扫地僧
商品期货交易类库
CTA库 * 实盘会自动把指数映射到主力连续 * 会自动处理移仓 * 回测可以指定映射比如 rb000/rb888 就是把rb指数交易映射到主力连续 * 也可以映射到别的合约, 比如rb000/MA888 就是看rb指数的K线来交易MA主力连续
function main() {
$.CTA("rb000,MA000", function(r) {
if (r.records.length < 20) {
return
}
var emaSlow = TA.EMA(r.records, 20)
var emaFast = TA.EMA(r.records, 5)
var cross = $.Cross(emaFast, emaSlow);
if (r.position.amount <= 0 && cross > 2) {
Log("金叉周期", cross, "当前持仓", r.position);
return 1
} else if (r.position.amount >= 0 && cross < -2) {
Log("死叉周期", cross, "当前持仓", r.position);
return -1
}
});
}
类库调用举例
function main() { var p = $.NewPositionManager(); p.OpenShort("MA609", 1); p.OpenShort("MA701", 1); Log(p.GetPosition("MA609", PD_SHORT)); Log(p.GetAccount()); Log(p.Account()); Sleep(60000 * 10); p.CoverAll("MA609"); LogProfit(p.Profit()); Log($.IsTrading("MA609")); // 多品种时使用交易队列来完成非阻塞的交易任务 var q = $.NewTaskQueue(); q.pushTask(exchange, "MA701", "buy", 3, function(task, ret) { Log(task.desc, ret) }) while (true) { // 在空闲时调用poll来完成未完成的任务 q.poll() Sleep(1000) } }
策略源码
/*backtest
start: 2018-01-15 09:00:00
end: 2018-01-30 00:00:00
period: 1d
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*/
/*blockly
{
"type": "ext_CTP_Trade",
"message0": "%1 品种 %2 手数 %3",
"args0": [{
"type": "field_dropdown",
"options": [
["开多", "OpenLong"],
["开空", "OpenShort"],
["平仓", "Cover"]
]
}, {
"type": "input_value",
"check": "String",
"default": "MA888"
}, {
"type": "input_value",
"check": "Number",
"default": 1
}],
"template": "$.Util.%1(%2, %3);",
"previousStatement": null,
"nextStatement": null
}, {
"type": "ext_CTP_CoverAll",
"message0": "平掉所有仓位",
"template": "$.Util.CoverAll();",
"previousStatement": null,
"nextStatement": null
}
*/
var __orderCount = 0
var __orderDay = 0
function CanTrade(tradeAmount) {
if (!RiskControl) {
return true
}
if (typeof(tradeAmount) == 'number' && tradeAmount > MaxTradeAmount) {
Log("风控模块限制, 超过最大下单量", MaxTradeAmount, "#ff0000 @");
throw "中断执行"
return false;
}
var nowDay = new Date().getDate();
if (nowDay != __orderDay) {
__orderDay = nowDay;
__orderCount = 0;
}
__orderCount++;
if (__orderCount > MaxTrade) {
Log("风控模块限制, 不可交易, 超过最大下单次数", MaxTrade, "#ff0000 @");
throw "中断执行"
return false;
}
return true;
}
function init() {
if (typeof(SlideTick) === 'undefined') {
SlideTick = 1;
} else {
SlideTick = parseInt(SlideTick);
}
Log("商品交易类库加载成功");
}
function GetPosition(e, contractType, direction, positions) {
var allCost = 0;
var allAmount = 0;
var allProfit = 0;
var allFrozen = 0;
var posMargin = 0;
if (typeof(positions) === 'undefined' || !positions) {
positions = _C(e.GetPosition);
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue;
}
if (typeof(direction) === 'undefined') {
direction = (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) ? PD_LONG : PD_SHORT;
}
if (((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) && direction == PD_LONG) ||
((positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) && direction == PD_SHORT)) {
posMargin = positions[i].MarginLevel;
allCost += (positions[i].Price * positions[i].Amount);
allAmount += positions[i].Amount;
allProfit += positions[i].Profit;
allFrozen += positions[i].FrozenAmount;
}
}
if (allAmount === 0) {
return null;
}
return {
MarginLevel: posMargin,
FrozenAmount: allFrozen,
Price: _N(allCost / allAmount),
Amount: allAmount,
Profit: allProfit,
Type: direction,
ContractType: contractType
};
}
function Open(e, contractType, direction, opAmount) {
while (!$.IsTrading(contractType)) {
Sleep(1000)
