Name
MultiSymbolCtrlLib
Author
小小梦
Strategy Description
文章https://www.fmz.com/digest-topic/7373中使用的模板 代码仅供参考学习，实盘慎用。
Source (javascript)
// 交易所接口调用实现
// OKEX V3 合约
function funcConfigure_Futures_OKCoin(self) {
// 内置函数可以根据需求自由编写
var formatSymbol = function(originalSymbol) {
// originalSymbol : LINK-USD-210423
var arr = originalSymbol.split("-")
var baseCurrency = arr[0]
var quoteCurrency = arr[1]
return [(baseCurrency + "_" + quoteCurrency).toUpperCase(), baseCurrency.toUpperCase(), quoteCurrency.toUpperCase()] // 返回数据：[currency, baseCurrency, quoteCurrency]
}
self.interfaceGetTickers = function interfaceGetTickers() {
// 可以识别 self.subscribeSymbols 中订阅的品种判断是否需要永续合约行情
var url = "https://www.okex.com/api/futures/v3/instruments/ticker"
self.routineGetTicker = HttpQuery_Go(url)
}
self.waitTickers = function waitTickers() {
var ret = []
var arr = JSON.parse(self.routineGetTicker.wait())
_.each(arr, function(ele) {
ret.push({
bid1: parseFloat(ele.best_bid),
bid1Vol: parseFloat(ele.best_bid_size),
ask1: parseFloat(ele.best_ask),
ask1Vol: parseFloat(ele.best_ask_size),
symbol: formatSymbol(ele.instrument_id)[0],
type: "Futures",
originalSymbol: ele.instrument_id
})
})
return ret
}
self.interfaceGetAcc = function interfaceGetAcc(symbol, updateTS) {
// 可根据symbol识别是否是永续合约
var arr = formatSymbol(symbol)
var url = "/api/futures/v3/accounts/" + arr[1].toLowerCase() + "-" + arr[2].toLowerCase()
self.routineGetAcc = self.e.Go("IO", "api", "GET", url)
}
self.waitAcc = function waitAcc(symbol, updateTS) {
var acc = null
var ret = self.routineGetAcc.wait()
// 判断是不是全仓
if (ret.margin_mode != "crossed") {
Log(self.name, "持仓模式不为全仓！")
return
}
var balance = parseFloat(ret.equity) - parseFloat(ret.margin)
var frozenBalance = parseFloat(ret.margin_for_unfilled)
if (ret.currency == "USDT") {
acc = {symbol: symbol, Stocks: 0, FrozenStocks: 0, Balance: balance, FrozenBalance: frozenBalance, originalInfo: ret}
} else if (ret.currency == "USD") {
acc = {symbol: symbol, Stocks: balance, FrozenStocks: frozenBalance, Balance: 0, FrozenBalance: 0, originalInfo: ret}
}
return acc
}
self.interfaceGetPos = function interfaceGetPos(symbol, updateTS) {
var symbolInfo = self.getSymbolInfo(symbol)
var url = "/api/futures/v3/" + symbol + "/position"
if (symbol.includes("SWAP")) {
url = "/api/swap/v3/" + symbol + "/position"
}
var ret = self.e.IO("api", "GET", url)
var positions = []
_.each(ret.holding, function(ele) {
if (ele.instrument_id == symbol && parseFloat(ele.short_qty) > 0) { // 持有空头仓位
positions.push({symbol: symbol, amount: -parseFloat(ele.short_qty) * symbolInfo.multiplier, price: parseFloat(ele.short_avg_cost), marginLevel: parseFloat(ele.leverage), originalInfo: ele})
}
if (ele.instrument_id == symbol && parseFloat(ele.long_qty) > 0) { // 持有多头仓位
positions.push({symbol: symbol, amount: parseFloat(ele.long_qty) * symbolInfo.multiplier, price: parseFloat(ele.long_avg_cost), marginLevel: parseFloat(ele.leverage), originalInfo: ele})
}
})
return positions
}
self.interfaceTrade = function interfaceTrade(symbol, type, price, amount) {
// 判断合约 交割、永续
var url = "/api/futures/v3/order"
if (symbol.includes("SWAP")) {
url = "/api/swap/v3/order"
}
var tradeType = ""
switch(type) {
case self.OPEN_LONG:
tradeType = "1"
break
case self.OPEN_SHORT:
tradeType = "2"
break
case self.COVER_LONG:
tradeType = "3"
break
case self.COVER_SHORT:
tradeType = "4"
break
default:
throw "type error, type:" + type
}
var params = {
"instrument_id": symbol,
"type": tradeType,
"order_type": "4",
"size": String(amount)
}
self.routineTrade = self.e.Go("IO", "api", "POST", url, self.encodeParams(params))
}
self.waitTrade = function waitTrade() {
return self.routineTrade.wait()
}
self.calcAmount = function calcAmount(symbol, type, price, amount) {
// 处理下单量
var symbolInfo = self.getSymbolInfo(symbol)
if (!symbolInfo) {
throw symbol + "，交易对信息查询不到"
}
var tradeAmount = _N(amount / symbolInfo.multiplier, 0)
// 判断最小下单量
if (tradeAmount < parseFloat(symbolInfo.min)) {
Log(self.name, " tradeAmount:", tradeAmount, "小于", parseFloat(symbolInfo.min))
return false
}
return [tradeAmount, tradeAmount * symbolInfo.multiplier]
}
self.interfaceSetMarginLevel = function interfaceSetMarginLevel(symbol, marginLevel) {
var arr = formatSymbol(symbol)
var underlying = arr[1] + "-" + arr[2]
var url = "/api/futures/v3/accounts/" + underlying + "/leverage"
var params = {
"leverage" : String(marginLevel)
}
if (symbol.includes("SWAP")) {
url = "/api/futures/v3/accounts/" + symbol + "/leverage"
params = {
"instrument_id" : symbol,
"leverage" : String(marginLevel),
"side" : "3"
}
} else {
var ret = self.e.IO("api", "GET", "/api/futures/v3/accounts/" + underlying + "/leverage")
// 如果不是永续合约，要先切换全仓模式，设置全仓模式前先判断是否不为全仓
if (ret.margin_mode != "crossed") {
