基于CTP商品期货多品种海龟交易策略修改,用于学习。
/*backtest start: 2019-07-01 09:00:00 end: 2020-03-25 15:00:00 period: 1d exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] */ var _bot = $.NewPositionManager(); var Manager = { New: function(needRestore, symbol, keepBalance, fastPeriod, slowPeriod) { 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); } // 声明枚举量 var ACT_IDLE = 0; var ACT_LONG = 1; var ACT_SHORT = 2; var ACT_COVER = 3; var ERR_SUCCESS = 0; var ERR_SET_SYMBOL = 1; var ERR_GET_ORDERS = 2; var ERR_GET_POS = 3; var ERR_TRADE = 4; var ERR_GET_DEPTH = 5; var ERR_NOT_TRADING = 6; var errMsg = ["成功", "切换合约失败", "获取订单失败", "获取持仓失败", "交易下单失败", "获取深度失败", "不在交易时间"]; // 构造对象 var obj = { symbol: symbol, keepBalance: keepBalance, // 设置策略相关参数 fastPeriod: fastPeriod, slowPeriod: slowPeriod }; // 初始化任务对象 obj.task = { action: ACT_IDLE, amount: 0, dealAmount: 0, avgPrice: 0, preCost: 0, preAmount: 0, init: false, retry: 0, desc: "空闲", onFinish: null } obj.lastPrice = 0; obj.symbolDetail = symbolDetail; // 持仓状态信息 obj.status = { symbol: symbol, recordsLen: 0, vm: [], open: 0, cover: 0, st: 0, marketPosition: 0, lastPrice: 0, holdPrice: 0, holdAmount: 0, holdProfit: 0, symbolDetail: symbolDetail, lastErr: "", lastErrTime: "", // 可以增加一些显示的数值属性 isTrading: false }; // 设置错误的功能函数 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(); }; // 恢复函数 obj.reset = function(marketPosition) { if (typeof(marketPosition) !== 'undefined') { obj.marketPosition = marketPosition; // 例如多品种海龟策略,需要恢复N值,入市周期、离市周期等程序运行中的数据,可以在此处恢复,如不清楚,可以参考原版多品种海龟策略此处的代码 var pos = _bot.GetPosition(obj.symbol, 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"; } // 可以根据策略,打印一些恢复后的数据,参考原版多品种海龟策略 Log("恢复", obj.symbol, "持仓均价:", obj.holdPrice, "持仓数量:", obj.holdAmount); obj.status.vm = [obj.marketPosition]; } else { obj.marketPosition = 0; obj.holdPrice = 0; obj.holdAmount = 0; obj.holdProfit = 0; } obj.holdProfit = 0; obj.lastErr = ""; obj.lastErrTime = ""; }; // 更新状态,返回用于显示的状态数据 obj.Status = function() { 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) { // 计算收益 obj.status.holdProfit = _N((obj.lastPrice - obj.holdPrice) * obj.holdAmount * symbolDetail.VolumeMultiple, 4) * (obj.marketPosition > 0 ? 1 : -1); } else { obj.status.holdProfit = 0; } return obj.status; }; // 处理交易的逻辑层面,设置交易任务的函数 obj.setTask = function(action, amount, onFinish) { obj.task.init = false; obj.task.retry = 0; obj.task.action = action; obj.task.preAmount = 0; obj.task.preCost = 0; obj.task.amount = typeof(amount) === 'number' ? amount : 0; obj.task.onFinish = onFinish; if (action == ACT_IDLE) { obj.task.desc = "空闲"; obj.task.onFinish = null; } else { if (action !== ACT_COVER) { obj.task.desc = (action == ACT_LONG ? "加多仓" : "加空仓") + "(" + amount + ")"; } else { obj.task.desc = "平仓"; } Log("接收到任务", obj.symbol, obj.task.desc); // process immediately obj.Poll(true); } }; // 处理交易任务的函数 obj.processTask = function() { var insDetail = exchange.SetContractType(obj.symbol); if (!insDetail) { return ERR_SET_SYMBOL; } var SlideTick = 1; // 滑价可以根据合约设置 var ret = false; if (obj.task.action == ACT_COVER) { var hasPosition = false; do { if (!$.IsTrading(obj.symbol)) { return ERR_NOT_TRADING; } hasPosition = false; var positions = exchange.GetPosition(); if (!positions) { return ERR_GET_POS; } var depth = exchange.GetDepth(); if (!depth) { return ERR_GET_DEPTH; } var orderId = null; for (var i = 0; i < positions.length; i++) { if (positions[i].ContractType !