全球10大交易系统之一, 是做为商品期货多品种操作策略入门的不二之选
是的, 免费开源给BotVS用户, 完整的策略像一个完整的人生, 每个环节都不可少
/*backtest start: 2016-01-15 09:00:00 end: 2017-01-01 15:00:00 period: 1d */ function Aberration(q, e, symbol, period, upRatio, downRatio, opAmount) { var self = {} self.q = q self.e = e self.symbol = symbol self.upTrack = 0 self.middleTrack = 0 self.downTrack = 0 self.nPeriod = period self.upRatio = upRatio self.downRatio = downRatio self.opAmount = opAmount self.marketPosition = 0 self.lastErrMsg = '' self.lastErrTime = '' self.lastBar = { Time: 0, Open: 0, High: 0, Low: 0, Close: 0, Volume: 0 } self.symbolDetail = null self.lastBarTime = 0 self.tradeCount = 0 self.isBusy = false self.setLastError = function(errMsg) { self.lastErrMsg = errMsg self.lastErrTime = errMsg.length > 0 ? _D() : '' } self.getStatus = function() { return [self.symbol, self.opAmount, self.upTrack, self.downTrack, self.middleTrack, _N(self.lastBar.Close), (self.marketPosition == 0 ? "--" : (self.marketPosition > 0 ? "多#ff0000" : "空#0000ff")), self.tradeCount, self.lastErrMsg, self.lastErrTime] } self.getMarket = function() { return [self.symbol, _D(self.lastBarTime), _N(self.lastBar.Open), _N(self.lastBar.High), _N(self.lastBar.Low), _N(self.lastBar.Close), self.lastBar.Volume] } self.restore = function(positions) { for (var i = 0; i < positions.length; i++) { if (positions[i].ContractType == self.symbol) { self.marketPosition += positions[i].Amount * ((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) ? 1 : -1) } } if (self.marketPosition !== 0) { self.tradeCount++ Log("恢复", self.symbol, "当前持仓为", self.marketPosition) } } self.poll = function() { if (self.isBusy) { return false } if (!$.IsTrading(self.symbol)) { self.setLastError("不在交易时间内") return false } if (!self.e.IO("status")) { self.setLastError("未连接交易所") return false } var detail = self.e.SetContractType(self.symbol) if (!detail) { self.setLastError("切换合约失败") return false } if (!self.symbolDetail) { self.symbolDetail = detail Log("合约", detail.InstrumentName.replace(/\s+/g, ""), ", 策略一次开仓:", self.opAmount, "手, 一手", detail.VolumeMultiple, "份, 最大下单量", detail.MaxLimitOrderVolume, "保证金率:", detail.LongMarginRatio.toFixed(4), detail.ShortMarginRatio.toFixed(4), "交割日期", detail.StartDelivDate); } var records = self.e.GetRecords() if (!records || records.length == 0) { self.setLastError("获取柱线失败") return false } var bar = records[records.length - 1] self.lastBar = bar if (records.length <= self.nPeriod) { self.setLastError("柱线长度不够") return false } if (self.lastBarTime < bar.Time) { var sum = 0 var pos = records.length - self.nPeriod - 1 for (var i = pos; i < records.length - 1; i++) { sum += records[i].Close } var avg = sum / self.nPeriod var std = 0 for (i = pos; i < records.length - 1; i++) { std += Math.pow(records[i].Close - avg, 2) } std = Math.sqrt(std / self.nPeriod) self.upTrack = _N(avg + (self.upRatio * std)) self.downTrack = _N(avg - (self.downRatio * std)) self.middleTrack = _N(avg) self.lastBarTime = bar.Time } var msg var act = "" if (self.marketPosition == 0) { if (bar.Close > self.upTrack) { msg = '做多 触发价: ' + bar.Close + ' 上轨:' + self.upTrack; act = "buy" } else if (bar.Close < self.downTrack) { msg = '做空 触发价: ' + bar.Close + ' 下轨:' + self.downTrack; act = "sell" } } else { if (self.marketPosition < 0 && bar.Close > self.middleTrack) { msg = '平空 触发价: ' + bar.Close + ' 平仓线:' + self.middleTrack; act = "closesell" } else if (self.marketPosition > 0 && bar.Close < self.middleTrack) { msg = '平多 触发价: ' + bar.Close + ' 平仓线:' + self.middleTrack; act = "closebuy" } } if (act == "") { return true } Log(self.symbol + ', ' + msg + (NotifyWX ? '@' : '')) self.isBusy = true self.tradeCount += 1 if (self.lastErrMsg != '') { self.setLastError('') } self.q.pushTask(self.e, self.symbol, act, self.opAmount, function(task, ret) { self.isBusy = false if (!ret) { return } if (task.action == "buy") { self.marketPosition = 1 } else if (task.action == "sell") { self.marketPosition = -1 } else { self.marketPosition = 0 } }) } return self } function main() { if (exchange.GetName() !