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- A股港股对冲套利策略
A股港股对冲套利策略
Author:
雨幕(youquant), Date: 2021-09-01 15:06:47
Tags:
股票对冲套利
/*backtest
start: 2020-09-01 09:00:00
end: 2021-08-31 15:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_XTP","currency":"STOCK","minFee":0},{"eid":"Futures_XTP","currency":"STOCK","minFee":0}]
*/
// 全局变量
var level_a2h = null
var level_h2a = null
function newDate() {
var timezone = 8 //目标时区时间,东八区
var offset_GMT = new Date().getTimezoneOffset() // 本地时间和格林威治的时间差,单位为分钟
var nowDate = new Date().getTime() // 本地时间距 1970 年 1 月 1 日午夜(GMT 时间)之间的毫秒数
var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)
return targetDate
}
function IsTrading() {
var now = newDate() // 使用 newDate() 代替 new Date() 因为服务器时区问题
var day = now.getDay()
var hour = now.getHours()
var minute = now.getMinutes()
StatusMsg = "非交易时段"
if (day === 0 || day === 6) {
return false
}
if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) {
// 9:30-11:30
StatusMsg = "交易时段"
return true
} else if (hour >= 13 && hour < 15) {
// 13:00-15:00
StatusMsg = "交易时段"
return true
}
return false
}
function GetPosition(e, contractTypeName) {
var allAmount = 0
var allProfit = 0
var allFrozen = 0
var posMargin = 0
var price = 0
var direction = null
positions = _C(e.GetPosition)
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractTypeName) {
continue
}
if (positions[i].Type == PD_LONG) {
posMargin = positions[i].MarginLevel
allAmount += positions[i].Amount
allProfit += positions[i].Profit
allFrozen += positions[i].FrozenAmount
price = positions[i].Price
direction = positions[i].Type
}
}
if (allAmount === 0) {
return null
}
return {
MarginLevel: posMargin,
FrozenAmount: allFrozen,
Price: price,
Amount: allAmount,
Profit: allProfit,
Type: direction,
ContractType: contractTypeName,
CanCoverAmount: allAmount - allFrozen
}
}
function getBaseStocks(priceA, priceH) {
var infoA = _C(exchanges[0].SetContractType, symbolA)
exchanges[0].SetDirection("buy")
exchanges[0].Buy(priceA + infoA.PriceTick * slidePoint, (baseStocks - baseStocks % infoA.VolumeMultiple), "一手股数:" + infoA.VolumeMultiple)
Log(symbolA, exchanges[0].GetPosition(symbolA))
var infoH = _C(exchanges[1].SetContractType, symbolH)
exchanges[1].SetDirection("buy")
exchanges[1].Buy(priceH + infoH.PriceTick * slidePoint, (baseStocks - baseStocks % infoH.VolumeMultiple), "一手股数:" + infoH.VolumeMultiple)
Log(symbolH, exchanges[1].GetPosition(symbolH))
Sleep(1000 * 10)
Log("底仓建仓完毕", "#FF0000")
_G("initAcc", updateAcc())
}
function updateAcc() {
var acc0 = _C(exchanges[0].GetAccount)
var acc1 = _C(exchanges[1].GetAccount)
var pos0 = GetPosition(exchanges[0], symbolA)
var pos1 = GetPosition(exchanges[1], symbolH)
var holdA = pos0 ? pos0.Amount : 0
var holdH = pos1 ? pos1.Amount : 0
var account = {"initAcc_A" : acc0, "initAcc_H" : acc1, "holdA" : holdA, "holdH" : holdH}
return account
}
function hedge(buySymbol, sellSymbol, buyPrice, sellPrice, amount) {
var buyEx = buySymbol == symbolA ? exchanges[0] : exchanges[1]
var sellEx = sellSymbol == symbolH ? exchanges[1] : exchanges[0]
// 卖出的检查持仓
var infoSell = sellEx.SetContractType(sellSymbol)
var sellExPos = GetPosition(sellEx, sellSymbol)
if (!sellExPos) {
return
}
// 检查资产数值
var infoBuy = buyEx.SetContractType(buySymbol)
var buyExAcc = buyEx.GetAccount()
if (!buyExAcc) {
return
}
// 检查资金、仓位
amount = Math.min(buyExAcc.Balance / buyPrice, sellExPos.CanCoverAmount, amount)
var minAmount = Math.max(infoBuy.VolumeMultiple, infoSell.VolumeMultiple)
