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标题: 移植 ： OKCoin韭菜收割机 [打印本页]
作者: kac72829eqq 时间: 2018-1-13 17:16
标题: 移植 ： OKCoin韭菜收割机
原作者说收手续费以后就失效了, 我只做了移植, 没有实盘测试, 有兴趣可以学习
因为策略使用了GetTrades 这个函数在回测系统中是被模拟出来的, 所以回测没有什么意义, 只能直接上实盘测试 !
以下为原说明
OKCoin韭菜收割机这是一个在OKCoin比特币交易平台上的高频交易机器人程序，从2016年6月策略基本定型，到2017年1月中旬，这个策略成功的把最初投入的6000块钱刷到了250000。由于近日央行对比特币实行高压政策，各大平台都停止了配资，并且开始征收交易费，该策略实际上已经失效了。
- function LeeksReaper() {
- var self = {}
- self.numTick = 0
- self.lastTradeId = 0
- self.vol = 0
- self.askPrice = 0
- self.bidPrice = 0
- self.orderBook = {Asks:[], Bids:[]}
- self.prices = []
- self.tradeOrderId = 0
- self.p = 0.5
- self.account = null
- self.preCalc = 0
- self.preNet = 0
- self.updateTrades = function() {
- var trades = _C(exchange.GetTrades)
- if (self.prices.length == 0) {
- while (trades.length == 0) {
- trades = trades.concat(_C(exchange.GetTrades))
- }
- for (var i = 0; i < 15; i++) {
- self.prices = trades[trades.length - 1].Price
- }
- }
- self.vol = 0.7 * self.vol + 0.3 * _.reduce(trades, function(mem, trade) {
- // Huobi not support trade.Id
- if ((trade.Id > self.lastTradeId) || (trade.Id == 0 && trade.Time > self.lastTradeId)) {
- self.lastTradeId = Math.max(trade.Id == 0 ? trade.Time : trade.Id, self.lastTradeId)
- mem += trade.Amount
- }
- return mem
- }, 0)
- }
- self.updateOrderBook = function() {
- var orderBook = _C(exchange.GetDepth)
- self.orderBook = orderBook
- if (orderBook.Bids.length < 3 || orderBook.Asks.length < 3) {
- return
- }
- self.bidPrice = orderBook.Bids[0].Price * 0.618 + orderBook.Asks[0].Price * 0.382 + 0.01
- self.askPrice = orderBook.Bids[0].Price * 0.382 + orderBook.Asks[0].Price * 0.618 - 0.01
- self.prices.shift()
- self.prices.push(_N((orderBook.Bids[0].Price + orderBook.Asks[0].Price) * 0.35 +
- (orderBook.Bids[1].Price + orderBook.Asks[1].Price) * 0.1 +
- (orderBook.Bids[2].Price + orderBook.Asks[2].Price) * 0.05))
- }
- self.balanceAccount = function() {
- var account = exchange.GetAccount()
- if (!account) {
- return
- }
- self.account = account
- var now = new Date().getTime()
- if (self.orderBook.Bids.length > 0 && now - self.preCalc > (CalcNetInterval * 1000)) {
- self.preCalc = now
- var net = _N(account.Balance + account.FrozenBalance + self.orderBook.Bids[0].Price * (account.Stocks + account.FrozenStocks))
- if (net != self.preNet) {
- self.preNet = net
- LogProfit(net)
- }
- }
- self.btc = account.Stocks
- self.cny = account.Balance
- self.p = self.btc * self.prices[self.prices-1] / (self.btc * self.prices[self.prices-1] + self.cny)
- var balanced = false
- if (self.p < 0.48) {
- Log("开始平衡", self.p)
- self.cny -= 300
- if (self.orderBook.Bids.length >0) {
- exchange.Buy(self.orderBook.Bids[0].Price + 0.00, 0.01)
- exchange.Buy(self.orderBook.Bids[0].Price + 0.01, 0.01)
- exchange.Buy(self.orderBook.Bids[0].Price + 0.02, 0.01)
- }
- } else if (self.p > 0.52) {
- Log("开始平衡", self.p)
- self.btc -= 0.03