self.e.IO("api", "POST", "/api/futures/v3/accounts/margin_mode", self.encodeParams({"underlying" : underlying, "margin_mode" : "crossed"}))
}
}
return self.e.IO("api", "POST", url, self.encodeParams(params))
}
self.interfaceCalcProfit = function interfaceCalcProfit(arrInitAcc, arrNowAcc) {
// 计算总权益差值，即盈亏
var profit = 0
_.each(arrInitAcc, function(initAcc) {
_.each(arrNowAcc, function(nowAcc) {
if (initAcc.symbol == nowAcc.symbol) {
profit += nowAcc.originalInfo.equity - initAcc.originalInfo.equity
}
})
})
return profit
}
self.init = function init() {
// 可以识别 self.subscribeSymbols 中订阅的品种判断是否需要永续合约信息
var ret = JSON.parse(HttpQuery("https://www.okex.com/api/futures/v3/instruments")) // 只获取了交割合约，可以增加永续合约
_.each(ret, function(symbolInfo) {
self.symbolsInfo.push({
symbol: symbolInfo.instrument_id,
amountPrecision: self.judgePrecision(parseFloat(symbolInfo.tick_size)),
pricePrecision: self.judgePrecision(parseFloat(symbolInfo.trade_increment)),
multiplier: parseFloat(symbolInfo.contract_val),
min: 1, // OKEX 合约最小下1张
originalInfo: symbolInfo
})
})
}
}
// 币安合约
function funcConfigure_Futures_Binance(self) {
var formatSymbol = function (originalSymbol) {
// BTCUSD_200925
originalSymbol = (originalSymbol.split("_")[0]).toLowerCase()
var baseCurrency = originalSymbol.replace(/(btc|eth|usdt|husd|ht|trx)$/, "")
var quoteCurrency = originalSymbol.replace(baseCurrency, "")
return [(baseCurrency + "_" + quoteCurrency).toUpperCase(), baseCurrency.toUpperCase(), quoteCurrency.toUpperCase()]
}
self.interfaceGetTickers = function interfaceGetTickers() {
self.routineGetTicker = HttpQuery_Go("https://fapi.binance.com/fapi/v1/ticker/bookTicker")
}
self.waitTickers = function waitTickers() {
var ret = []
var arr = JSON.parse(self.routineGetTicker.wait())
_.each(arr, function(ele) {
ret.push({
bid1: parseFloat(ele.bidPrice),
bid1Vol: parseFloat(ele.bidQty),
ask1: parseFloat(ele.askPrice),
ask1Vol: parseFloat(ele.askQty),
symbol: formatSymbol(ele.symbol)[0],
type: "Futures",
originalSymbol: ele.symbol
})
})
return ret
}
self.interfaceGetAcc = function interfaceGetAcc(symbol, updateTS) {
if (self.updateAccsTS != updateTS) { // 如果新的一轮获取账户信息才去创建并发数据
self.routineGetAcc = self.e.Go("IO", "api", "GET", "/fapi/v2/account")
}
}
self.waitAcc = function waitAcc(symbol, updateTS) {
var ret = null
if (self.updateAccsTS != updateTS) { // 如果新的一轮获取账户信息才去获取并发数据
ret = self.routineGetAcc.wait()
self.bufferGetAccRet = ret // 由于交易所资产数据接口返回的是全部信息，避免重复调用，缓存
} else { // 如果时间戳相等，说明是同一轮，用缓存数据
ret = self.bufferGetAccRet
}
if (!ret) {
return null
}
return {symbol: symbol, Stocks: 0, FrozenStocks: 0, Balance: ret.availableBalance, FrozenBalance: ret.totalOpenOrderInitialMargin, originalInfo: ret}
}
self.interfaceGetPos = function interfaceGetPos(symbol, updateTS) {
// GET /fapi/v2/positionRisk
var ret = null
if (self.updatePosTS != updateTS) {
ret = self.e.IO("api", "GET", "/fapi/v2/positionRisk")
self.bufferGetPosRet = ret
} else {
ret = self.bufferGetPosRet
}
if (!ret) {
return null
}
var positions = []
_.each(ret, function(ele) {
if (ele.symbol == symbol && parseFloat(ele.positionAmt) < 0) { // 持有空头仓位
positions.push({symbol: symbol, amount: parseFloat(ele.positionAmt) * symbolInfo.multiplier, price: parseFloat(ele.entryPrice), marginLevel: parseFloat(ele.leverage), originalInfo: ele})
}
if (ele.symbol == symbol && parseFloat(ele.positionAmt) > 0) { // 持有多头仓位
positions.push({symbol: symbol, amount: parseFloat(ele.positionAmt) * symbolInfo.multiplier, price: parseFloat(ele.entryPrice), marginLevel: parseFloat(ele.leverage), originalInfo: ele})
}
})
return positions
}
self.interfaceTrade = function interfaceTrade(symbol, type, price, amount) {
// POST /fapi/v1/order symbol side type quantity
var params = {"symbol": symbol, "type": "MARKET", quantity: String(amount)}
switch(type) {
case self.OPEN_LONG:
params["side"] = "BUY"
params["positionSide"] = "LONG"
break
case self.OPEN_SHORT:
params["side"] = "SELL"
params["positionSide"] = "SHORT"
break
case self.COVER_LONG:
params["side"] = "SELL"
params["positionSide"] = "LONG"
break
case self.COVER_SHORT:
params["side"] = "BUY"
params["positionSide"] = "SHORT"
break
default:
throw "type error, type:" + type
}
if (!self.dualSidePosition) {
params["positionSide"] = "BOTH"
}
self.routineTrade = self.e.Go("IO", "api", "POST", "/fapi/v1/order", self.encodeParams(params))
}
self.waitTrade = function waitTrade() {
return self.routineTrade.wait()
}
self.calcAmount = function calcAmount(symbol, type, price, amount) {
// 处理下单量
var symbolInfo = self.getSymbolInfo(symbol)
if (!symbolInfo) {
throw symbol + "，交易对信息查询不到"
}
var tradeAmount = _N(amount / symbolInfo.multiplier, symbolInfo.amountPrecision)
// 判断最小下单量
var notional = null
_.each(symbolInfo.originalInfo.filters, function(filter) {
if (filter.filterType == "MIN_NOTIONAL") {
notional = parseFloat(filter.notional)
