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订单流堆积带开仓策略

Author: ianzeng123, Date: 2024-08-01 15:01:37
Tags:

参考文章: 商品期货「订单流」系列文章(三):供需失衡和堆积带


/*backtest
start: 2024-07-25 09:00:00
end: 2024-07-31 23:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
mode: 1
args: [["contract","SA888"],["stopWin",10],["stopLoss",10]]
*/

var longSignal = false
var shortSignal = false

var NewFuturesTradeFilter = function(period) {
    var self = {} // 创建一个对象

    self.c = Chart({ // 创建Chart图表
        chart: {
            zoomType: 'x', // 缩放
            backgroundColor: '#272822',
            borderRadius: 5,
            panKey: 'shift',
            animation: false,
        },
        plotOptions: {
            candlestick: {
                color: '#00F0F0',
                lineColor: '#00F0F0',
                upColor: '#272822',
                upLineColor: '#FF3C3C'
            },
        },
        tooltip: {
            xDateFormat: '%Y-%m-%d %H:%M:%S, %A',
            pointFormat: '{point.tips}',
            borderColor: 'rgb(58, 68, 83)',
            borderRadius: 0,
        },
        series: [{
            name: exchange.GetName(),
            type: 'candlestick',
            data: []
        }],
        yAxis: {
            gridLineColor: 'red',
            gridLineDashStyle: 'Dot',
            labels: {
                style: {
                    color: 'rgb(204, 214, 235)'
                }
            }
        },
        rangeSelector: {
            enabled: false
        },
        navigation: {
            buttonOptions: {
                height: 28,
                width: 33,
                symbolSize: 18,
                symbolX: 17,
                symbolY: 14,
                symbolStrokeWidth: 2,
            }
        }
    })
    self.c.reset() // 清空图表数据

    self.pre = null // 用于记录上一个数据
    self.records = []
    longSignal = false
    shortSignal = false
    self.feed = function(ticker, rData, contractCode) {
        if (!self.pre) { // 如果上一个数据不为真
            self.pre = ticker // 赋值为最新数据
        }
        var action = '' // 标记为空字符串
        if (ticker.Last >= self.pre.Sell) { // 如果最新数据的最后价格大于等于上一个数据的卖价
            action = 'buy' // 标记为buy
        } else if (ticker.Last <= self.pre.Buy) { // 如果最新数据的最后价格小于等于上一个数据的买价
            action = 'sell' // 标记为sell
        } else {
            if (ticker.Last >= ticker.Sell) { // 如果最新数据的最后价格大于等于最新数据的卖价
                action = 'buy' // 标记为buy
            } else if (ticker.Last <= ticker.Buy) { // 如果最新数据的最后价格小于等于最新数据的买价
                action = 'sell' // 标记为sell
            } else {
                action = 'both' // 标记为both
            }
        }

        // reset volume
        if (ticker.Volume < self.pre.Volume) { // 如果最新数据的成交量小于上一个数据的成交量
            self.pre.Volume = 0 // 把上一个数据的成交量赋值为0
            Log('更新交易日#ff0000')
        }
        var amount = ticker.Volume - self.pre.Volume // 最新数据的成交量减去上一个数据的成交量
        
        if (action != '' && amount > 0) { // 如果标记不为空字符串,并且action大于0
            var epoch = parseInt(ticker.Time / period) * period // 计算K线时间戳并取整


            var bar = null
            var pos = undefined
            if (
                self.records.length == 0 || // 如果K线长度为0或者最后一根K线时间戳小于epoch
                self.records[self.records.length - 1].time < epoch
            ) {
                if(self.records.length > 0){
                    var curBar = self.records[self.records.length - 1].data

                    // 将data对象转换为数组并排序
                    var dataArray = Object.keys(curBar).map(function(price) {
                        return {
                            price: parseInt(price),
                            sell: curBar[price].sell,
                            buy: curBar[price].buy
                        };
                    }).sort(function(a, b) {
                        return b.price - a.price; // 从大到小排序
                    });

                    // 定义变量
                    var fromV = null;
                    var endV = null;
                    var zone = '';
                    var supplyImbalanceCount = 0;
                    var demandImbalanceCount = 0;

