多平台对冲稳定套利.md

Name

多平台对冲稳定套利

Author

John。

Strategy Description

程序自动换算汇率，手续费，下单参考买一卖一的价，注意这个不是搬砖，是对冲! 不需要人工转钱或者币，一个存钱，一个存币，一个买，一个卖，高级对冲模式. 这种对冲模式不管币的价格是涨还是跌，只赚差价。 建仓需要一个放钱，一个放币，比如BTC现在价格6000吧，一个交易所放3000刀，一个放0.45左右得币就行了，或者全部加倍 MaxDiff指最低平台差价 SlidePrice指下单时的滑动价, 买单就加上这个价, 卖单就减去这个价 TickIntervalS 指检测周期 跌停值指币跌到这个价格了就不操作，涨停值指币高于这个价格也不操作，防止平台恶意给机器人下套.

Strategy Arguments

Argument	Default	Description
Interval	500	出错重试间隔(毫秒)
TickInterval	300	检测频率(毫秒)
MaxDiff	3	最低差价(元)
SlidePrice	0.1	止损滑动价(元)
SlideRatio	2	对冲滑动价系数
StopPriceL	1000	跌停值(元)
StopPriceH	9000	涨停值(元)
optFeeTimeout	30	手续费更新周期(分)
AmountOnce	0.2	单笔交易数量
UseMarketOrder	false	使用市价单止损
StopWhenLoss	false	亏损时停止
MaxLoss	50	最大亏损限度(元)
SMSAPI	http://	短信通知接口

Source (javascript)

var initState;
var isBalance = true;
var feeCache = new Array();
var feeTimeout = optFeeTimeout * 60000;
var lastProfit = 0;
var lastAvgPrice = 0;
var lastSpread = 0;
var lastOpAmount = 0;

function adjustFloat(v) {
    return Math.floor(v * 1000) / 1000;
}

function isPriceNormal(v) {
    return (v >= StopPriceL) && (v <= StopPriceH);
}

function stripTicker(t) {
    return 'Buy: ' + adjustFloat(t.Buy) + ' Sell: ' + adjustFloat(t.Sell);
}

function updateStatePrice(state) {
    var now = (new Date()).getTime();
    for (var i = 0; i < state.details.length; i++) {
        var ticker = null;
        var key = state.details[i].exchange.GetName() + state.details[i].exchange.GetCurrency();
        var fee = null;
        while (!(ticker = state.details[i].exchange.GetTicker())) {
            Sleep(Interval);
        }

        if (key in feeCache) {
            var v = feeCache[key];
            if ((now - v.time) > feeTimeout) {
                delete feeCache[key];
            } else {
                fee = v.fee;
            }
        }
        if (!fee) {
            while (!(fee = state.details[i].exchange.GetFee())) {
                Sleep(Interval);
            }
            feeCache[key] = {
                fee: fee,
                time: now
            };
        }
        // Buy-=fee Sell+=fee
        state.details[i].ticker = {
            Buy: ticker.Buy * (1 - (fee.Sell / 100)),
            Sell: ticker.Sell * (1 + (fee.Buy / 100))
        };
        state.details[i].realTicker = ticker;
        state.details[i].fee = fee;
    }
}

function getProfit(stateInit, stateNow, coinPrice) {
    var netNow = stateNow.allBalance + (stateNow.allStocks * coinPrice);
    var netInit = stateInit.allBalance + (stateInit.allStocks * coinPrice);
    return adjustFloat(netNow - netInit);
}

function getExchangesState() {
    var allStocks = 0;
    var allBalance = 0;
    var minStock = 0;
    var details = [];
    for (var i = 0; i < exchanges.length; i++) {
        var account = null;
        while (!(account = exchanges[i].GetAccount())) {
            Sleep(Interval);
        }
        allStocks += account.Stocks + account.FrozenStocks;
        allBalance += account.Balance + account.FrozenBalance;
        minStock = Math.max(minStock, exchanges[i].GetMinStock());
        details.push({
            exchange: exchanges[i],
            account: account
        });
    }
    return {
        allStocks: adjustFloat(allStocks),
        allBalance: adjustFloat(allBalance),
        minStock: minStock,
        details: details
    };
}