}
})
if (typeof(notional) != "number") {
Log("查找不到notional")
return false
}
if (tradeAmount < parseFloat(symbolInfo.min) || tradeAmount * price < notional) { // 币安有额外金额限制条件
Log(self.name, " tradeAmount:", tradeAmount, "小于", parseFloat(symbolInfo.min), "或者 ", "价值：", tradeAmount * price, "小于notional：", notional)
return false
}
return [tradeAmount, tradeAmount * symbolInfo.multiplier]
}
self.interfaceSetMarginLevel = function interfaceSetMarginLevel(symbol, marginLevel) {
// POST /fapi/v1/leverage symbol leverage
var params = {"symbol": symbol, "leverage": String(marginLevel)}
return self.e.IO("api", "POST", "/fapi/v1/leverage", self.encodeParams(params))
}
self.interfaceCalcProfit = function interfaceCalcProfit(arrInitAcc, arrNowAcc) {
// 币安期货资产是每个交易对共有的
var profit = 0
var initOriginalInfo = null
var nowOriginalInfo = null
_.each(arrInitAcc, function(initAcc) {
_.each(arrNowAcc, function(nowAcc) {
if (!initOriginalInfo && !nowOriginalInfo && initAcc.symbol == nowAcc.symbol) {
initOriginalInfo = initAcc.originalInfo
nowOriginalInfo = nowAcc.originalInfo
}
})
})
return nowOriginalInfo.totalWalletBalance - initOriginalInfo.totalWalletBalance
}
self.init = function init() {
var ret = JSON.parse(HttpQuery("https://fapi.binance.com/fapi/v1/exchangeInfo"))
_.each(ret.symbols, function(symbolInfo) {
var min = null
_.each(symbolInfo.filters, function(filter) {
if (filter.filterType == "MARKET_LOT_SIZE") {
min = parseFloat(filter.minQty)
}
})
self.symbolsInfo.push({
symbol: symbolInfo.symbol,
amountPrecision: parseFloat(symbolInfo.quantityPrecision),
pricePrecision: parseFloat(symbolInfo.pricePrecision),
multiplier: 1,
min: min,
originalInfo: symbolInfo
})
})
// 查询持仓模式 GET /fapi/v1/positionSide/dual
self.dualSidePosition = self.e.IO("api", "GET", "/fapi/v1/positionSide/dual")["dualSidePosition"] // 给封装的交易所对象增加属性dualSidePosition，true为双向持仓
Log("币安期货持仓模式，dualSidePosition为：", self.dualSidePosition)
}
}
// 火币现货
function funcConfigure_Huobi(self) {
var formatSymbol = function(originalSymbol) {
var baseCurrency = originalSymbol.replace(/(btc|eth|usdt|husd|ht|trx)$/, "")
var quoteCurrency = originalSymbol.replace(baseCurrency, "")
return [(baseCurrency + "_" + quoteCurrency).toUpperCase(), baseCurrency.toUpperCase(), quoteCurrency.toUpperCase()]
}
self.interfaceGetTickers = function interfaceGetTickers() {
self.routineGetTicker = HttpQuery_Go("https://api.huobi.pro/market/tickers")
}
self.waitTickers = function waitTickers() {
var ret = []
var arr = JSON.parse(self.routineGetTicker.wait()).data
_.each(arr, function(ele) {
ret.push({
bid1: parseFloat(ele.bid),
bid1Vol: parseFloat(ele.bidSize),
ask1: parseFloat(ele.ask),
ask1Vol: parseFloat(ele.askSize),
symbol: formatSymbol(ele.symbol)[0],
type: "Spot",
originalSymbol: ele.symbol
})
})
return ret
}
self.interfaceGetAcc = function interfaceGetAcc(symbol, updateTS) {
if (self.updateAccsTS != updateTS) {
self.routineGetAcc = self.e.Go("GetAccount")
}
}
self.waitAcc = function waitAcc(symbol, updateTS) {
var arr = formatSymbol(symbol)
var ret = null
if (self.updateAccsTS != updateTS) {
ret = self.routineGetAcc.wait().Info
self.bufferGetAccRet = ret
} else {
ret = self.bufferGetAccRet
}
if (!ret) {
return null
}
var acc = {symbol: symbol, Stocks: 0, FrozenStocks: 0, Balance: 0, FrozenBalance: 0, originalInfo: ret}
_.each(ret.data.list, function(ele) {
if (ele.currency == arr[1].toLowerCase()) {
// baseCurrency
if (ele.type == "trade") {
acc.Stocks = parseFloat(ele.balance)
} else if (ele.type == "frozen") {
acc.FrozenStocks = parseFloat(ele.balance)
}
} else if (ele.currency == arr[2].toLowerCase()) {
// quoteCurrency
if (ele.type == "trade") {
acc.Balance = parseFloat(ele.balance)
} else if (ele.type == "frozen") {
acc.FrozenBalance = parseFloat(ele.balance)
}
}
})
return acc
}
self.interfaceGetPos = function interfaceGetPos(symbol, price, initSpAcc, nowSpAcc) {
var symbolInfo = self.getSymbolInfo(symbol)
var sumInitStocks = initSpAcc.Stocks + initSpAcc.FrozenStocks
var sumNowStocks = nowSpAcc.Stocks + nowSpAcc.FrozenStocks
var diffStocks = _N(sumNowStocks - sumInitStocks, symbolInfo.amountPrecision)
if (Math.abs(diffStocks) < symbolInfo.min / price) {
return []
}
return [{symbol: symbol, amount: diffStocks, price: null, originalInfo: {}}]
}
self.interfaceTrade = function interfaceTrade(symbol, type, price, amount) {
if (typeof(self.account_id) == "undefined") {
var acc = self.e.GetAccount()
self.account_id = acc.Info.data.id
}
var tradeType = ""
if (type == self.OPEN_LONG || type == self.COVER_SHORT) {
tradeType = "buy-market"
} else {
tradeType = "sell-market"
}
var params = {
"account-id": String(self.account_id),
"symbol": symbol,
"type": tradeType,
"amount": String(amount),
}
self.routineTrade = self.e.Go("IO", "api", "POST", "/v1/order/orders/place", self.encodeParams(params))
