OKCoin期货跨期对冲策略，季度、当周、次周
1、 季度-当周
2、 季度-次周
3、 当周-次周
4、在周五交割前5分钟会自动 平仓， 锁定15分钟 后再正常运行。
作者本人呢 是菜鸟程序猿一个， 平时没什么爱好，就喜欢写代码。最近一年在发明者量化上学到了不少新知识， 模仿Zero 大神的商品期货对冲网格策略，写了一个 电子货币 （BTC期货） 的对冲网格策略。回测一下还行（当然回测只是最初步的检测，不代表任何结论！）
以下代码不能直接运行，需要配置参数（在发明者量化平台）。代码连接： https://www.botvs.com/strategy/34878
var checkTime = 0;
var residualTime = 0;
var checkPreTime = 0;
var JGDate = []; // 交割模拟。 ["BTC1129", "BTC1229", "BTC0316"];
var JGDateIndex = 0; // 模拟交割索引。
var JGHoursCorrect = 8; // 检测交割剩余小时，在实盘中需要修正 8小时。 模拟时该值设置为0
var idA = null;
var idB = null;
var A = 1;
var B = 2;
var PRE = 3;
var PLUS = 4;
var MINUS = 5;
var FREE = 6;
function init(){
if(istry){
JGHoursCorrect = 0; // 模拟中 该值修改为0
Log("启用模拟 交割，初始化交割日期列表。");
UpdateJGDate();
}
}
function UpdateJGDate(){
// 循环31次 遍历出 当前月份的所有 星期5的 日期， 取时间戳， 对比当前时间戳，小于当前的 丢弃，大于当前的第一个即是
// 在用时间戳恢复日期，拿到 字符串
var array_JG_stamp = [];
var date = new Date();
var nowStamp = date.getTime();
var nowMonth = date.getMonth();
var nextJG_Stamp = 0;
date.setHours(16); // 0~23
date.setMinutes(0); // 0~59
date.setSeconds(0); // 0~59
for(var i = 1 ; i <= 31; i++){
date.setDate(i);
var EveryDay = date.getDay(); // 1~6
if(EveryDay === 5 && nowMonth == date.getMonth()){
var fridayStamp = date.getTime();
array_JG_stamp.push(fridayStamp);
}
}
for(var j = 0 ; j < array_JG_stamp.length ; j++){
if(nowStamp <= array_JG_stamp[j]){
nextJG_Stamp = array_JG_stamp[j];
break;
}
if(j == array_JG_stamp.length - 1){
nextJG_Stamp = array_JG_stamp[j] + 1000 * 7 * 24 * 60 * 60;
}
}
array_JG_stamp = [];
for(var n = 1 ; n <= 100; n++){ // 生成 100 个 模拟交割日期。
if(n == 1){
array_JG_stamp.push(nextJG_Stamp);
}else{
nextJG_Stamp += 1000 * 7 * 24 * 60 * 60;
array_JG_stamp.push(nextJG_Stamp);
}
}
var date2 = new Date();
for(var m = 0 ; m < array_JG_stamp.length ; m++){
date2.setTime(array_JG_stamp[m]);
var strMonth = date2.getMonth() + 1;
var strDate = date2.getDate();
if(strMonth < 10){
strMonth = '0' + strMonth;
}
if(strDate < 10){
strDate = '0' + strDate;
}
JGDate.push("BTC" + strMonth + strDate);
}
Log("模拟生成的交割日期：", JGDate);
}
function CheckDelivery(nowTime, Symbol, task) {
var contractInfo = null;
if(checkTime <= 0){
var contractName = "";
var ContractIndex = 0;
if(Symbol === "this_week"){
ContractIndex = 0;
}else if(Symbol === "next_week"){
ContractIndex = 1;
}else if(Symbol === "quarter"){
ContractIndex = 2;
}
if(istry === true){ // 判断是不是 模拟测试
try{
contractName = JGDate[JGDateIndex]; // 模拟测试 交割日期
JGDateIndex++;
} catch(e){
Log("回测模式，更新交割日期错误", e);
JGDateIndex--;
}
}
while (contractName == "") {
//var contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=this_week"); //只是检测this_week ,避免重复调用提高效率
switch(ContractIndex){
case 0: contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=this_week");
break;
case 1: contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=next_week");
break;
case 2: contractInfo = HttpQuery("https://www.okcoin.com/api/v1/future_hold_amount.do?symbol=btc_usd&contract_type=quarter");
break;
default: Log("contractInfo:", contractInfo);
//throw "switch NumContractType Error!";
} //根据 contractType 类型 选择读取合约交割日期
if (!contractInfo || contractInfo.length === 0) {
Sleep(100);
continue;
}
try {
contractName = (JSON.parse(contractInfo))[0].contract_name;
} catch (e) {
Log("CheckDelivery Error",contractInfo, e);