- if (self.orderBook.Asks.length >0) {
- exchange.Sell(self.orderBook.Asks[0].Price - 0.00, 0.01)
- exchange.Sell(self.orderBook.Asks[0].Price - 0.01, 0.01)
- exchange.Sell(self.orderBook.Asks[0].Price - 0.02, 0.01)
- }
- }
- Sleep(400)
- var orders = exchange.GetOrders()
- if (orders) {
- for (var i = 0; i < orders.length; i++) {
- if (orders.Id != self.tradeOrderId) {
- exchange.CancelOrder(orders.Id)
- }
- }
- }
- }
- self.poll = function() {
- self.numTick++
- self.updateTrades()
- self.updateOrderBook()
- self.balanceAccount()
- var burstPrice = self.prices[self.prices.length-1] * BurstThresholdPct
- var bull = false
- var bear = false
- var tradeAmount = 0
- if (self.account) {
- LogStatus(self.account, 'Tick:', self.numTick, ', lastPrice:', self.prices[self.prices.length-1], ', burstPrice: ', burstPrice)
- }
- if (self.numTick > 2 && (
- self.prices[self.prices.length-1] - _.max(self.prices.slice(-6, -1)) > burstPrice ||
- self.prices[self.prices.length-1] - _.max(self.prices.slice(-6, -2)) > burstPrice && self.prices[self.prices.length-1] > self.prices[self.prices.length-2]
- )) {
- bull = true
- tradeAmount = self.cny / self.bidPrice * 0.99
- } else if (self.numTick > 2 && (
- self.prices[self.prices.length-1] - _.min(self.prices.slice(-6, -1)) < -burstPrice ||
- self.prices[self.prices.length-1] - _.min(self.prices.slice(-6, -2)) < -burstPrice && self.prices[self.prices.length-1] < self.prices[self.prices.length-2]
- )) {
- bear = true
- tradeAmount = self.btc
- }
- if (self.vol < BurstThresholdVol) {
- tradeAmount *= self.vol / BurstThresholdVol
- }
- if (self.numTick < 5) {
- tradeAmount *= 0.8
- }
- if (self.numTick < 10) {
- tradeAmount *= 0.8
- }
- if ((!bull && !bear) || tradeAmount < MinStock) {
- return
- }
- var tradePrice = bull ? self.bidPrice : self.askPrice
- while (tradeAmount >= MinStock) {
- var orderId = bull ? exchange.Buy(self.bidPrice, tradeAmount) : exchange.Sell(self.askPrice, tradeAmount)
- Sleep(200)
- if (orderId) {
- self.tradeOrderId = orderId
- var order = null
- while (true) {
- order = exchange.GetOrder(orderId)
- if (order) {
- if (order.Status == ORDER_STATE_PENDING) {
- exchange.CancelOrder(orderId)
- Sleep(200)
- } else {
- break
- }
- }
- }
- self.tradeOrderId = 0
- tradeAmount -= order.DealAmount
- tradeAmount *= 0.9
- if (order.Status == ORDER_STATE_CANCELED) {
- self.updateOrderBook()
- while (bull && self.bidPrice - tradePrice > 0.1) {
- tradeAmount *= 0.99
- tradePrice += 0.1
- }
- while (bear && self.askPrice - tradePrice < -0.1) {
- tradeAmount *= 0.99
- tradePrice -= 0.1
- }
- }
- }
- }
- self.numTick = 0
- }
- return self
- }
- function main() {
- var reaper = LeeksReaper()
- while (true) {
- reaper.poll()
- Sleep(TickInterval)
- }}
复制代码
GITHUB 地址 ： https://github.com/richox/okcoin-leeks-reaper
移植后的地址 ： https://www.botvs.com/strategy/34388
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