}
self.waitTrade = function waitTrade() {
return self.routineTrade.wait()
}
self.calcAmount = function calcAmount(symbol, type, price, amount) {
// 获取交易对信息
var symbolInfo = self.getSymbolInfo(symbol)
if (!symbol) {
throw symbol + "，交易对信息查询不到"
}
var tradeAmount = null
var equalAmount = null // 记录币数
if (type == self.OPEN_LONG || type == self.COVER_SHORT) {
tradeAmount = _N(amount * price, parseFloat(symbolInfo.originalInfo["value-precision"]))
// 检查最小交易量
if (tradeAmount < symbolInfo.originalInfo["min-order-value"]) {
Log(self.name, " tradeAmount:", tradeAmount, "小于", symbolInfo.originalInfo["min-order-value"])
return false
}
equalAmount = tradeAmount / price
} else {
tradeAmount = _N(amount, parseFloat(symbolInfo.originalInfo["amount-precision"]))
// 检查最小交易量
if (tradeAmount < symbolInfo.originalInfo["sell-market-min-order-amt"]) {
Log(self.name, " tradeAmount:", tradeAmount, "小于", symbolInfo.originalInfo["sell-market-min-order-amt"])
return false
}
equalAmount = tradeAmount
}
return [tradeAmount, equalAmount]
}
self.init = function init() {
var ret = JSON.parse(HttpQuery("https://api.huobi.pro/v1/common/symbols"))
_.each(ret.data, function(symbolInfo) {
self.symbolsInfo.push({
symbol: symbolInfo.symbol,
amountPrecision: parseFloat(symbolInfo["amount-precision"]),
pricePrecision: parseFloat(symbolInfo["price-precision"]),
multiplier: 1,
min: parseFloat(symbolInfo["min-order-value"]),
originalInfo: symbolInfo
})
})
}
}
// 币安现货
function funcConfigure_Binance(self) {
var formatSymbol = function(originalSymbol) {
// LTCBTC
var baseCurrency = originalSymbol.replace(/(BTC|ETH|USDT|BNB|XRP|TRX|BUSD|EUR)$/, "")
var quoteCurrency = originalSymbol.replace(baseCurrency, "")
return [baseCurrency + "_" + quoteCurrency, baseCurrency, quoteCurrency]
}
self.interfaceGetTickers = function interfaceGetTickers() {
self.routineGetTicker = HttpQuery_Go("https://api.binance.com/api/v3/ticker/bookTicker")
}
self.waitTickers = function waitTickers() {
var ret = []
var arr = JSON.parse(self.routineGetTicker.wait())
_.each(arr, function(ele) {
ret.push({
bid1: parseFloat(ele.bidPrice),
bid1Vol: parseFloat(ele.bidQty),
ask1: parseFloat(ele.askPrice),
ask1Vol: parseFloat(ele.askQty),
symbol: formatSymbol(ele.symbol)[0],
type: "Spot",
originalSymbol: ele.symbol
})
})
return ret
}
self.interfaceGetAcc = function interfaceGetAcc(symbol, updateTS) {
if (self.updateAccsTS != updateTS) {
self.routineGetAcc = self.e.Go("GetAccount")
}
}
self.waitAcc = function waitAcc(symbol, updateTS) {
var arr = formatSymbol(symbol)
var ret = null
if (self.updateAccsTS != updateTS) {
ret = self.routineGetAcc.wait().Info
self.bufferGetAccRet = ret
} else {
ret = self.bufferGetAccRet
}
if (!ret) {
return null
}
var acc = {symbol: symbol, Stocks: 0, FrozenStocks: 0, Balance: 0, FrozenBalance: 0, originalInfo: ret}
_.each(ret.balances, function(ele) {
if (ele.asset == arr[1]) {
// baseCurrency
acc.Stocks = parseFloat(ele.free)
acc.FrozenStocks = parseFloat(ele.locked)
} else if (ele.asset == arr[2]) {
// quoteCurrency
acc.Balance = parseFloat(ele.free)
acc.FrozenBalance = parseFloat(ele.locked)
}
})
return acc
}
self.interfaceGetPos = function interfaceGetPos(symbol, price, initSpAcc, nowSpAcc) {
var symbolInfo = self.getSymbolInfo(symbol)
var sumInitStocks = initSpAcc.Stocks + initSpAcc.FrozenStocks
var sumNowStocks = nowSpAcc.Stocks + nowSpAcc.FrozenStocks
var diffStocks = _N(sumNowStocks - sumInitStocks, symbolInfo.amountPrecision)
if (Math.abs(diffStocks) < symbolInfo.min / price) {
return []
}
return [{symbol: symbol, amount: diffStocks, price: null, originalInfo: {}}]
}
self.interfaceTrade = function interfaceTrade(symbol, type, price, amount) {
var tradeType = ""
var amountKeyName = ""
if (type == self.OPEN_LONG || type == self.COVER_SHORT) {
tradeType = "BUY"
amountKeyName = "quoteOrderQty"
} else {
tradeType = "SELL"
amountKeyName = "quantity"
}
var params = {
"symbol" : symbol,
"side" : tradeType,
"type" : "MARKET"
}
params[amountKeyName] = String(amount)
// Log("params:", params, "encodeParams:", self.encodeParams(params))
self.routineTrade = self.e.Go("IO", "api", "POST", "/api/v3/order", self.encodeParams(params))
}
self.waitTrade = function waitTrade() {
return self.routineTrade.wait()
}
self.calcAmount = function calcAmount(symbol, type, price, amount) {
var symbolInfo = self.getSymbolInfo(symbol)
if (!symbolInfo) {
throw symbol + "，交易对信息查询不到"
}
var tradeAmount = null
var equalAmount = null
if (type == self.OPEN_LONG || type == self.COVER_SHORT) {
tradeAmount = _N(amount * price, symbolInfo.amountPrecision)
if (tradeAmount < symbolInfo.min) {
Log(self.name, " tradeAmount:", tradeAmount, "小于", symbolInfo.min)
return false
}
equalAmount = tradeAmount / price
} else {
tradeAmount = _N(amount, symbolInfo.amountPrecision)