== obj.symbol) { continue; } var amount = Math.min(insDetail.MaxLimitOrderVolume, positions[i].Amount); if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) { exchange.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy"); orderId = exchange.Sell(_N(depth.Bids[0].Price - (insDetail.PriceTick * SlideTick), 2), Math.min(amount, depth.Bids[0].Amount), obj.symbol, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]); hasPosition = true; } else if (positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) { exchange.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell"); orderId = exchange.Buy(_N(depth.Asks[0].Price + (insDetail.PriceTick * SlideTick), 2), Math.min(amount, depth.Asks[0].Amount), obj.symbol, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]); hasPosition = true; } } if (hasPosition) { if (!orderId) { return ERR_TRADE; } Sleep(1000); while (true) { // Wait order, not retry var orders = exchange.GetOrders(); if (!orders) { return ERR_GET_ORDERS; } if (orders.length == 0) { break; } for (var i = 0; i < orders.length; i++) { exchange.CancelOrder(orders[i].Id); Sleep(500); } } } } while (hasPosition); ret = true; } else if (obj.task.action == ACT_LONG || obj.task.action == ACT_SHORT) { do { if (!$.IsTrading(obj.symbol)) { return ERR_NOT_TRADING; } Sleep(1000); while (true) { // Wait order, not retry var orders = exchange.GetOrders(); if (!orders) { return ERR_GET_ORDERS; } if (orders.length == 0) { break; } for (var i = 0; i < orders.length; i++) { exchange.CancelOrder(orders[i].Id); Sleep(500); } } var positions = exchange.GetPosition(); // Error if (!positions) { return ERR_GET_POS; } // search position var pos = null; for (var i = 0; i < positions.length; i++) { if (positions[i].ContractType == obj.symbol && (((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) && obj.task.action == ACT_LONG) || ((positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) && obj.task.action == ACT_SHORT))) { if (!pos) { pos = positions[i]; pos.Cost = positions[i].Price * positions[i].Amount; } else { pos.Amount += positions[i].Amount; pos.Profit += positions[i].Profit; pos.Cost += positions[i].Price * positions[i].Amount; } } } // record pre position if (!obj.task.init) { obj.task.init = true; if (pos) { obj.task.preAmount = pos.Amount; obj.task.preCost = pos.Cost; } else { obj.task.preAmount = 0; obj.task.preCost = 0; } } var remain = obj.task.amount; if (pos) { obj.task.dealAmount = pos.Amount - obj.task.preAmount; remain = parseInt(obj.task.amount - obj.task.dealAmount); if (remain <= 0 || obj.task.retry >= MaxTaskRetry) { ret = { price: (pos.Cost - obj.task.preCost) / (pos.Amount - obj.task.preAmount), amount: (pos.Amount - obj.task.preAmount), position: pos }; break; } } else if (obj.task.retry >= MaxTaskRetry) { ret = null; break; } var depth = exchange.GetDepth(); if (!depth) { return ERR_GET_DEPTH; } var orderId = null; if (obj.task.action == ACT_LONG) { exchange.SetDirection("buy"); orderId = exchange.Buy(_N(depth.Asks[0].Price + (insDetail.PriceTick * SlideTick), 2), Math.min(remain, depth.Asks[0].Amount), obj.symbol, 