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商品期货资金管理策略(教学)
Author:
雨幕(youquant), Date: 2021-12-15 10:36:58
Tags:
/*backtest
start: 2021-07-01 09:00:00
end: 2021-12-14 15:00:00
period: 1d
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*/
// 全局变量
var p = $.NewPositionManager()
var n = 1
function GetOrders(symbol, orders) {
var ret = []
for (var i = 0 ; i < orders.length ; i++) {
if (orders[i].ContractType == symbol) {
ret.push(orders[i])
}
}
return ret
}
function CancelOrders(symbol, orders) {
for (var i = 0 ; i < orders.length ; i++) {
if (orders[i].ContractType == symbol) {
exchange.CancelOrder(orders[i].Id, orders[i])
Sleep(500)
}
}
}
function trade(distance, price, amount) {
var tradeFunc = null
if (distance == "buy") {
tradeFunc = exchange.Buy
} else if (distance == "sell") {
tradeFunc = exchange.Sell
} else if (distance == "closebuy") {
tradeFunc = exchange.Sell
} else {
tradeFunc = exchange.Buy
}
exchange.SetDirection(distance)
return tradeFunc(price, amount)
}
function openLong(price, amount) {
return trade("buy", price, amount)
}
function openShort(price, amount) {
return trade("sell", price, amount)
}
function coverLong(price, amount, pos) {
var direction = pos.Type == PD_LONG ? "closebuy_today" : "closebuy"
return trade("closebuy", price, amount)
}
function coverShort(price, amount, pos) {
var direction = pos.Type == PD_LONG ? "closebuy_today" : "closebuy"
return trade("closesell", price, amount)
}
function onTick() {
var info = exchange.SetContractType(symbol)
if (!info) {
return
}
var r = exchange.GetRecords()
if (!r) {
return
}
$.PlotRecords(r, symbol)
var allOrders = exchange.GetOrders()
if (!allOrders) {
return
}
var orders = GetOrders(symbol, allOrders)
// 检测挂单
var buyOrder = null
var sellOrder = null
if (orders.length == 2) {
for (var i = 0 ; i < orders.length ; i++) {
if (orders[i].Type == ORDER_TYPE_BUY) {
buyOrder = orders[i]
} else if (orders[i].Type == ORDER_TYPE_SELL) {
sellOrder = orders[i]
}
}
if (!buyOrder || !sellOrder) {
CancelOrders(symbol, GetOrders(symbol, _C(exchange.GetOrders)))
return
}
} else if (orders.length == 1) {
CancelOrders(symbol, GetOrders(symbol, _C(exchange.GetOrders)))
return
}
var ticker = exchange.GetTicker()
if (!ticker) {
return
}
var pos = exchange.GetPosition()
if (!pos) {
return
}
var longPos = p.GetPosition(symbol, PD_LONG, pos)
var shortPos = p.GetPosition(symbol, PD_SHORT, pos)
var sellId = null
var buyId = null
if (longPos && shortPos) { // 同时持有多空仓位
throw "同时持有多空仓位"
} else if (orders.length == 0 && !longPos && !shortPos) { // 无持仓
buyId = openLong(parseInt(ticker.Last - openTarget * n - info.PriceTick), amount)
$.PlotHLine(parseInt(ticker.Last - openTarget * n - info.PriceTick), "buy", "red")
sellId = openShort(parseInt(ticker.Last + openTarget * n + info.PriceTick), amount)
$.PlotHLine(parseInt(ticker.Last + openTarget * n + info.PriceTick), "sell", "green")
} else if (orders.length == 0 && longPos && !shortPos) { // 只持有多头持仓
buyId = openLong(parseInt(ticker.Last - openTarget * n - info.PriceTick), amount)
$.PlotHLine(parseInt(ticker.Last - openTarget * n - info.PriceTick), "buy", "red")
sellId = coverLong(parseInt(longPos.Price + closeTarget * Math.min(amount / longPos.Amount, 1) + info.PriceTick), longPos.Amount, longPos)
$.PlotHLine(parseInt(longPos.Price + closeTarget * Math.min(amount / longPos.Amount, 1) + info.PriceTick), "sell", "green")
} else if (orders.length == 0 && !longPos && shortPos) { // 只持有空头持仓
buyId = coverShort(parseInt(shortPos.Price - closeTarget * Math.min(amount / shortPos.Amount, 1) - info.PriceTick), shortPos.Amount, shortPos)
$.PlotHLine(parseInt(shortPos.Price - closeTarget * Math.min(amount / shortPos.Amount, 1) - info.PriceTick), "buy", "red")
sellId = openShort(parseInt(ticker.Last + openTarget * n + info.PriceTick), amount)
$.PlotHLine(parseInt(ticker.Last + openTarget * n + info.PriceTick), "sell", "green")
}
if (orders.length == 0 && (!sellId || !buyId)) {
CancelOrders(symbol, GetOrders(symbol, _C(exchange.GetOrders)))
return
}
var tblPos = {
"type" : "table",
"title" : "持仓",
"cols" : ["持仓品种", "数量", "价格", "方向", "浮动盈亏"],
"rows" : []
}
if (longPos) {
tblPos.rows.push([longPos.ContractType, longPos.Amount, longPos.Price, longPos.Type == PD_LONG ? "多" : "空", longPos.Profit])
}
if (shortPos) {
tblPos.rows.push([shortPos.ContractType, shortPos.Amount, shortPos.Price, shortPos.Type == PD_LONG ? "多" : "空", shortPos.Profit])
}
var tblOrders = {
"type" : "table",
"title" : "挂单",
"cols" : ["订单品种", "数量", "价格", "方向"],
"rows" : []
}
if (buyOrder) {
tblOrders.rows.push([buyOrder.ContractType, buyOrder.Amount, buyOrder.Price, buyOrder.Type == ORDER_TYPE_BUY ? "买" : "卖"])
}
if (sellOrder) {
tblOrders.rows.push([sellOrder.ContractType, sellOrder.Amount, sellOrder.Price, sellOrder.Type == ORDER_TYPE_BUY ? "买" : "卖"])
}
var acc = exchange.GetAccount()
if (!acc) {
return
}
var tblAccount = $.AccountToTable(exchange.GetRawJSON(), "资金信息")
return [tblPos, tblOrders, tblAccount]
}
function main() {
var msg = null
var tbls = null
while (true) {
if (exchange.IO("status")) {
if ($.IsTrading(symbol)) {
var ret = onTick()
if (ret) {
tbls = ret
}
msg = "已连接"
}
} else {
msg = "未连接"
}
LogStatus("时间:", _D(), "连接状态:", msg, "\n", "`" + JSON.stringify(tbls) + "`")
Sleep(5000)
}
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6