数字货币期货类马丁策略.md

Name

数字货币期货类马丁策略

Author

小小梦

Strategy Description

数字货币期货类马丁策略

相关文章1：https://www.fmz.com/bbs-topic/7457 相关文章2：https://www.fmz.com/digest-topic/8902

Strategy Arguments

Argument	Default	Description
targetProfit	10	目标利润
amount	true	下单量
totalEq	-1	初始总权益
isReset	false	重置
pricePrecision	2	价格精度
amountPrecision	2	下单量精度
isSimulate	false	OKEX_V5模拟盘选项
SpecifyPosField		指定显示的持仓字段
showLine	false	显示曲线图表
mode	0	模式: 双向
maxPendingDiff	60	最大挂单距离
increment	false	加仓系数增量

Source (javascript)

// OKEX V5 获取总权益
function getTotalEquity_OKEX_V5() {
    var totalEquity = null 
    var ret = exchange.IO("api", "GET", "/api/v5/account/balance", "ccy=USDT")
    if (ret) {
        try {
            totalEquity = parseFloat(ret.data[0].details[0].eq)
        } catch(e) {
            Log("获取账户总权益失败！")
            return null
        }
    }
    return totalEquity
}

// 币安期货
function getTotalEquity_Binance() {
    var totalEquity = null 
    var ret = exchange.GetAccount()
    if (ret) {
        try {
            totalEquity = parseFloat(ret.Info.totalWalletBalance)
        } catch(e) {
            Log("获取账户总权益失败！")
            return null
        }
    }
    return totalEquity
}

// dYdX
function getTotalEquity_dYdX() {
    var totalEquity = null 
    var ret = exchange.GetAccount()
    if (ret) {
        totalEquity = ret.Balance
    }
    return totalEquity
}

// BitMEX
function getTotalEquity_BitMEX() {
    var currency = exchange.GetCurrency()
    var arr = currency.split("_")
    if (arr.length != 2) {
        throw "交易对配置错误"
    }
    var baseCurrency = arr[0]
    var quoteCurrency = arr[1]
    var coinName = ""
    var scale = 0.0
    if (quoteCurrency == "USDT") {
        coinName = "USDt"
        scale = 6
    } else if (quoteCurrency == "USD") {
        coinName = "XBt"
        scale = 8
    } else {
        throw "不支持"
    }

    var ret = exchange.IO("api", "GET", "/api/v1/user/margin", "currency=all")
    if (ret) {
        for (var i = 0 ; i < ret.length ; i++) {
            if (coinName == ret[i].currency) {
                var equity = ret[i]["marginBalance"]
                if (equity) {
                    return parseFloat(equity) / Math.pow(10, scale)
                }                
            }
        }
    } else {
        Log("获取账户总权益失败！")
        return null 
    }
}

function getTotalEquity() {
    var exName = exchange.GetName()
    if (exName == "Futures_OKCoin") {
        return getTotalEquity_OKEX_V5()
    } else if (exName == "Futures_Binance") {
        return getTotalEquity_Binance()
    } else if (exName == "Futures_dYdX") {
        return getTotalEquity_dYdX()
    } else if (exName == "Futures_BitMEX") {
        return getTotalEquity_BitMEX()
    } else {
        throw "不支持该交易所"
    }
}

function cancelAll() {
    while (1) {
        var orders = _C(exchange.GetOrders)
        if (orders.length == 0) {
            break
        }
        for (var i = 0 ; i < orders.length ; i++) {
            exchange.CancelOrder(orders[i].Id, orders[i])
            Sleep(500)
        }
        Sleep(500)
    }
}

function trade(distance, price, amount) {
    var tradeFunc = null 
    if (distance == "buy") {
        tradeFunc = exchange.Buy
    } else if (distance == "sell") {
        tradeFunc = exchange.Sell
    } else if (distance == "closebuy") {
        tradeFunc = exchange.Sell
    } else {
        tradeFunc = exchange.Buy
    }
    exchange.SetDirection(distance)
    return tradeFunc(price, amount)
}

function openLong(price, amount) {
    return trade("buy", price, amount)
}

function openShort(price, amount) {
    return trade("sell", price, amount)
}

function coverLong(price, amount) {
    return trade("closebuy", price, amount)
}

function coverShort(price, amount) {
    return trade("closesell", price, amount)
}

var buyOrderId = null
var sellOrderId = null
var chartUpdateTS = 0 

function riskControl() {
    var ts = new Date().getTime()
    var data = _G("riskControData")
    if (!data) {
        // 没有风控数据，初始化
        data = {timeStamp : ts, tradeTimes : 0}
        _G("riskControData", data)
    }
    
