全球10大交易系统之 Aberration 多品种商品期货交易系统
Author: 扫地僧, Date: 2016-11-27 01:59:40Tags: 趋势商品期货多品种
全球10大交易系统之一, 是做为商品期货多品种操作策略入门的不二之选
- 策略框架逻辑清晰, 可复用性强
- 可通过交互功能实盘运行时实时调试
- 运行稳定, 细节处理完善
- 支持多品种同时操作, 可分别控制开仓量
- 重启时可自动根据仓位恢复进度
- 有风控模块, 可实时显示风险, 止损
- 下单微信通知
- 不想租服务器的可以用自己的电脑或者树莓派运行 Windows, Linux, Mac系统都可以, 路由器刷完机也可以.
是的, 免费开源给BotVS用户, 完整的策略像一个完整的人生, 每个环节都不可少
/*backtest
start: 2016-01-15 09:00:00
end: 2017-01-01 15:00:00
period: 1d
*/
function Aberration(q, e, symbol, period, upRatio, downRatio, opAmount) {
var self = {}
self.q = q
self.e = e
self.symbol = symbol
self.upTrack = 0
self.middleTrack = 0
self.downTrack = 0
self.nPeriod = period
self.upRatio = upRatio
self.downRatio = downRatio
self.opAmount = opAmount
self.marketPosition = 0
self.lastErrMsg = ''
self.lastErrTime = ''
self.lastBar = {
Time: 0,
Open: 0,
High: 0,
Low: 0,
Close: 0,
Volume: 0
}
self.symbolDetail = null
self.lastBarTime = 0
self.tradeCount = 0
self.isBusy = false
self.setLastError = function(errMsg) {
self.lastErrMsg = errMsg
self.lastErrTime = errMsg.length > 0 ? _D() : ''
}
self.getStatus = function() {
return [self.symbol, self.opAmount, self.upTrack, self.downTrack, self.middleTrack, _N(self.lastBar.Close), (self.marketPosition == 0 ? "--" : (self.marketPosition > 0 ? "多#ff0000" : "空#0000ff")), self.tradeCount, self.lastErrMsg, self.lastErrTime]
}
self.getMarket = function() {
return [self.symbol, _D(self.lastBarTime), _N(self.lastBar.Open), _N(self.lastBar.High), _N(self.lastBar.Low), _N(self.lastBar.Close), self.lastBar.Volume]
}
self.restore = function(positions) {
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType == self.symbol) {
self.marketPosition += positions[i].Amount * ((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) ? 1 : -1)
}
}
if (self.marketPosition !== 0) {
self.tradeCount++
Log("恢复", self.symbol, "当前持仓为", self.marketPosition)
}
}
self.poll = function() {
if (self.isBusy) {
return false
}
if (!$.IsTrading(self.symbol)) {
self.setLastError("不在交易时间内")
return false
}
if (!self.e.IO("status")) {
self.setLastError("未连接交易所")
return false
}
var detail = self.e.SetContractType(self.symbol)
if (!detail) {
self.setLastError("切换合约失败")
return false
}
if (!self.symbolDetail) {
self.symbolDetail = detail
Log("合约", detail.InstrumentName.replace(/\s+/g, ""), ", 策略一次开仓:", self.opAmount, "手, 一手", detail.VolumeMultiple, "份, 最大下单量", detail.MaxLimitOrderVolume, "保证金率:", detail.LongMarginRatio.toFixed(4), detail.ShortMarginRatio.toFixed(4), "交割日期", detail.StartDelivDate);
}
var records = self.e.GetRecords()
if (!records || records.length == 0) {