'Ask', depth.Asks[0]); } else { exchange.SetDirection("sell"); orderId = exchange.Sell(_N(depth.Bids[0].Price - (insDetail.PriceTick * SlideTick), 2), Math.min(remain, depth.Bids[0].Amount), obj.symbol, 'Bid', depth.Bids[0]); } // symbol not in trading or other else happend if (!orderId) { obj.task.retry++; return ERR_TRADE; } } while (true); } if (obj.task.onFinish) { obj.task.onFinish(ret); } obj.setTask(ACT_IDLE); return ERR_SUCCESS; }; // 策略逻辑执行函数 obj.Poll = function(subroutine) { // 判断交易时段 obj.status.isTrading = $.IsTrading(obj.symbol); if (!obj.status.isTrading) { return; } // 执行下单交易任务 if (obj.task.action != ACT_IDLE) { var retCode = obj.processTask(); if (obj.task.action != ACT_IDLE) { obj.setLastError("任务没有处理成功: " + errMsg[retCode] + ", " + obj.task.desc + ", 重试: " + obj.task.retry); } else { obj.setLastError(); } return; } // 调用Poll时如果设置了subroutine参数,只运行到此处,这个是程序设计的一个小技巧 if (typeof(subroutine) !== 'undefined' && subroutine) { return; } // 根据参数设置微信推送 var suffix = WXPush ? '@' : ''; // switch symbol _C(exchange.SetContractType, obj.symbol); // 获取K线数据 var records = exchange.GetRecords(); if (!records) { obj.setLastError("获取K线失败"); return; } obj.status.recordsLen = records.length; if (records.length < (obj.fastPeriod + 2) || records.length < (obj.slowPeriod +2)) { obj.setLastError("K线长度小于 均线周期:" + obj.fastPeriod + "或" + obj.slowPeriod); return; } var opCode = 0; // 0: IDLE 空闲, 1: LONG 做多, 2: SHORT 做空, 3: CoverALL 当前合约全部平仓。opCode 是操作码,以下策略逻辑检测到条件后设置对应的操作码 var lastPrice = records[records.length - 1].Close; obj.lastPrice = lastPrice; var fastMA = TA.EMA(records, obj.fastPeriod) var slowMA = TA.EMA(records, obj.slowPeriod) // 策略逻辑 if (obj.marketPosition === 0) { // 不持仓时 // 根据交易逻辑赋值opCode信号,程序后续根据信号处理 if(fastMA[fastMA.length - 3] < slowMA[slowMA.length - 3] && fastMA[fastMA.length - 2] > slowMA[slowMA.length - 2]) { // long 均线金叉做多 opCode = 1 } else if (fastMA[fastMA.length - 3] > slowMA[slowMA.length - 3] && fastMA[fastMA.length - 2] < slowMA[slowMA.length - 2]) { // short 均线死叉做空 opCode = 2 } } else { // 持仓时 if(obj.marketPosition < 0 && fastMA[fastMA.length - 3] < slowMA[slowMA.length - 3] && fastMA[fastMA.length - 2] > slowMA[slowMA.length - 2]) { // 持空头仓位,金叉,平仓 opCode = 3 } else if (obj.marketPosition > 0 && fastMA[fastMA.length - 3] > slowMA[slowMA.length - 3] && fastMA[fastMA.length - 2] < slowMA[slowMA.length - 2]) { // 持多头仓位,死叉,平仓 opCode = 3 } // 可以设计更加复杂的交易逻辑,加仓、减仓、止损、止盈等,可以参考原版多品种海龟策略 } // 如果不触发任何条件,操作码为0,返回 if (opCode == 0) { return; } // 执行平仓 if (opCode == 3) { obj.setTask(ACT_COVER, 0, function(ret) { // 设置回调,清空保存的持久化数据 obj.reset(); _G(obj.symbol, null); }); return; } // 参考原版多品种海龟交易策略 /* if (Math.abs(obj.marketPosition) >= obj.maxLots) { obj.setLastError("禁止开仓, 超过最大持仓 " + obj.maxLots); return; } */ var account = _bot.GetAccount(); var canOpen = parseInt((account.Balance-obj.keepBalance) / (opCode == 1 ? obj.symbolDetail.LongMarginRatio : obj.symbolDetail.ShortMarginRatio) / (lastPrice * 1.2) / obj.symbolDetail.VolumeMultiple); var unit = Math.min(1, canOpen); // 开仓数量处理 // 设置交易任务 obj.setTask((opCode == 1 ? ACT_LONG : ACT_SHORT), unit, function(ret) { if (!ret) { obj.setLastError("下单失败"); return; } // 下单成功后,打印一些信息,保存一些数据,参考原版多品种海龟交易策略 obj.holdPrice = ret.position.Price; obj.holdAmount = ret.position.Amount; obj.marketPosition += opCode == 1 ? 