扫地僧
商品期货对冲 + 网格
传统的跨期对冲一般指统计套利, 用线性回归或者其它办法生成一个套利区间, 这样套利机会比较少, 而且有预测性, 未来价差很可能不是预计的那样回归
为了解决这种办法, 进而更频繁的进行套利操作, 我们把两个关联品种或者跨期品种的套利价差定义成一个网格, 每满足一定的价差就开一次仓, 做一次对冲
这样价差来回在我们设置的网格里进行波动，我们就能不断的开仓平仓实现盈利.
不善文案, 不做文字表达了, 具体看策略代码
策略源码
/*backtest
start: 2017-03-07 09:00:00
end: 2017-04-05 15:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*/
function Hedge(q, e, positions, symbolA, symbolB, hedgeSpread) {
var self = {}
self.q = q
self.symbolA = symbolA
self.symbolB = symbolB
self.name = symbolA + " & " + symbolB
self.e = e
self.isBusy = false
self.diffA = 0
self.diffB = 0
self.update = _D()
var arr = hedgeSpread.split(';')
self.dic = []
var n = 0
var coefficient = 1
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType == symbolA) {
n += positions[i].Amount
if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) {
coefficient = -1
}
}
}
_.each(arr, function(pair) {
var tmp = pair.split(':');
if (tmp.length != 3) {
throw "开仓表不正确";
}
var st = {
open: Number(tmp[0]),
cover: Number(tmp[1]),
amount: Number(tmp[2]),
hold: 0
}
if (n > 0) {
var m = Math.min(n, st.amount)
n -= m
st.hold = m * coefficient
Log("恢复", self.name, st)
}
self.dic.push(st)
});
if (n > 0) {
throw "恢复失败, 有多余仓位 " + n;
}
self.poll = function() {
if (self.isBusy || (!$.IsTrading(self.symbolA))) {
return
}
var insDetailA = exchange.SetContractType(self.symbolA)
if (!insDetailA) {
return
}
var tickerA = exchange.GetTicker()
if (!tickerA) {
return
}
var insDetailB = exchange.SetContractType(self.symbolB)
if (!insDetailB) {
return
}
var tickerB = exchange.GetTicker()
if (!tickerB) {
return
}
self.update = _D(tickerA.Time)
var action = null
var diffA = _N(tickerA.Buy - tickerB.Sell)
var diffB = _N(tickerA.Sell - tickerB.Buy)
self.diffA = diffA
self.diffB = diffB
for (var i = 0; i < self.dic.length && !action; i++) {
if (self.dic[i].hold == 0) {
if (self.dic[i].open <= diffA) {
action = [i, "sell", "buy", self.dic[i].amount]
} else if (self.dic[i].open <= -diffB) {
action = [i, "buy", "sell", -self.dic[i].amount]
}
} else {
if (self.dic[i].hold > 0 && self.dic[i].cover >= diffB) {
action = [i, "closesell", "closebuy", self.dic[i].hold]
} else if (self.dic[i].hold < 0 && self.dic[i].cover >= -diffA) {
action = [i, "closebuy", "closesell", self.dic[i].hold]
}
}
}
if (!action) {
return
}
Log("A卖B买: " + _N(diffA) + ", A买B卖: " + _N(diffB), ", Action: " + JSON.stringify(action))
self.isBusy = true
self.q.pushTask(self.e, self.symbolA, action[1], self.dic[action[0]].amount, function(task, ret) {
if (!ret) {
self.isBusy = false
return
}
self.q.pushTask(self.e, self.symbolB, action[2], self.dic[action[0]].amount, function(task, ret) {
if (!ret) {
throw "开仓失败..."
}
self.isBusy = false
if (task.action != "buy" && task.action != "sell") {
self.dic[action[0]].hold = 0;
} else {
self.dic[action[0]].hold = action[3];
}
})
})
}
return self
}
function main() {
SetErrorFilter("ready|login|timeout")
Log("正在与交易服务器连接...")
while (!exchange.IO("status")) Sleep(1000);
Log("与交易服务器连接成功")
var mode = exchange.IO("mode", 0);
if (typeof(mode) !== 'number') {
throw "切换模式失败, 请更新到最新托管者!";
} else {
Log("已切换到适合多品种价格查询的立即模式");
}
if (CoverAll) {
Log("开始平掉所有残余仓位...");
$.NewPositionManager().CoverAll();
Log("操作完成");
}
LogStatus("尝试获取持仓状态")
var positions = _C(exchange.GetPosition)
LogStatus("Ready")
if (positions.length > 0 && !AutoRestore) {
throw "发现持仓, 请勾选自动恢复"
}
var pairs = []
var q = $.NewTaskQueue(function(task, ret) {
Log(task.desc, ret ? "成功" : "失败")
})
var arr = HedgeTable.split('(');
var tbl = {
type: 'table',
title: 'Runtime',
cols: ['Pair', 'Open', 'Cover', 'Hold', 'DiffA', 'DiffB', 'Time'],
rows: []
};
_.each(arr, function(item) {
if (item != '') {
var tmp = item.split(')');
var pair = tmp[0].replace('(', '').split('&');
var symbolDetail = _C(exchange.SetContractType, pair[0])
Log("合约", symbolDetail.InstrumentName, "一手", symbolDetail.VolumeMultiple, "份, 最大下单量", symbolDetail.MaxLimitOrderVolume, "保证金率:", _N(symbolDetail.LongMarginRatio), _N(symbolDetail.ShortMarginRatio), "交割日期", symbolDetail.StartDelivDate);
symbolDetail = _C(exchange.SetContractType, pair[1])
Log("合约", symbolDetail.InstrumentName, "一手", symbolDetail.VolumeMultiple, "份, 最大下单量", symbolDetail.MaxLimitOrderVolume, "保证金率:", _N(symbolDetail.LongMarginRatio), _N(symbolDetail.ShortMarginRatio), "交割日期", symbolDetail.StartDelivDate);
pairs.push(Hedge(q, exchanges[0], positions, pair[0], pair[1], tmp[1]))
}
});
var ts = 0
var lastUpdate = 0
while (true) {
if (!exchange.IO("status")) {
Sleep(1000)
continue
}
var now = new Date().getTime()
if (now - ts > (CalcPeriod * 60000)) {
var account = exchange.GetAccount()
if (account) {
var obj = JSON.parse(exchange.GetRawJSON())
$.PlotLine('账户权益', obj['Balance'] + obj['PositionProfit']);
ts = now
}
}
// IO("wait") 会一直等待收到任何一个品种的行情推送信息, 返回收到行情的真实时间
var n = exchange.IO("wait_any")
// 计算行情信息传到策略层花费的时间
var idle = UnixNano() - n
if (now - lastUpdate > 5000) {
tbl.rows = []
_.each(pairs, function(t) {
for (var i = 0; i < t.dic.length; i++) {
tbl.rows.push([t.name, t.dic[i].open, t.dic[i].cover, t.dic[i].hold, t.diffA, t.diffB, t.update])
}
});
LogStatus('`' + JSON.stringify(tbl) + '`\nUpdate: ' + _D() + ', Idle: ' + (idle/1000000) + ' ms')
lastUpdate = now
}
_.each(pairs, function(t) {
t.poll()
});
q.poll()
}
}
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