基于CTP商品期货多品种海龟交易策略修改,用于学习。
/*backtest start: 2021-06-01 09:00:00 end: 2021-09-25 15:00:00 period: 1d basePeriod: 5m exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] args: [["Instruments","rb2201,MA201,j2201,i2201,p2201,AP201"]] */ // 类库交易对象 var _bot = $.NewPositionManager() // 画图相关全局变量 var arrChart = [] var Index = 0 var Manager = { New: function(needRestore, symbol, keepBalance, index) { 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, } // 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 // 策略运行时数据 obj.currHigh = null obj.currLow = null obj.pivot = null obj.resistancePrice1 = null obj.resistancePrice2 = null obj.resistancePrice3 = null obj.strutPrice1 = null obj.strutPrice2 = null obj.strutPrice3 = null obj.records = null obj.index = index obj.preBarTime = 0 obj.backhand = 0 obj.isBannedTrade = false // 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 currHigh: null, currLow: null, pivot: null, resistancePrice1: null, resistancePrice2: null, resistancePrice3: null, strutPrice1: null, strutPrice2: null, strutPrice3: null, 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 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" } 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 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(PERIOD_D1) if (!records) { obj.setLastError("获取K线失败") return } obj.status.recordsLen = records.length if (records.length < 2) { obj.setLastError("K线数据长度不足2") return } // 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 opCode = 0 var lastPrice = records[records.length - 1].Close obj.lastPrice = lastPrice // 记录当日最高最低价 obj.currHigh = records[records.length - 1].High obj.currLow = records[records.length - 1].Low obj.status.currHigh = obj.currHigh obj.status.currLow = obj.currLow // 计算阻力位、支撑位 obj.records = records var preBar = records[records.length - 2] obj.pivot = (preBar.High + preBar.Low + preBar.Close) / 3 obj.resistancePrice1 = 2 * obj.pivot - preBar.Low obj.resistancePrice2 = obj.pivot + (preBar.High - preBar.Low) obj.resistancePrice3 = preBar.High + 2 * (obj.pivot - preBar.Low) obj.strutPrice1 = 2 * obj.pivot - preBar.High obj.strutPrice2 = obj.pivot - (preBar.High - preBar.Low) obj.strutPrice3 = preBar.Low - 2 * (preBar.High - obj.pivot) // 更新obj.status obj.status.pivot = obj.pivot obj.status.resistancePrice1 = obj.resistancePrice1 obj.status.resistancePrice2 = obj.resistancePrice2 obj.status.resistancePrice3 = obj.resistancePrice3 obj.status.strutPrice1 = obj.strutPrice1 obj.status.strutPrice2 = obj.strutPrice2 obj.status.strutPrice3 = obj.strutPrice3 // 下午收盘清仓 if (new Date().getHours() == 14 && new Date().getMinutes() > 58 && obj.marketPosition != 0) { // 设置回调,清空保存的持久化数据 obj.setTask(ACT_COVER, 0, function(ret) { obj.reset() _G(obj.symbol, null) }) obj.isBannedTrade = true return } // 临近收盘禁止开仓 if (records[records.length - 1].Time != obj.preBarTime) { obj.isBannedTrade = false } if (obj.isBannedTrade) { return } // 策略逻辑 // 不持仓时 if (obj.marketPosition === 0) { // 根据交易逻辑赋值opCode信号,程序后续根据信号处理 if(lastPrice > obj.resistancePrice3 || obj.backhand > 0) { opCode = 1 } else if (lastPrice < obj.strutPrice3 || obj.backhand < 0) { opCode = 2 } // 反手后重置 if (obj.backhand != 0) { obj.backhand = 0 } } else { if(obj.marketPosition > 0 && (obj.currHigh > obj.resistancePrice2 && lastPrice < obj.resistancePrice1 || lastPrice < obj.strutPrice3)) { // 持多仓 opCode = 3 // 平仓后反手做空 obj.backhand = -1 } else if (obj.marketPosition < 0 && (obj.currLow < obj.strutPrice2 && lastPrice > obj.strutPrice1 || lastPrice > obj.resistancePrice3)) { // 持空仓 opCode = 3 // 平仓后反手做多 obj.backhand = 1 } } // 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) { obj.reset() _G(obj.symbol, null) }) 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) // 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 } 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) }) } // 