return 0;
}
}
var nowDateTime = new Date();
contractName = contractName.split("BTC")[1]; //抽取BTC后的字符串 重新赋值
var strMonth = contractName[0] + contractName[1];
var strDay = contractName[2] + contractName[3];
var strYear = nowDateTime.getFullYear() + ""; //获取 年份字符串
// 处理跨年问题
var nowMonth = nowDateTime.getMonth(); // 获取月份
if(strMonth < nowMonth){
strYear = (strYear - 0) + 1;
strYear = strYear + "";
}
var strDate = strYear + '-' + strMonth + '-' + strDay + ' ' + "16:00:00";
var deliveryTime = (new Date(strDate)).getTime(); // + 16 * 60 * 60 * 1000;
nowTime = nowDateTime.getTime();
residualTime = (deliveryTime - nowTime) / 1000 / 60 / 60 - JGHoursCorrect; //单位是小时
checkTime = (deliveryTime - nowTime) - JGHoursCorrect * 1000 * 60 * 60; //还差多少毫秒交割
checkPreTime = nowTime; //记录开始的时间
Log("合约", Symbol, "交割日期获取：", strDate);
}else{
checkTime -= nowTime - checkPreTime; //减去消耗的时间
checkPreTime = nowTime;
residualTime = checkTime / 1000 / 60 / 60; // 计算距离交割多少小时
}
if(residualTime < 24){ //交割小于24小时
MSG_String = " " + Symbol + " 交割时间剩余：" + residualTime + "小时！！#FF0000";
if((checkTime / 1000 / 60) <= 5 && task.isFrozen == false){ // 每次交割前5分钟 锁定。
Log("距离交割剩余5分钟，平掉所有仓位！#FF0000");
for(var index = 0; index < task.dic.length; index++){
if(task.dic[index].hold > 0){ // 平空A 平多B
task.action = [index, "closesell", "closebuy", task.dic[index].hold];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closesell-closebuy", "circlepin");
}else if(task.dic[index].hold < 0){ // 平多A 平空B
task.action = [index, "closebuy", "closesell", task.dic[index].hold];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closebuy-closesell", "circlepin");
}
}
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition);
UpdatePosition(task, Positions);
Log("全部仓位已平，检查持仓：", Positions, "程序冻结15分钟！#FF0000");
task.isFrozen = true;
task.FrozenStartTime = new Date().getTime();
}
}else{
MSG_String = " " + Symbol + " 交割时间剩余：" + residualTime + "小时！！";
}
return _N(residualTime, 3);
}
function OpenPriceToActual(Price, Piece){
var OnePieceEquivalentCoin = 100 / Price;
var OpenFee = Piece * (OnePieceEquivalentCoin) * (0.03 * 0.01);
var Actual = Price + (OpenFee * Price) / (OnePieceEquivalentCoin * Piece);
return Actual;
//Log("Actual:", Actual, "OpenFee:", OpenFee, "OnePieceEquivalentCoin:", OnePieceEquivalentCoin, "保证金：", OpenFee / 0.01 / 0.03 / 10); // 测试
//var Actual = Price + ((0.03 * 0.01) * Price);
}
function CreateHedgeList(Begin, End, Size, Step, AmountOfPoint, SymbolA, SymbolB){
// "(this_week&quarter)100:90:1;110:100:1;120:110:1;130:120:1;140:130:1;150:140:1;160:150:1;170:160:1;180:170:1;190:180:1";
if((SymbolA !== "this_week" && SymbolA !== "next_week" && SymbolA !== "quarter") || (SymbolB !== "this_week" && SymbolB !== "next_week" && SymbolB !== "quarter")){
throw "合约代码错误： SymbolA " + SymbolA + " SymbolB " + SymbolB;
}
var BodyString = "";
var HeadString = '(' + SymbolA + '&' + SymbolB + ')';
for(var i = Begin ; i <= End ; i += Step){
if(i + Step > End){
BodyString += (i + ':') + (i - Size) + (':' + AmountOfPoint);
}else{
BodyString += (i + ':') + (i - Size) + (':' + AmountOfPoint) + ';';
}
}
var HL = HeadString + BodyString;
Log("按参数生成对冲列表:", HL);
return HL;
}
function UpdatePosition(task, Positions, onlyAorBorPRE){
if(Positions.length > 2){
Log(Positions, "Positions 长度大于2！#FF0000");
