Topic: The Multi-platform hedge strategy (Read 237 times)

/*
parameter       default  description
--------------  -------  ----------
Interval        500      retry (ms)
TickInterval    300      check (ms)
MaxDiff         3        lowest difference price
SlidePrice      0.1      slidePrice for stop loss
SlideRatio      2        rate for hedge
StopPriceL      1000     down limit price
StopPriceH      9000     up limit price
optFeeTimeout   30       Commission renewal cycle
AmountOnce      0.2      amount of Order
UseMarketOrder  false    stop loss by marketOrder
StopWhenLoss    false    loss to stop
MaxLoss         50       max of loss
SMSAPI          http://  SMS interface
*/
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));
    }
}