self.setLastError("获取柱线失败")
return false
}
var bar = records[records.length - 1]
self.lastBar = bar
if (records.length <= self.nPeriod) {
self.setLastError("柱线长度不够")
return false
}
if (self.lastBarTime < bar.Time) {
var sum = 0
var pos = records.length - self.nPeriod - 1
for (var i = pos; i < records.length - 1; i++) {
sum += records[i].Close
}
var avg = sum / self.nPeriod
var std = 0
for (i = pos; i < records.length - 1; i++) {
std += Math.pow(records[i].Close - avg, 2)
}
std = Math.sqrt(std / self.nPeriod)
self.upTrack = _N(avg + (self.upRatio * std))
self.downTrack = _N(avg - (self.downRatio * std))
self.middleTrack = _N(avg)
self.lastBarTime = bar.Time
}
var msg
var act = ""
if (self.marketPosition == 0) {
if (bar.Close > self.upTrack) {
msg = '做多 触发价: ' + bar.Close + ' 上轨:' + self.upTrack;
act = "buy"
} else if (bar.Close < self.downTrack) {
msg = '做空 触发价: ' + bar.Close + ' 下轨:' + self.downTrack;
act = "sell"
}
} else {
if (self.marketPosition < 0 && bar.Close > self.middleTrack) {
msg = '平空 触发价: ' + bar.Close + ' 平仓线:' + self.middleTrack;
act = "closesell"
} else if (self.marketPosition > 0 && bar.Close < self.middleTrack) {
msg = '平多 触发价: ' + bar.Close + ' 平仓线:' + self.middleTrack;
act = "closebuy"
}
}
if (act == "") {
return true
}
Log(self.symbol + ', ' + msg + (NotifyWX ? '@' : ''))
self.isBusy = true
self.tradeCount += 1
if (self.lastErrMsg != '') {
self.setLastError('')
}
self.q.pushTask(self.e, self.symbol, act, self.opAmount, function(task, ret) {
self.isBusy = false
if (!ret) {
return
}
if (task.action == "buy") {
self.marketPosition = 1
} else if (task.action == "sell") {
self.marketPosition = -1
} else {
self.marketPosition = 0
}
})
}
return self
}
function main() {
if (exchange.GetName() !== 'Futures_CTP') {
throw "只支持传统商品期货(CTP)"
}
SetErrorFilter("login|ready|初始化")
LogStatus("Ready...")
if (Reset) {
LogProfitReset()
LogReset()
}
// Ref: https://www.botvs.com/bbs-topic/362
if (typeof(exchange.IO("mode", 0)) == 'number') {
Log("切换行情模式成功")
}
LogStatus("等待与期货商服务器连接..")
while (!exchange.IO("status")) {
Sleep(500)
}
LogStatus("获取资产信息")
var tblRuntime = {
type: 'table',
title: '交易信息',
cols: ['品种', '每次开仓量', '上轨', '下轨', '中轨', '最后成交价', '仓位', '交易次数', '最后错误', '错误时间'],
rows: []
};
var tblMarket = {
type: 'table',
title: '行情信息',
cols: ['品种', '当前周期', '开盘', '最高', '最低', '最后成交价', '成交量'],
rows: []
};
var tblPosition = {
type: 'table',
title: '持仓信息',
cols: ['品种', '杠杆', '方向', '均价', '数量', '持仓盈亏'],
rows: []
};
var positions = _C(exchange.GetPosition)
if (positions.length > 0 && !AutoRestore) {
throw "程序启动时不能有持仓, 但您可以勾选自动恢复来进行自动识别 !"