if (tradeAmount * price < symbolInfo.min) {
Log(self.name, " tradeAmount:", tradeAmount, "小于", symbolInfo.min)
return false
}
equalAmount = tradeAmount
}
return [tradeAmount, equalAmount]
}
self.init = function init() {
// GET /api/v3/exchangeInfo
var ret = JSON.parse(HttpQuery("https://api.binance.com/api/v3/exchangeInfo"))
_.each(ret.symbols, function(symbolInfo) {
var min = null
var amountPrecision = null
var pricePrecision = null
_.each(symbolInfo.filters, function(filter) {
if (filter.filterType == "PRICE_FILTER") {
pricePrecision = self.judgePrecision(parseFloat(filter.tickSize))
} else if (filter.filterType == "LOT_SIZE") {
amountPrecision = self.judgePrecision(parseFloat(filter.minQty))
// min = parseFloat(filter.minQty) // 可能还要考虑名义价值即金额
} else if (filter.filterType == "MIN_NOTIONAL") {
min = parseFloat(filter.minNotional)
}
})
self.symbolsInfo.push({
symbol : symbolInfo.symbol,
amountPrecision : parseFloat(amountPrecision),
pricePrecision : parseFloat(pricePrecision),
multiplier : 1,
min : min,
originalInfo : symbolInfo
})
})
}
}
function funcConfigure_WexApp(self) {
var formatSymbol = function(originalSymbol) {
// BTC_USDT
var arr = originalSymbol.split("_")
var baseCurrency = arr[0]
var quoteCurrency = arr[1]
return [originalSymbol, baseCurrency, quoteCurrency]
}
self.interfaceGetTickers = function interfaceGetTickers() {
self.routineGetTicker = HttpQuery_Go("https://api.wex.app/api/v1/public/tickers")
}
self.waitTickers = function waitTickers() {
var ret = []
var arr = JSON.parse(self.routineGetTicker.wait()).data
_.each(arr, function(ele) {
ret.push({
bid1: parseFloat(ele.buy),
bid1Vol: parseFloat(-1),
ask1: parseFloat(ele.sell),
ask1Vol: parseFloat(-1),
symbol: formatSymbol(ele.market)[0],
type: "Spot",
originalSymbol: ele.market
})
})
return ret
}
self.interfaceGetAcc = function interfaceGetAcc(symbol, updateTS) {
if (self.updateAccsTS != updateTS) {
self.routineGetAcc = self.e.Go("GetAccount")
}
}
self.waitAcc = function waitAcc(symbol, updateTS) {
var arr = formatSymbol(symbol)
var ret = null
if (self.updateAccsTS != updateTS) {
ret = self.routineGetAcc.wait().Info
self.bufferGetAccRet = ret
} else {
ret = self.bufferGetAccRet
}
if (!ret) {
return null
}
var acc = {symbol: symbol, Stocks: 0, FrozenStocks: 0, Balance: 0, FrozenBalance: 0, originalInfo: ret}
_.each(ret.exchange, function(ele) {
if (ele.currency == arr[1]) {
// baseCurrency
acc.Stocks = parseFloat(ele.free)
acc.FrozenStocks = parseFloat(ele.frozen)
} else if (ele.currency == arr[2]) {
// quoteCurrency
acc.Balance = parseFloat(ele.free)
acc.FrozenBalance = parseFloat(ele.frozen)
}
})
return acc
}
self.interfaceGetPos = function interfaceGetPos(symbol, price, initSpAcc, nowSpAcc) {
var symbolInfo = self.getSymbolInfo(symbol)
var sumInitStocks = initSpAcc.Stocks + initSpAcc.FrozenStocks
var sumNowStocks = nowSpAcc.Stocks + nowSpAcc.FrozenStocks
var diffStocks = _N(sumNowStocks - sumInitStocks, symbolInfo.amountPrecision)
if (Math.abs(diffStocks) < symbolInfo.min / price) {
return []
}
return [{symbol: symbol, amount: diffStocks, price: null, originalInfo: {}}]
}
self.interfaceTrade = function interfaceTrade(symbol, type, price, amount) {
var tradeType = ""
if (type == self.OPEN_LONG || type == self.COVER_SHORT) {
tradeType = "bid"
} else {
tradeType = "ask"
}
var params = {
"market": symbol,
"side": tradeType,
"amount": String(amount),
"price" : String(-1),
"type" : "market"
}
self.routineTrade = self.e.Go("IO", "api", "POST", "/api/v1/private/order", self.encodeParams(params))
}
self.waitTrade = function waitTrade() {
return self.routineTrade.wait()
}
self.calcAmount = function calcAmount(symbol, type, price, amount) {
// 获取交易对信息
var symbolInfo = self.getSymbolInfo(symbol)
if (!symbol) {
throw symbol + "，交易对信息查询不到"
}
var tradeAmount = null
var equalAmount = null // 记录币数
if (type == self.OPEN_LONG || type == self.COVER_SHORT) {
tradeAmount = _N(amount * price, parseFloat(symbolInfo.pricePrecision))
// 检查最小交易量
if (tradeAmount < symbolInfo.min) {
Log(self.name, " tradeAmount:", tradeAmount, "小于", symbolInfo.min)
return false
}
equalAmount = tradeAmount / price
} else {
tradeAmount = _N(amount, parseFloat(symbolInfo.amountPrecision))
// 检查最小交易量
if (tradeAmount < symbolInfo.min / price) {
Log(self.name, " tradeAmount:", tradeAmount, "小于", symbolInfo.min / price)
return false
}
equalAmount = tradeAmount
}
return [tradeAmount, equalAmount]
}
self.init = function init() {
var ret = JSON.parse(HttpQuery("https://api.wex.app/api/v1/public/markets"))
_.each(ret.data, function(symbolInfo) {
self.symbolsInfo.push({
symbol: symbolInfo.pair,
amountPrecision: parseFloat(symbolInfo.basePrecision),
pricePrecision: parseFloat(symbolInfo.quotePrecision),
multiplier: 1,
min: parseFloat(symbolInfo.minQty),
originalInfo: symbolInfo
})
})
}
}
