量化对冲网格模型基于发明者平台的比特币OKCoin期货交易策略

OKCoin期货跨期对冲策略，季度、当周、次周

一、 季度-当周

二、 季度-次周

三、 当周-次周

四、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。

做者本人呢 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很多新知识， 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（固然回测只是最初步的检测，不表明任何结论！）

如下代码不能直接运行，须要配置参数（在发明者量化平台）。代码链接： www.botvs.com/strategy/34…

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，在实盘中须要修正 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 该值修改成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 当前月份的全部 星期5的 日期， 取时间戳， 对比当前时间戳，小于当前的 丢弃，大于当前的第一个便是 
    // 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){                          // 判断是否是 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 ,避免重复调用提升效率
            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 从新赋值
        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 = "&emsp;&emsp;" + 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，平掉全部仓位！#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("所有仓位已平，检查持仓：", Positions, "程序冻结15分钟！#FF0000");
            task.isFrozen = true;
            task.FrozenStartTime = new Date().getTime();
        }
    }else{
        MSG_String = "&emsp;&emsp;" + 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，肯定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,
            // 帐户信息
            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(':');                               // 把每一个 网格节点的 单元 按照':'字符 分割成 参数 数组 tmp
                if (tmp.length != 3) {                                   // 因为 格式 是  30:15:1  即   开仓差价: 平仓差价: 下单量    ，因此 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 ， 经过 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 初始化工做
            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 当前帐户信息
            // 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，会引发产生重复部分。" +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，共须要 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 ? "而且更新汇率，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 将数据如今状态栏
            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 可能有缘由致使 _.each 迭代中 返回，tbls 为  [] ，处理此种状况。
            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 = "&emsp;&emsp;";
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，而且关闭了自动恢复
        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！可能引发亏损。");
        }
    
        // 建立控制器对象
        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("使用的价格为美圆计价,汇率：", OK_Rate, "，请注意 ”对冲 控制表“ 是否为美圆差价#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，没法恢复！";
    }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！可能引发亏损。");
        }
    
        // 建立控制器对象
        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("使用的价格为美圆计价,汇率：", OK_Rate, "，请注意 ”对冲 控制表“ 是否为美圆差价#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);
}
复制代码

原文：quant.la/Article/Vie…