throw "同类型合约不能同时持有多仓空仓。";
}
if(onlyAorBorPRE == PRE){
task.Pre_APositions = task.APositions;
task.Pre_BPositions = task.BPositions;
}
for(var i = 0; i < Positions.length; i++){
if(Positions[i].ContractType == task.symbolA && onlyAorBorPRE !== B){
task.APositions = Positions[i];
}
if(Positions[i].ContractType == task.symbolB && onlyAorBorPRE !== A){
task.BPositions = Positions[i];
}
}
if(Positions.length == 0){
if(onlyAorBorPRE !== B){
task.APositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
}
if(onlyAorBorPRE !== A){
task.BPositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
}
if(onlyAorBorPRE !== A && onlyAorBorPRE !== B){
task.APositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
task.BPositions = {MarginLevel: 0, Amount: 0, FrozenAmount: 0, Price: 0, Profit: 0, Type: 0, ContractType: ""};
}
}
}
function DealAction(task, AorB, amount){
if(amount <= 0){
throw "错误： DealAction 的 amount 参数为:" + amount;
}
if(AorB == A){
task.e.SetContractType(task.symbolA);
task.e.SetDirection(task.action[1]);
if(task.action[1] == "buy" || task.action[1] == "closesell"){
idA = task.e.Buy(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolA);
}else if(task.action[1] == "sell" || task.action[1] == "closebuy"){
idA = task.e.Sell(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolA);
}
}
if(AorB == B){
task.e.SetContractType(task.symbolB);
task.e.SetDirection(task.action[2]);
if(task.action[2] == "buy" || task.action[2] == "closesell"){
idB = task.e.Buy(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolB);
}else if(task.action[2] == "sell" || task.action[2] == "closebuy"){
idB = task.e.Sell(-1, typeof(amount) == "undefined" ? Math.abs(task.action[3]) : amount, task.symbolB);
}
}
}
function DealActionLimit(task, AorB, Piece, isAgain){
var tradeInfo = null;
var Price = 0;
var Piece = Math.abs(Piece);
if(isAgain){
while(true){
task.e.SetContractType(task.symbolA);
var Adepth = task.e.GetDepth();
task.e.SetContractType(task.symbolB);
var Bdepth = task.e.GetDepth();
if(!Adepth || !Bdepth || Adepth.Asks.length === 0 || Adepth.Bids.length === 0 || Bdepth.Asks.length === 0 || Bdepth.Bids.length === 0){
//Log("获取深度信息异常！", Adepth, Bdepth);
Sleep(Interval);
continue;
}
task.Adepth = Adepth;
task.Bdepth = Bdepth;
task.Adiff = _N(Adepth.Bids[0].Price - Bdepth.Asks[0].Price);
task.Bdiff = _N(Adepth.Asks[0].Price - Bdepth.Bids[0].Price);
break;
}
}
task.e.SetContractType(AorB == A ? task.symbolA : task.symbolB);
task.e.SetDirection(task.action[AorB]);
if(task.action[AorB] == "buy"){
Price = AorB == A ? task.Adepth.Asks[0].Price : task.Bdepth.Asks[0].Price;
tradeInfo = task.P.OpenLong(AorB == A ? task.symbolA : task.symbolB, Piece, Price);
}else if(task.action[AorB] == "sell"){
Price = AorB == A ? task.Adepth.Bids[0].Price : task.Bdepth.Bids[0].Price;
tradeInfo = task.P.OpenShort(AorB == A ? task.symbolA : task.symbolB, Piece, Price);
}else if(task.action[AorB] == "closebuy"){
Price = AorB == A ? task.Adepth.Bids[0].Price : task.Bdepth.Bids[0].Price;
tradeInfo = task.P.Cover(AorB == A ? task.symbolA : task.symbolB, Price, Piece, PD_LONG); // task.action[AorB]
}else if(task.action[AorB] == "closesell"){
Price = AorB == A ? task.Adepth.Asks[0].Price : task.Bdepth.Asks[0].Price;
