抢盘口做市策略-对敲.md

Name

抢盘口做市策略-对敲

Author

Zero

Strategy Description

抢盘口做市策略, 最基础的做市策略，买一卖一抢单抢盘口, 赚买一卖一的差价.

Strategy Arguments

Argument	Default	Description
Interval	2000	出错重试间隔(毫秒)
LoopInterval	true	轮询间隔(秒)
SlidePrice	0.01	滑点
MaxDiff	0.8	盘口最小差价
Lot	0.2	手数
MinStock	0.0001	最小交易量

Source (javascript)

function CancelPendingOrders(orderType) {
    while (true) {
        var orders = _C(exchange.GetOrders);
        var count = 0;
        if (typeof(orderType) != 'undefined') {
            for (var i = 0; i < orders.length; i++) {
                if (orders[i].Type == orderType) {
                    count++;
                }
            }
        } else {
            count = orders.length;
        }
        if (count == 0) {
            return;
        }

        for (var j = 0; j < orders.length; j++) {
            if (typeof(orderType) == 'undefined' || (orderType == orders[j].Type)) {
                exchange.CancelOrder(orders[j].Id, orders[j]);
                if (j < (orders.length-1)) {
                    Sleep(Interval);
                }
            }
        }
    }
}


function updateProfit(accountInit, accountNow, ticker) {
    var netNow = accountNow.Balance + accountNow.FrozenBalance + ((accountNow.Stocks + accountNow.FrozenStocks) * ticker.Buy);
    var netInit = accountInit.Balance + accountInit.FrozenBalance + ((accountInit.Stocks + accountInit.FrozenStocks) * ticker.Buy);
    LogProfit(netNow - netInit);
}

var InitAccount = null;
var LastBuyPrice = 0;
var LastSellPrice = 0;

function onTick() {
    var ticker = _C(exchange.GetTicker);
    var BuyPrice = ticker.Buy + SlidePrice;
    var SellPrice = ticker.Sell - SlidePrice;

    // 利润消失
    if ((SellPrice - BuyPrice) <= MaxDiff) {
        CancelPendingOrders();
        return;
    }
  
    var cancelType = null;
    
    if (LastBuyPrice > 0 && (ticker.Buy - LastBuyPrice) > SlidePrice) {
        cancelType = ORDER_TYPE_BUY;
    }
    
    if (LastSellPrice > 0 && (LastSellPrice - ticker.Sell) > SlidePrice) {
        if (cancelType == null) {
            cancelType = ORDER_TYPE_SELL;
        } else {
            cancelType = -1;
        }
    }
    
    if (cancelType == -1) {
        CancelPendingOrders();
    } else if (cancelType != null) {
        CancelPendingOrders(cancelType);
    }

    var orders = _C(exchange.GetOrders);
    if (orders.length == 2) {
        return;
    }
    var account = _C(exchange.GetAccount);
    var amountBuy = _N(Math.min(account.Balance / BuyPrice, Lot));
    var amountSell = Math.min(account.Stocks, Lot);

    if (amountBuy >= MinStock) {
        if (orders.length == 0 || orders[0].Type == ORDER_TYPE_SELL) {
            if (orders.length > 0) {
                updateProfit(InitAccount, account, ticker);
            }
            exchange.Buy(BuyPrice, amountBuy);
            LastBuyPrice = BuyPrice;
        }
    }
    if (amountSell >= MinStock) {
        if (orders.length == 0 || orders[0].Type == ORDER_TYPE_BUY) {
            if (orders.length > 0) {
                updateProfit(InitAccount, account, ticker);
            }
            exchange.Sell(SellPrice, amountSell);
            LastSellPrice = SellPrice;
        }
    }
}

function onexit() {
    CancelPendingOrders();
}

function main() {
    InitAccount = _C(exchange.GetAccount);
    Log(InitAccount);
    SetErrorFilter("502:|503:|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|received|EOF");
    exchange.SetRate(1);
    LoopInterval = Math.max(LoopInterval, 1);
    Lot = Math.max(MinStock, Lot);
    while (true) {
        onTick();
        Sleep(LoopInterval * 1000);
    }
}

Detail

https://www.fmz.com/strategy/304

Last Modified

2018-03-27 16:28:46