    if (ts - data.timeStamp > 1000 * 60 * 60 * 24) {
        data.tradeTimes = 0 
        data.timeStamp = ts
        Log("风控模块重置时间：", data)
    }
    data.tradeTimes++
    _G("riskControData", data)
    
    if (data.tradeTimes > 10) {
        Log("触发风控：", data)
        return false 
    }
    return true 
}

function main() {
    var exName = exchange.GetName()    
    // 切换OKEX V5模拟盘
    if (isSimulate && exName == "Futures_OKCoin") {
        exchange.IO("simulate", true)
    }

    if (isReset) {
        _G(null)
        LogReset(1)
        LogProfitReset()
        LogVacuum()
        Log("重置所有数据", "#FF0000")
    }

    Log("当前模式：", ["双向", "只做多", "只做空"][mode])

    exchange.SetContractType("swap")
    exchange.SetPrecision(pricePrecision, amountPrecision)
    Log("设置精度", pricePrecision, amountPrecision)

    if (totalEq == -1 && !IsVirtual()) {
        var recoverTotalEq = _G("totalEq")
        if (!recoverTotalEq) {
            var currTotalEq = getTotalEquity()
            if (currTotalEq) {
                totalEq = currTotalEq
                _G("totalEq", currTotalEq)
            } else {
                throw "获取初始权益失败"
            }
        } else {
            totalEq = recoverTotalEq
        }
    }

    var n = 1   // 加仓系数
    while (1) {
        // 风控
        /*
        if (!riskControl()) {
            Sleep(1000 * 60 * 30)
            continue
        }
        */
        
        var ticker = _C(exchange.GetTicker)
        var pos = _C(exchange.GetPosition)
        if (pos.length > 1) {
            Log(pos)
            throw "同时有多空持仓"
        }
        // 根据状态而定
        if (pos.length == 0) {
            // 未持仓了，统计一次收益
            if (!IsVirtual()) {
                var currTotalEq = getTotalEquity()
                if (currTotalEq) {
                    LogProfit(currTotalEq - totalEq, "当前总权益：", currTotalEq)
                }
            }
            
            if (mode == 0) {
                buyOrderId = openLong(ticker.Last - targetProfit, amount)
                sellOrderId = openShort(ticker.Last + targetProfit, amount)
            } else if (mode == 1) {
                buyOrderId = openLong(ticker.Last - targetProfit, amount)
            } else if (mode == 2) {
                sellOrderId = openShort(ticker.Last + targetProfit, amount)
            }
            n = 1    // 初始为1
        } else if (pos[0].Type == PD_LONG) {   // 有多头持仓
            n += increment
            var price = ticker.Last
            buyOrderId = openLong(price - targetProfit * n, amount)
            sellOrderId = coverLong(pos[0].Price + targetProfit, pos[0].Amount)
        } else if (pos[0].Type == PD_SHORT) {   // 有空头持仓
            n += increment
            var price = ticker.Last
            buyOrderId = coverShort(pos[0].Price - targetProfit, pos[0].Amount)
            sellOrderId = openShort(price + targetProfit * n, amount)
        }

        if (mode == 0 && (!sellOrderId || !buyOrderId)) {
            cancelAll()
            buyOrderId = null 
            sellOrderId = null
            continue
        } else if (mode == 1 && pos.length == 0 && !buyOrderId) {
            cancelAll()
            buyOrderId = null 
            sellOrderId = null
            continue
        } else if (mode == 2 && pos.length == 0 && !sellOrderId) {
            cancelAll()
            buyOrderId = null 
            sellOrderId = null
            continue
        } else if (pos.length != 0 && (!sellOrderId || !buyOrderId)) {
            cancelAll()
            buyOrderId = null 
            sellOrderId = null
            continue
        }