== 'Futures_CTP') { throw "只支持传统商品期货(CTP)" } SetErrorFilter("login|ready|初始化") LogStatus("Ready...") if (Reset) { LogProfitReset() LogReset() } // Ref: https://www.botvs.com/bbs-topic/362 if (typeof(exchange.IO("mode", 0)) == 'number') { Log("切换行情模式成功") } LogStatus("等待与期货商服务器连接..") while (!exchange.IO("status")) { Sleep(500) } LogStatus("获取资产信息") var tblRuntime = { type: 'table', title: '交易信息', cols: ['品种', '每次开仓量', '上轨', '下轨', '中轨', '最后成交价', '仓位', '交易次数', '最后错误', '错误时间'], rows: [] }; var tblMarket = { type: 'table', title: '行情信息', cols: ['品种', '当前周期', '开盘', '最高', '最低', '最后成交价', '成交量'], rows: [] }; var tblPosition = { type: 'table', title: '持仓信息', cols: ['品种', '杠杆', '方向', '均价', '数量', '持仓盈亏'], rows: [] }; var positions = _C(exchange.GetPosition) if (positions.length > 0 && !AutoRestore) { throw "程序启动时不能有持仓, 但您可以勾选自动恢复来进行自动识别 !" } var initAccount = _C(exchange.GetAccount) var detail = JSON.parse(exchange.GetRawJSON()) if (positions.length > 0) { initAccount.Balance += detail['CurrMargin'] } var initNetAsset = detail['CurrMargin'] + detail['Available'] var initAccountTbl = $.AccountToTable(exchange.GetRawJSON(), "初始资金") if (initAccountTbl.rows.length == 0) { initAccountTbl.rows = [ ['Balance', '可用保证金', initAccount.Balance], ['FrozenBalance', '冻结资金', initAccount.FrozenBalance] ] } var nowAcccount = initAccount var nowAcccountTbl = initAccountTbl var symbols = Symbols.replace(/\s+/g, "").split(',') var pollers = [] var prePosUpdate = 0 var suffix = "" var needUpdate = false var holdProfit = 0 function updateAccount(acc) { nowAcccount = acc nowAcccountTbl = $.AccountToTable(exchange.GetRawJSON(), "当前资金") if (nowAcccountTbl.rows.length == 0) { nowAcccountTbl.rows = [ ['Balance', '可用保证金', nowAcccount.Balance], ['FrozenBalance', '冻结资金', nowAcccount.FrozenBalance] ] } } var q = $.NewTaskQueue(function(task, ret) { needUpdate = true Log(task.desc, ret ? "成功" : "失败") var account = task.e.GetAccount() if (account) { updateAccount(account) } }) _.each(symbols, function(symbol) { var pair = symbol.split(':') pollers.push(Aberration(q, exchange, pair[0], NPeriod, Ks, Kx, (pair.length == 1 ? AmountOP : parseInt(pair[1])))) }) if (positions.length > 0 && AutoRestore) { _.each(pollers, function(poll) { poll.restore(positions) }) } var isFirst = true while (true) { var cmd = GetCommand() if (cmd) { var js = cmd.split(':', 2)[1] Log("执行调试代码:", js) try { eval(js) } catch (e) { Log("Exception", e) } } tblRuntime.rows = [] tblMarket.rows = [] var marketAlive = false _.each(pollers, function(poll) { if (poll.poll()) { marketAlive = true } tblRuntime.rows.push(poll.getStatus()) tblMarket.rows.push(poll.getMarket()) }) q.poll() Sleep(LoopInterval * 1000) if ((!exchange.IO("status")) || (!marketAlive)) { if (isFirst) { LogStatus("正在等待开盘...", _D()) } continue } isFirst = false var now = new Date().getTime() if (marketAlive && (now - prePosUpdate > 30000 || needUpdate)) { var pos = exchange.GetPosition() if (pos) { holdProfit = 0 prePosUpdate = now tblPosition.rows = [] for (var i = 0; i < pos.length; i++) { tblPosition.rows.push([pos[i].ContractType, pos[i].MarginLevel, ((pos[i].Type == PD_LONG || pos[i].Type == PD_LONG_YD) ? '多#ff0000' : '空#0000ff'), pos[i].Price, pos[i].Amount, _N(pos[i].Profit)]) holdProfit += pos[i].Profit } if (pos.length == 0 && needUpdate) { LogProfit(_N(nowAcccount.Balance - initAccount.Balance, 4), nowAcccount) } } needUpdate = false if (RCMode) { var account = exchange.GetAccount() if (account) { updateAccount(account) var detail = JSON.parse(exchange.GetRawJSON()) var netAsset = detail['PositionProfit'] + detail['CurrMargin'] + detail['Available'] var risk = detail['CurrMargin'] / (detail['CurrMargin'] + detail['Available'] + detail['PositionProfit']) suffix = ", 账户初始净值约: " + _N(initNetAsset, 2) + " , 风控最小净值要求" + MinNetAsset + " , 当前账户净值约: " + _N(netAsset, 2) + ", 盈亏约: " + _N(netAsset - initNetAsset, 3) + " 元, 风险: " + ((risk * 100).toFixed(3)) + "% #ff0000" if (netAsset < MinNetAsset) { Log("风控模块触发, 中止运行并平掉所有仓位, 当前净值约 ", netAsset, ", 要求低于最小净值:", MinNetAsset) if (RCCoverAll) { Log("开始平掉所有仓位") $.NewPositionManager().CoverAll() } throw "中止运行" } } } } LogStatus('`' + JSON.stringify([tblRuntime, tblPosition, tblMarket, initAccountTbl, nowAcccountTbl]) + '`\n价格最后更新: ' + _D() + ', 持仓最后更新: ' + _D(prePosUpdate) + '\n当前持仓总盈亏: ' + _N(holdProfit, 3) + suffix) } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6