FMZ量化交易平衡挂单策略(教学策略)

平衡挂单策略(教学策略)

本篇讲述的策略本质是动态平衡策略，即始终平衡币价值与计价币价值相等。不过设计为预先挂单，策略逻辑十分简单。编写该策略的主要目的是为了展示策略设计的各个方面。

• 策略逻辑封装
  把策略逻辑和运行时的一些数据、标记变量封装在一起（封装成对象）。
• 策略处理初始化工作的代码
  初始运行时记录初始账户信息，用于收益计算，初始时根据参数选择是否恢复数据。
• 策略交互处理的代码
  设计了一个简单的暂停、继续的交互处理。
• 策略收益计算的代码
  使用币本位计算方式计算收益。
• 策略中关键数据持久化的机制
  设计恢复数据的机制
• 策略处理信息显示的代码
  状态栏数据显示。

策略代码

var Shannon = {
    // member
    e : exchanges[0],
    arrPlanOrders : [],
    distance : BalanceDistance,
    account : null,
    ticker : null,
    initAccount : null,
    isAskPending : false,
    isBidPending : false,

    // function 
    CancelAllOrders : function (e) {
        while(true) {
            var orders = _C(e.GetOrders)
            if(orders.length == 0) {
                return
            }
            Sleep(500)
            for(var i = 0; i < orders.length; i++) {
                e.CancelOrder(orders[i].Id, orders[i])
                Sleep(500)
            }
        }
    },

    Balance : function () {
        if (this.arrPlanOrders.length == 0) {
            this.CancelAllOrders(this.e)
            var acc = _C(this.e.GetAccount)
            this.account = acc
            var askPendingPrice = (this.distance + acc.Balance) / acc.Stocks
            var bidPendingPrice = (acc.Balance - this.distance) / acc.Stocks
            var askPendingAmount = this.distance / 2 / askPendingPrice
            var bidPendingAmount = this.distance / 2 / bidPendingPrice

            this.arrPlanOrders.push({tradeType : "ask", price : askPendingPrice, amount : askPendingAmount})
            this.arrPlanOrders.push({tradeType : "bid", price : bidPendingPrice, amount : bidPendingAmount})
        } else if(this.isAskPending == false && this.isBidPending == false) {
            for(var i = 0; i < this.arrPlanOrders.length; i++) {
                var tradeFun = this.arrPlanOrders[i].tradeType == "ask" ? this.e.Sell : this.e.Buy
                var id = tradeFun(this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount)
                if(id) {
                    this.isAskPending = this.arrPlanOrders[i].tradeType == "ask" ? true : this.isAskPending
                    this.isBidPending = this.arrPlanOrders[i].tradeType == "bid" ? true : this.isBidPending
                } else {
                    Log("挂单失败，清理！")
                    this.CancelAllOrders(this.e)
                    return
                }
            }
        }

        if(this.isBidPending || this.isAskPending) {
            var orders = _C(this.e.GetOrders)
            Sleep(1000)
            var ticker = _C(this.e.GetTicker)
            this.ticker = ticker
            if(this.isAskPending) {
                var isFoundAsk = false
                for (var i = 0; i < orders.length; i++) {
                    if(orders[i].Type == ORDER_TYPE_SELL) {
                        isFoundAsk = true
                    }
                }
                if(!isFoundAsk) {
                    Log("卖单成交，撤销订单，重置")
                    this.CancelAllOrders(this.e)
                    this.arrPlanOrders = []
                    this.isAskPending = false
                    this.isBidPending = false
                    LogProfit(this.CalcProfit(ticker))
                    return
                }
            }
            if(this.isBidPending) {
                var isFoundBid = false
                for(var i = 0; i < orders.length; i++) {
                    if(orders[i].Type == ORDER_TYPE_BUY) {
                        isFoundBid = true
                    }
                }
                if(!isFoundBid) {
                    Log("买单成交，撤销订单，重置")
                    this.CancelAllOrders(this.e)
                    this.arrPlanOrders = []
                    this.isAskPending = false
                    this.isBidPending = false
                    LogProfit(this.CalcProfit(ticker))
                    return
                }
            }
        }
    },
    ShowTab : function() {
        var tblPlanOrders = {
            type : "table",
            title : "计划挂单",
            cols : ["方向", "价格", "数量"],
            rows : []
        }
        for(var i = 0; i < this.arrPlanOrders.length; i++) {
            tblPlanOrders.rows.push([this.arrPlanOrders[i].tradeType, this.arrPlanOrders[i].price, this.arrPlanOrders[i].amount])
        }

        var tblAcc = {
            type : "table",
            title : "账户信息",
            cols : ["type", "Stocks", "FrozenStocks", "Balance", "FrozenBalance"],
            rows : []
        }
        tblAcc.rows.push(["初始", this.initAccount.Stocks, this.initAccount.FrozenStocks, this.initAccount.Balance, this.initAccount.FrozenBalance])
        tblAcc.rows.push(["当前", this.account.Stocks, this.account.FrozenStocks, this.account.Balance, this.account.FrozenBalance])

        return "时间：" + _D() + "\n `" + JSON.stringify([tblPlanOrders, tblAcc]) + "`" + "\n" + "ticker:" + JSON.stringify(this.ticker)
    },
    CalcProfit : function(ticker) {
        var acc = _C(this.e.GetAccount)
        this.account = acc
        return (this.account.Balance - this.initAccount.Balance) + (this.account.Stocks - this.initAccount.Stocks) * ticker.Last
    },
    Init : function() {
        this.initAccount = _C(this.e.GetAccount)
        if(IsReset) {
            var acc = _G("account")
            if(acc) {
                this.initAccount = acc
            } else {
                Log("恢复初始账户信息失败！以初始状态运行！")
                _G("account", this.initAccount)
            }
        } else {
            _G("account", this.initAccount)
            LogReset(1)
            LogProfitReset()
        }
    },
    Exit : function() {
        Log("停止前，取消所有挂单...")
        this.CancelAllOrders(this.e)
    }
}

function main() {
    // 初始化
    Shannon.Init()

    // 主循环
    while(true) {
        Shannon.Balance()
        LogStatus(Shannon.ShowTab())
        // 交互
        var cmd = GetCommand()
        if(cmd) {
            if(cmd == "stop") {
                while(true) {
                    LogStatus("暂停", Shannon.ShowTab())
                    cmd = GetCommand()
                    if(cmd) {
                        if(cmd == "continue") {
                            break
                        }
                    }
                    Sleep(1000)
                }
            }
        }
        Sleep(5000)
    }
}

function onexit() {
    Shannon.Exit()
}

回测运行

优化扩展

• 可以加入虚拟挂单机制，有些交易所有挂单限价，所以可能订单实际挂不上，需要等待价格接近了再真实挂单。
• 加入期货交易
• 扩展成多品种、多交易所版本

策略仅仅用于教学，实盘慎用。
策略地址：https://www.fmz.com/strategy/225746