}
var initPosition = GetPosition(e, contractType, direction);
var isFirst = true;
var initAmount = initPosition ? initPosition.Amount : 0;
var positionNow = initPosition;
while (true) {
var needOpen = opAmount;
if (isFirst) {
isFirst = false;
} else {
positionNow = GetPosition(e, contractType, direction);
if (positionNow) {
needOpen = opAmount - (positionNow.Amount - initAmount);
}
}
var insDetail = _C(e.SetContractType, contractType);
if (typeof(insDetail.MaxLimitOrderVolume) != 'number' || insDetail.MaxLimitOrderVolume == 0) {
insDetail.MaxLimitOrderVolume = 50
insDetail.MinLimitOrderVolume = 1
}
//Log("初始持仓", initAmount, "当前持仓", positionNow, "需要加仓", needOpen);
if (needOpen < insDetail.MinLimitOrderVolume) {
break;
}
if (!CanTrade(opAmount)) {
break;
}
var depth = _C(e.GetDepth);
var amount = Math.min(insDetail.MaxLimitOrderVolume, needOpen);
e.SetDirection(direction == PD_LONG ? "buy" : "sell");
var orderId;
if (direction == PD_LONG) {
orderId = e.Buy(depth.Asks[0].Price + (insDetail.PriceTick * SlideTick), Math.min(amount, depth.Asks[0].Amount), contractType, 'Ask', depth.Asks[0]);
} else {
orderId = e.Sell(depth.Bids[0].Price - (insDetail.PriceTick * SlideTick), Math.min(amount, depth.Bids[0].Amount), contractType, 'Bid', depth.Bids[0]);
}
// CancelPendingOrders
while (true) {
Sleep(Interval);
var orders = _C(e.GetOrders);
if (orders.length === 0) {
break;
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id);
if (j < (orders.length - 1)) {
Sleep(Interval);
}
}
}
}
var ret = {
price: 0,
amount: 0,
position: positionNow
};
if (!positionNow) {
return ret;
}
if (!initPosition) {
ret.price = positionNow.Price;
ret.amount = positionNow.Amount;
} else {
ret.amount = positionNow.Amount - initPosition.Amount;
ret.price = _N(((positionNow.Price * positionNow.Amount) - (initPosition.Price * initPosition.Amount)) / ret.amount);
}
return ret;
}
function Cover(e, contractType, lots) {
while (!$.IsTrading(contractType)) {
Sleep(1000)
}
var insDetail = _C(e.SetContractType, contractType);
if (typeof(insDetail.MaxLimitOrderVolume) != 'number' || insDetail.MaxLimitOrderVolume == 0) {
insDetail.MaxLimitOrderVolume = 50
insDetail.MinLimitOrderVolume = 1
}
var initAmount = 0;
var firstLoop = true;
while (true) {
var n = 0;
var total = 0;
var positions = _C(e.GetPosition);
var nowAmount = 0;
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue;
}
nowAmount += positions[i].Amount;
}
if (firstLoop) {
initAmount = nowAmount;
firstLoop = false;
}
var amountChange = initAmount - nowAmount;
if (typeof(lots) == 'number' && amountChange >= lots) {
break;
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue;
}
var amount = Math.min(insDetail.MaxLimitOrderVolume, positions[i].Amount);
var depth;
var opAmount = 0;
var opPrice = 0;
if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) {
depth = _C(e.GetDepth);
opAmount = Math.min(amount, depth.Bids[0].Amount);
opPrice = depth.Bids[0].Price - (insDetail.PriceTick * SlideTick);
} else if (positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) {
depth = _C(e.GetDepth);
opAmount = Math.min(amount, depth.Asks[0].Amount);
opPrice = depth.Asks[0].Price + (insDetail.PriceTick * SlideTick);
}
if (typeof(lots) === 'number') {
opAmount = Math.min(opAmount, lots - (initAmount - nowAmount));
}
if (opAmount > 0) {
if (!CanTrade(opAmount)) {
return;
}
if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) {
e.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy");
