网格变形策略之单边网格-OK期货.md

Name

网格变形策略之单边网格-OK期货

Author

Zero

Strategy Description

网格可以自定义方向 先买后卖: 网格会从首价格开始向下挂买单, 每个买单间隔 "价格间隔" 这个参数, 挂单数量为"单笔数量", 挂够 "总数量" 个买单, 有任意买单成交以后, 程序会在买价基础上加 "价差(元)" 这个参数的的值的价格挂出卖单, 卖出, 卖出以后，重新按原来这个网格的价格挂买入单 先卖后买: 操作刚好相反

策略最大的风险就是单边行情, 价格波动超出网格范围.

网格带有自动止损和移动功能

Strategy Arguments

Argument	Default	Description
ContractTypeIdx	0	合约品种: 当周
OpType	0	网格方向: 先买后卖
FirstPriceAuto	false	首价格自动
FirstPrice	100	首价格
AllNum	10	总数量
PriceGrid	true	价格间隔
PriceDiff	2	价差(元)
AmountType	0	订单大小: 买卖同量
AmountOnce	true	单笔数量
BAmountOnce	true	买单大小
SAmountOnce	true	卖单大小
MarginLevelIdx	0	杠杆大小: 10
EnableProtectDiff	false	开启价差保护
ProtectDiff	20	入市价差保护
CancelAllWS	true	停止时取消取有挂单
CheckInterval	2000	轮询间隔
Interval	1300	失败重试间隔
RestoreProfit	false	恢复上次盈利
LastProfit	false	上次盈利
ProfitAsOrg	false	上次盈利算入均价
EnableStopLoss	false	开启止损
StopLoss	0.1	最大浮动亏损
StopLossMode	0	止损后操作: 回收并退出
AutoMove	false	自动移动
MaxDistance	20	最大距离(元)
MaxIdle	7200	最大空闲(秒)

Button	Default	Description
收网	button	停止并平衡到初始状态

Source (javascript)

var isFuture = false;

function hasOrder(orders, orderId) {
    for (var i = 0; i < orders.length; i++) {
        if (orders[i].Id == orderId) {
            return true;
        }
    }
    return false;
}


function cancelPending() {
    var ret = false;
    while (true) {
        if (ret) {
            Sleep(Interval);
        }
        var orders = _C(exchange.GetOrders);
        if (orders.length == 0) {
            break;
        }

        for (var j = 0; j < orders.length; j++) {
            exchange.CancelOrder(orders[j].Id, orders[j]);
            ret = true;
        }
    }
    return ret;
}


function balanceAccount(orgAccount, initAccount) {
    if (isFuture) {
        while (true) {
            cancelPending();
            var positions = _C(exchange.GetPosition);
            if (positions.length === 0 ) {
                var accountNow = _C(exchange.GetAccount);
                LogProfit(_N(accountNow.Stocks - orgAccount.Stocks), "可用保证金:", accountNow.Stocks);
                return;
            }
            for (var i = 0; i < positions.length; i++) {
                if (positions[i].Type == PD_LONG) {
                    exchange.SetDirection("closebuy");
                    exchange.Sell(positions[i].Amount);
                } else {
                    exchange.SetDirection("closesell");
                    exchange.Buy(positions[i].Amount);
                }
            }
            Sleep(Interval);
        }
    }
    var account = _C(exchange.GetAccount);
    while (true) {
        var diff = _N(account.Stocks - initAccount.Stocks);
        if (Math.abs(diff) < exchange.GetMinStock()) {
            break;
        }
        var depth = _C(exchange.GetDepth);
        var books = diff > 0 ? depth.Bids : depth.Asks;
        var n = 0;
        var price = 0;
        for (var i = 0; i < books.length; i++) {
            n += books[i].Amount;
            if (n >= Math.abs(diff)) {
                price = books[i].Price;
                break;
            }
        }
        Log("开始平衡", (diff > 0 ? "卖出" : "买入"), Math.abs(diff), "个币");
        if (diff > 0) {
            exchange.Sell(price - 0.2, diff);
        } else {
            exchange.Buy(price + 0.2, -diff);
        }
        Sleep(1000);
        cancelPending();
        account = _C(exchange.GetAccount);
    }
    Log("平衡完成", account);
}

var STATE_WAIT_OPEN  = 0;
var STATE_WAIT_COVER = 1;
var STATE_WAIT_CLOSE = 2;
var ProfitCount = 0;
var BuyFirst = (OpType == 0);
var IsSupportGetOrder = true;
var LastBusy = 0;
var LastFloatProfit = 0;

