平衡挂单策略教学.md

Name

平衡挂单策略教学

Author

小小梦

Strategy Description

策略原理很简单

本质为动态平衡策略，只不过设计为预先挂单。策略教学为主，策略未经长期实盘测试，实盘慎用。 2020.09.04 OKEX量化交易尊享会郑州站议题讲解策略。

Strategy Arguments

Argument	Default	Description
IsReset	false	恢复数据
BalanceDistance	500	平衡资产数值（计价币）

Button	Default	Description
stop	button	暂停
continue	button	继续

Source (javascript)

var Shannon = {
	// member
    e : exchanges[0],
    arrPlanOrders : [],
    distance : BalanceDistance,
    account : null,
    ticker : null, 
    initAccount : null,
    isAskPending : false,
    isBidPending : false,

    // function 
    CancelAllOrders : function (e) {
        while(true) {
            var orders = _C(e.GetOrders)
            if(orders.length == 0) {
                return 
            }
            Sleep(500)
            for(var i = 0; i < orders.length; i++) {
                e.CancelOrder(orders[i].Id, orders[i])
                Sleep(500)
            }
        }
    },

    Balance : function () {
        if (this.arrPlanOrders.length == 0) {
            this.CancelAllOrders(this.e)
            var acc = _C(this.e.GetAccount)
            this.account = acc
            var askPendingPrice = (this.distance + acc.Balance) / acc.Stocks
            var bidPendingPrice = (acc.Balance - this.distance) / acc.Stocks
            var askPendingAmount = this.distance / 2 / askPendingPrice
            var bidPendingAmount = this.distance / 2 / bidPendingPrice

            this.arrPlanOrders.push({tradeType : "ask", price : askPendingPrice, amount : askPendingAmount}) 
            this.arrPlanOrders.push({tradeType : "bid", price : bidPendingPrice, amount : bidPendingAmount})
        } else if(this.isAskPending == false && this.isBidPending == false) {
            for(var i = 0; i < this.arrPlanOrders.length; i++) {
                var tradeFun = this.arrPlanOrders[i].tradeType == "ask" ? this.e.Sell : this.e.Buy
                var id = tradeFun(this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount)
                if(id) {
                	this.isAskPending = this.arrPlanOrders[i].tradeType == "ask" ? true : this.isAskPending
                	this.isBidPending = this.arrPlanOrders[i].tradeType == "bid" ? true : this.isBidPending
                } else {
                	Log("挂单失败，清理！")
                	this.CancelAllOrders(this.e)
                	return 
                }
            }
        }

        if(this.isBidPending || this.isAskPending) {
            var orders = _C(this.e.GetOrders)
            Sleep(1000)
            var ticker = _C(this.e.GetTicker)
            this.ticker = ticker
            if(this.isAskPending) {
                var isFoundAsk = false 
                for (var i = 0; i < orders.length; i++) {
                    if(orders[i].Type == ORDER_TYPE_SELL) {
                        isFoundAsk = true
                    }
                }
                if(!isFoundAsk) {
                    Log("卖单成交，撤销订单，重置")
                    this.CancelAllOrders(this.e)
                    this.arrPlanOrders = []
                    this.isAskPending = false 
                    this.isBidPending = false 
                    LogProfit(this.CalcProfit(ticker))
                    return 
                }
            }
            if(this.isBidPending) {
                var isFoundBid = false 
                for(var i = 0; i < orders.length; i++) {
                    if(orders[i].Type == ORDER_TYPE_BUY) {
                        isFoundBid = true
                    }
                }
                if(!isFoundBid) {
                    Log("买单成交，撤销订单，重置")
                    this.CancelAllOrders(this.e)
                    this.arrPlanOrders = []
                    this.isAskPending = false 
                    this.isBidPending = false 
                    LogProfit(this.CalcProfit(ticker))
                    return 
                }
            }        
        }
    }, 
    ShowTab : function() {
        var tblPlanOrders = {
            type : "table", 
            title : "计划挂单", 
            cols : ["方向", "价格", "数量"], 
            rows : []
        }
        for(var i = 0; i < this.arrPlanOrders.length; i++) {
            tblPlanOrders.rows.push([this.arrPlanOrders[i].tradeType, this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount])
        }

        var tblAcc = {
            type : "table", 
            title : "账户信息", 
            cols : ["type", "Stocks", "FrozenStocks", "Balance", "FrozenBalance"], 
            rows : []            
        }
        tblAcc.rows.push(["初始", this.initAccount.Stocks, this.initAccount.FrozenStocks, this.initAccount.Balance, this.initAccount.FrozenBalance])
        tblAcc.rows.push(["当前", this.account.Stocks, this.account.FrozenStocks, this.account.Balance, this.account.FrozenBalance])
        
        return "时间：" + _D() + "\n `" + JSON.stringify([tblPlanOrders, tblAcc]) + "`" + "\n" + "ticker:" + JSON.stringify(this.ticker)
    },
    CalcProfit : function(ticker) {
        var acc = _C(this.e.GetAccount)
        this.account = acc
        return (this.account.Balance - this.initAccount.Balance) + (this.account.Stocks - this.initAccount.Stocks) * ticker.Last
    },
    Init : function() {
        this.initAccount = _C(this.e.GetAccount)
        if(IsReset) {
            var acc = _G("account")
            if(acc) {
                this.initAccount = acc 
            } else {
                Log("恢复初始账户信息失败！以初始状态运行！")
                _G("account", this.initAccount)
            }
        } else {
            _G("account", this.initAccount)
            LogReset(1)
            LogProfitReset()
        }
    },
    Exit : function() {
        Log("停止前，取消所有挂单...")
        this.CancelAllOrders(this.e)
    }
}

function main() {
    // 初始化
    Shannon.Init()

    // 主循环
	while(true) {
		Shannon.Balance()		
        LogStatus(Shannon.ShowTab())
        // 交互
        var cmd = GetCommand()
        if(cmd) {
            if(cmd == "stop") {
                while(true) {
                    LogStatus("暂停", Shannon.ShowTab())
                    cmd = GetCommand()
                    if(cmd) {
                        if(cmd == "continue") {
                            break
                        }
                    }
                    Sleep(1000)
                }
            }
        }
		Sleep(5000)
	}
}

function onexit() {
    Shannon.Exit()
}

Detail

https://www.fmz.com/strategy/225746

Last Modified

2020-09-04 23:17:03