e.Sell(opPrice, opAmount, contractType, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]);
} else {
e.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell");
e.Buy(opPrice, opAmount, contractType, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]);
}
n++
}
// break to check always
if (typeof(lots) === 'number') {
break;
}
}
if (n === 0) {
break;
}
while (true) {
Sleep(Interval);
var orders = _C(e.GetOrders);
if (orders.length === 0) {
break;
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id);
if (j < (orders.length - 1)) {
Sleep(Interval);
}
}
}
}
}
var trans = {
"AccountID": "投资者帐号",
"Available": "可用资金",
"Balance": "期货结算准备金",
"BrokerID": "经纪公司代码",
"CashIn": "资金差额",
"CloseProfit": "平仓盈亏",
"Commission": "手续费",
"Credit": "信用额度",
"CurrMargin": "当前保证金总额",
"CurrencyID": "币种代码",
"DeliveryMargin": "投资者交割保证金",
"Deposit": "入金金额",
"ExchangeDeliveryMargin": "交易所交割保证金",
"ExchangeMargin": "交易所保证金",
"FrozenCash": "冻结的资金",
"FrozenCommission": "冻结的手续费",
"FrozenMargin": "冻结的保证金",
"FundMortgageAvailable": "货币质押余额",
"FundMortgageIn": "货币质入金额",
"FundMortgageOut": "货币质出金额",
"Interest": "利息收入",
"InterestBase": "利息基数",
"Mortgage": "质押金额",
"MortgageableFund": "可质押货币金额",
"PositionProfit": "持仓盈亏",
"PreBalance": "上次结算准备金",
"PreCredit": "上次信用额度",
"PreDeposit": "上次存款额",
"PreFundMortgageIn": "上次货币质入金额",
"PreFundMortgageOut": "上次货币质出金额",
"PreMargin": "上次占用的保证金",
"PreMortgage": "上次质押金额",
"Reserve": "基本准备金",
"ReserveBalance": "保底期货结算准备金",
"SettlementID": "结算编号",
"SpecProductCloseProfit": "特殊产品持仓盈亏",
"SpecProductCommission": "特殊产品手续费",
"SpecProductExchangeMargin": "特殊产品交易所保证金",
"SpecProductFrozenCommission": "特殊产品冻结手续费",
"SpecProductFrozenMargin": "特殊产品冻结保证金",
"SpecProductMargin": "特殊产品占用保证金",
"SpecProductPositionProfit": "特殊产品持仓盈亏",
"SpecProductPositionProfitByAlg": "根据持仓盈亏算法计算的特殊产品持仓盈亏",
"TradingDay": "交易日",
"Withdraw": "出金金额",
"WithdrawQuota": "可取资金",
};
function AccountToTable(data, title) {
if (typeof(title) === 'undefined') {
title = '账户信息';
}
var tbl = {
type: "table",
title: title,
cols: ["字段", "描述", "值"],
rows: []
};
try {
var fields = null;
if (typeof(data) === 'string') {
fields = JSON.parse(data);
} else {
fields = data;
}
for (var k in fields) {
if (k == 'AccountID' || k == 'BrokerID') {
continue
}
var desc = trans[k];
var v = fields[k];
if (typeof(v) === 'number') {
v = _N(v, 5);
}
tbl.rows.push([k, typeof(desc) === 'undefined' ? '--' : desc, v]);
}
} catch (e) {}
return tbl;
}
var PositionManager = (function() {
function PositionManager(e) {
if (typeof(e) === 'undefined') {
e = exchange;
}
if (e.GetName() !== 'Futures_CTP') {
throw 'Only support CTP';
}
this.e = e;
this.account = null;
}
// Get Cache
PositionManager.prototype.Account = function() {
if (!this.account) {
this.account = _C(this.e.GetAccount);
}
return this.account;
};
PositionManager.prototype.GetAccount = function(getTable) {
this.account = _C(this.e.GetAccount);
if (typeof(getTable) !== 'undefined' && getTable) {
return AccountToTable(this.account.Info)
}
return this.account;
};
PositionManager.prototype.GetPosition = function(contractType, direction, positions) {
return GetPosition(this.e, contractType, direction, positions);
};
PositionManager.prototype.OpenLong = function(contractType, shares) {
if (!this.account) {
this.account = _C(this.e.GetAccount);
}
return Open(this.e, contractType, PD_LONG, shares);
};
PositionManager.prototype.OpenShort = function(contractType, shares) {
if (!this.account) {
this.account = _C(this.e.GetAccount);
}
