功能
运行状态
回测示例
/*backtest start: 2016-05-01 00:00:00 end: 2020-02-15 23:59:00 period: 1d exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] */ var _q = $.NewTaskQueue(); var TTManager = { New: function(needRestore, symbol, initBalance, keepBalance, riskRatio, atrLen, enterPeriodA, leavePeriodA, enterPeriodB, leavePeriodB, useFilter, multiplierN, multiplierS, maxLots) { // subscribe var symbolDetail = _C(exchange.SetContractType, symbol); if (symbolDetail.VolumeMultiple == 0 || symbolDetail.MaxLimitOrderVolume == 0 || symbolDetail.MinLimitOrderVolume == 0 || symbolDetail.LongMarginRatio == 0 || symbolDetail.ShortMarginRatio == 0) { Log(symbolDetail); throw "合约信息异常"; } else { 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); } var obj = { symbol: symbol, tradeSymbol: symbolDetail.InstrumentID, initBalance: initBalance, keepBalance: keepBalance, riskRatio: riskRatio, atrLen: atrLen, enterPeriodA: enterPeriodA, leavePeriodA: leavePeriodA, enterPeriodB: enterPeriodB, leavePeriodB: leavePeriodB, useFilter: useFilter, multiplierN: multiplierN, multiplierS: multiplierS }; obj.maxLots = maxLots; obj.lastPrice = 0; obj.symbolDetail = symbolDetail; obj.status = { symbol: symbol, recordsLen: 0, vm: [], open: 0, cover: 0, st: 0, marketPosition: 0, lastPrice: 0, holdPrice: 0, holdAmount: 0, holdProfit: 0, switchCount: 0, N: 0, upLine: 0, downLine: 0, lastErr: "", lastErrTime: "", stopPrice: '', leavePrice: '', isTrading: false }; obj.setLastError = function(err) { if (typeof(err) === 'undefined' || err === '') { obj.status.lastErr = ""; obj.status.lastErrTime = ""; return; } var t = new Date(); obj.status.lastErr = err; obj.status.lastErrTime = t.toLocaleString(); }; obj.reset = function(marketPosition, openPrice, N, leavePeriod, preBreakoutFailure) { if (typeof(marketPosition) !== 'undefined') { obj.marketPosition = marketPosition; obj.openPrice = openPrice; obj.preBreakoutFailure = preBreakoutFailure; obj.N = N; obj.leavePeriod = leavePeriod; var pos = _q.GetPosition(exchange, obj.tradeSymbol, marketPosition > 0 ? PD_LONG : PD_SHORT); if (pos) { obj.holdPrice = pos.Price; obj.holdAmount = pos.Amount; Log(obj.symbol, "仓位", pos); } else { throw "恢复" + obj.symbol + "的持仓状态出错, 没有找到仓位信息"; } Log("恢复", obj.symbol, "加仓次数", obj.marketPosition, "持仓均价:", obj.holdPrice, "持仓数量:", obj.holdAmount, "最后一次加仓价", obj.openPrice, "N值", obj.N, "离市周期:", leavePeriod, "上次突破:", obj.preBreakoutFailure ? "失败" : "成功"); obj.status.open = 1; obj.status.vm = [obj.marketPosition, obj.openPrice, obj.N, obj.leavePeriod, obj.preBreakoutFailure]; } else { obj.marketPosition = 0; obj.holdPrice = 0; obj.openPrice = 0; obj.holdAmount = 0; obj.holdProfit = 0; obj.preBreakoutFailure = true; // test system A obj.N = 0; obj.leavePeriod = leavePeriodA; } obj.holdProfit = 0; obj.lastErr = ""; obj.lastErrTime = ""; }; obj.Status = function() { obj.status.N = obj.N; obj.status.marketPosition = obj.marketPosition; obj.status.holdPrice = obj.holdPrice; obj.status.holdAmount = obj.holdAmount; obj.status.lastPrice = obj.lastPrice; if (obj.lastPrice > 0 && obj.holdAmount > 0 && obj.marketPosition !== 0) { obj.status.holdProfit = _N((obj.lastPrice - obj.holdPrice) * obj.holdAmount * obj.symbolDetail.VolumeMultiple, 4) * (obj.marketPosition > 0 ? 