// OKEX期货 V5
function funcConfigure_Futures_OKEX_V5(self) {
var formatSymbol = function(originalSymbol) {
var arr = originalSymbol.split("-") // LTC-USD-SWAP
return [arr[0] + "_" + arr[1], arr[0], arr[1]]
}
var getInstType = function() {
var isSwap = null
for (var i = 0 ; i < self.subscribeSymbols.length ; i++) {
if (i == 0) {
isSwap = self.subscribeSymbols[i].includes("-SWAP")
} else if (isSwap != self.subscribeSymbols[i].includes("-SWAP")) {
throw "订阅的合约中混合了交割、永续"
}
}
return isSwap ? "SWAP" : "FUTURES"
}
self.interfaceGetTickers = function interfaceGetTickers() {
self.routineGetTicker = HttpQuery_Go("https://www.okex.com/api/v5/market/tickers?instType=" + getInstType())
}
self.waitTickers = function waitTickers() {
var ret = []
var arr = JSON.parse(self.routineGetTicker.wait()).data
_.each(arr, function(ele) {
ret.push({
bid1: parseFloat(ele.bidPx),
bid1Vol: parseFloat(ele.bidSz),
ask1: parseFloat(ele.askPx),
ask1Vol: parseFloat(ele.askSz),
symbol: formatSymbol(ele.instId)[0],
type: "Futures",
originalSymbol: ele.instId
})
})
return ret
}
self.interfaceGetAcc = function interfaceGetAcc(symbol, updateTS) {
if (self.updateAccsTS != updateTS) { // 如果新的一轮获取账户信息才去创建并发数据
self.routineGetAcc = self.e.Go("IO", "api", "GET", "/api/v5/account/balance")
}
}
self.waitAcc = function waitAcc(symbol, updateTS) {
var ret = null
if (self.updateAccsTS != updateTS) { // 如果新的一轮获取账户信息才去获取并发数据
ret = self.routineGetAcc.wait()
self.bufferGetAccRet = ret // 由于交易所资产数据接口返回的是全部信息，避免重复调用，缓存
} else { // 如果时间戳相等，说明是同一轮，用缓存数据
ret = self.bufferGetAccRet
}
if (!ret) {
return null
}
var arrCurrencyName = formatSymbol(symbol)
var quoteCurrency = arrCurrencyName[2]
var baseCurrency = arrCurrencyName[1]
var acc = null
_.each(ret.data, function(obj) {
_.each(obj.details, function(detail) {
if (detail.availEq == "") {
throw "Account-level too low"
} else if (quoteCurrency == "USDT" && detail.ccy == quoteCurrency) {
acc = {symbol: symbol, Stocks: 0, FrozenStocks: 0, Balance: detail.availEq, FrozenBalance: detail.ordFrozen, originalInfo: ret}
} else if (quoteCurrency == "USD" && detail.ccy == baseCurrency) {
acc = {symbol: symbol, Stocks: detail.availEq, FrozenStocks: detail.ordFrozen, Balance: 0, FrozenBalance: 0, originalInfo: ret}
}
})
})
return acc
}
self.interfaceGetPos = function interfaceGetPos(symbol, updateTS) { // 期货和现货的实现不一样
var symbolInfo = self.getSymbolInfo(symbol)
var arrCurrencyName = formatSymbol(symbol)
var instType = "FUTURES"
if (symbol.includes("-SWAP")) {
instType = "SWAP"
}
var ret = self.e.IO("api", "GET", "/api/v5/account/positions", "instType=" + instType + "&instId=" + symbol)
var positions = []
// {"code":"0","data":[],"msg":""}
_.each(ret.data, function(ele) {
if (Math.abs(parseFloat(ele.pos)) > 0) {
if (ele.posSide == "long" || (ele.posSide == "net" && parseFloat(ele.pos) > 0)) {
positions.push({symbol: ele.instId, amount: Math.abs(parseFloat(ele.pos)) * symbolInfo.multiplier, price: parseFloat(ele.avgPx), marginLevel: parseFloat(ele.lever), originalInfo: ele})
} else if (ele.posSide == "short" || (ele.posSide == "net" && parseFloat(ele.pos) < 0)) {
positions.push({symbol: ele.instId, amount: -Math.abs(parseFloat(ele.pos)) * symbolInfo.multiplier, price: parseFloat(ele.avgPx), marginLevel: parseFloat(ele.lever), originalInfo: ele})
}
}
})
return positions
}
self.interfaceTrade = function interfaceTrade(symbol, type, price, amount) {
var params = {
"instId" : symbol,
"tdMode" : "cross",
"ordType" : "market",
"sz" : String(amount)
}
switch(type) {
case self.OPEN_LONG:
params["side"] = "buy"
params["posSide"] = "long"
break
case self.OPEN_SHORT:
params["side"] = "sell"
params["posSide"] = "short"
break
case self.COVER_LONG:
params["side"] = "sell"
params["posSide"] = "long"
break
case self.COVER_SHORT:
params["side"] = "buy"
params["posSide"] = "short"
break
default:
throw "type error, type:" + type
}
self.routineTrade = self.e.Go("IO", "api", "POST", "/api/v5/trade/order", self.encodeParams(params))
}
self.waitTrade = function waitTrade() {
return self.routineTrade.wait()
}
self.calcAmount = function calcAmount(symbol, type, price, amount, isNotLog) {
var symbolInfo = self.getSymbolInfo(symbol)
if (!symbolInfo) {
throw symbol + "，交易对信息查询不到"
}
var tradeAmount = _N(amount / symbolInfo.multiplier, 0)
if (tradeAmount < parseFloat(symbolInfo.min)) {
if (typeof(isNotLog) == "undefined") {
Log(self.name, " tradeAmount:", tradeAmount, "小于", parseFloat(symbolInfo.min))
}
return false
}
return [tradeAmount, tradeAmount * symbolInfo.multiplier]
}
// 实现设置杠杆接口
self.interfaceSetMarginLevel = function interfaceSetMarginLevel(symbol, marginLevel) {
return self.e.IO("api", "POST", "/api/v5/account/set-leverage", self.encodeParams({"instId" : symbol, "ccy" : "USDT", "lever" : String(marginLevel), "mgnMode" : "cross"}))
}