tradeInfo = task.P.Cover(AorB == A ? task.symbolA : task.symbolB, Price, Piece, PD_SHORT); // task.action[AorB]
}
if((task.action[AorB] == "buy" || task.action[AorB] == "sell") && tradeInfo.amount === 0){
return false;
}else if((task.action[AorB] == "closebuy" || task.action[AorB] == "closesell") && tradeInfo == 0){
return false;
}
return tradeInfo;
}
function CalcActualPrice(task){
if(task.action[0] == 0){
var A_Pv = task.APositions.Price;
var B_Pv = task.BPositions.Price;
task.dic[task.action[0]].ActualPrice = A_Pv - B_Pv;
Log(task.symbolA, A_Pv, task.symbolB, B_Pv, "#FF0000");
}else if(task.APositions.Amount == 1 && task.BPositions.Amount == 1){
var A_Pv = task.APositions.Price;
var B_Pv = task.BPositions.Price;
task.dic[task.action[0]].ActualPrice = A_Pv - B_Pv;
Log(task.symbolA, A_Pv, task.symbolB, B_Pv, "#FF0000");
}else{
var A_Pv = task.APositions.Price;
var A_P1 = task.Pre_APositions.Price;
var A_m = task.APositions.Amount - task.Pre_APositions.Amount;
var A_n = task.Pre_APositions.Amount;
var B_Pv = task.BPositions.Price;
var B_P1 = task.Pre_BPositions.Price;
var B_m = task.BPositions.Amount - task.Pre_BPositions.Amount;
var B_n = task.Pre_BPositions.Amount;
var A_P2 = A_Pv * A_P1 * A_m / ((A_m + A_n) * A_P1 - A_n * A_Pv);
var B_P2 = B_Pv * B_P1 * B_m / ((B_m + B_n) * B_P1 - B_n * B_Pv);
task.dic[task.action[0]].ActualPrice = A_P2 - B_P2;
Log(task.symbolA, A_P2, task.symbolB, B_P2, "#FF0000");
}
}
function Hedge_Open_Cover(task){
if(task.isUseMarketOrder === false){ // 限价单
if((task.action[1] === "buy" && task.action[2] === "sell") || (task.action[1] === "sell" && task.action[2] === "buy")){ // open
var tradeInfo_A = DealActionLimit(task, A, task.action[3]);
var dealAmount_A = Math.abs(task.action[3]);
while(tradeInfo_A == false || (dealAmount_A -= tradeInfo_A.amount) !== 0){
Log("合约：" + task.symbolA + "已对冲" + (tradeInfo_A == false ? 0 : tradeInfo_A.amount), "剩余，重试！张数：" + dealAmount_A);
tradeInfo_A = DealActionLimit(task, A, dealAmount_A, true);
Sleep(Interval);
}
var tradeInfo_B = DealActionLimit(task, B, task.action[3]);
var dealAmount_B = Math.abs(task.action[3]);
while(tradeInfo_B == false || (dealAmount_B -= tradeInfo_B.amount) !== 0){
Log("合约：" + task.symbolB + "已对冲" + (tradeInfo_B == false ? 0 : tradeInfo_B.amount), "剩余，重试！张数：" + dealAmount_B);
tradeInfo_B = DealActionLimit(task, B, dealAmount_B, true);
Sleep(Interval);
}
task.dic[task.action[0]].hold = task.action[3];
// task.dic[task.action[0]].ActualPrice = _N(orderA.AvgPrice - orderB.AvgPrice);
}else if((task.action[1] === "closesell" && task.action[2] === "closebuy") || (task.action[1] === "closebuy" && task.action[2] === "closesell")){ // cover
var tradeInfo_A_Piece = DealActionLimit(task, A, task.action[3]);
var dealAmount_A = Math.abs(task.action[3]);
while(tradeInfo_A_Piece == false || (dealAmount_A -= tradeInfo_A_Piece) !== 0){
Log("合约：" + task.symbolA + "已对冲" + (tradeInfo_A == false ? 0 : tradeInfo_A_Piece), "剩余，重试！张数：" + dealAmount_A);
tradeInfo_A_Piece = DealActionLimit(task, A, dealAmount_A, true);
Sleep(Interval);
}
var tradeInfo_B_Piece = DealActionLimit(task, B, task.action[3]);
var dealAmount_B = Math.abs(task.action[3]);
while(tradeInfo_B_Piece == false || (dealAmount_B -= tradeInfo_B_Piece) !== 0){