return Open(this.e, contractType, PD_SHORT, shares);
};
PositionManager.prototype.Cover = function(contractType, lots) {
if (!this.account) {
this.account = _C(this.e.GetAccount);
}
return Cover(this.e, contractType, lots);
};
PositionManager.prototype.CoverAll = function() {
if (!this.account) {
this.account = _C(this.e.GetAccount);
}
while (true) {
var positions = _C(this.e.GetPosition)
if (positions.length == 0) {
break
}
for (var i = 0; i < positions.length; i++) {
// Cover Hedge Position First
if (positions[i].ContractType.indexOf('&') != -1) {
Log("开始平掉", positions[i]);
Cover(this.e, positions[i].ContractType)
Sleep(Interval)
}
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType.indexOf('&') == -1) {
Log("开始平掉", positions[i]);
Cover(this.e, positions[i].ContractType)
Sleep(Interval)
}
}
}
};
PositionManager.prototype.Profit = function(contractType) {
var accountNow = _C(this.e.GetAccount);
return _N(accountNow.Balance - this.account.Balance);
};
return PositionManager;
})();
$.NewPositionManager = function(e) {
return new PositionManager(e);
};
function ins2product(symbol) {
if (symbol.length > 6 && symbol.indexOf(' ') == -1) {
return symbol;
}
symbol = symbol.replace('SPD ', '').replace('SP ', '');
var shortName = "";
for (var i = 0; i < symbol.length; i++) {
var ch = symbol.charCodeAt(i);
if (ch >= 48 && ch <= 57) {
break;
}
shortName += symbol[i];
}
return shortName
}
// Via: http://mt.sohu.com/20160429/n446860150.shtml
$.IsTrading = function(symbol) {
var now = new Date();
var day = now.getDay();
var hour = now.getHours();
var minute = now.getMinutes();
if (day === 0 || (day === 6 && (hour > 2 || hour == 2 && minute > 30))) {
return false;
}
var shortName = ins2product(symbol);
var p = null;
var period = [
[9, 0, 10, 15],
[10, 30, 11, 30],
[13, 30, 15, 0]
];
if (shortName === "IH" || shortName === "IF" || shortName === "IC") {
period = [
[9, 30, 11, 30],
[13, 0, 15, 0]
];
} else if (shortName === "TF" || shortName === "T" || shortName == "TS") {
period = [
[9, 30, 11, 30],
[13, 0, 15, 15]
];
}
if (day >= 1 && day <= 5) {
for (i = 0; i < period.length; i++) {
p = period[i];
if ((hour > p[0] || (hour == p[0] && minute >= p[1])) && (hour < p[2] || (hour == p[2] && minute < p[3]))) {
return true;
}
}
}
var nperiod = [
[
['sc', 'ag', 'au'],
[21, 0, 2, 30]
],
[
['nr', 'bu', 'hc', 'rb', 'ru', 'sp', 'fu', 'ZC', 'CF', 'CY', 'FG', 'MA', 'PF', 'OI', 'RM', 'SR',
'TA', 'SA', 'a', 'b', 'c', 'cs', 'i', 'j', 'jm', 'l', 'm', 'p', 'pp', 'v', 'y', 'eg', 'rr', 'eb', 'pg', 'lu',
'PX', 'br', 'PR', 'SH'
],
[21, 0, 23, 0]
],
[
['al', 'cu', 'ni', 'pb', 'sn', 'zn', 'ss', 'bc', 'ao'],
[21, 0, 1, 0]
]
];
for (var i = 0; i < nperiod.length; i++) {
for (var j = 0; j < nperiod[i][0].length; j++) {
if (nperiod[i][0][j] === shortName) {
p = nperiod[i][1];
var condA = hour > p[0] || (hour == p[0] && minute >= p[1]);
var condB = hour < p[2] || (hour == p[2] && minute < p[3]);
// in one day
if (p[2] >= p[0]) {
if ((day >= 1 && day <= 5) && condA && condB) {
return true;
}
} else {
if (((day >= 1 && day <= 5) && condA) || ((day >= 2 && day <= 6) && condB)) {
return true;
}
}
return false;
}
}
}
return false;
};
$.NewTaskQueue = function(onTaskFinish) {
var self = {}
self.ERR_SUCCESS = 0
self.ERR_SET_SYMBOL = 1
self.ERR_GET_RECORDS = 2
self.ERR_GET_ORDERS = 3
self.ERR_GET_POS = 4
self.ERR_TRADE = 5
self.ERR_GET_DEPTH = 6
self.ERR_NOT_TRADING = 7
self.ERR_BUSY = 8
self.onTaskFinish = typeof(onTaskFinish) === 'undefined' ? null : onTaskFinish