1 : -1); } else { obj.status.holdProfit = 0; } obj.status.symbolDetail = obj.symbolDetail; return obj.status; }; obj.Poll = function() { obj.status.isTrading = $.IsTrading(obj.symbol); if (!obj.status.isTrading) { return; } // busy if (_q.hasTask(obj.tradeSymbol)) { return } // Loop var suffix = WXPush ? '@' : ''; // switch symbol var insDetail = exchange.SetContractType(obj.symbol); if (!insDetail) { return } var records = exchange.GetRecords(); if (!records) { obj.setLastError("获取K线失败"); return; } // update tradeSymbol var tradeSymbol = insDetail.InstrumentID; if (tradeSymbol != obj.tradeSymbol) { var oldSymbol = obj.tradeSymbol; var pos = _q.GetPosition(exchange, oldSymbol); if (pos && pos.Amount > 0) { Log("开始移仓", oldSymbol, "->", tradeSymbol, "数量:", pos.Amount, "#ff0000"); obj.status.switchCount++; _q.pushTask(exchange, oldSymbol, (pos.Type == PD_LONG ? "closebuy" : "closesell"), pos.Amount, function(task, ret) { if (!ret) { Log(oldSymbol, "移仓平仓失败 #ff0000"); return; } Log("移仓进度平仓成功, 开始开仓", oldSymbol, "->", tradeSymbol, "数量:", pos.Amount, "#0000ff"); obj.tradeSymbol = tradeSymbol; obj.symbolDetail = insDetail; _q.pushTask(exchange, tradeSymbol, (pos.Type == PD_LONG ? "buy" : "sell"), pos.Amount, function(task, ret) { if (!ret) { Log(tradeSymbol, "移仓开仓失败, 重置品种进度 #ff0000"); obj.marketPosition = 0; return; } Log("移仓成功", oldSymbol, "->", tradeSymbol, "#0000ff"); }); }); return; } else { obj.tradeSymbol = tradeSymbol; obj.symbolDetail = insDetail; } } obj.status.recordsLen = records.length; if (records.length < obj.atrLen) { obj.setLastError("K线长度小于 " + obj.atrLen); return; } var opCode = 0; // 0: IDLE, 1: LONG, 2: SHORT, 3: CoverALL var lastPrice = records[records.length - 1].Close; obj.lastPrice = lastPrice; if (obj.marketPosition === 0) { obj.status.stopPrice = '--'; obj.status.leavePrice = '--'; obj.status.upLine = 0; obj.status.downLine = 0; for (var i = 0; i < 2; i++) { if (i == 0 && obj.useFilter && !obj.preBreakoutFailure) { continue; } var enterPeriod = i == 0 ? obj.enterPeriodA : obj.enterPeriodB; if (records.length < (enterPeriod + 1)) { continue; } var highest = TA.Highest(records, enterPeriod, 'High'); var lowest = TA.Lowest(records, enterPeriod, 'Low'); obj.status.upLine = obj.status.upLine == 0 ? highest : Math.min(obj.status.upLine, highest); obj.status.downLine = obj.status.downLine == 0 ? lowest : Math.max(obj.status.downLine, lowest); if (lastPrice > highest) { opCode = 1; } else if (lastPrice < lowest) { opCode = 2; } if (opCode != 0) { obj.leavePeriod = (enterPeriod == obj.enterPeriodA) ? obj.leavePeriodA : obj.leavePeriodB; break; } } } else { var spread = obj.marketPosition > 0 ? (obj.openPrice - lastPrice) : (lastPrice - obj.openPrice); obj.status.stopPrice = _N(obj.openPrice + (obj.N * StopLossRatio * (obj.marketPosition > 0 ? -1 : 1))); if (spread > (obj.N * StopLossRatio)) { opCode = 3; obj.preBreakoutFailure = true; Log(obj.symbolDetail.InstrumentName, "止损平仓", suffix); obj.status.st++; } else if (-spread > (IncSpace * obj.N) && Math.abs(obj.marketPosition) < obj.maxLots) { opCode = obj.marketPosition > 0 ? 