if (amount < minAmount) {
return
}
amount = amount - amount % minAmount
buyEx.SetDirection("buy")
var buyId = buyEx.Buy(buyPrice + infoBuy.PriceTick * slidePoint, amount, buySymbol, "一手股数:" + infoBuy.VolumeMultiple)
sellEx.SetDirection("closebuy")
var sellId = sellEx.Sell(sellPrice - infoSell.PriceTick * slidePoint, amount, sellSymbol, "一手股数:" + infoSell.VolumeMultiple)
return {"buyId" : buyId, "sellId" : sellId}
}
function calcProfit(initAcc, priceA, priceH) {
Sleep(5000) // 需要等待,否则拿到的是旧数据,会引起计算错误
var acc0 = _C(exchanges[0].GetAccount)
var acc1 = _C(exchanges[1].GetAccount)
var pos0 = GetPosition(exchanges[0], symbolA)
var pos1 = GetPosition(exchanges[1], symbolH)
var holdA = pos0 ? pos0.Amount : 0
var holdH = pos1 ? pos1.Amount : 0
var holdA_DiffBalance = (holdA - initAcc.holdA) * priceA
var holdH_DiffBalance = (holdH - initAcc.holdH) * priceH
LogProfit((acc0.Balance + acc1.Balance) - (initAcc.initAcc_A.Balance + initAcc.initAcc_H.Balance) + (holdA_DiffBalance + holdH_DiffBalance), acc0.Balance + acc0.FrozenBalance, acc1.Balance + acc1.FrozenBalance)
}
function main() {
// 重置所有
if(isReset) {
_G(null)
LogReset(1)
LogProfitReset()
LogVacuum()
Log("重置所有数据", "#FF0000")
}
SetErrorFilter("market not ready")
for (var i in exchanges) {
if((exchanges[i].GetCurrency() != "STOCK" && exchanges[i].GetCurrency() != "STOCK_CNY" ) || (exchanges[i].GetName() != "Futures_Futu" && exchanges[i].GetName() != "Futures_XTP")) {
throw "不支持"
}
exchanges[i].SetPrecision(2, 0)
}
var initAcc = null
var level = _G("level")
if (!level) {
level = {"level_a2h" : 0, "level_h2a" : 0}
_G("level", level)
} else {
Log("载入level:", level)
}
level_a2h = level.level_a2h
level_h2a = level.level_h2a
// 设置港币汇率
if (exchanges.length != 2) {
throw "需要添加2个交易所对象,可以使用同一个账号配置2个交易所对象。"
} else {
if (!symbolA.includes(".SH") && !symbolA.includes(".SZ")) {
throw "参数symbolA需要设置A股代码。"
}
if (!symbolH.includes(".HK")) {
throw "参数symbolH需要设置港股代码。"
}
exchanges[1].SetRate(H2A_Rate)
Log("设置港元->CNY的汇率:", H2A_Rate)
}
var statusMsg = ""
var floatProfit = ""
var tbl = {}
var lastTbl = null
while (true) {
LogStatus(_D(), statusMsg, "对冲的浮动盈亏:", floatProfit, "\n", "`" + JSON.stringify(tbl) + "`")
statusMsg = ""
floatProfit = ""
tbl = {
type : "table",
title : "数据",
cols : ["股票代码", "当前价格", "账户可用资产", "账户冻结资产", "持仓价格", "持仓数量", "持仓盈亏", "可平仓量"],
rows : []
}
// 接收交互命令
var cmd = GetCommand()
Sleep(1000 *5)
if (!IsTrading()) {
statusMsg += "不在交易时间。"
tbl = lastTbl // 显示缓存信息
continue
}
var infoA = exchanges[0].SetContractType(symbolA)
if (!infoA) {
statusMsg += "订阅" + symbolA + "失败。"
continue
}
var tickerA = exchanges[0].GetTicker()
var depthA = exchanges[0].GetDepth()
var infoH = exchanges[1].SetContractType(symbolH)
if (!infoH) {
statusMsg += "订阅" + symbolH + "失败。"
continue
}
var tickerH = exchanges[1].GetTicker()
var depthH = exchanges[1].GetDepth()
if (!tickerA || !tickerH) {
statusMsg += "获取行情数据失败。"
continue
}
// 需要判断涨跌停
if (!depthA || !depthH || depthA.Bids[0].Amount == 0 || depthA.Asks[0].Amount == 0 || depthH.Bids[0].Amount == 0 || depthH.Asks[0].Amount == 0) {
statusMsg += "获取深度信息失败。"
continue
}
if (isGetBaseStocks) {
getBaseStocks(tickerA.Sell, tickerH.Sell)
isGetBaseStocks = false
}
if (!initAcc) {
initAcc = _G("initAcc")
if (!initAcc) {
initAcc = updateAcc()
_G("initAcc", initAcc)
}
Log("初始账户数据", initAcc)
Log("A股资产:", initAcc.initAcc_A.Balance + initAcc.initAcc_A.FrozenBalance, "港股资产:", initAcc.initAcc_H.Balance + initAcc.initAcc_H.FrozenBalance)
}