                    // 遍历数组并进行判断
                    for (var i = 1; i < dataArray.length; i++) {
                        var currentRow = dataArray[i];
                        var previousRow = dataArray[i - 1];

                        if (currentRow.sell > previousRow.buy * nMul) {
                            //Log('价格(price ' + currentRow.price + ')出现供应失衡');
                            supplyImbalanceCount++;
                            demandImbalanceCount = 0; // 重置需求失衡计数器
                            if (supplyImbalanceCount == 1) {
                                fromV = currentRow.price;
                            }
                            endV = previousRow.price - 1;
                        } else if (previousRow.buy > currentRow.sell * nMul) {
                            //Log('价格(price ' + previousRow.price + ')出现需求失衡');
                            demandImbalanceCount++;
                            supplyImbalanceCount = 0; // 重置供应失衡计数器
                            if (demandImbalanceCount == 1) {
                                fromV = previousRow.price;
                            }
                            endV = currentRow.price + 1;
                        } else {
                            supplyImbalanceCount = 0; // 重置供应失衡计数器
                            demandImbalanceCount = 0; // 重置需求失衡计数器
                        }

                        if (supplyImbalanceCount >= nCount) {
                            zone = '阻力带(供应失衡)';
                            shortSignal = true
                            break;
                        } else if (demandImbalanceCount >= nCount) {
                            zone = '支撑带(需求失衡)';
                            longSignal = true
                            break;
                        } else{
                            longSignal = false
                            shortSignal = false
                        }
                    }

                    var color = zone ? zone == '阻力带(供应失衡)' ? '#00ff00' : '#ff0000' : null

                    if (zone) {
                        Log(endV + ' 到 ' + fromV + ' 的区域是 ' + zone + color);
                        
                    }
                }
                
                bar = {
                    time: epoch,
                    data: {},
                    open: ticker.Last,
                    high: ticker.Last,
                    low: ticker.Last,
                    close: ticker.Last
                } // 把最新的数据赋值给bar
                self.records.push(bar) // 把bar添加到records数组中
            } else { // 重新给bar赋值
                bar = self.records[self.records.length - 1] // 上一个数据最后一根K线
                bar.high = Math.max(bar.high, ticker.Last) // 上一个数据最后一根K线的最高价与最新数据最后价格的最大值
                bar.low = Math.min(bar.low, ticker.Last) // 上一个数据最后一根K线的最低价与最新数据最后价格的最小值
                bar.close = ticker.Last // 最新数据的最后价格
                pos = -1
            }
            if (typeof bar.data[ticker.Last] === 'undefined') { // 如果数据为空
                bar.data[ticker.Last] = { // 重新赋值
                    buy: 0,
                    sell: 0
                }
            }
            if (action == 'both') { // 如果标记等于both
                bar.data[ticker.Last]['buy'] += amount // buy累加
                bar.data[ticker.Last]['sell'] += amount // sell累加
            } else {
                bar.data[ticker.Last][action] += amount // 标记累加
            }
            
            var initiativeBuy = 0
            var initiativeSell = 0
            var sellLongMax = 0
            var buyLongMax = 0
            var sellVol = 0
            var buyVol = 0
            for (var i in bar.data) {
                sellLong = bar.data[i].sell.toString().length
                buyLong = bar.data[i].buy.toString().length
                if (sellLong > sellLongMax) {
                    sellLongMax = sellLong
                }
                if (buyLong > buyLongMax) {
                    buyLongMax = buyLong
                }
                sellVol += bar.data[i].sell
                buyVol += bar.data[i].buy
            }