        while (1) {  // 监控订单
            var isFindBuyId = false 
            var isFindSellId = false
            var buyOrder = null 
            var sellOrder = null 
            var orders = _C(exchange.GetOrders)
            var t = exchange.GetTicker()
            for (var i = 0 ; i < orders.length ; i++) {
                if (buyOrderId == orders[i].Id) {
                    isFindBuyId = true 
                    buyOrder = orders[i]
                }
                if (sellOrderId == orders[i].Id) {
                    isFindSellId = true 
                    sellOrder = orders[i]
                }               
            }
            if (!isFindSellId && !isFindBuyId) {    // 买卖单都成交了
                cancelAll()
                break
            } else if (!isFindBuyId && (mode == 0 || (mode == 2 && pos.length != 0))) {   // 买单成交
                // 双向模式，只做空模式有持仓，找不到买单时
                Log("买单成交")
                cancelAll()
                break
            } else if (!isFindSellId && (mode == 0 || (mode == 1 && pos.length != 0))) {  // 卖单成交
                // 双向模式，只做多模式有持仓，找不到卖单时
                Log("卖单成交")
                cancelAll()
                break
            } else if (mode == 1 && pos.length == 0 && isFindBuyId && t && buyOrder && t.Last - buyOrder.Price > maxPendingDiff) {
                // 只做多模式，没有持仓，查询到买单存在，订单价格超出
                Log("当前价格超出最大距离，撤销买单订单！当前价格：", t.Last, "订单价格：", buyOrder.Price, "最大距离：", maxPendingDiff)
                cancelAll()
                break
            } else if (mode == 2 && pos.length == 0 && isFindSellId && t && sellOrder && sellOrder.Price - t.Last > maxPendingDiff) {
                // 只做空模式，没有持仓，查询到卖单存在，订单价格超出
                Log("当前价格超出最大距离，撤销卖单订单！当前价格：", t.Last, "订单价格：", buyOrder.Price, "最大距离：", maxPendingDiff)
                cancelAll()
                break
            } else if (!isFindBuyId && pos.length != 0) {
                // 有持仓，找不到买单时，条件可以合并
                Log("买单成交")
                cancelAll()
                break
            } else if (!isFindSellId && pos.length != 0) {
                // 有持仓，找不到卖单时
                Log("卖单成交")
                cancelAll()
                break
            }
            
            if (!IsVirtual()) {
                var currTotalEq = getTotalEquity()
                var pos = exchange.GetPosition()
                if (currTotalEq && pos) {
                    // LogStatus(_D(), "当前总权益：", currTotalEq, "持仓：", pos)
                    var tblPos = {
                        "type" : "table",
                        "title" : "持仓",
                        "cols" : ["持仓数量", "持仓方向", "持仓均价", "持仓盈亏", "合约代码", "自定义字段 / " + SpecifyPosField],
                        "rows" : []
                    }
                    var descType = ["多头仓位", "空头仓位"]
                    for (var posIndex = 0 ; posIndex < pos.length ; posIndex++) {
                        tblPos.rows.push([pos[posIndex].Amount, descType[pos[posIndex].Type], pos[posIndex].Price, pos[posIndex].Profit, pos[posIndex].ContractType, SpecifyPosField == "" ? "--" : pos[posIndex].Info[SpecifyPosField]])
                    }
                    
                    var tbl = {
                        "type" : "table",
                        "title" : "数据",
                        "cols" : ["当前总权益", "实际盈亏", "当前价格", "买单价格/数量", "卖单价格/数量"],
                        "rows" : []
                    }
                    
                    /*
                    var buyOrder = null 
                    var sellOrder = null 
                    for (var orderIndex = 0 ; orderIndex < orders.length ; orderIndex++) {
                        if (orders[orderIndex].Type == ORDER_TYPE_BUY) {
                            buyOrder = orders[orderIndex]
                        } else {
                            sellOrder = orders[orderIndex]
                        }
                    }
                    */
                    var realProfit = currTotalEq - totalEq
                    if (exchange.GetName() == "Futures_Binance") {
                        _.each(pos, function(p) {
                            realProfit += parseFloat(p.Info.unRealizedProfit)
                        })                        
                    }
                    // var t = exchange.GetTicker()
                    tbl.rows.push([currTotalEq, realProfit, t ? t.Last : "--", buyOrder ? (buyOrder.Price + "/" + buyOrder.Amount) : "--/--", sellOrder ? (sellOrder.Price + "/" + sellOrder.Amount) : "--/--"])
                    
                    // 更新图表数据             
                    if (t && showLine) {
                        var ts = new Date().getTime()
                        if (ts - chartUpdateTS > 60 * 1000 * 5) {
                            chartUpdateTS = ts 
                            $.PlotLine("当前价格", t.Last)
                        }
                    }
                    
                    // 更新状态栏数据
                    LogStatus("时间：" + _D() + "\n" + "`" + JSON.stringify(tblPos) + "`" + "\n" + "`" + JSON.stringify(tbl) + "`")
                }
            }            
            Sleep(5000)
        }
        Sleep(500)
    }
}

function onexit() {
    Log("扫尾，撤销所有挂单")
    cancelAll()
}

Detail

https://www.fmz.com/strategy/294957

Last Modified

2023-12-01 10:57:21