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- 根据商品期货计划委托工具实现一个短线策略
根据商品期货计划委托工具实现一个短线策略
Author:
扫地僧, Date: 2021-11-04 15:05:58
Tags:
商品期货短线JavaScript
/*backtest
start: 2019-03-01 00:00:00
end: 2019-11-23 21:09:00
period: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["_EntrustSymbol","rb2001"],["_StopLossDiffPrice",10],["_StopWinDiffPrice",10],["_BackhandDiffPrice",10],["_IsBackHand",true]]
*/
// 全局变量
var _TaskQueue = []
var ENTRUST = 0
var STOPLOSS = 1
var STOPPROFIT = 2
var BACKHAND = 3
var dictTaskType = ["委托任务", "止损任务", "止盈任务", "反手任务"]
var q = $.NewTaskQueue()
var p = $.NewPositionManager()
var IsEntrust = false
function closeTask (taskType) {
for (var i = 0; i < _TaskQueue.length; i++) {
if (taskType == _TaskQueue[i].taskType) {
_TaskQueue[i].taskFinished = true
Log("关闭任务：", dictTaskType[taskType])
}
}
}
// 任务处理对象
var oneDayBeginTS = 0
function TaskQueueProcess () {
// 获取行情
exchange.SetContractType(_EntrustSymbol)
var ticker = _C(exchange.GetTicker)
var records = _C(exchange.GetRecords)
$.PlotRecords(records, "K")
var nowTs = new Date().getTime()
// 寻找每日的第一根bar
for (var j = records.length - 1; j > -1; j--) {
var ts = records[j].Time
if (ts % (1000 * 60 * 60 * 24) == 3600000) { // 60 * 60 * 1000
if (oneDayBeginTS != ts) {
oneDayBeginTS = ts
Log("新的一天开始!")
// 清空任务队列
IsEntrust = false
}
break
}
}
// 检测收盘，重置
if (nowTs + 1000 * 60 > oneDayBeginTS + 1000 * 60 * 60 * 6) {
p.CoverAll()
_TaskQueue = []
}
var sum = 0
var count = 0
var avg = 0
for (var n = 0 ; n < records.length; n++) {
if (records[n].Time >= oneDayBeginTS) {
sum += records[n].Close
count++
if (n == records.length - 1) {
avg = sum / count
$.PlotLine("avg", avg, records[n].Time)
}
}
}
// 计算ATR
var records_Day = _C(exchange.GetRecords, PERIOD_D1)
if (records_Day.length <= 5) {
LogStatus("收集K线")
Sleep(2000)
return
}
var atr = TA.ATR(records_Day, 5)
var _Dis = atr[atr.length - 2] * 0.5
if (Math.abs(records[records.length - 1].Close - avg) > _Dis && !IsEntrust) {
var task = {
taskType : ENTRUST,
taskSymbol : _EntrustSymbol,
taskPrice : records[records.length - 1].Close,
taskAmount : _EntrustAmount,
taskDirection : records[records.length - 1].Close - avg > 0 ? "sell" : "buy",
taskTrigger : records[records.length - 1].Close - avg > 0 ? 1 : -1, // 大于触发
taskFinished : false
}
Log("请注意，创建委托任务", task, "#FF0000")
_TaskQueue.push(task)
IsEntrust = true
}
for (var i = 0; i < _TaskQueue.length; i++) {
var task = _TaskQueue[i]
if (task.taskFinished == false && task.taskType == ENTRUST && task.taskTrigger * ticker.Last >= task.taskTrigger * task.taskPrice) {
q.pushTask(exchange, task.taskSymbol, task.taskDirection, task.taskAmount, function(tradeTask, ret) {
Log(tradeTask.desc, ret, "委托完成")
if (ret) {
// 回调，创建后续任务
if (task.taskPrice != -1) { // 创建止损任务
var newTask = {
taskType : STOPLOSS,
taskSymbol : task.taskSymbol,
taskPrice : task.taskDirection == "buy" ? task.taskPrice - _StopLossDiffPrice : task.taskPrice + _StopLossDiffPrice,
taskAmount : task.taskAmount,
taskDirection : task.taskDirection == "buy" ? "closebuy" : "closesell",
taskTrigger : task.taskDirection == "buy" ? -1 : 1, // -1低于 价格触发
taskFinished : false
}
_TaskQueue.push(newTask)
Log("创建止损任务", newTask, "#FF0000")
}
if (task.taskPrice != -1) { // 创建止盈任务
var newTask = {
taskType : STOPPROFIT,
taskSymbol : task.taskSymbol,
taskPrice : task.taskDirection == "buy" ? task.taskPrice + _StopWinDiffPrice : task.taskPrice - _StopWinDiffPrice,
taskAmount : task.taskAmount,
taskDirection : task.taskDirection == "buy" ? "closebuy" : "closesell",
taskTrigger : task.taskDirection == "buy" ? 1 : -1, // 1高于 价格触发
taskFinished : false
}
_TaskQueue.push(newTask)
Log("创建止盈任务", newTask, "#FF0000")
}
}
})
task.taskFinished = true
break
} else if (task.taskFinished == false && task.taskType == STOPLOSS && ticker.Last * task.taskTrigger >= task.taskPrice * task.taskTrigger) {
q.pushTask(exchange, task.taskSymbol, task.taskDirection, task.taskAmount, function(tradeTask, ret) {
Log(tradeTask.desc, ret, "止损完成")
// 关闭止盈任务
closeTask(STOPPROFIT)
if (ret) {
// 回调，创建后续任务
if (task.taskPrice != -1 && _IsBackHand) {
var newTask = {
taskType : BACKHAND,
taskSymbol : task.taskSymbol,
taskPrice : task.taskDirection == "closebuy" ? task.taskPrice - _BackhandDiffPrice : task.taskPrice + _BackhandDiffPrice,
taskAmount : task.taskAmount,
taskDirection : task.taskDirection == "closebuy" ? "sell" : "buy",
taskTrigger : task.taskDirection == "closebuy" ? -1 : 1, // -1 小于时触发， 1大于时触发
taskFinished : false
}
_TaskQueue.push(newTask)
Log("创建反手任务", newTask, "#FF0000")
}
}
})
task.taskFinished = true
break
} else if (task.taskFinished == false && task.taskType == STOPPROFIT && ticker.Last * task.taskTrigger >= task.taskPrice * task.taskTrigger) {
q.pushTask(exchange, task.taskSymbol, task.taskDirection, task.taskAmount, function(tradeTask, ret) {
Log(tradeTask.desc, ret, "止盈完成")
// 关闭止损任务
closeTask(STOPLOSS)
})
task.taskFinished = true
break
} else if (task.taskFinished == false && task.taskType == BACKHAND && ticker.Last * task.taskTrigger >= task.taskPrice * task.taskTrigger) {
q.pushTask(exchange, task.taskSymbol, task.taskDirection, task.taskAmount, function(tradeTask, ret) {
Log(tradeTask.desc, ret, "反手完成")
})
task.taskFinished = true
break
}
}
q.poll()
}
function main() {
while (true) {
if (exchange.IO("status")) {
TaskQueueProcess()
// 状态栏显示
LogStatus(_D(), "已连接")
} else {
LogStatus(_D(), "未连接")
}
Sleep(500)
}
}
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