1 : 2; } if (opCode == 0 && records.length > obj.leavePeriod) { obj.status.leavePrice = obj.marketPosition > 0 ? TA.Lowest(records, obj.leavePeriod, 'Low') : TA.Highest(records, obj.leavePeriod, 'High'); if ((obj.marketPosition > 0 && lastPrice < obj.status.leavePrice) || (obj.marketPosition < 0 && lastPrice > obj.status.leavePrice)) { obj.preBreakoutFailure = false; Log(obj.symbolDetail.InstrumentName, "正常平仓", suffix); opCode = 3; obj.status.cover++; } } } if (opCode == 0) { return; } if (opCode == 3) { _q.pushTask(exchange, obj.tradeSymbol, "coverall", 0, function(task, ret) { obj.reset(); _G(obj.symbol, null); var account = _q.GetAccount(exchange); var accountInfo = JSON.parse(exchange.GetRawJSON()); LogProfit(accountInfo.Balance, obj.tradeSymbol, "平仓后权益"); }); return; } // Open if (Math.abs(obj.marketPosition) >= obj.maxLots) { obj.setLastError("禁止开仓, 超过最大持仓 " + obj.maxLots); return; } var atrs = TA.ATR(records, atrLen); var N = _N(atrs[atrs.length - 1], 4); var account = _q.GetAccount(exchange); var unit = parseInt((obj.initBalance-obj.keepBalance) * (obj.riskRatio / 100) / N / obj.symbolDetail.VolumeMultiple); var canOpen = parseInt((account.Balance-obj.keepBalance) / (opCode == 1 ? obj.symbolDetail.LongMarginRatio : obj.symbolDetail.ShortMarginRatio) / (lastPrice * 1.2) / obj.symbolDetail.VolumeMultiple); unit = Math.min(unit, canOpen); if (unit < obj.symbolDetail.MinLimitOrderVolume) { obj.setLastError("可开 " + unit + " 手 无法开仓, " + (canOpen >= obj.symbolDetail.MinLimitOrderVolume ? "风控触发" : "资金限制") + "可用: " + account.Balance); return; } _q.pushTask(exchange, obj.tradeSymbol, (opCode == 1 ? "buy" : "sell"), unit, function(task, ret) { if (!ret) { obj.setLastError("下单失败"); return; } Log(obj.symbolDetail.InstrumentName, obj.marketPosition == 0 ? "开仓" : "加仓", "离市周期", obj.leavePeriod, suffix); obj.N = N; obj.openPrice = ret.price; obj.holdPrice = ret.position.Price; if (obj.marketPosition == 0) { obj.status.open++; } obj.holdAmount = ret.position.Amount; obj.marketPosition += opCode == 1 ? 1 : -1; obj.status.vm = [obj.marketPosition, obj.openPrice, N, obj.leavePeriod, obj.preBreakoutFailure]; _G(obj.symbol, obj.status.vm); }); }; var vm = null; if (RMode === 0) { vm = _G(obj.symbol); } else { vm = JSON.parse(VMStatus)[obj.symbol]; } if (vm) { Log("准备恢复进度, 当前合约状态为", vm); obj.reset(vm[0], vm[1], vm[2], vm[3], vm[4]); } else { if (needRestore) { Log("没有找到" + obj.symbol + "的进度恢复信息"); } obj.reset(); } return obj; } }; function onexit() { Log("已退出策略..."); } function main() { if (exchange.GetName().indexOf('CTP') == -1) { throw "只支持商品期货CTP"; } SetErrorFilter("login|ready|流控|连接失败|初始|Timeout"); 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!"; } while (!exchange.IO("status")) { Sleep(3000); LogStatus("正在等待与交易服务器连接, " + _D()); } var positions = _C(exchange.GetPosition); if (positions.length > 0) { Log("检测到当前持有仓位, 系统将开始尝试恢复进度..."); Log("持仓信息", positions); } Log("风险系数:", RiskRatio, "N值周期:", ATRLength, "系统1: 入市周期", EnterPeriodA, "离市周期", LeavePeriodA, "系统二: 入市周期", EnterPeriodB, "离市周期", LeavePeriodB, "加仓系数:", IncSpace, "止损系数:", StopLossRatio, "单品种最多开仓:", MaxLots, "次"); var initAccount = _q.GetAccount(exchange); var initMargin = JSON.parse(exchange.GetRawJSON()).CurrMargin; var realInitBalance = initAccount.Balance + initMargin; if (CustomBalance) { realInitBalance = InitBalance; Log("自定义启动资产为", realInitBalance); } var keepBalance = _N(realInitBalance * (KeepRatio/100), 3); Log("当前资产信息", initAccount, "保留资金:", keepBalance); var tts = []; var filter = []; var arr = Instruments.split(','); for (var i = 0; i < arr.length; i++) { var symbol = arr[i].replace(/^\s+/g, "").replace(/\s+$/g, ""); if (typeof(filter[symbol]) !