function setBusy() {
    LastBusy = new Date();
}

function isTimeout() {
    if (MaxIdle <= 0) {
        return false;
    }
    var now = new Date();
    if (((now.getTime() - LastBusy.getTime()) / 1000) >= MaxIdle) {
        LastBusy = now;
        return true;
    }
    return false;
}

function onexit() {
    if (CancelAllWS) {
        Log("正在退出, 尝试取消所有挂单");
        cancelPending();
    }
    Log("策略成功停止");
    Log(_C(exchange.GetAccount));
}


function fishing(orgAccount, fishCount) {
    setBusy();
    var account = _C(exchange.GetAccount);
    Log(account);
    var InitAccount = account;
    var ticker = _C(exchange.GetTicker);
    var amount = _N(AmountOnce);
    var amountB = amount;
    var amountS = amount;
    if (typeof(AmountType) !== 'undefined' && AmountType == 1) {
        amountB = BAmountOnce;
        amountS = SAmountOnce;
    }
    if (FirstPriceAuto) {
        FirstPrice = BuyFirst ? _N(ticker.Buy - PriceGrid) : _N(ticker.Sell + PriceGrid);
    }
    // Initialize fish table
    var fishTable = {};
    var uuidTable = {};
    var needStocks = 0;
    var needMoney = 0;
    var actualNeedMoney = 0;
    var actualNeedStocks = 0;
    var notEnough = false;
    var canNum = 0;
    var marginLevel = [10,20][MarginLevelIdx];
    exchange.SetMarginLevel(marginLevel);
    for (var idx = 0; idx < AllNum; idx++) {
        var price = _N(BuyFirst ? FirstPrice - (idx * PriceGrid) : FirstPrice + (idx * PriceGrid));
        if (isFuture) {
            needStocks += ((100 * amountB) / price) / marginLevel;
            if (_N(needStocks) <= _N(account.Stocks)) {
                actualNeedStocks = needStocks;
                canNum++;
            } else {
                notEnough = true;
            }
        } else {
            needStocks += amountS;
            needMoney += price * amountB;
            if (BuyFirst) {
                if (_N(needMoney) <= _N(account.Balance)) {
                    actualNeedMondy = needMoney;
                    actualNeedStocks = needStocks;
                    canNum++;
                } else {
                    notEnough = true;
                }
            } else {
                if (_N(needStocks) <= _N(account.Stocks)) {
                    actualNeedMondy = needMoney;
                    actualNeedStocks = needStocks;
                    canNum++;
                } else {
                    notEnough = true;
                }
            }
        }
        fishTable[idx] = STATE_WAIT_OPEN;
        uuidTable[idx] = -1;
    }
    if (EnableProtectDiff) {
        if (BuyFirst && (FirstPrice - ticker.Sell) > ProtectDiff) {
            throw "首次买入价比市场卖1价高" + _N(FirstPrice - ticker.Sell) + ' 元';
        } else if (!BuyFirst && (ticker.Buy - FirstPrice) > ProtectDiff) {
            throw "首次卖出价比市场买1价高 " + _N(ticker.Buy - FirstPrice) + ' 元';
        }
    }
    if (BuyFirst && !isFuture) {
        if (account.Balance < _N(needMoney)) {
            if (fishCount == 1) {
                throw "资金不足, 需要"+ _N(needMoney) + "元";
            } else {
                Log("资金不足, 需要", _N(needMoney), "元, 程序只做", canNum, "个网格 #ff0000");
            }
        } else {
            Log('预计动用资金: ', _N(needMoney), "元");
        }
    } else {
        if (account.Stocks < _N(needStocks)) {
            if (fishCount == 1) {
                throw "币数不足, 需要 "+ _N(needStocks) + " 个币";
            } else {
                Log("资金不足, 需要", _N(needStocks), "个币, 程序只做", canNum, "个网格 #ff0000");
            }
        } else {
            Log('预计动用币数: ', _N(needStocks), "个");
        }
    }