self.retryInterval = 300
self.tasks = []
self.ctx = {};
self.GetAccount = function(e, getTable) {
self.account = _C(e.GetAccount);
if (typeof(getTable) !== 'undefined' && getTable) {
return AccountToTable(self.account.Info);
}
return self.account;
};
self.Account = function(e) {
if (!self.account) {
self.account = _C(e.GetAccount);
}
return self.account;
};
self.GetPosition = function(e, contractType, direction, positions) {
return GetPosition(e, contractType, direction, positions);
};
self.pushTask = function(e, symbol, action, amount, arg, onFinish) {
var task = {
e: e,
action: action,
symbol: symbol,
group: _.findIndex(exchanges, e) + "/" + symbol,
amount: amount,
init: false,
finished: false,
dealAmount: 0,
preAmount: 0,
preCost: 0,
retry: 0,
maxRetry: 10,
arg: typeof(onFinish) !== 'undefined' ? arg : undefined,
onFinish: typeof(onFinish) == 'undefined' ? arg : onFinish
}
switch (task.action) {
case "buy":
task.desc = task.symbol + " 开多仓, 数量 " + task.amount
break
case "sell":
task.desc = task.symbol + " 开空仓, 数量 " + task.amount
break
case "closebuy":
task.desc = task.symbol + " 平多仓, 数量 " + task.amount
break
case "closesell":
task.desc = task.symbol + " 平空仓, 数量 " + task.amount
break
case "coverall":
task.desc = task.symbol + " 全平"
break
default:
task.desc = task.symbol + " " + task.action + ", 数量 " + task.amount
}
self.tasks.push(task)
Log("接收到任务", task.desc)
}
self.cancelAll = function(e) {
while (true) {
var orders = e.GetOrders();
if (!orders) {
return self.ERR_GET_ORDERS;
}
if (orders.length == 0) {
break;
}
for (var i = 0; i < orders.length; i++) {
e.CancelOrder(orders[i].Id);
Sleep(self.retryInterval);
}
}
return self.ERR_SUCCESS
}
self.pollTask = function(task) {
var insDetail = task.e.SetContractType(task.symbol);
if (!insDetail) {
return self.ERR_SET_SYMBOL;
}
if (typeof(insDetail.MaxLimitOrderVolume) != 'number' || insDetail.MaxLimitOrderVolume == 0) {
insDetail.MaxLimitOrderVolume = 50
insDetail.MinLimitOrderVolume = 1
}
var ret = null;
var isCover = task.action != "buy" && task.action != "sell";
do {
if (!$.IsTrading(task.symbol)) {
return self.ERR_NOT_TRADING;
}
if (self.cancelAll(task.e) != self.ERR_SUCCESS) {
return self.ERR_TRADE;
}
var positions = task.e.GetPosition();
// Error
if (!positions) {
return self.ERR_GET_POS;
}
// search position
var pos = null;
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != task.symbol) {
continue;
}
if (task.action == 'coverall') {
if (task.amount < positions[i].Amount) {
task.amount = positions[i].Amount;
//Log(task.symbol, "找到仓位", positions[i]);
}
pos = positions[i];
pos.Cost += positions[i].Price * positions[i].Amount;
} else if ((((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) && (task.action == "buy" || task.action == "closebuy")) || ((positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) && (task.action == "sell" || task.action == "closesell")))) {
if (!pos) {
pos = positions[i];
pos.Cost = positions[i].Price * positions[i].Amount;
} else {
pos.Amount += positions[i].Amount;
pos.Profit += positions[i].Profit;
pos.Cost += positions[i].Price * positions[i].Amount;
}
}
}
if (!CanTrade(task.amount)) {
ret = null
break
}
// record pre position
if (!task.init) {
task.init = true;
if (pos) {
task.preAmount = pos.Amount;
task.preCost = pos.Cost;
} else {
task.preAmount = 0;
task.preCost = 0;
if (isCover) {
Log("找不到仓位", task.symbol, task.action);
ret = null;
break;
}
}
}
var remain = task.amount;
if (isCover && !pos) {
