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- 传统模型跨期套利策略（传统商品期货）
传统模型跨期套利策略（传统商品期货）
Author:
雨幕（youquant）, Date: 2021-08-19 14:28:43
Tags:
/*backtest
start: 2021-02-01 09:00:00
end: 2021-04-01 15:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*/
// 全局变量
var interest_rate = 1 + rate * diffMonth / 12 // 远近合约月份之间的利率系数理论值
var q = $.NewTaskQueue() // 创建商品期货交易类库模版类库中的交易对象
var p = $.NewPositionManager()
function main() {
var lastPlotTS = 0
var strState = ""
while (true) {
Sleep(interval)
LogStatus(_D(), strState)
strState = ""
if (exchange.IO("status")) {
if (!$.IsTrading(symbolNear) || !$.IsTrading(symbolFar)) {
strState += "不在交易时间|"
continue
}
// 获取近期行情数据
var infoNear = exchange.SetContractType(symbolNear)
if (!infoNear) {
strState += "订阅" + symbolNear + "合约失败|"
continue
}
var tickerNear = exchange.GetTicker()
// 获取远期行情数据
var infoFar = exchange.SetContractType(symbolFar)
if (!infoFar) {
strState += "订阅" + symbolFar + "合约失败|"
continue
}
var tickerFar = exchange.GetTicker()
if (!tickerNear || !tickerFar) {
strState += "行情获取失败|"
continue
}
// 更新持仓
var nearSymbolHold = 0
var farSymbolHold = 0
var pos = _C(exchange.GetPosition)
for (var i = 0 ; i < pos.length ; i++) {
if (pos[i].ContractType == symbolNear) {
nearSymbolHold += pos[i].Amount
} else if (pos[i].ContractType == symbolFar) {
farSymbolHold += pos[i].Amount
}
}
// theory_price 理论远期合约价格
var theory_price = tickerNear.Last * interest_rate
// theory 近期实际价格和远期理论价格的价差
var theory = tickerNear.Last - theory_price
// 近期合约和远期合约实际价差
var real = tickerNear.Last - tickerFar.Last
// 触发下线
var floor = theory - openDiff
// 触发上线
var cap = theory + openDiff
// 平仓线
var close_low = theory - coverDiff
var close_high = theory + coverDiff
// 判断触发条件
if (nearSymbolHold == 0 && farSymbolHold == 0 && real < floor) { // 买近卖远
Log("买近卖远，real:", real, "floor:", floor, "#FF0000")
q.pushTask(exchange, symbolNear, "buy", amount, function(task, ret) {
Log(task.desc, ret)
if (ret) {
q.pushTask(exchange, symbolFar, "sell", amount, function(task, ret) {
Log(task.desc, ret)
})
}
})
} else if (nearSymbolHold == 0 && farSymbolHold == 0 && real > cap) { // 卖近买远
Log("卖近买远，real:", real, "floor:", floor, "#CD32CD")
q.pushTask(exchange, symbolNear, "sell", amount, function(task, ret) {
Log(task.desc, ret)
if (ret) {
q.pushTask(exchange, symbolFar, "buy", amount, function(task, ret) {
Log(task.desc, ret)
})
}
})
} else if ((nearSymbolHold != 0 || farSymbolHold != 0) && real > close_low && real < close_high) { // 当差价进入设置的非套利区间，平仓
// coverall
Log("平仓，real:", real, "close_low:", close_low, "close_high:", close_high)
q.pushTask(exchange, symbolNear, "coverall", -1, function(task, ret) {
Log(task.desc, ret)
if (ret) {
q.pushTask(exchange, symbolFar, "coverall", -1, function(task, ret) {
Log(task.desc, ret)
})
}
})
}
q.poll()
strState += "已链接|"
if (new Date().getTime() - lastPlotTS > 1000 * 60 * 60) {
$.PlotLine("floor", floor)
$.PlotLine("cap", cap)
$.PlotLine("close_low", close_low)
$.PlotLine("close_high", close_high)
$.PlotLine("real", real)
lastPlotTS = new Date().getTime()
}
} else {
strState += "未连接|"
}
}
}
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