            tips = '<b>◉ ' + (sellVol + buyVol) + '</b>'
            Object.keys(bar.data) // 将对象里的键放到一个数组中
                .sort() // 排序
                .reverse() // 颠倒数组中的顺序
                .forEach(function(p) { // 遍历数组
                    pSell = bar.data[p].sell
                    pBuy = bar.data[p].buy
                    if (pSell > pBuy) {
                        arrow = ' ▼ '
                    } else if (pSell < pBuy) {
                        arrow = ' ▲ '
                    } else {
                        arrow = ' ♦ '
                    }
                    initiativeSell += pSell
                    initiativeBuy += pBuy
                    sellLongDiff = sellLongMax - pSell.toString().length
                    buyLongDiff = buyLongMax - pBuy.toString().length
                    if (sellLongDiff == 1) {
                        pSell = '0' + pSell
                    }
                    if (sellLongDiff == 2) {
                        pSell = '00' + pSell
                    }
                    if (sellLongDiff == 3) {
                        pSell = '000' + pSell
                    }
                    if (sellLongDiff == 4) {
                        pSell = '0000' + pSell
                    }
                    if (sellLongDiff == 5) {
                        pSell = '00000' + pSell
                    }
                    if (buyLongDiff == 1) {
                        pBuy = '0' + pBuy
                    }
                    if (buyLongDiff == 2) {
                        pBuy = '00' + pBuy
                    }
                    if (buyLongDiff == 3) {
                        pBuy = '000' + pBuy
                    }
                    if (buyLongDiff == 4) {
                        pBuy = '0000' + pBuy
                    }
                    if (buyLongDiff == 5) {
                        pBuy = '00000' + pBuy
                    }

                    code = contractCode.match(/[a-zA-Z]+|[0-9]+/g)[0]
                    if (code == 'IF' || code == 'j' || code == 'IC' || code == 'i' || code == 'ZC' || code == 'sc' || code == 'IH' || code == 'jm' || code == 'fb') {
                        p = parseFloat(p).toFixed(1)
                    } else if (code == 'au') {
                        p = parseFloat(p).toFixed(2)
                    } else if (code == 'T' || code == 'TF' || code == 'TS') {
                        p = parseFloat(p).toFixed(3)
                    } else {
                        p = parseInt(p)
                    }
                    tips += '<br>' + p + ' → ' + pSell + arrow + pBuy

                })
            tips += '<br>' + '<b>⊗ ' + (initiativeBuy - initiativeSell) + '</b>'
           
            self.c.add( // 添加数据
                0, {
                    x: bar.time,
                    open: bar.open,
                    high: bar.high,
                    low: bar.low,
                    close: bar.close,
                    tips: tips
                },
                pos
            )

        }
        self.pre = ticker // 重新赋值
    }
    return self // 返回对象
}


function main() {
    if (exchange.GetName().indexOf('CTP') == -1) {
        throw "只支持商品期货CTP";
    }
    SetErrorFilter("login|timeout|GetTicker|ready|流控|连接失败|初始|Timeout");
    while (!exchange.IO("status")) {
        Sleep(3000);
        LogStatus("正在等待与交易服务器连接, " + _D());
    }
    symbolDetail = _C(exchange.SetContractType, contract) // 订阅数据
    Log('交割日期:', symbolDetail['StartDelivDate'])
    Log('最小下单量:', symbolDetail['MaxLimitOrderVolume'])
    Log('最小价差:', symbolDetail['PriceTick'])
    Log('一手:', symbolDetail["VolumeMultiple"], '份')
    Log('合约代码:', symbolDetail['InstrumentID'])
    var filt = NewFuturesTradeFilter(60000) // 创建一个对象

    $.CTA(contract, function(st) {
        var ticker = exchange.GetTicker();
        var r = exchange.GetRecords();
        var priceTick = exchange.SetContractType(contract).PriceTick;

        if (ticker) {
            filt.feed(ticker, r, contract);

            if (st.position.amount === 0 && longSignal) {
                Log('多头开仓#ff0000');
                return 1;
            }

            if (st.position.amount > 0 && r[r.length - 1].Close - st.position.price >= stopWin * priceTick) {
                Log('多头盈利平仓#ff0000');
                return -1;
            }

            if (st.position.amount > 0 && (r[r.length - 1].Close - st.position.price < -stopLoss * priceTick )) {
                Log('多头亏损平仓#ff0000');
                return -1;
            }

            if (st.position.amount === 0 && shortSignal) {
                Log('空头开仓#0000ff');
                return -1;
            }

            if (st.position.amount < 0 && r[r.length - 1].Close - st.position.price <= -stopWin * priceTick) {
                Log('空头盈利平仓#0000ff');
                return 1;
            }

            if (st.position.amount < 0 && (r[r.length - 1].Close - st.position.price > stopLoss * priceTick )) {
                Log('空头亏损平仓#0000ff');
                return 1;
            }
        }
    });
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6