    var OpenFunc = BuyFirst ? exchange.Buy : exchange.Sell;
    var CoverFunc = BuyFirst ? exchange.Sell : exchange.Buy;
    var ts = new Date();
    var preMsg = "";
    var profitMax = 0;
    while (true) {
        var now = new Date();
        if (now.getTime() - ts.getTime() > 5000) {
            if (typeof(GetCommand) == 'function' && GetCommand() == "收网") {
                Log("开始执行命令进行收网操作");
                balanceAccount(orgAccount, InitAccount);
                return false;
            }
            ts = now;
            var msg = "";
            var positions, isHold;
            var ticker = _C(exchange.GetTicker);
            var nowAccount = _C(exchange.GetAccount);
            if (isFuture) {
                positions = _C(exchange.GetPosition);
                isHold = positions.length > 0;
                if (isHold) {
                    msg += "持仓: " + positions[0].Amount + " 持仓均价: " + _N(positions[0].Price) + " 浮动盈亏: " + _N(positions[0].Profit);
                    if (EnableStopLoss && -positions[0].Profit >= StopLoss) {
                        Log("当前浮动盈亏", positions[0].Profit, "开始止损");
                        balanceAccount(orgAccount, InitAccount);
                        if (StopLossMode === 0) {
                            throw "止损退出";
                        } else {
                            return true;
                        }
                    }
                } else {
                    msg += "空仓";
                }
                msg += " 可用保证金: " + nowAccount.Stocks;
                
            } else {
                isHold = Math.abs(amount_diff) >= exchange.GetMinStock();
                
                var amount_diff = (nowAccount.Stocks + nowAccount.FrozenStocks) - (InitAccount.Stocks + InitAccount.FrozenStocks);
                var money_diff = (nowAccount.Balance + nowAccount.FrozenBalance) - (InitAccount.Balance + InitAccount.FrozenBalance);
                var floatProfit = _N(money_diff + (amount_diff * ticker.Last));
                var floatProfitAll = _N((nowAccount.Balance + nowAccount.FrozenBalance - orgAccount.Balance - orgAccount.FrozenBalance) + ((nowAccount.Stocks + nowAccount.FrozenStocks - orgAccount.Stocks - orgAccount.FrozenStocks) * ticker.Last));
                LastFloatProfit = floatProfitAll;
                profitMax = Math.max(floatProfit, profitMax);
                if (EnableStopLoss) {
                    if ((profitMax - floatProfit) >= StopLoss) {
                        Log("当前浮动盈亏", floatProfit, "利润最高点: ", profitMax, "开始止损");
                        balanceAccount(orgAccount, InitAccount);
                        if (StopLossMode === 0) {
                            throw "止损退出";
                        } else {
                            return true;
                        }
                    }
                }
                if (isHold) {
                    if (RestoreProfit && ProfitAsOrg) {
                        if (BuyFirst) {
                            money_diff += LastProfit;
                        } else {
                            money_diff -= LastProfit;
                        }
                    }
                    var hold_amount = amount_diff;
                    var hold_price = (-money_diff) / amount_diff;
                    if (!BuyFirst) {
                        hold_amount = -amount_diff;
                        hold_price = (money_diff) / -amount_diff;
                    }
                    msg = (BuyFirst ? "做多: " : "做空: ") +  _N(hold_amount, 4) + " 个币, 均价: " + _N(hold_price);
                } else {
                    msg += "空仓";
                }
                msg += " 当前网格浮动盈亏: " + floatProfit + " 总浮动盈亏: " + floatProfitAll + " 第 " + fishCount + " 次撒网 最新币价: " + _N(ticker.Last);
            }
            if (isHold) {
                setBusy();
            }

            var distance = 0;
            if (AutoMove) {
                if (BuyFirst) {
                    distance = ticker.Last - FirstPrice;
                } else {
                    distance = FirstPrice - ticker.Last;
                }
                var refish = false;
                if (!isHold && isTimeout()) {
                    Log("空仓过久, 开始移动网格");
                    refish = true;
                }
                if (distance > MaxDistance) {
                    Log("价格超出网格区间过多, 开始移动网格, 当前距离: ", _N(distance), "当前价格:", ticker.Last);
                    refish = true;
                }
                if (refish) {
                    balanceAccount(orgAccount, InitAccount);
                    return true;
                }
            }

            if (AutoMove && distance > 0) {
                msg += " (离网格" + (BuyFirst ? "向上" : "向下") + "偏离: " + _N(distance) + " 元)";
            }
            if (msg != preMsg) {
                LogStatus(msg);
                preMsg = msg;
            }