pos = {
Amount: 0,
Cost: 0,
Price: 0
}
}
if (pos) {
task.dealAmount = pos.Amount - task.preAmount;
if (isCover) {
task.dealAmount = -task.dealAmount;
}
remain = parseInt(task.amount - task.dealAmount);
if (remain <= 0 || task.retry >= task.maxRetry) {
ret = {
price: task.dealAmount == 0 ? 0 : ((pos.Cost - task.preCost) / (pos.Amount - task.preAmount)),
amount: (pos.Amount - task.preAmount),
position: pos
};
if (isCover) {
ret.amount = -ret.amount;
if (pos.Amount == 0) {
ret.position = null;
}
}
break;
}
} else if (task.retry >= task.maxRetry) {
ret = null;
break;
}
var depth = task.e.GetDepth();
if (!depth) {
return self.ERR_GET_DEPTH;
}
var orderId = null;
var slidePrice = insDetail.PriceTick * SlideTick;
if (isCover) {
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType !== task.symbol) {
continue;
}
if (parseInt(remain) < 1) {
break
}
var amount = Math.min(insDetail.MaxLimitOrderVolume, positions[i].Amount, remain);
if ((task.action == "closebuy" || task.action == "coverall") && (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD)) {
task.e.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy");
amount = Math.min(amount, depth.Bids[0].Amount)
orderId = task.e.Sell(_N(depth.Bids[0].Price - slidePrice, 2), amount, task.symbol, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]);
remain -= amount;
} else if ((task.action == "closesell" || task.action == 'coverall') && (positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD)) {
task.e.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell");
amount = Math.min(amount, depth.Asks[0].Amount)
orderId = task.e.Buy(_N(depth.Asks[0].Price + slidePrice, 2), amount, task.symbol, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]);
remain -= amount;
}
}
} else {
if (task.action == "buy") {
task.e.SetDirection("buy");
orderId = task.e.Buy(_N(depth.Asks[0].Price + slidePrice, 2), Math.min(remain, depth.Asks[0].Amount), task.symbol, 'Ask', depth.Asks[0]);
} else {
task.e.SetDirection("sell");
orderId = task.e.Sell(_N(depth.Bids[0].Price - slidePrice, 2), Math.min(remain, depth.Bids[0].Amount), task.symbol, 'Bid', depth.Bids[0]);
}
}
// symbol not in trading or other else happend
if (!orderId) {
task.retry++;
return self.ERR_TRADE;
}
} while (true);
task.finished = true
if (self.onTaskFinish) {
self.onTaskFinish(task, ret)
}
if (task.onFinish) {
task.onFinish(task, ret);
}
return self.ERR_SUCCESS;
}
self.poll = function() {
var processed = 0
if (self.tasks.length > 0) {
var filt = {};
_.each(self.tasks, function(task) {
if (!task.finished && typeof(filt[task.group]) === 'undefined') {
processed++
self.pollTask(task)
if (!task.finished) {
filt[task.group] = true
}
}
})
if (processed == 0) {
self.tasks = []
}
}
return processed
}
self.hasTask = function(symbol) {
if (typeof(symbol) !== 'string') {
return self.tasks.length > 0
}
for (var i = 0; i < self.tasks.length; i++) {
if (self.tasks[i].symbol == symbol && !self.tasks[i].finished) {
return true
}
}
return false
}
self.size = function() {
return self.tasks.length
}
return self
}
$.AccountToTable = AccountToTable;
// 返回上穿的周期数. 正数为上穿周数, 负数表示下穿的周数, 0指当前价格一样
$.Cross = function(arr1, arr2) {
if (arr1.length !== arr2.length) {
throw "array length not equal";
}
var n = 0;
for (var i = arr1.length - 1; i >= 0; i--) {
if (typeof(arr1[i]) !== 'number' || typeof(arr2[i]) !== 'number') {
break;
}
if (arr1[i] < arr2[i]) {
if (n > 0) {
break;
}
n--;
} else if (arr1[i] > arr2[i]) {
if (n < 0) {
break;
}
