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/*backtest
start: 2019-07-12 09:00:00
end: 2019-07-12 15:00:00
period: 1d
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
mode: 1
*/
enum State {
STATE_NA,
STATE_IDLE,
STATE_HOLD_LONG,
STATE_HOLD_SHORT,
};
typedef struct {
double bidPrice;
double bidAmount;
double askPrice;
double askAmount;
} Book;
class HFT {
public:
State getState() {
auto orders = exchange.GetOrders();
if (!orders.Valid || orders.size() == 2) {
return STATE_NA;
}
bool foundCover = false;
for (auto &order : orders) {
if (order.Id == _coverId) {
if ((order.Type == ORDER_TYPE_BUY && order.Price < _book.bidPrice - _slidePrice) ||
(order.Type == ORDER_TYPE_SELL && order.Price > _book.askPrice + _slidePrice)) {
exchange.CancelOrder(order.Id, "Cancel Cover Order");
_countCancel++;
_countRetry++;
} else {
foundCover = true;
}
} else {
exchange.CancelOrder(order.Id);
_countCancel++;
}
}
if (foundCover) {
return STATE_NA;
}
auto positions = exchange.GetPosition();
if (!positions.Valid) {
return STATE_NA;
}
for (auto &pos : positions) {
if (pos.ContractType == Symbol) {
_holdPrice = pos.Price;
_holdAmount = pos.Amount;
_holdType = pos.Type;
return pos.Type == PD_LONG || pos.Type == PD_LONG_YD ? STATE_HOLD_LONG : STATE_HOLD_SHORT;
}
}
return STATE_IDLE;
}
void stop() {
Log(exchange.GetOrders());
Log(exchange.GetPosition());
Log("Stop");
}
bool Loop() {
if (exchange.IO("status") == 0) {
LogStatus(_D(), "Server not connect ....");
Sleep(1000);
return true;
}
if (_ct.is_null()) {
Log(_D(), "subscribe", Symbol);
_ct = exchange.SetContractType(Symbol);
if (!_ct.is_null()) {
auto obj = _ct["Commodity"]["CommodityTickSize"];
int volumeMultiple = 1;
if (obj.is_null()) {
obj = _ct["PriceTick"];
volumeMultiple = _ct["VolumeMultiple"];
_exchangeId = _ct["ExchangeID"];
} else {
volumeMultiple = _ct["Commodity"]["ContractSize"];
_exchangeId = _ct["Commodity"]["ExchangeNo"];
}
if (obj.is_null() || obj <= 0) {
Panic("PriceTick not found");
}
if (_priceTick < 1) {
exchange.SetPrecision(1, 0);
}
_priceTick = double(obj);
_slidePrice = _priceTick * ProfitTick;
_ins = _ct["InstrumentID"];
Log(_ins, _exchangeId, "PriceTick:", _priceTick, "VolumeMultiple:", volumeMultiple);
}
Sleep(1000);
return true;
}
// Check orders and positions to set state
auto depth = exchange.GetDepth();
if (!depth.Valid) {
LogStatus(_D(), "Market not ready");
Sleep(1000);
return true;
}
_countTick++;
// _book not init
if (_book.bidAmount == 0) {
return true;
}
_preBook = _book;
_book.bidPrice = depth.Bids[0].Price;
_book.bidAmount = depth.Bids[0].Amount;
_book.askPrice = depth.Asks[0].Price;
_book.askAmount = depth.Asks[0].Amount;
double weight = depth.Asks[0].Price + depth.Bids[0].Price;
_priceHis.push_back(weight);
if (_priceHis.size() > 100) {
_priceHis.erase(_priceHis.begin());
}
auto st = getState();
LogStatus(_D(), _ins, "State:", st,
"Ask:", depth.Asks[0].Price, depth.Asks[0].Amount,
"Bid:", depth.Bids[0].Price, depth.Bids[0].Amount,
"Cancel:", _countCancel,
"Tick:", _countTick);
Log(depth.Asks[0], depth.Bids[0]);
bool forceCover = _countRetry >= _retryMax;
if (st == STATE_IDLE) {
if (_holdAmount > 0) {
if (_countRetry > 0) {
_countLoss++;
} else {
_countWin++;
}
auto account = exchange.GetAccount();
if (account.Valid) {
LogProfit(_N(account.Balance+account.FrozenBalance, 2), "Win:", _countWin, "Loss:", _countLoss);
}
}
_countRetry = 0;
_holdAmount = 0;
if (_countCancel > _cancelMax) {
Log("Cancel Exceed", _countCancel);
return false;
}
if (IsVirtual()) {
if (_priceHis.size() < _period) {
LogStatus("calc history", _priceHis.size());
return true;
}
auto arr = talib.STDDEV(_priceHis, _period);
double diff = abs(weight - _priceHis[_priceHis.size() - 2]);
if (diff < arr[arr.size()-1]) {
return true;
}
} else {
bool canDo = false;
if (_book.bidPrice == _preBook.bidPrice && _book.bidAmount > 50 && abs(_preBook.bidAmount-_book.bidAmount) > 50) {
canDo = true;
Log("Bid Amount", _preBook.bidAmount, "->", _book.bidAmount);
}
if (_book.askPrice == _preBook.askPrice && _book.askAmount > 50 && abs(_preBook.askAmount-_book.askAmount) > 50) {
canDo = true;
Log("Ask Amount", _preBook.askAmount, "->", _book.askAmount);
}
if (!canDo) {
return true;
}
}
exchange.SetDirection("buy");
exchange.Buy(depth.Bids[0].Price, 1);
exchange.SetDirection("sell");
exchange.Sell(depth.Asks[0].Price, 1);
} else if (st == STATE_HOLD_LONG) {
exchange.SetDirection((_holdType == PD_LONG && _exchangeId == "SHFE") ? "closebuy_today" : "closebuy");
auto sellPrice = depth.Asks[0].Price;
if (sellPrice > _holdPrice) {
Log(_holdPrice, "Hit #ff0000");
//sellPrice = depth.Asks[0].Price + _slidePrice;
} else if (sellPrice < _holdPrice) {
//forceCover = true;
}
if (forceCover) {
Log("StopLoss");
}
_coverId = exchange.Sell(forceCover ? depth.Bids[0].Price : sellPrice, _holdAmount);
if (!_coverId.Valid) {
return false;
}
} else if (st == STATE_HOLD_SHORT) {
exchange.SetDirection((_holdType == PD_SHORT && _exchangeId == "SHFE") ? "closesell_today" : "closesell");
auto buyPrice = depth.Bids[0].Price;
if (buyPrice < _holdPrice) {
Log(_holdPrice, "Hit #ff0000");
} else if (buyPrice > _holdPrice) {
//forceCover = true;
}
if (forceCover) {
Log("StopLoss");
}
_coverId = exchange.Buy(forceCover ? depth.Asks[0].Price : buyPrice, _holdAmount);
if (!_coverId.Valid) {
return false;
}
}
return true;
}
private:
double _holdPrice = 0;
double _holdAmount = 0;
int _holdType;
int _countTick = 0;
int _countRetry = 0;
int _countCancel = 0;
int _period = 20;
const int _retryMax = RetryMax;
const int _cancelMax = 300;
int _countLoss = 0;
int _countWin = 0;
json _ct;
string _ins;
string _exchangeId;
double _priceTick;
double _slidePrice;
vector<double> _priceHis;
Book _book;
Book _preBook;
TId _coverId;
};
void main() {
LogReset();
SetErrorFilter("ready|timeout");
Log("Init OK");
HFT hft;
while (hft.Loop());
Log("Exit");
}