        }
        var orders = _C(exchange.GetOrders);
        for (var idx = 0; idx < canNum; idx++) {
            var openPrice = _N(BuyFirst ? FirstPrice - (idx * PriceGrid) : FirstPrice + (idx * PriceGrid));
            var coverPrice = _N(BuyFirst ? openPrice + PriceDiff : openPrice - PriceDiff);
            var state = fishTable[idx];
            var fishId = uuidTable[idx];
            if (hasOrder(orders, fishId)) {
                continue;
            }

            if (fishId != -1 && IsSupportGetOrder) {
                var order = exchange.GetOrder(fishId);
                if (!order) {
                    Log("获取订单信息失败, ID: ", fishId);
                    continue;
                }
                if (order.Status == ORDER_STATE_PENDING) {
                    Log("订单状态为未完成, ID: ", fishId);
                    continue;
                }
            }

            if (state == STATE_WAIT_COVER) {
                if (isFuture) {
                    exchange.SetDirection(BuyFirst ? "closebuy" : "closesell");
                }
                var coverId = CoverFunc(coverPrice, BuyFirst ? amountS : amountB, BuyFirst ? '完成买单:' : '完成卖单:', openPrice);
                if (coverId) {
                    fishTable[idx] = STATE_WAIT_CLOSE;
                    uuidTable[idx] = coverId;
                }
            } else if (state == STATE_WAIT_OPEN || state == STATE_WAIT_CLOSE) {
                if (isFuture) {
                    exchange.SetDirection(BuyFirst ? "buy" : "sell");
                }
                var openId = OpenFunc(openPrice, BuyFirst ? amountB : amountS);
                if (openId) {
                    fishTable[idx] = STATE_WAIT_COVER;
                    uuidTable[idx] = openId;
                    if (state == STATE_WAIT_CLOSE) {
                        ProfitCount++;
                        if (AmountType === 0) {
                            Log((BuyFirst ? '完成卖单: ' : '完成买单: ') + coverPrice);
                        } else {
                            Log((BuyFirst ? '完成卖单: ' : '完成买单: ') + coverPrice);
                        }
                        if (!isFuture) {
                            var account = _C(exchange.GetAccount);
                            var ticker = _C(exchange.GetTicker);
                            var initNet = _N(((InitAccount.Stocks + InitAccount.FrozenStocks) * ticker.Buy) + InitAccount.Balance + InitAccount.FrozenBalance, 8);
                            var nowNet = _N(((account.Stocks + account.FrozenStocks) * ticker.Buy) + account.Balance + account.FrozenBalance, 8);
                            var actualProfit = _N(((nowNet - initNet)) * 100 / initNet, 8);
                            LogProfit(LastFloatProfit, "总浮动盈亏率:", _N(LastFloatProfit * 100 / actualNeedMondy, 4), '%');
                        }
                    }
                }
            }
        }
        Sleep(CheckInterval);
    }
    return true;
}

function main() {
    if (typeof(AmountType) === 'undefined') {
        AmountType = 0;
    }
    IsSupportGetOrder = exchange.GetName().indexOf('itstamp') == -1;
    if (!IsSupportGetOrder) {
        Log(exchange.GetName(), "不支持GetOrder, 可能影响策略稳定性.");
    }
    
    isFuture = exchange.GetName().indexOf("Future") != -1;
    if (AmountType === 0) {
        BAmountOnce = AmountOnce;
        SAmountOnce = AmountOnce;
    }
    if (exchange.GetName() == "Futures_OKCoin" && (AmountOnce.toString().indexOf(".") != -1 || BAmountOnce.toString().indexOf(".") != -1 || SAmountOnce.toString().indexOf(".") != -1)) {
        throw "OKCoin期货下单数必须为整数";
    }

    SetErrorFilter("502:|503:|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|refused|EOF|When");

    exchange.SetRate(1);
    Log('已经禁用汇率转换, 当前货币为', exchange.GetBaseCurrency());

    if (!RestoreProfit) {
        LastProfit = 0;
    }
    exchange.SetContractType(["this_week", "next_week", "quarter"][ContractTypeIdx]);
    var orgAccount = _C(exchange.GetAccount);
    var fishCount = 1;
    while (true) {
        if (!fishing(orgAccount, fishCount)) {
            break;
        }
        fishCount++;
        Log("第", fishCount, "次重新撒网...");
        FirstPriceAuto = true;
        Sleep(1000);
    }
}

Detail

https://www.fmz.com/strategy/8474

Last Modified

2020-04-06 18:47:43