n++;
} else {
break;
}
}
return n;
};
/*
onTick(r, mp, symbol):
r为K线, mp为当前品种持仓数量, 正数指多仓, 负数指空仓, 0则不持仓, symbol指品种名称
返回值如为n:
n = 0 : 指全部平仓(不管当前持多持空)
n > 0 : 如果当前持多仓，则加n个多仓, 如果当前为空仓则平n个空仓,如果n大于当前持仓, 则反手开多仓
n < 0 : 如果当前持空仓，则加n个空仓, 如果当前为多仓则平n个多仓,如果-n大于当前持仓, 则反手开空仓
无返回值表示什么也不做
*/
$.CTA = function(contractType, onTick, interval) {
SetErrorFilter("login|ready|初始化")
if (typeof(interval) !== 'number') {
interval = 500
}
exchange.IO("mode", 0)
var lastUpdate = 0
var e = exchange
var symbols = contractType.split(',');
var holds = {}
var tblAccount = {};
var findChartSymbol = function(ct) {
var product = ins2product(ct)
for (var i = 0; i < symbols.length; i++) {
var tmp = symbols[i].split('/')
if (ins2product(tmp[tmp.length - 1]) == product) {
return tmp[0]
}
}
return null
}
var refreshHold = function(qSize) {
if (typeof(qSize) === 'undefined') {
qSize = 0
}
while (!e.IO("status")) {
LogStatus(_D(), "Not connect")
Sleep(1000)
}
_.each(symbols, function(ins) {
var tmp = ins.split('/')
if (tmp.length == 2) {
holds[tmp[0]] = {
price: 0,
value: 0,
amount: 0,
profit: 0,
symbol: tmp[1]
}
} else {
holds[ins] = {
price: 0,
value: 0,
amount: 0,
profit: 0,
symbol: ins
}
}
});
var positions = _C(e.GetPosition);
_.each(positions, function(pos) {
var mapCT = findChartSymbol(pos.ContractType)
if (!mapCT) {
return
}
var hold = holds[mapCT]
if (typeof(hold) == 'undefined') {
return
}
if (pos.Type == PD_LONG || pos.Type == PD_LONG_YD) {
if (hold.amount < 0 && qSize == 0) {
throw "不能同时持有多仓空仓"
}
hold.amount += pos.Amount
} else {
if (hold.amount > 0 && qSize == 0) {
throw "不能同时持有多仓空仓"
}
hold.amount -= pos.Amount
}
hold.value += pos.Price * pos.Amount
hold.profit += pos.Profit
if (hold.amount != 0) {
hold.price = _N(hold.value / Math.abs(hold.amount))
}
})
var account = _C(exchange.GetAccount)
if (CTAShowPosition) {
var tblPosition = {
type: 'table',
title: '持仓状态',
cols: ['品种', '方向', '均价', '数量', '浮动盈亏'],
rows: []
};
_.each(positions, function(pos) {
tblPosition.rows.push([pos.ContractType, ((pos.Type == PD_LONG || pos.Type == PD_LONG_YD) ? '多#0000ff' : '空#ff0000'), pos.Price, pos.Amount, pos.Profit])
});
tblAccount = $.AccountToTable(exchange.GetRawJSON(), "资金信息")
LogStatus('`' + JSON.stringify([tblPosition, tblAccount]) + '`\n', '更新于: ' + _D())
}
lastUpdate = new Date().getTime()
return account
}
var account = refreshHold(0)
var q = $.NewTaskQueue(function(task, ret) {
Log("任务结束", task.desc)
account = refreshHold(q.size())
})
var mainCache = []
while (true) {
var ts = new Date().getTime()
_.each(symbols, function(ins) {
var ctChart = ins
var ctTrade = ins
var tmp = ins.split('/')
if (tmp.length == 2) {
ctChart = tmp[0]
ctTrade = tmp[1]
}
if (!e.IO("status") || !$.IsTrading(ctChart) || !$.IsTrading(ctTrade) || q.hasTask(ctTrade)) {
return
}
if (typeof(mainCache[ctTrade]) !== 'undefined' && (q.hasTask(mainCache[ctTrade][0]) || q.hasTask(mainCache[ctTrade][1]))) {
// 正在移仓
return
}
// 先获取行情
var c = e.SetContractType(ctChart)
if (!c) {
return
}
var r = e.GetRecords()
if (!r || r.length == 0) {
return
}
// 切换到需要交易的合约上来
var insDetail = e.SetContractType(ctTrade)
if (!insDetail) {
return
}
var tradeSymbol = insDetail.InstrumentID
// 处理主力合约切换, 指数合约在交易时也默认映射到主力合约上
if (ctTrade.indexOf('888') !== -1 || ctTrade.indexOf('000') !== -1) {
var preMain = ''
var isSwitch = false
var positions = null;
if (typeof(mainCache[ctTrade]) === 'undefined') {
if (!IsVirtual()) {
Log(ctTrade, "当前主力合约为:", tradeSymbol)
}
positions = e.GetPosition()
if (!positions) {