Log("合约：" + task.symbolB + "已对冲" + (tradeInfo_B == false ? 0 : tradeInfo_B_Piece), "剩余，重试！张数：" + dealAmount_B);
tradeInfo_B_Piece = DealActionLimit(task, B, dealAmount_B, true);
Sleep(Interval);
}
task.dic[task.action[0]].hold = 0;
task.dic[task.action[0]].ActualPrice = 0;
task.dic[task.action[0]].CoverTimes += 1;
}
Sleep(100);
}else if(task.isUseMarketOrder === true){ // 市价单
var orderA = null;
var orderB = null;
if((task.action[1] === "buy" && task.action[2] === "sell") || (task.action[1] === "sell" && task.action[2] === "buy")){ // open
DealAction(task, A);
DealAction(task, B);
while(!idA || !idB){
if(!idA){
DealAction(task, A);
}
if(!idB){
DealAction(task, B);
}
}
while(true){
if(!orderA || orderA.Status !== ORDER_STATE_CLOSED){
orderA = task.e.GetOrder(idA);
}
if(!orderB || orderB.Status !== ORDER_STATE_CLOSED){
orderB = task.e.GetOrder(idB);
}
if(orderA && orderB && orderA.Status == ORDER_STATE_CLOSED && orderB.Status == ORDER_STATE_CLOSED){
break;
}
Sleep(Interval);
}
//Log("Open symbolA:", orderA, "symbolB:", orderB);
task.dic[task.action[0]].hold = task.action[3];
task.dic[task.action[0]].ActualPrice = _N(orderA.AvgPrice - orderB.AvgPrice);
}else if((task.action[1] === "closesell" && task.action[2] === "closebuy") || (task.action[1] === "closebuy" && task.action[2] === "closesell")){ // cover
DealAction(task, A);
DealAction(task, B);
while(!idA || !idB){
if(!idA){
DealAction(task, A);
}
if(!idB){
DealAction(task, B);
}
}
while(true){
if(!orderA || orderA.Status !== ORDER_STATE_CLOSED){
orderA = task.e.GetOrder(idA);
}
if(!orderB || orderB.Status !== ORDER_STATE_CLOSED){
orderB = task.e.GetOrder(idB);
}
if(orderA && orderB && orderA.Status == ORDER_STATE_CLOSED && orderB.Status == ORDER_STATE_CLOSED){
break;
}
Sleep(Interval);
}
//Log("Cover symbolA:", orderA, "symbolB:", orderB);
task.dic[task.action[0]].hold = 0;
task.dic[task.action[0]].ActualPrice = 0;
task.dic[task.action[0]].CoverTimes += 1;
}
Sleep(100); // 避免访问过于频繁。
}
}
function TasksController(){ // 任务控制器 构造函数
// 构造用于返回的 控制器对象
var self = {};
self.tasks = []; // 控制器的任务数组。
self.AddTask = function(e, symbolA, symbolB, HedgeList){ // 添加对冲 任务, 函数中进行 构造， 部分参数变量未初始化。在main 函数开始 根据界面参数列表，确定task 个数 进行构造。
var task = {
// 任务的参数变量
e : e,
symbolA : symbolA,
symbolB : symbolB,
HedgeList : HedgeList,
dic : [],
Adepth : null,
Bdepth : null,
Adiff : 0,
Bdiff : 0,
action : null,
lastUpdateLineTime : 0,
MarginLevel : MarginLevel,
isUseMarketOrder : true,
// 账户信息
initAccount : _C(e.GetAccount),
nowAccount : null,
isFrozen : false,
FrozenStartTime : 0,
APositions : null,
BPositions : null,
Pre_APositions : null,
Pre_BPositions : null,
PositionsLastUpdateTime : 0,
isLogProfit : false,
taskProfit : 0,
State : FREE,
};
self.tasks.push(task);
}
self.InitTask = function(){ // 初始化 任务，设置合约 杠杆等
_.each(self.tasks, function(task){
var arr = task.HedgeList.split(';');
var hedgeDirection = 1;
// 可扩展 恢复持仓，读取当前持仓。
_.each(arr, function(pair){
var tmp = pair.split(':'); // 把每个 网格节点的 单元 按照':'字符 分割成 参数 数组 tmp
if (tmp.length != 3) { // 由于 格式 是 30:15:1 即 开仓差价: 平仓差价: 下单量 ，所以 用 ':' 分割后 tmp长度 不是3的 即 格式错误
throw "开仓表不正确"; // 抛出异常 格式错误
}
var st = { // 每次迭代的时候 构造一个对象
open: Number(tmp[0]), // 开仓 把 tmp[0] 即 30:15:1 按 ':' 分割后 生成的数组中的 第一个元素 30 ， 通过 Number 函数 转换为数值
cover: Number(tmp[1]), // 平仓..
amount: Number(tmp[2]), // 量..