== 'undefined') { Log(symbol, "已经存在, 系统已自动过滤"); continue; } filter[symbol] = true; var hasPosition = false; for (var j = 0; j < positions.length; j++) { if (positions[j].ContractType == symbol) { hasPosition = true; break; } } var obj = TTManager.New(hasPosition, symbol, realInitBalance, keepBalance, RiskRatio, ATRLength, EnterPeriodA, LeavePeriodA, EnterPeriodB, LeavePeriodB, UseEnterFilter, IncSpace, StopLossRatio, MaxLots); tts.push(obj); } var tblAssets = null; var nowAccount = null; var lastStatus = ''; while (true) { if (GetCommand() === "暂停/继续") { Log("暂停交易中..."); while (GetCommand() !== "暂停/继续") { Sleep(1000); } Log("继续交易中..."); } while (!exchange.IO("status")) { Sleep(3000); LogStatus("正在等待与交易服务器连接, " + _D() + "\n" + lastStatus); } var tblStatus = { type: "table", title: "持仓信息", cols: ["合约名称", "持仓方向", "持仓均价", "持仓数量", "持仓盈亏", "加仓次数", "开仓次数", "止损次数", "成功次数", "当前价格", "N"], rows: [] }; var tblMarket = { type: "table", title: "运行状态", cols: ["合约名称", "合约乘数", "保证金率", "交易时间", "移仓次数", "柱线长度", "上线", "下线", "止损价", "离市价", "异常描述", "发生时间"], rows: [] }; var totalHold = 0; var vmStatus = {}; var ts = new Date().getTime(); var holdSymbol = 0; var tradingCount = 0; for (var i = 0; i < tts.length; i++) { tts[i].Poll(); var d = tts[i].Status(); if (d.holdAmount > 0) { vmStatus[d.symbol] = d.vm; holdSymbol++; } if (d.isTrading) { tradingCount++; } tblStatus.rows.push([d.symbolDetail.InstrumentID, d.holdAmount == 0 ? '--' : (d.marketPosition > 0 ? '多' : '空'), d.holdPrice, d.holdAmount, d.holdProfit, Math.abs(d.marketPosition), d.open, d.st, d.cover, d.lastPrice, d.N]); tblMarket.rows.push([d.symbolDetail.InstrumentID, d.symbolDetail.VolumeMultiple, _N(d.symbolDetail.LongMarginRatio, 4) + '/' + _N(d.symbolDetail.ShortMarginRatio, 4), (d.isTrading ? '是#0000ff' : '否#ff0000'), d.switchCount, d.recordsLen, d.upLine, d.downLine, d.stopPrice, d.leavePrice, d.lastErr, d.lastErrTime]); totalHold += Math.abs(d.holdAmount); } var now = new Date(); var elapsed = now.getTime() - ts; if (tradingCount > 0 || !nowAccount) { tblAssets = _q.GetAccount(exchange, true); nowAccount = _q.Account(); if (tblAssets.rows.length > 10) { // replace AccountId tblAssets.rows[0] = ["InitAccount", "初始资产", realInitBalance]; } else { tblAssets.rows.unshift(["NowAccount", "当前可用", nowAccount], ["InitAccount", "初始资产", realInitBalance]); } if (totalHold > 0) { tblAssets.rows.push(["手动恢复字符串", {body:JSON.stringify(vmStatus), colspan: 2}]); } } lastStatus = '`' + JSON.stringify([tblStatus, tblMarket, tblAssets]) + '`\n轮询耗时: ' + elapsed + ' 毫秒, 当前时间: ' + _D() + ', 星期' + ['日', '一', '二', '三', '四', '五', '六'][now.getDay()] + ", 持有品种个数: " + holdSymbol + ", 交易任务: " + _q.size(); LogStatus(lastStatus); _q.poll(); Sleep(LoopInterval * 1000); } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6