return
}
var product = ins2product(ctTrade);
_.each(positions, function(p) {
if (ins2product(p.ContractType) == product) {
mainCache[ctTrade] = [p.ContractType, p.ContractType];
}
});
}
if (typeof(mainCache[ctTrade]) !== 'undefined' && mainCache[ctTrade][0] != tradeSymbol) {
preMain = mainCache[ctTrade][0]
Log(ctTrade, "主力合约切换为:", tradeSymbol, "之前为:", preMain, "#ff0000")
// 开始切换
if (!positions) {
positions = e.GetPosition()
if (!positions) {
return
}
}
_.each(positions, function(p) {
if (p.ContractType == preMain) {
var isLong = p.Type == PD_LONG || p.Type == PD_LONG_YD
q.pushTask(e, p.ContractType, (isLong ? "closebuy" : "closesell"), p.Amount, function(task, ret) {
Log("切换合约平仓成功", task.desc, ret)
})
q.pushTask(e, tradeSymbol, (isLong ? "buy" : "sell"), p.Amount, function(task, ret) {
Log("切换合约开仓成功", task.desc, ret)
})
isSwitch = true
}
})
}
mainCache[ctTrade] = [tradeSymbol, preMain]
if (isSwitch) {
// Wait switch compeleted
Log("开始移仓", preMain, "移到", tradeSymbol)
return
}
}
var hold = holds[ctChart];
var n = onTick({
records: r,
symbol: tradeSymbol,
detail: insDetail,
account: account,
position: hold,
positions: holds
})
var callBack = null
if (typeof(n) == 'object' && typeof(n.length) == 'number' && n.length > 1) {
if (typeof(n[1]) == 'function') {
callBack = n[1]
}
n = n[0]
}
if (typeof(n) !== 'number') {
return
}
var ret = null
if (n > 0) {
if (hold.amount < 0) {
q.pushTask(e, tradeSymbol, 'closesell', Math.min(-hold.amount, n), callBack)
n += hold.amount
}
if (n > 0) {
q.pushTask(e, tradeSymbol, 'buy', n, callBack)
}
} else if (n < 0) {
if (hold.amount > 0) {
q.pushTask(e, tradeSymbol, 'closebuy', Math.min(hold.amount, -n), callBack)
n += hold.amount
}
if (n < 0) {
q.pushTask(e, tradeSymbol, 'sell', -n, callBack)
}
} else if (n == 0 && hold.amount != 0) {
q.pushTask(e, tradeSymbol, (hold.amount > 0 ? 'closebuy' : 'closesell'), Math.abs(hold.amount), callBack)
}
})
q.poll()
var now = new Date().getTime()
if ((now - lastUpdate) > (SyncInterval * 1000)) {
account = refreshHold(q.size())
}
var delay = interval - (now - ts)
if (delay > 0) {
Sleep(delay)
}
}
}
$.Util = $.NewPositionManager();
function main() {
// 手工调用例子
var p = $.NewPositionManager();
p.OpenLong("MA888", 1);
p.OpenShort("rb888", 1);
Log(p.GetPosition("MA888", PD_SHORT));
Log(p.GetPosition("rb888"));
Log(p.GetAccount());
Log(p.Account());
Sleep(60000 * 10);
p.CoverAll();
LogProfit(p.Profit());
Log($.IsTrading("MA888"));
Log("测试多任务队列");
// 多品种时使用交易队列来完成非阻塞的交易任务
var q = $.NewTaskQueue();
q.pushTask(exchange, "MA888", "buy", 3, function(task, ret) {
Log(task.desc, ret)
if (ret) {
q.pushTask(exchange, "MA888", "closebuy", 1, function(task, ret) {
Log("q", task.desc, ret)
q.pushTask(exchange, "MA888", "coverall", -1, 123, function(task, ret) {
Log("q", task.desc, ret, task.arg)
})
})
}
})
while (q.size() > 0) {
q.poll()
Sleep(1000)
}
Log("测试CTA框架");
// CTA策略框架例子 MA000/rb888 指K线信息看MA000, 下单映射到MA888主力连续上
$.CTA("MA000/MA888", function(st) {
if (st.records.length < 20) {
return
}
var emaSlow = TA.EMA(st.records, 20)
var emaFast = TA.EMA(st.records, 5)
var cross = $.Cross(emaFast, emaSlow);
LogStatus('可用保证金:', st.account.Balance)
if (st.position.amount <= 0 && cross > 2) {
Log("金叉周期", cross, "当前持仓", st.position);
return st.position.amount < 0 ? 2 : 1
} else if (st.position.amount >= 0 && cross < -2) {
Log("死叉周期", cross, "当前持仓", st.position);
return st.position.amount > 0 ? -2 : -1
}
});
}
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