hold: 0, // 持仓 初始为0
ActualPrice: 0,
PointProfit : 0, // 但个仓位累计差价。
CoverTimes : 0, // 平仓次数
};
task.dic.push(st);
});
// 处理其它 初始化工作
task.P = $.NewPositionManager(task.e);
task.isUseMarketOrder = isUseMarketOrder; // 初始是否使用市价单
task.e.SetMarginLevel(task.MarginLevel); // 设置杠杆
task.nowAccount = _C(task.e.GetAccount); // 初始化 当前账户信息
// 检查， 启用的网格 是否会 耗尽资金
if((task.dic[0].open < 0 && isCreateHedgeList) || (task.dic[0].cover < 0 && isCreateHedgeList)){
// throw "自动网格生成错误：第一个节点开仓值、平仓值 小于0，会引起产生重复部分。" +JSON.stringify(task.dic);
}
var dic_length = task.dic.length;
var sumPiece = 0;
for(var i = 0; i < dic_length; i++){
sumPiece += task.dic[i].amount;
}
sumPiece = sumPiece * 2;
task.e.SetContractType(task.symbolA);
var tickerA = _C(task.e.GetTicker);
task.e.SetContractType(task.symbolB);
var tickerB = _C(task.e.GetTicker);
var Margin = sumPiece * 100 * OK_Rate / ((tickerA.Last + tickerB.Last) / 2) / task.MarginLevel;
if(MarginRatio * task.initAccount.Stocks < Margin){
if(istry == false || IsVirtual()){
throw "满仓所需保证金：" + Margin + " 超出 限制比例： " + MarginRatio;
}else{
Log("注意，实盘测试模式开启！#FF0000");
}
}
Log("按照当前初始化，满仓将开" + sumPiece + "张合约，共需要 保证金：" + Margin + "BTC");
});
}
self.DealTask = function(nowTime){
// 处理task 任务
tbls = []; // 每次初始清空
_.each(self.tasks, function(task){
// 迭代处理 task
task.e.SetContractType(task.symbolA);
var Adepth = task.e.GetDepth();
task.e.SetContractType(task.symbolB);
var Bdepth = task.e.GetDepth();
if(!Adepth || !Bdepth || Adepth.Asks.length === 0 || Adepth.Bids.length === 0 || Bdepth.Asks.length === 0 || Bdepth.Bids.length === 0){
return;
}
task.Adepth = Adepth;
task.Bdepth = Bdepth;
task.Adiff = _N(Adepth.Bids[0].Price - Bdepth.Asks[0].Price);
task.Bdiff = _N(Adepth.Asks[0].Price - Bdepth.Bids[0].Price);
if(nowTime - task.lastUpdateLineTime > 1000 * 60){
$.PlotLine("plus", task.Adiff);
$.PlotLine("minus", task.Bdiff);
task.lastUpdateLineTime = nowTime;
}
// 判断解除冻结
if(nowTime - task.FrozenStartTime > 1000 * 15 * 60 && task.isFrozen == true){
task.isFrozen = false;
if(For_USD == false){
var lastRate = OK_Rate;
OK_Rate = task.e.GetUSDCNY();
task.e.SetRate(OK_Rate);
}
Log("冻结解除！", For_USD == false ? "并且更新汇率，上次汇率：" + lastRate + "更新后汇率：" + OK_Rate + "#FF0000" : "#FF0000");
}
// 交易逻辑
var SumHold = task.dic.length;
for(var index = 0; index < task.dic.length && task.isFrozen == false; index++){
if(task.dic[index].hold === 0){
if(task.dic[index].open <= task.Adiff && task.State !== MINUS){ // 正对冲 空A 多B
task.action = [index, "sell", "buy", task.dic[index].amount];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "O", "sell-buy", "flag", "red");
task.isLogProfit = false;
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 获取持仓信息。
UpdatePosition(task, Positions, PRE);
Log("Open symbolA:", task.APositions, "symbolB:", task.BPositions);
CalcActualPrice(task);
task.State = PLUS;
}else if(task.dic[index].open <= -task.Bdiff && task.State !== PLUS){ // 反对冲 多A 空B
task.action = [index, "buy", "sell", -task.dic[index].amount];
Log(JSON.stringify(task.action));
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "O", "buy-sell", "flag", "red");
task.isLogProfit = false;
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 获取持仓信息。
UpdatePosition(task, Positions, PRE);
Log("Open symbolA:", task.APositions, "symbolB:", task.BPositions);
CalcActualPrice(task);
task.State = MINUS;
}else{
SumHold--;
}
}else{
if(task.dic[index].hold > 0 && task.dic[index].cover >= task.Bdiff){ // 平空A 平多B
task.action = [index, "closesell", "closebuy", task.dic[index].hold];
Log(JSON.stringify(task.action));