function cancelAllOrders() {
    for (var i = 0; i < exchanges.length; i++) {
        while (true) {
            var orders = null;
            while (!(orders = exchanges[i].GetOrders())) {
                Sleep(Interval);
            }

            if (orders.length == 0) {
                break;
            }

            for (var j = 0; j < orders.length; j++) {
                exchanges[i].CancelOrder(orders[j].Id, orders[j]);
            }
        }
    }
}

function balanceAccounts() {
    // already balance
    if (isBalance) {
        return;
    }

    cancelAllOrders();

    var state = getExchangesState();
    var diff = state.allStocks - initState.allStocks;
    var adjustDiff = adjustFloat(Math.abs(diff));
    if (adjustDiff < state.minStock) {
        isBalance = true;
    } else {
        Log('初始币总数量:', initState.allStocks, '现在币总数量: ', state.allStocks, '差额:', adjustDiff);
        // other ways, diff is 0.012, bug A only has 0.006 B only has 0.006, all less then minstock
        // we try to statistical orders count to recognition this situation
        updateStatePrice(state);
        var details = state.details;
        var ordersCount = 0;
        if (diff > 0) {
            var attr = 'Sell';
            if (UseMarketOrder) {
                attr = 'Buy';
            }
            // Sell adjustDiff, sort by price high to low
            details.sort(function(a, b) {
                return b.ticker[attr] - a.ticker[attr];
            });
            for (var i = 0; i < details.length && adjustDiff >= state.minStock; i++) {
                if (isPriceNormal(details[i].ticker[attr]) && (details[i].account.Stocks >= state.minStock)) {
                    var orderAmount = adjustFloat(Math.min(AmountOnce, adjustDiff, details[i].account.Stocks));
                    var orderPrice = details[i].realTicker[attr] - SlidePrice;
                    if ((orderPrice * orderAmount) < details[i].exchange.GetMinPrice()) {
                        continue;
                    }
                    ordersCount++;
                    if (details[i].exchange.Sell(orderPrice, orderAmount, stripTicker(details[i].ticker))) {
                        adjustDiff = adjustFloat(adjustDiff - orderAmount);
                    }
                    // only operate one platform
                    break;
                }
            }
        } else {
            var attr = 'Buy';
            if (UseMarketOrder) {
                attr = 'Sell';
            }
            // Buy adjustDiff, sort by sell-price low to high
            details.sort(function(a, b) {
                return a.ticker[attr] - b.ticker[attr];
            });
            for (var i = 0; i < details.length && adjustDiff >= state.minStock; i++) {
                if (isPriceNormal(details[i].ticker[attr])) {
                    var canRealBuy = adjustFloat(details[i].account.Balance / (details[i].ticker[attr] + SlidePrice));
                    var needRealBuy = Math.min(AmountOnce, adjustDiff, canRealBuy);
                    var orderAmount = adjustFloat(needRealBuy * (1 + (details[i].fee.Buy / 100)));
                    var orderPrice = details[i].realTicker[attr] + SlidePrice;
                    if ((orderAmount < details[i].exchange.GetMinStock()) ||
                        ((orderPrice * orderAmount) < details[i].exchange.GetMinPrice())) {
                        continue;
                    }
                    ordersCount++;
                    if (details[i].exchange.Buy(orderPrice, orderAmount, stripTicker(details[i].ticker))) {
                        adjustDiff = adjustFloat(adjustDiff - needRealBuy);
                    }
                    // only operate one platform
                    break;
                }
            }
        }
        isBalance = (ordersCount == 0);
    }

    if (isBalance) {
        var currentProfit = getProfit(initState, state, lastAvgPrice);
        LogProfit(currentProfit, "Spread: ", adjustFloat((currentProfit - lastProfit) / lastOpAmount), "Balance: ", adjustFloat(state.allBalance), "Stocks: ", adjustFloat(state.allStocks));