1 : -1; obj.status.vm = [obj.marketPosition]; _G(obj.symbol, obj.status.vm); }); }; // 对象构造函数New函数的其它处理工作 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); // 恢复进度,和reset函数传入参数相关,当前策略只有一个持仓参数,可以参考原版多品种海龟策略加以比较学习 obj.reset(vm[0]); } 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, " + new Date()); } 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); } // 可以打印一些策略设置的参数 var initAccount = _bot.GetAccount(); var initMargin = JSON.parse(exchange.GetRawJSON()).CurrMargin; var keepBalance = _N((initAccount.Balance + initMargin) * (KeepRatio/100), 3); Log("资产信息", initAccount, "保留资金:", keepBalance); var tts = []; var filter = []; var arr = Instruments.split(','); var arrFastPeriod = FastPeriodArr.split(',') var arrSlowPeriod = SlowPeriodArr.split(',') if (arr.length != arrFastPeriod.length || arr.length != arrSlowPeriod.length) { throw "均线周期参数与添加合约数量不匹配,请检查参数!" } for (var i = 0; i < arr.length; i++) { var symbol = arr[i].replace(/^\s+/g, "").replace(/\s+$/g, ""); if (typeof(filter[symbol]) !== 'undefined') { throw symbol + "已经存在,请检查参数!" } filter[symbol] = true; var hasPosition = false; for (var j = 0; j < positions.length; j++) { if (positions[j].ContractType == symbol) { hasPosition = true; break; } } var fastPeriod = parseInt(arrFastPeriod[i]) var slowPeriod = parseInt(arrSlowPeriod[i]) var obj = Manager.New(hasPosition, symbol, keepBalance, fastPeriod, slowPeriod) tts.push(obj); } var preTotalHold = -1; 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, " + new Date() + "\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", "当前价格"], 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", "柱线长度", "异常描述", "发生时间"], rows: [] }; var totalHold = 0; var vmStatus = {}; var ts = new Date().getTime(); var holdSymbol = 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++; } tblStatus.rows.push([d.symbolDetail.InstrumentName, d.holdAmount == 0 ? '--' : (d.marketPosition > 0 ? '多' : '空'), d.holdPrice, d.holdAmount, d.holdProfit, Math.abs(d.marketPosition), d.lastPrice]); tblMarket.rows.push([d.symbolDetail.InstrumentName, d.symbolDetail.VolumeMultiple, _N(d.symbolDetail.LongMarginRatio, 4) + '/' + _N(d.symbolDetail.ShortMarginRatio, 4), (d.isTrading ? '是#0000ff' : '否#ff0000'), d.recordsLen, d.lastErr, d.lastErrTime]); totalHold += Math.abs(d.holdAmount); } // 显示状态栏信息 var now = new Date(); var elapsed = now.getTime() - ts; var tblAssets = _bot.GetAccount(true); var nowAccount = _bot.Account(); if (tblAssets.rows.length > 10) { // replace AccountId tblAssets.rows[0] = ["InitAccount", "初始资产", initAccount]; } else { tblAssets.rows.unshift(["NowAccount", "当前可用", nowAccount], ["InitAccount", "初始资产", initAccount]); } lastStatus = '`' + JSON.stringify([tblStatus, tblMarket, tblAssets]) + '`\n轮询耗时: ' + elapsed + ' 毫秒, 当前时间: ' + now.toLocaleString() + ', 星期' + ['日', '一', '二', '三', '四', '五', '六'][now.getDay()] + ", 持有品种个数: " + holdSymbol; if (totalHold > 0) { lastStatus += "\n手动恢复字符串: " + JSON.stringify(vmStatus); } LogStatus(lastStatus); if (preTotalHold > 0 && totalHold == 0) { LogProfit(nowAccount.Balance - initAccount.Balance - initMargin); } preTotalHold = totalHold; Sleep(LoopInterval * 1000); } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6