量化现货合约跟单交易软件开发策略详情|交易所跟单系统二开定制方案

策略设计成多交易所架构，所以可以在这个策略上配置多个交易所对象，也就是可以控制多个不同账户的下单操作。只用在信号结构中Exchange指定要操作的交易所即可，设置1就是要让这个信号操作第一个添加的交易所对象对应的交易所账户。如果要操作的是现货ContractType设置为spot，期货就写具体合约，例如永续合约写swap。市价单价格传-1就可以了。Action设置对于期货、现货、开仓、平仓都是有区别的，不能设置错。

接下来就可以设计策略代码了，完整的策略代码：

//信号结构
var Template = {

Flag: "45M103Buy",     // 标识,可随意指定
Exchange: 1,           // 指定交易所交易对
Currency: "BTC_USDT",  // 交易对
ContractType: "swap",  // 合约类型,swap,quarter,next_quarter,现货填写spot
Price: "{{close}}",    // 开仓或者平仓价格,-1为市价
Action: "buy",         // 交易类型[ buy:现货买入 , sell:现货卖出 , long:期货做多 , short:期货做空 , closesell:期货买入平空 , closebuy:期货卖出平多]
Amount: "0",           // 交易量

}

var BaseUrl = "api/v1" // 扩展API接口地址
var RobotId = _G() // 当前实盘ID
var Success = "#5cb85c" // 成功颜色
var Danger = "#ff0000" // 危险颜色
var Warning = "#f0ad4e" // 警告颜色
var buffSignal = []

// 校验信号消息格式
function DiffObject(object1, object2) {

const keys1 = Object.keys(object1)
const keys2 = Object.keys(object2)
if (keys1.length !== keys2.length) {
    return false
}
for (let i = 0; i < keys1.length; i++) {
    if (keys1[i] !== keys2[i]) {
        return false
    }
}
return true

}

function CheckSignal(Signal) {

Signal.Price = parseFloat(Signal.Price)
Signal.Amount = parseFloat(Signal.Amount)
if (Signal.Exchange <= 0 || !Number.isInteger(Signal.Exchange)) {
    Log("交易所最小编号为1，并且为整数", Danger)
    return
}
if (Signal.Amount <= 0 || typeof(Signal.Amount) != "number") {
    Log("交易量不能小于0，并且为数值类型", typeof(Signal.Amount), Danger)
    return
}
if (typeof(Signal.Price) != "number") {
    Log("价格必须是数值", Danger)
    return
}
if (Signal.ContractType == "spot" && Signal.Action != "buy" && Signal.Action != "sell") {
    Log("指令为操作现货，Action错误，Action：", Signal.Action, Danger)
    return
}
if (Signal.ContractType != "spot" && Signal.Action != "long" && Signal.Action != "short" && Signal.Action != "closesell" && Signal.Action != "closebuy") {
    Log("指令为操作期货，Action错误，Action：", Signal.Action, Danger)
    return
}
return true

}

function commandRobot(url, accessKey, secretKey, robotId, cmd) {

// api/v1?access_key=xxx&secret_key=xxx&method=CommandRobot&args=[xxx,+""]
url = url + '?access_key=' + accessKey + '&secret_key=' + secretKey + '&method=CommandRobot&args=[' + robotId + ',+""]'
var postData = {
    method:'POST',
    data:cmd
}
var headers = "User-Agent: Mozilla/5.0 (Macintosh; Intel Mac OS X 10_9_3) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/35.0.1916.153 Safari/537.36\nContent-Type: application/json"
var ret = HttpQuery(url, postData, "", headers)
Log("模拟TradingView的webhook请求，发送用于测试的POST请求：", url, "body:", cmd, "应答：", ret)

}

function createManager() {

var self = {}
self.tasks = []

self.process = function() {
    var processed = 0
    if (self.tasks.length > 0) {
        _.each(self.tasks, function(task) {
            if (!task.finished) {
                processed++
                self.pollTask(task)
            }
        })
        if (processed == 0) {
            self.tasks = []
        }
    }
}

self.newTask = function(signal) {
    // {"Flag":"45M103Buy","Exchange":1,"Currency":"BTC_USDT","ContractType":"swap","Price":"10000","Action":"buy","Amount":"0"}
    var task = {}
    task.Flag = signal["Flag"]
    task.Exchange = signal["Exchange"]
    task.Currency = signal["Currency"]
    task.ContractType = signal["ContractType"]
    task.Price = signal["Price"]
    task.Action = signal["Action"]
    task.Amount = signal["Amount"]
    task.exchangeIdx = signal["Exchange"] - 1
    task.pricePrecision = null
    task.amountPrecision = null
    task.error = null
    task.exchangeLabel = exchanges[task.exchangeIdx].GetLabel()
    task.finished = false

    Log("创建任务：", task)
    self.tasks.push(task)
}

self.getPrecision = function(n) {
    var precision = null
    var arr = n.toString().split(".")
    if (arr.length == 1) {
        precision = 0
    } else if (arr.length == 2) {
        precision = arr[1].length
    }
    return precision
}

self.pollTask = function(task) {
    var e = exchanges[task.exchangeIdx]
    var name = e.GetName()
    var isFutures = true
    e.SetCurrency(task.Currency)
    if (task.ContractType != "spot" && name.indexOf("Futures_") != -1) {
        // 非现货，则设置合约
        e.SetContractType(task.ContractType)
    } else if (task.ContractType == "spot" && name.indexOf("Futures_") == -1) {
        isFutures = false
    } else {
        task.error = "指令中的ContractType与配置的交易所对象类型不匹配"
        return
    }

    var depth = e.GetDepth()
    if (!depth || !depth.Bids || !depth.Asks) {
        task.error = "订单薄数据异常"
        return
    }

    if (depth.Bids.length == 0 && depth.Asks.length == 0) {
        task.error = "盘口无订单"
        return
    }