self.interfaceCalcProfit = function interfaceCalcProfit(arrInitAcc, arrNowAcc) {
var profit = 0
if (arrInitAcc.length > 0 && arrNowAcc.length > 0) {
var initEq = 0
_.each(arrInitAcc[0].originalInfo.data, function(obj) {
_.each(obj.details, function(detail) {
if (detail.availEq == "") {
throw "Account-level too low"
} else if (detail.ccy == "USDT") {
initEq = detail.eq
}
})
})
var nowEq = 0
_.each(arrNowAcc[0].originalInfo.data, function(obj) {
_.each(obj.details, function(detail) {
if (detail.availEq == "") {
throw "Account-level too low"
} else if (detail.ccy == "USDT") {
nowEq = detail.eq
}
})
})
return nowEq - initEq
} else {
Log("计算收益失败", arrInitAcc, arrNowAcc)
return
}
return profit
}
self.init = function init() {
_.each(["SWAP", "FUTURES"], function(instType) { // 永续、交割合约信息都获取
var ret = JSON.parse(HttpQuery("https://www.okex.com/api/v5/public/instruments?instType=" + instType))
_.each(ret.data, function(symbolInfo) {
self.symbolsInfo.push({
symbol: symbolInfo.instId,
amountPrecision: self.judgePrecision(parseFloat(symbolInfo.lotSz)),
pricePrecision: self.judgePrecision(parseFloat(symbolInfo.tickSz)),
multiplier: parseFloat(symbolInfo.ctVal),
min: parseFloat(symbolInfo.minSz), // OKEX 合约最小下1张
originalInfo: symbolInfo
})
})
})
}
}
// 交易所对象构造函数
function createBaseEx(e, funcConfigure) {
var self = {}
self.e = e
self.funcConfigure = funcConfigure
self.name = e.GetName()
self.type = self.name.includes("Futures_") ? "Futures" : "Spot"
self.label = e.GetLabel()
self.fuMarginLevel = null
// 数据成员
self.subscribeSymbols = [] // 订阅的标的物
self.bufferTickers = [] // 缓存市场全部行情数据
self.bufferAccs = [] // 缓存订阅的账户资产数据
self.bufferPositions = [] // 缓存订阅的持仓数据
self.symbolsInfo = [] // 记录市场所有标的物信息数组
self.bufferGetAccRet = null // 访问资产信息接口缓存数据
self.bufferGetPosRet = null // 访问持仓信息接口缓存数据
// 更新时间戳
self.updateAccsTS = 0 // 更新账户信息的时间戳
self.updatePosTS = 0 // 更新持仓信息的时间戳
// 并发线程
self.routineGetTicker = null
self.routineGetAcc = null
self.routineTrade = null
// 枚举
self.OPEN_LONG = 0
self.OPEN_SHORT = 1
self.COVER_LONG = 2
self.COVER_SHORT = 3
// 需要实现的接口列表
var configList = ["interfaceGetTickers", "interfaceGetAcc", "interfaceGetPos", "interfaceTrade",
"waitTickers", "waitAcc", "waitTrade", "calcAmount", "init"]
if (self.type == "Futures") {
configList.push("interfaceSetMarginLevel") // 期货还需要设置杠杆接口
configList.push("interfaceCalcProfit") // 期货需要计算收益接口
}
// 需要实现的接口
self.interfaceGetTickers = null // 创建异步获取聚合行情数据线程的函数
self.interfaceGetAcc = null // 创建异步获取账户数据线程的函数
self.interfaceGetPos = null // 获取持仓
self.interfaceTrade = null // 创建并发下单
self.waitTickers = null // 等待并发行情数据
self.waitAcc = null // 等待账户并发数据
self.waitTrade = null // 等待下单并发数据
self.calcAmount = null // 根据交易对精度等数据计算下单量
self.init = null // 初始化工作，获取精度等数据
// 回调函数
self.callBack_getTrade = null // 执行getTrade 时需要的回调
// 判断精度
self.judgePrecision = function(p) {
var arr = p.toString().split(".")
if (arr.length != 2) {
if (arr.length == 1) {
return 0
}
throw "judgePrecision error, p:" + String(p)
}
return arr[1].length
}
// 获取某个交易对的信息
self.getSymbolInfo = function(symbol) {
var ret = null
_.each(self.symbolsInfo, function(info) {
if (info.symbol == symbol) {
ret = info
}
})
return ret
}
self.getExName = function() { // 获取交易所对象的名称
return self.name
}
self.pushInArr = function(arr, obj, attributeName) {
var isFind = false
_.each(arr, function(ele) {
if (obj[attributeName] == ele[attributeName]) {
ele = obj
isFind = true
}
})
if (!isFind) {
arr.push(obj)
}
}
// encodeParams
self.encodeParams = function(params) {
var ret = ""
var index = 0
for (var key in params) {
if (index == 0) {
ret += key + "=" + params[key]
} else {
ret += "&" + key + "=" + params[key]
}
index++
}
return ret
}
// 成员函数
self.tryProcess = function(tryFunc, args) { // 发生异常返回空值，正常返回tryFunc函数调用结果
var ret = null
try {
ret = tryFunc.apply(this, args)
} catch (err) {
var funcName = tryFunc.toString().match(/function\s*([^(]*)\(/)[1] // 获取函数名称
Log("错误：", err, " 错误信息：", typeof(err.message) == "string" ? err.message : "", " 异常函数名：", funcName, " 参数：", typeof(args) == "undefined" ? "无" : args) // 输出引发异常的函数信息
return null
}
return ret
}
// 写入订阅品种到 subscribeSymbols
self.pushSubscribeSymbol = function(symbol) { // 只在初始化时调用，写入订阅合约，用于接口中判断订阅的合约
self.subscribeSymbols.push(symbol)
}
// 创建获取行情并发
self.goGetTickers = function() {
self.interfaceGetTickers()
}
// 获取并发行情数据
self.getTickers = function() { // 取并发结果，使用tryProcess 如果发生异常会报错，不会导致程序停止
var ret = self.tryProcess(self.waitTickers)
// 缓存数据
if (ret) {
self.bufferTickers = ret
}
return ret
}
// 创建下单并发
self.goGetTrade = function(symbol, type, price, amount) { // 创建并发下单，不检测异常
self.interfaceTrade(symbol, type, price, amount)
// 设置回调
self.callBack_getTrade = function(ret) {
if (self.type == "Futures") {
if (type == self.OPEN_LONG || type == self.OPEN_SHORT) {
self.e.SetDirection(type == self.OPEN_SHORT ? "sell" : "buy") // 正套期货做空