}
var initAccount = _C(exchange.GetAccount)
var detail = JSON.parse(exchange.GetRawJSON())
if (positions.length > 0) {
initAccount.Balance += detail['CurrMargin']
}
var initNetAsset = detail['CurrMargin'] + detail['Available']
var initAccountTbl = $.AccountToTable(exchange.GetRawJSON(), "初始资金")
if (initAccountTbl.rows.length == 0) {
initAccountTbl.rows = [
['Balance', '可用保证金', initAccount.Balance],
['FrozenBalance', '冻结资金', initAccount.FrozenBalance]
]
}
var nowAcccount = initAccount
var nowAcccountTbl = initAccountTbl
var symbols = Symbols.replace(/\s+/g, "").split(',')
var pollers = []
var prePosUpdate = 0
var suffix = ""
var needUpdate = false
var holdProfit = 0
function updateAccount(acc) {
nowAcccount = acc
nowAcccountTbl = $.AccountToTable(exchange.GetRawJSON(), "当前资金")
if (nowAcccountTbl.rows.length == 0) {
nowAcccountTbl.rows = [
['Balance', '可用保证金', nowAcccount.Balance],
['FrozenBalance', '冻结资金', nowAcccount.FrozenBalance]
]
}
}
var q = $.NewTaskQueue(function(task, ret) {
needUpdate = true
Log(task.desc, ret ? "成功" : "失败")
var account = task.e.GetAccount()
if (account) {
updateAccount(account)
}
})
_.each(symbols, function(symbol) {
var pair = symbol.split(':')
pollers.push(Aberration(q, exchange, pair[0], NPeriod, Ks, Kx, (pair.length == 1 ? AmountOP : parseInt(pair[1]))))
})
if (positions.length > 0 && AutoRestore) {
_.each(pollers, function(poll) {
poll.restore(positions)
})
}
var isFirst = true
while (true) {
var cmd = GetCommand()
if (cmd) {
var js = cmd.split(':', 2)[1]
Log("执行调试代码:", js)
try {
eval(js)
} catch (e) {
Log("Exception", e)
}
}
tblRuntime.rows = []
tblMarket.rows = []
var marketAlive = false
_.each(pollers, function(poll) {
if (poll.poll()) {
marketAlive = true
}
tblRuntime.rows.push(poll.getStatus())
tblMarket.rows.push(poll.getMarket())
})
q.poll()
Sleep(LoopInterval * 1000)
if ((!exchange.IO("status")) || (!marketAlive)) {
if (isFirst) {
LogStatus("正在等待开盘...", _D())
}
continue
}
isFirst = false
var now = new Date().getTime()
if (marketAlive && (now - prePosUpdate > 30000 || needUpdate)) {
var pos = exchange.GetPosition()
if (pos) {
holdProfit = 0
prePosUpdate = now
tblPosition.rows = []
for (var i = 0; i < pos.length; i++) {
tblPosition.rows.push([pos[i].ContractType, pos[i].MarginLevel, ((pos[i].Type == PD_LONG || pos[i].Type == PD_LONG_YD) ? '多#ff0000' : '空#0000ff'), pos[i].Price, pos[i].Amount, _N(pos[i].Profit)])
holdProfit += pos[i].Profit
}
if (pos.length == 0 && needUpdate) {
LogProfit(_N(nowAcccount.Balance - initAccount.Balance, 4), nowAcccount)
}
}
needUpdate = false
if (RCMode) {
var account = exchange.GetAccount()
if (account) {
updateAccount(account)
var detail = JSON.parse(exchange.GetRawJSON())
var netAsset = detail['PositionProfit'] + detail['CurrMargin'] + detail['Available']
var risk = detail['CurrMargin'] / (detail['CurrMargin'] + detail['Available'] + detail['PositionProfit'])
suffix = ", 账户初始净值约: " + _N(initNetAsset, 2) + " , 风控最小净值要求" + MinNetAsset + " , 当前账户净值约: " + _N(netAsset, 2) + ", 盈亏约: " + _N(netAsset - initNetAsset, 3) + " 元, 风险: " + ((risk * 100).toFixed(3)) + "% #ff0000"
if (netAsset < MinNetAsset) {
Log("风控模块触发, 中止运行并平掉所有仓位, 当前净值约 ", netAsset, ", 要求低于最小净值:", MinNetAsset)
if (RCCoverAll) {
Log("开始平掉所有仓位")
$.NewPositionManager().CoverAll()
}
throw "中止运行"
}
}
}
}
LogStatus('`' + JSON.stringify([tblRuntime, tblPosition, tblMarket, initAccountTbl, nowAcccountTbl]) + '`\n价格最后更新: ' + _D() + ', 持仓最后更新: ' + _D(prePosUpdate) + '\n当前持仓总盈亏: ' + _N(holdProfit, 3) + suffix)
}
}
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