustFloat(LastSellPrice));
} else if (ticker.Last < LastSellPrice && ticker.Last > LastLowPrice && ratioStopProfit <= (ratioMaxDown*StopProfitThreshold)) {
State = STATE_BUY;
Log("开始止盈, 当前下跌点数:", adjustFloat(ratioStopProfit), "当前价格", ticker.Last, "对比价格", adjustFloat(LastLowPrice));
}
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
LastLowPrice = Math.min(LastLowPrice, ticker.Last);
}
}
if (State != STATE_BUY && State != STATE_SELL) {
return;
}
var orders = GetOrders();
if (orders.length > 0) {
if (((State == STATE_BUY) && (LastBuyPrice >= (ticker.Buy-SlidePrice))) || ((State == STATE_SELL) && (LastSellPrice <= (ticker.Sell-SlidePrice)))) {
return;
}
}
// Buy or Sell, Cancel pending orders first
CancelPendingOrders();
// Wait Ticker Update
Sleep(3000);
var account = GetAccount();
// Update Ticker
ticker = GetTicker();
// 做多
if (!Goingshort) {
if (State == STATE_BUY) {
var tickerOther = GetTicker(exchanges[1]);
// 价差消失
if ((tickerOther.Buy - ticker.Sell) < (PriceDiff/2)) {
Log('做多价差消失:', adjustFloat(tickerOther.Buy - ticker.Sell));
if ((account.Stocks - InitAccount.Stocks) > exchange.GetMinStock()) {
State = STATE_WAIT_SELL;
} else {
State = STATE_WAIT_IDLE;
}
return;
}
var price = ticker.Buy + SlidePrice;
var amount = adjustFloat(Math.min(AmountOnce, account.Balance / price));
if (amount >= exchange.GetMinStock()) {
if (exchange.Buy(price, amount)) {
LastBuyPrice = LastHighPrice = price;
}
} else {
State = STATE_WAIT_SELL;
}
} else {
var sellAmount = Math.min(AmountOnce, account.Stocks - InitAccount.Stocks);
if (sellAmount > exchange.GetMinStock()) {
exchange.Sell(ticker.Sell - SlidePrice, sellAmount);
LastSellPrice = price;
} else {
// No stocks, wait buy and log profit
updateProft(account, InitAccount, ticker);
State = STATE_WAIT_IDLE;
}
}
} else {
if (State == STATE_BUY) {
var price = ticker.Buy + SlidePrice;
var amount = adjustFloat(Math.min(AmountOnce, account.Balance / price, InitAccount.Stocks - account.Stocks));
if (amount >= exchange.GetMinStock()) {
exchange.Buy(price, amount);
LastBuyPrice = price;
} else {
updateProft(account, InitAccount, ticker);
State = STATE_WAIT_IDLE;
}
} else {
var tickerOther = GetTicker(exchanges[1]);
// 价差消失
if ((ticker.Buy - tickerOther.Sell) < (PriceDiff/2)) {
Log('做空价差消失:', adjustFloat(ticker.Buy - tickerOther.Sell));
if ((InitAccount.Stocks - account.Stocks) > exchange.GetMinStock()) {
State = STATE_WAIT_BUY;
} else {
State = STATE_WAIT_IDLE;
}
return;
}
var price = ticker.Sell - SlidePrice;
var sellAmount = Math.min(AmountOnce, account.Stocks);
if (sellAmount > exchange.GetMinStock()) {
exchange.Sell(price, sellAmount, "做空");
LastSellPrice = LastLowPrice = price;
} else {
// No stocks, wait buy and log profit
State = STATE_WAIT_BUY;
}
}
}
}
function main() {
if (exchanges.length < 2) {
throw '最少提供一个参考平台';
}
InitAccount = GetAccount();
LoopInterval = Math.min(1, LoopInterval);
Log('交易平台:', exchange.GetName(), GetAccount());
Log('参考平台:', exchanges[1].GetName());
EnableGoingShort = EnableGoingShort && (InitAccount.Stocks > exchange.GetMinStock());
LoopInterval = Math.max(LoopInterval, 1);
while (true) {
onTick(exchange);
Sleep(LoopInterval*1000);
}
}