增加图表结构 obj.objChart = { __isStock: true, extension: { layout: 'single', height: 600, }, title : { text : obj.symbol}, yAxis: { plotLines: [ {value: 0,color: 'red',width: 1,label: {text: '阻力1',align: 'center'}}, {value: 0,color: 'red',width: 1,label: {text: '阻力2',align: 'center'}}, {value: 0,color: 'red',width: 1,label: {text: '阻力3',align: 'center'}}, {value: 0,color: 'green',width: 1,label: {text: '支撑1',align: 'center'}}, {value: 0,color: 'green',width: 1,label: {text: '支撑2',align: 'center'}}, {value: 0,color: 'green',width: 1,label: {text: '支撑3',align: 'center'}}, ] }, xAxis: { type: 'datetime'}, series : [ { type: 'candlestick', name: 'k', id: 'k', data: [] } ] } // 新增画图函数 obj.PlotRecords = function(chart) { var r = obj.records if(!r || r.length < 2) { return } for (var j = 0; j < r.length; j++) { if (r[j].Time == obj.preBarTime) { chart.add(obj.index, [r[j].Time, r[j].Open, r[j].High, r[j].Low, r[j].Close], -1) } else if (r[j].Time > obj.preBarTime) { obj.preBarTime = r[j].Time chart.add(obj.index, [r[j].Time, r[j].Open, r[j].High, r[j].Low, r[j].Close]) } } obj.objChart.yAxis.plotLines[0].value = _N(obj.resistancePrice1, 3) // 阻力1 obj.objChart.yAxis.plotLines[0].label.text = "阻力1:" + _N(obj.resistancePrice1, 3) obj.objChart.yAxis.plotLines[1].value = _N(obj.resistancePrice2, 3) obj.objChart.yAxis.plotLines[1].label.text = "阻力2:" + _N(obj.resistancePrice2, 3) obj.objChart.yAxis.plotLines[2].value = _N(obj.resistancePrice3, 3) obj.objChart.yAxis.plotLines[2].label.text = "阻力3:" + _N(obj.resistancePrice3, 3) obj.objChart.yAxis.plotLines[3].value = _N(obj.strutPrice1, 3) // 支撑1 obj.objChart.yAxis.plotLines[3].label.text = "支撑1:" + _N(obj.strutPrice1, 3) obj.objChart.yAxis.plotLines[4].value = _N(obj.strutPrice2, 3) obj.objChart.yAxis.plotLines[4].label.text = "支撑2:" + _N(obj.strutPrice2, 3) obj.objChart.yAxis.plotLines[5].value = _N(obj.strutPrice3, 3) obj.objChart.yAxis.plotLines[5].label.text = "支撑3:" + _N(obj.strutPrice3, 3) } // 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) 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 (isReset) { _G(null) LogReset(1) LogProfitReset() LogVacuum() Log("重置所有数据", "#FF0000") } 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) } var initAccount = _bot.GetAccount() // 恢复记录 var recoveryInitAcc = _G("initAccount") if (!recoveryInitAcc) { // 不存在恢复的数据,使用当前数据初始化 _G("initAccount", initAccount) } else { // 存在恢复的数据,恢复初始账户数据 initAccount = recoveryInitAcc } 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(',') 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 obj = Manager.New(hasPosition, symbol, keepBalance, Index) tts.push(obj) arrChart.push(obj.objChart) // 图表数据系列索引 Index += 1 } // 创建图表对象 var chart = Chart(arrChart) chart.reset() var printProfitTS = 0 var preTotalHold = -1 var lastStatus = '' while (true) { // 交互 var cmd = GetCommand() if (cmd) { if (cmd === "暂停/继续") { Log("暂停交易中...") while (GetCommand() !== "暂停/继续") { Sleep(1000) } Log("继续交易中...") } Log("交互命令:", cmd) var arr = cmd.split(":") if(arr[0] == "cover") { var index = parseFloat(arr[1]) // 对指定的交易所对象,执行平仓 tts[index].setTask(ACT_COVER, 0, function(ret) { tts[index].reset() _G(tts[index].symbol, null) }) } } 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", "操作"], 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, {'type':'button', 'cmd': 'cover:' + String(i), 'name': '平仓'}]) // 加入交互按钮 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) // 写入画图数据 tts[i].PlotRecords(chart) } // 更新图表 chart.update(arrChart) // 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) preTotalHold = totalHold // 定时打印一次 if (ts - printProfitTS > 1000 * 60 * 60 * 24 && !IsVirtual()) { LogProfit(nowAccount.Info.Balance - initAccount.Info.Balance) printProfitTS = ts } Sleep(LoopInterval * 1000) } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6