var a2h = tickerA.Buy - tickerH.Sell
var h2a = tickerA.Sell - tickerH.Buy
var ts = new Date().getTime()
$.PlotLine("a2h", a2h, ts)
$.PlotLine("h2a", h2a, ts)
if (a2h > minHedgeDiffPrice + level_a2h * spacing) {
var ret = hedge(symbolH, symbolA, tickerH.Sell, tickerA.Buy, hedgeAmount)
if (ret) {
level_a2h++
$.PlotFlag(ts, 'sell', 'S')
Log("ret:", ret, "对冲差价:", tickerA.Buy - tickerH.Sell)
}
} else if (-h2a > minHedgeDiffPrice + level_h2a * spacing) {
var ret = hedge(symbolA, symbolH, tickerA.Sell, tickerH.Buy, hedgeAmount)
if (ret) {
level_h2a++
$.PlotFlag(ts, 'buy', 'B')
Log("ret:", ret, "对冲差价:", tickerA.Sell - tickerH.Buy)
}
}
if (a2h < minHedgeDiffPrice + (level_a2h - 1) * spacing - hedgeProfit && level_a2h > 0) {
var ret = hedge(symbolA, symbolH, tickerA.Sell, tickerH.Buy, hedgeAmount)
if (ret) {
level_a2h--
$.PlotFlag(ts, 'buy', 'B')
Log("ret:", ret, "对冲差价:", tickerA.Sell - tickerH.Buy)
calcProfit(initAcc, tickerA.Last, tickerH.Last)
}
} else if (-h2a < minHedgeDiffPrice + (level_h2a - 1) * spacing - hedgeProfit && level_h2a > 0) {
var ret = hedge(symbolH, symbolA, tickerH.Sell, tickerA.Buy, hedgeAmount)
if (ret) {
level_h2a--
$.PlotFlag(ts, 'sell', 'S')
Log("ret:", ret, "对冲差价:", tickerA.Buy - tickerH.Sell)
calcProfit(initAcc, tickerA.Last, tickerH.Last)
}
}
// 处理交互命令
if (cmd) {
Log("接收到命令:", cmd)
var arr = cmd.split(":")
if (arr[0] == "buyH_sellA") {
var amount = parseFloat(arr[1])
var ret = hedge(symbolH, symbolA, tickerH.Sell, tickerA.Buy, amount)
if (ret) {
$.PlotFlag(ts, 'sell', 'S')
Log("ret:", ret, "对冲差价:", tickerA.Buy - tickerH.Sell)
calcProfit(initAcc, tickerA.Last, tickerH.Last)
}
} else if (arr[0] == "buyA_sellH") {
var amount = parseFloat(arr[1])
var ret = hedge(symbolA, symbolH, tickerA.Sell, tickerH.Buy, amount)
if (ret) {
$.PlotFlag(ts, 'buy', 'B')
Log("ret:", ret, "对冲差价:", tickerA.Sell - tickerH.Buy)
calcProfit(initAcc, tickerA.Last, tickerH.Last)
}
}
}
// tbl
var acc0 = exchanges[0].GetAccount()
var balance = frozenBalance = "--"
if (acc0) {
balance = acc0.Balance
frozenBalance = acc0.FrozenBalance
}
var pos0 = GetPosition(exchanges[0], symbolA)
var holdPrice = holdAmount = holdProfit = holdCanCoverAmount = "--"
if (pos0) {
holdPrice = pos0.Price
holdAmount = pos0.Amount
holdProfit = pos0.Profit
holdCanCoverAmount = pos0.CanCoverAmount
}
tbl.rows.push([symbolA, tickerA.Last, balance, frozenBalance, holdPrice, holdAmount, holdProfit, holdCanCoverAmount])
var acc1 = exchanges[1].GetAccount()
var balance = frozenBalance = "--"
if (acc1) {
balance = acc1.Balance
frozenBalance = acc1.FrozenBalance
}
var pos1 = GetPosition(exchanges[1], symbolH)
var holdPrice = holdAmount = holdProfit = holdCanCoverAmount = "--"
if (pos1) {
holdPrice = pos1.Price
holdAmount = pos1.Amount
holdProfit = pos1.Profit
holdCanCoverAmount = pos1.CanCoverAmount
}
tbl.rows.push([symbolH, tickerH.Last, balance, frozenBalance, holdPrice, holdAmount, holdProfit, holdCanCoverAmount])
lastTbl = tbl
if (acc0 && acc1) {
floatProfit += (acc0.Balance + acc1.Balance) - (initAcc.initAcc_A.Balance + initAcc.initAcc_H.Balance) +
(((pos0 ? pos0.Amount : 0) - initAcc.holdA) * tickerA.Last + ((pos1 ? pos1.Amount : 0) - initAcc.holdH) * tickerH.Last)
}
}
}
function onexit() {
var level = {"level_a2h" : level_a2h, "level_h2a" : level_h2a}
_G("level", level)
Log("记录:", level)
}
function onerror() {
var level = {"level_a2h" : level_a2h, "level_h2a" : level_h2a}
_G("level", level)
Log("记录:", level)
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6