// Buy_SymbolA_Sell_SymbolB(task);
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closesell-closebuy", "circlepin");
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 获取持仓信息。
UpdatePosition(task, Positions);
Log("Cover symbolA:", task.APositions, "symbolB:", task.BPositions);
}else if(task.dic[index].hold < 0 && task.dic[index].cover >= -task.Adiff){ // 平多A 平空B
task.action = [index, "closebuy", "closesell", task.dic[index].hold];
Log(JSON.stringify(task.action));
// Sell_SymbolA_Buy_SymbolB(task);
Hedge_Open_Cover(task);
$.PlotFlag(nowTime, "C", "closebuy-closesell", "circlepin");
task.nowAccount = _C(task.e.GetAccount);
var Positions = _C(task.e.GetPosition); // 获取持仓信息。
UpdatePosition(task, Positions);
Log("Cover symbolA:", task.APositions, "symbolB:", task.BPositions);
}
}
}
if(SumHold != 0 && nowTime - task.PositionsLastUpdateTime > 1000 * 30){
var Positions = _C(task.e.GetPosition); // 获取持仓信息。
UpdatePosition(task, Positions);
task.PositionsLastUpdateTime = nowTime;
}else if(SumHold == 0 && task.isLogProfit == false){
sumProfit = 0;
task.State = FREE;
for(var a = 0 ; a < TC.tasks.length; a++){
sumProfit += TC.tasks[a].taskProfit;
}
LogProfit(sumProfit, "当前：", task.nowAccount, "初始：", task.initAccount);
task.taskProfit = task.nowAccount.Stocks - task.initAccount.Stocks;
task.isLogProfit = true;
}
// 检测交割剩余时间、发送 交割前平仓命令
CheckDelivery(nowTime, "this_week", task); // 检测 当周交割。 必须在当周交割前平仓。
// 测试 将数据现在状态栏
var tbl = {
type : "table",
title : task.symbolA + "&" + task.symbolB,
cols : ["key", "value"],
rows : []
};
for(var key in task){
value = task[key];
if(key === "dic" || key === "Adepth" || key === "Bdepth" || key === "initAccount" || key === "nowAccount" || key === "isFrozen" ||
key === "FrozenStartTime" || key === "P" || key === "Pre_APositions" || key === "Pre_BPositions"){ // 过滤显示
continue;
}
if(key === "e"){
value = "初始: " + JSON.stringify(task.initAccount) + " 当前: " + JSON.stringify(task.nowAccount);
key = task[key].GetName();
}
tbl.rows.push([key, value]);
}
// 判断下网格方向
if(task.dic[0].hold < 0){
for(var j = 0; j < task.dic.length; j++){
var task_dic = JSON.stringify(task.dic[j]);
if(task.dic[j].hold > 0){
task_dic += "#FF0000";
}else if(task.dic[j].hold < 0){
task_dic += "#32CD32";
}
tbl.rows.push([j, task_dic]);
}
}else if(task.dic[0].hold > 0){
for(var j = task.dic.length - 1; j >= 0; j--){
var task_dic = JSON.stringify(task.dic[j]);
if(task.dic[j].hold > 0){
task_dic += "#FF0000";
}else if(task.dic[j].hold < 0){
task_dic += "#32CD32";
}
tbl.rows.push([j, task_dic]);
}
}else{
for(var j = 0; j < task.dic.length; j++){
var task_dic = JSON.stringify(task.dic[j]);
if(task.dic[j].hold > 0){
task_dic += "#FF0000";
}else if(task.dic[j].hold < 0){
task_dic += "#32CD32";
}
tbl.rows.push([j, task_dic]);
}
}
tbls.push(tbl);
});
if(tbls.length === 0){ // 容错模式，或者实盘中 可能有原因导致 _.each 迭代中 返回，tbls 为 [] ，处理此种情况。
return;
}
LogStatus("轮询耗时:" + StrLoopTime + " 当前时间：" + _D() + MSG_String + '\n`' + JSON.stringify(tbls) + '`'); // 输出到状态栏
}
// 返回对象
return self;
}
var TC = null; // TasksController 对象
var tbls = [];
var MSG_String = " ";
var StrLoopTime = "";
var OK_Rate = 0;
var SumUseTime = 0;
var times = 0;
var sumTimes = 0;
var sumProfit = 0;
function main(){
// 测试代码 模拟界面参数
if(isFilter){
Log("启用过滤常规错误信息。");
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|reused");
}
var Positions = [];
for(var j = 0 ; j < exchanges.length ; j++){
var position = _C(exchanges[j].GetPosition);
if(position.length !== 0){
Positions.push(position);
}
}
if(AutoRecoveryState == false && Positions.length == 0){ // 没有持仓，并且关闭了自动恢复