} else {
self.e.SetDirection(type == self.COVER_SHORT ? "closesell" : "closebuy") // 平正套期货平空仓
}
}
self.e.Log((type == self.OPEN_LONG || type == self.COVER_SHORT) ? LOG_TYPE_BUY : LOG_TYPE_SELL, price, amount, symbol, ret)
}
}
// 获取下单结果
self.getTrade = function() {
var retTradeMsg = self.tryProcess(self.waitTrade)
if (retTradeMsg) {
self.callBack_getTrade(retTradeMsg)
}
return retTradeMsg
}
// 创建获取单个资产并发
self.goGetAcc = function(symbol, updateTS) {
self.interfaceGetAcc(symbol, updateTS)
}
// 获取单个标的物相关资产信息
self.getAcc = function(symbol, updateTS) {
var ret = self.tryProcess(self.waitAcc, [symbol, updateTS])
// 缓存数据
if (ret) {
// 更新 bufferAccs 中的数据
self.pushInArr(self.bufferAccs, ret, "symbol")
self.updateAccsTS = updateTS // 更新，记录时间戳，对于逐个账户信息获取的接口不影响（具体看接口实现）
}
return ret
}
self.getFuPos = function(symbol, updateTS) { // 获取期货持仓
var ret = self.tryProcess(self.interfaceGetPos, [symbol, updateTS])
if (ret) {
_.each(ret, function(pos) {
self.pushInArr(self.bufferPositions, pos, "symbol")
})
self.updatePosTS = updateTS
}
return ret
}
self.getSpPos = function(symbol, price, initSpAcc, nowSpAcc) { // 获取现货持仓
var ret = self.tryProcess(self.interfaceGetPos, [symbol, price, initSpAcc, nowSpAcc])
if (ret) {
// self.bufferPositions = ret
_.each(ret, function(pos) {
self.pushInArr(self.bufferPositions, pos, "symbol")
})
}
if (ret.length > 1) {
Log("现货持仓返回数据错误！", JSON.stringify(ret))
}
return ret
}
self.setMarginLevel = function(symbol, marginLevel) {
var ret = self.tryProcess(self.interfaceSetMarginLevel, [symbol, marginLevel])
if (ret) {
self.fuMarginLevel = marginLevel
}
return ret
}
self.calcProfit = function(arrInitAcc, arrNowAcc) {
if (self.type == "Futures") {
return self.tryProcess(self.interfaceCalcProfit, [arrInitAcc, arrNowAcc])
} else {
throw "调用错误"
}
}
// 执行配置函数，给对象配置
funcConfigure(self)
// 检测configList约定的接口是否都实现
_.each(configList, function(funcName) {
if (!self[funcName]) {
throw "接口" + funcName + "未实现"
}
})
// self.tryProcess(self.init) // 执行接口配置中实现的init函数
self.init() // 不做异常检测，发生错误程序停止，执行接口配置中实现的init函数
return self
}
// 导出函数
$.createBaseEx = createBaseEx
$.getConfigureFunc = function(exName) {
dicRegister = {
"Futures_OKCoin" : funcConfigure_Futures_OKCoin,
"Huobi" : funcConfigure_Huobi,
"Futures_Binance" : funcConfigure_Futures_Binance,
"Binance" : funcConfigure_Binance,
"WexApp" : funcConfigure_WexApp,
"Futures_OKCoin_V5" : funcConfigure_Futures_OKEX_V5, // exchange.GetName() + "_V5"
}
if (typeof(exName) != "undefined" && !dicRegister[exName]) {
throw "未找到匹配的交易所配置函数"
}
return dicRegister
}
// 测试函数
function main() {
// 切换为模拟盘环境
// exchange.IO("simulate", true) // OKEX V5 切换模拟盘
var fuExName = exchange.GetName() + "_V5" // 获取交易所名称，这里设置为OKEX V5
Log("测试的交易所名称为：", fuExName)
var fuConfigureFunc = $.getConfigureFunc()[fuExName]
var ex = $.createBaseEx(exchange, fuConfigureFunc)
var arrTestSymbol = ["ETH-USDT-211231"]
var ts = new Date().getTime()
// 设置需要订阅的合约
// /*
_.each(arrTestSymbol, function(symbol) {
ex.pushSubscribeSymbol(symbol)
})
// */
_.each(arrTestSymbol, function(symbol) {
// 测试获取行情
/*
ex.goGetTickers()
var tickers = ex.getTickers()
Log("tickers:", tickers)
_.each(tickers, function(ticker) {
if (symbol == ticker.originalSymbol) {
Log(symbol, ticker)
}
})
*/
// 测试获取账户信息
// /*
ex.goGetAcc(symbol, ts)
var acc = ex.getAcc(symbol, ts)
Log("acc:", acc.symbol, acc)
var arr1 = [acc]
var arr2 = [acc]
Log(ex.interfaceCalcProfit(arr1, arr2))
// */
// 测试获取持仓信息
/*
var pos = ex.getFuPos(symbol) // 期货持仓
Log("pos:", symbol, pos)
// 打印交易对信息
_.each(ex.symbolsInfo, function(symbolInfo) {
if (_.contains(arrTestSymbol, symbolInfo.symbol)) {
Log("symbolInfo:", symbolInfo)
}
})
*/
// 下单测试
/*
if (symbol == "LTC-USDT-SWAP") {
var price = 170 + 170 * 0.02
var amount = 1
var tradeType = ex.OPEN_LONG
var retCalc = ex.calcAmount(symbol, tradeType, price, amount)
if (retCalc) {
Log("retCalc:", retCalc)
Log("symbolInfo:", ex.getSymbolInfo(symbol))
var setMarginLevelRet = ex.setMarginLevel(symbol, 5)
Log("setMarginLevelRet:", setMarginLevelRet) // 打印持仓设置
ex.goGetTrade(symbol, tradeType, price, retCalc[0]) // 测试开多
// ex.goGetTrade(symbol, ex.COVER_LONG, -1, 0.004) // 测试平多
var ret = ex.getTrade()
Log(symbol, "trade ret:", ret)
}
}
*/
/* 单独测试杠杆
var ret = ex.setMarginLevel(symbol, 35)
Log(ret)
*/
/*
if (symbol == "LTCUSDT") {
var price = 230
var amount = 0.01
var tradeType = ex.OPEN_SHORT
var retCalc = ex.calcAmount(symbol, tradeType, price, amount)
if (retCalc) {
Log("symbolInfo:", ex.getSymbolInfo(symbol))
// ex.setMarginLevel(symbol, 5)
ex.goGetTrade(symbol, tradeType, price, retCalc[0]) // 测试开多
// ex.goGetTrade(symbol, ex.COVER_LONG, -1, 0.004) // 测试平多
var ret = ex.getTrade()
Log(symbol, "trade ret:", ret)
}
}
*/
})
}
Detail
https://www.fmz.com/strategy/276298
Last Modified
2022-05-18 11:35:37