抢盘口做市策略, 最基础的做市策略，买一卖一抢单抢盘口, 赚买一卖一的差价. 比如现在卖1是60买1是70, 此策略会以65为中界，65以下布满买单，65以上布满卖单, 因为需要不停的调整订单布局，暂起名为高频逼近型 注意: 模拟测试GetTicker的买一卖一固定差价为1.6, 实际效果需要实盘测试
function adjustFloat(v) {
return Math.floor(v*100)/100;
}
function GetOrders() {
var orders = null;
while (!(orders = exchange.GetOrders())) {
Sleep(Interval);
}
return orders;
}
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 updateProfit(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(adjustFloat(netNow - netInit));
}
var InitAccount = null;
var LastOrdersLength = null;
function onTick() {
var ticker = GetTicker();
var account = GetAccount();
var orders = GetOrders();
if (LastOrdersLength != null && LastOrdersLength != orders.length) {
updateProfit(InitAccount, account, ticker);
}
LastOrdersLength = orders.length;
var mid = adjustFloat(ticker.Buy + ((ticker.Sell - ticker.Buy) / 2));
var numBuy = parseInt(Math.min(MaxNets / 2 , (mid - ticker.Buy) / Step, account.Balance / ticker.Buy / Lot));
var numSell = parseInt(Math.min(MaxNets / 2, account.Stocks / Lot));
var num = Math.max(numBuy, numSell);
var ordersKeep = [];
var queue = [];
for (var i = 1; i < num; i++) {
var buyPrice = adjustFloat(mid - (i * Step));
var sellPrice = adjustFloat(mid + (i * Step));
var alreadyBuy = false;
var alreadySell = false;
for (j = 0; j < orders.length; j++) {
if (orders[j].Type == ORDER_TYPE_BUY) {
if (Math.abs(orders[j].Price - buyPrice) < (Step / 2)) {
alreadyBuy = true;
ordersKeep.push(orders[j].Id);
}
} else {
if (Math.abs(orders[j].Price - sellPrice) < (Step / 2)) {
alreadySell = true;
ordersKeep.push(orders[j].Id);
}
}
}
if ((!alreadyBuy) && (i < numBuy)) {
queue.push([buyPrice, ORDER_TYPE_BUY]);
}
if ((!alreadySell) && (i < numSell)) {
queue.push([sellPrice, ORDER_TYPE_SELL]);
}
}
for (var i = 0; i < orders.length; i++) {
var keep = false;
for (var j = 0; j < ordersKeep.length; j++) {
if (orders[i].Id == ordersKeep[j]) {
keep = true;
}
}
if (!keep) {
exchange.CancelOrder(orders[i].Id);
LastOrdersLength--;
}
}
for (var i = 0; i < queue.length; i++) {
if (queue[i][1] == ORDER_TYPE_BUY) {
exchange.Buy(queue[i][0], Lot);
} else {
exchange.Sell(queue[i][0], Lot);
}
LastOrdersLength++;
}
}
function main() {
if (DisableLog) {
EnableLog(false);
}
InitAccount = GetAccount();
Log(InitAccount);
LoopInterval = Math.max(LoopInterval, 1);
Lot = Math.max(MinStock, Lot);
while (true) {
onTick();
Sleep(LoopInterval * 1000);
}
}
qq813380629 期货上无法使用，不会改