if(isCreateHedgeList == true){
HedgeTable = CreateHedgeList(begin, end, size, step, amountOfPoint, symbolA, symbolB);
}
// 输出对冲控制表，并检查。
Log("对冲控制表", HedgeTable);
if(HedgeTable == "(this_week&quarter)30:15:1"){
Log("注意！对冲控制表 当前为 默认值！可能引起亏损。");
}
// 创建控制器对象
TC = TasksController();
var exchangesNum = 0;
var e_index = 0;
for(var i = 0; i < exchanges.length; i++){ // 遍历交易所对象数组
exchangesNum++;
}
var arr = HedgeTable.split('(');
_.each(arr, function(item) {
if (item != '') {
var tmp = item.split(')');
var pair = tmp[0].replace('(', '').split('&');
// Log("pair:", pair, "tmp:", tmp); // 测试 显示 处理后的 控制表字符串
TC.AddTask(exchanges[e_index], pair[0], pair[1], tmp[1]);
if(For_USD){ // 设置汇率
OK_Rate = 1;
exchanges[e_index].SetRate(1);
Log("使用的价格为美元计价,汇率：", OK_Rate, "，请注意 ”对冲 控制表“ 是否为美元差价#FF0000"); // 币种提示
}else{
OK_Rate = exchanges[e_index].GetUSDCNY();
exchanges[e_index].SetRate(OK_Rate);
Log("使用的价格为RMB计价,汇率：", OK_Rate, "，请注意 ”对冲 控制表“ 是否为RMB差价#FF0000"); // 币种提示
}
if(--exchangesNum < 0){
throw "添加的交易所 和 对冲控制表 不匹配！交易所个数：" + exchanges.length + " arr：" + arr;
}else if(exchangesNum !== 0){
e_index++;
}
}
});
Log("交易所对象最大索引 e_index:", e_index, "关联后剩余交易所数量： exchangesNum:", exchangesNum); // 测试
// 调用控制器对象的初始化函数
TC.InitTask();
}else if(AutoRecoveryState == false && Positions.length !== 0){ // 未开启恢复，有持仓
throw "未开启自动恢复，检测到有持仓信息：" + JSON.stringify(Positions);
}else if(AutoRecoveryState == true && Positions.length == 0 && (istry == false || IsVirtual())){ // 开启自动恢复， 无持仓信息
throw "未检测到持仓信息，无法恢复！";
}else{ // 恢复持仓
Log("恢复持仓！");
if(isCreateHedgeList == true){
HedgeTable = CreateHedgeList(begin, end, size, step, amountOfPoint, symbolA, symbolB);
}
// 输出对冲控制表，并检查。
Log("对冲控制表", HedgeTable);
if(HedgeTable == "(this_week&quarter)30:15:1"){
Log("注意！对冲控制表 当前为 默认值！可能引起亏损。");
}
// 创建控制器对象
TC = TasksController();
var exchangesNum = 0;
var e_index = 0;
for(var i = 0; i < exchanges.length; i++){ // 遍历交易所对象数组
exchangesNum++;
}
var arr = HedgeTable.split('(');
_.each(arr, function(item) {
if (item != '') {
var tmp = item.split(')');
var pair = tmp[0].replace('(', '').split('&');
// Log("pair:", pair, "tmp:", tmp); // 测试 显示 处理后的 控制表字符串
TC.AddTask(exchanges[e_index], pair[0], pair[1], tmp[1]);
if(For_USD){ // 设置汇率
OK_Rate = 1;
exchanges[e_index].SetRate(1);
Log("使用的价格为美元计价,汇率：", OK_Rate, "，请注意 ”对冲 控制表“ 是否为美元差价#FF0000"); // 币种提示
}else{
OK_Rate = exchanges[e_index].GetUSDCNY();
exchanges[e_index].SetRate(OK_Rate);
Log("使用的价格为RMB计价,汇率：", OK_Rate, "，请注意 ”对冲 控制表“ 是否为RMB差价#FF0000"); // 币种提示
}
if(--exchangesNum < 0){
throw "添加的交易所 和 对冲控制表 不匹配！交易所个数：" + exchanges.length + " arr：" + arr;
}else if(exchangesNum !== 0){
e_index++;
}
}
});
Log("交易所对象最大索引 e_index:", e_index, "关联后剩余交易所数量： exchangesNum:", exchangesNum); // 测试
// 调用控制器对象的初始化函数
TC.InitTask();
var PreTC = _G("TC");
for(var index = 0; index < TC.tasks.length ; index++){
for(var key in TC.tasks[index]){
if(key == "e" || key == "Adepth" || key == "Bdepth" || key == "P"){
continue;
}
TC.tasks[index][key] = PreTC.tasks[index][key];
}
}
}
while(true){
var nowTime = new Date().getTime();
TC.DealTask(nowTime);
Sleep(Interval);
var endTime = new Date().getTime();
if(times < 100000){
SumUseTime += (endTime - nowTime);
times++;
}else{
SumUseTime = 0;
times = 0;
SumUseTime += (endTime - nowTime);
times++;
}
sumTimes++;
var avgUseTime = _N(SumUseTime / times);
StrLoopTime = (endTime - nowTime) + " ms " + "平均耗时：" + avgUseTime + "循环次数：" + sumTimes;
}
}
function onexit(){
Log("退出策略，自动保存状态。");
_G("TC", TC);
}
原文：https://quant.la/Article/View/39/
来源：oschina
链接：https://my.oschina.net/u/3949328/blog/2994223