        if (StopWhenLoss && currentProfit < 0 && Math.abs(currentProfit) > MaxLoss) {
            Log('交易亏损超过最大限度, 程序取消所有订单后退出.');
            cancelAllOrders();
            if (SMSAPI.length > 10 && SMSAPI.indexOf('http') == 0) {
                HttpQuery(SMSAPI);
                Log('已经短信通知');
            }
            throw '已停止';
        }
        lastProfit = currentProfit;
    }
}

function onTick() {
    if (!isBalance) {
        balanceAccounts();
        return;
    }

    var state = getExchangesState();
    // We also need details of price
    updateStatePrice(state);

    var details = state.details;
    var maxPair = null;
    var minPair = null;
    for (var i = 0; i < details.length; i++) {
        var sellOrderPrice = details[i].account.Stocks * (details[i].realTicker.Buy - SlidePrice);
        if (((!maxPair) || (details[i].ticker.Buy > maxPair.ticker.Buy)) && (details[i].account.Stocks >= state.minStock) &&
            (sellOrderPrice > details[i].exchange.GetMinPrice())) {
            details[i].canSell = details[i].account.Stocks;
            maxPair = details[i];
        }

        var canBuy = adjustFloat(details[i].account.Balance / (details[i].realTicker.Sell + SlidePrice));
        var buyOrderPrice = canBuy * (details[i].realTicker.Sell + SlidePrice);
        if (((!minPair) || (details[i].ticker.Sell < minPair.ticker.Sell)) && (canBuy >= state.minStock) &&
            (buyOrderPrice > details[i].exchange.GetMinPrice())) {
            details[i].canBuy = canBuy;
            // how much coins we real got with fee
            details[i].realBuy = adjustFloat(details[i].account.Balance / (details[i].ticker.Sell + SlidePrice));
            minPair = details[i];
        }
    }

    if ((!maxPair) || (!minPair) || ((maxPair.ticker.Buy - minPair.ticker.Sell) < MaxDiff) ||
        !isPriceNormal(maxPair.ticker.Buy) || !isPriceNormal(minPair.ticker.Sell)) {
        return;
    }

    // filter invalid price
    if (minPair.realTicker.Sell <= minPair.realTicker.Buy || maxPair.realTicker.Sell <= maxPair.realTicker.Buy) {
        return;
    }

    // what a fuck...
    if (maxPair.exchange.GetName() == minPair.exchange.GetName()) {
        return;
    }

    lastAvgPrice = adjustFloat((minPair.realTicker.Buy + maxPair.realTicker.Buy) / 2);
    lastSpread = adjustFloat((maxPair.realTicker.Sell - minPair.realTicker.Buy) / 2);

    // compute amount
    var amount = Math.min(AmountOnce, maxPair.canSell, minPair.realBuy);
    lastOpAmount = amount;
    var hedgePrice = adjustFloat((maxPair.realTicker.Buy - minPair.realTicker.Sell) / Math.max(SlideRatio, 2))
    if (minPair.exchange.Buy(minPair.realTicker.Sell + hedgePrice, amount * (1 + (minPair.fee.Buy / 100)), stripTicker(minPair.realTicker))) {
        maxPair.exchange.Sell(maxPair.realTicker.Buy - hedgePrice, amount, stripTicker(maxPair.realTicker));
    }

    isBalance = false;
}

function main() {
    if (exchanges.length < 2) {
        throw "交易所数量最少得两个才能完成对冲";
    }

    TickInterval = Math.max(TickInterval, 50);
    Interval = Math.max(Interval, 50);

    cancelAllOrders();

    initState = getExchangesState();
    if (initState.allStocks == 0) {
        throw "所有交易所货币数量总和为空, 必须先在任一交易所建仓才可以完成对冲";
    }
    if (initState.allBalance == 0) {
        throw "所有交易所CNY数量总和为空, 无法继续对冲";
    }

    for (var i = 0; i < initState.details.length; i++) {
        var e = initState.details[i];
        Log(e.exchange.GetName(), e.exchange.GetCurrency(), e.account);
    }

    Log("ALL: Balance: ", initState.allBalance, "Stocks: ", initState.allStocks, "Ver:", Version());


    while (true) {
        onTick();
        Sleep(parseInt(TickInterval));
    }
}

Detail

https://www.fmz.com/strategy/194150

Last Modified

2020-04-15 14:13:49