    _.each([depth.Bids, depth.Asks], function(arr) {
        _.each(arr, function(order) {
            var pricePrecision = self.getPrecision(order.Price)
            var amountPrecision = self.getPrecision(order.Amount)
            if (Number.isInteger(pricePrecision) && !Number.isInteger(self.pricePrecision)) {
                self.pricePrecision = pricePrecision
            } else if (Number.isInteger(self.pricePrecision) && Number.isInteger(pricePrecision) && pricePrecision > self.pricePrecision) {
                self.pricePrecision = pricePrecision
            }
            if (Number.isInteger(amountPrecision) && !Number.isInteger(self.amountPrecision)) {
                self.amountPrecision = amountPrecision
            } else if (Number.isInteger(self.amountPrecision) && Number.isInteger(amountPrecision) && amountPrecision > self.amountPrecision) {
                self.amountPrecision = amountPrecision
            }
        })
    })

    if (!Number.isInteger(self.pricePrecision) || !Number.isInteger(self.amountPrecision)) {
        task.err = "获取精度失败"
        return
    }

    e.SetPrecision(self.pricePrecision, self.amountPrecision)

    // buy:现货买入 , sell:现货卖出 , long:期货做多 , short:期货做空 , closesell:期货买入平空 , closebuy:期货卖出平多
    var direction = null
    var tradeFunc = null
    if (isFutures) {
        switch (task.Action) {
            case "long":
                direction = "buy"
                tradeFunc = e.Buy
                break
            case "short":
                direction = "sell"
                tradeFunc = e.Sell
                break
            case "closesell":
                direction = "closesell"
                tradeFunc = e.Buy
                break
            case "closebuy":
                direction = "closebuy"
                tradeFunc = e.Sell
                break
        }
        if (!direction || !tradeFunc) {
            task.error = "交易方向错误：" + task.Action
            return
        }
        e.SetDirection(direction)
    } else {
        if (task.Action == "buy") {
            tradeFunc = e.Buy
        } else if (task.Action == "sell") {
            tradeFunc = e.Sell
        } else {
            task.error = "交易方向错误：" + task.Action
            return
        }
    }
    var id = tradeFunc(task.Price, task.Amount)
    if (!id) {
        task.error = "下单失败"
    }

    task.finished = true
}

return self

}

var manager = createManager()
function HandleCommand(signal) {

// 检测是否收到交互指令
if (signal) {
    Log("收到交互指令：", signal)     // 收到交互指令，打印交互指令
} else {
    return                            // 没有收到时直接返回，不做处理
}

// 检测交互指令是否是测试指令，测试指令可以由当前策略交互控件发出来进行测试
if (signal.indexOf("TestSignal") != -1) {
    signal = signal.replace("TestSignal:", "")
    // 调用扩展API接口，模拟Trading View的webhook，交互按钮TestSignal发送的消息：{"Flag":"45M103Buy","Exchange":1,"Currency":"BTC_USDT","ContractType":"swap","Price":"10000","Action":"buy","Amount":"0"}
    commandRobot(BaseUrl, _AccessKey, _SecretKey, RobotId, signal)
} else if (signal.indexOf("evalCode") != -1) {
    var js = signal.split(':', 2)[1]
    Log("执行调试代码:", js)
    eval(js)
} else {
    // 处理信号指令
    objSignal = JSON.parse(signal)
    if (DiffObject(Template, objSignal)) {
        Log("接收到交易信号指令：", objSignal)
        buffSignal.push(objSignal)

        // 检查交易量、交易所编号
        if (!CheckSignal(objSignal)) {
            return
        }

        // 创建任务
        manager.newTask(objSignal)
    } else {
        Log("指令无法识别", signal)
    }
}

}

function main() {

Log("WebHook地址:", "api/v1?access_key=" + _AccessKey + "&secret_key=" + _SecretKey + "&method=CommandRobot&args=[" + RobotId + ',+""]', Danger)
Log("交易类型[ buy:现货买入 , sell:现货卖出 , long:期货做多 , short:期货做空 , closesell:期货买入平空 , closebuy:期货卖出平多]", Danger)
Log("指令模板:", JSON.stringify(Template), Danger)

while (true) {
    try {
        // 处理交互
        HandleCommand(GetCommand())

        // 处理任务
        manager.process()

        if (buffSignal.length > maxBuffSignalRowDisplay) {
            buffSignal.shift()
        }
        var buffSignalTbl = {
            "type" : "table",
            "title" : "信号记录",
            "cols" : ["Flag", "Exchange", "Currency", "ContractType", "Price", "Action", "Amount"],
            "rows" : []
        }
        for (var i = buffSignal.length - 1 ; i >= 0 ; i--) {
            buffSignalTbl.rows.push([buffSignal[i].Flag, buffSignal[i].Exchange, buffSignal[i].Currency, buffSignal[i].ContractType, buffSignal[i].Price, buffSignal[i].Action, buffSignal[i].Amount])
        }
        LogStatus(_D(), "\n", "`" + JSON.stringify(buffSignalTbl) + "`")
        Sleep(1000 * SleepInterval)
    } catch (error) {
        Log("e.name:", error.name, "e.stack:", error.stack, "e.message:", error.message)
        Sleep(1000 * 10)
    }
}

}