币安永续多币种对冲策略做空或做多山寨币指数4月10日改进Bug需要更新

if(IsVirtual()){
    throw '不能回测，回测参考 https://www.fmz.com/digest-topic/5294 '
}
if(exchange.GetName() != 'Futures_Binance'){
    throw '只支持币安期货交易所，和现货交易所不同，需要单独添加，名称为Futures_Binance'
}

var short_symbols = Short_symbols.split(',')
var long_symbols = Long_symbols.split(',')

if(short_symbols.length == 1 && short_symbols[0] == ''){
    short_symbols = []
}
if(long_symbols.length == 1 && long_symbols[0] == ''){
    long_symbols = []
}
var symbols = []
for(var i=0; i<short_symbols.length; i++){
    if(short_symbols[i]){
        symbols.push(short_symbols[i])
    }
}
for(var i=0; i<long_symbols.length; i++){
    if(long_symbols[i]){
        symbols.push(long_symbols[i])
    }
}
var update_profit_time = 0
var assets = {}
var trade_info = {}
var exchange_info = HttpQuery('https://fapi.binance.com/fapi/v1/exchangeInfo')
if(!exchange_info){
    throw '无法连接币安网络，需要海外托管者'
}
exchange_info = JSON.parse(exchange_info)
for (var i=0; i<exchange_info.symbols.length; i++){
    if(symbols.indexOf(exchange_info.symbols[i].baseAsset) > -1){
       assets[exchange_info.symbols[i].baseAsset] = {amount:0, hold_price:0, value:0, bid_price:0, ask_price:0, realised_profit:0, margin:0, unrealised_profit:0}
       trade_info[exchange_info.symbols[i].baseAsset] = {minQty:parseFloat(exchange_info.symbols[i].filters[1].minQty),
                                                         priceSize:parseInt((Math.log10(1.1/parseFloat(exchange_info.symbols[i].filters[0].tickSize)))),
                                                         amountSize:parseInt((Math.log10(1.1/parseFloat(exchange_info.symbols[i].filters[1].stepSize))))
                                                        }
    }
}
assets.USDT = {unrealised_profit:0, margin:0, margin_balance:0, total_balance:0, leverage:0}


function updateAccount(){
    var account = exchange.GetAccount()
    var pos = exchange.GetPosition()
    if (account == null || pos == null ){
        Log('update account time out')
        return
    }
    assets.USDT.update_time = Date.now()
    for(var i=0; i<symbols.length; i++){
        assets[symbols[i]].margin = 0
        assets[symbols[i]].unrealised_profit = 0
        assets[symbols[i]].hold_price = 0
        assets[symbols[i]].amount = 0
        assets[symbols[i]].unrealised_profit = 0
    }
    for(var j=0; j<account.Info.positions.length; j++){
        if(account.Info.positions[j].positionSide == 'BOTH'){
            var pair = account.Info.positions[j].symbol 
            var coin = pair.slice(0,pair.length-4)
            if(symbols.indexOf(coin) < 0){continue}
            assets[coin].margin = parseFloat(account.Info.positions[j].initialMargin) + parseFloat(account.Info.positions[j].maintMargin)
            assets[coin].unrealised_profit = parseFloat(account.Info.positions[j].unrealizedProfit)
        }
    }
    assets.USDT.margin = _N(parseFloat(account.Info.totalInitialMargin) + parseFloat(account.Info.totalMaintMargin),2)
    assets.USDT.margin_balance = _N(parseFloat(account.Info.totalMarginBalance),2)
    assets.USDT.total_balance = _N(parseFloat(account.Info.totalWalletBalance),2)
    assets.USDT.unrealised_profit = _N(parseFloat(account.Info.totalUnrealizedProfit),2)
    assets.USDT.leverage = _N(assets.USDT.margin/assets.USDT.total_balance,2)
    pos = JSON.parse(exchange.GetRawJSON())
    if(pos.length > 0){
        for(var k=0; k<pos.length; k++){
            var pair = pos[k].symbol
            var coin = pair.slice(0,pair.length-4)
            if(symbols.indexOf(coin) < 0){continue}
            assets[coin].hold_price = parseFloat(pos[k].entryPrice)
            assets[coin].amount = parseFloat(pos[k].positionAmt)
            assets[coin].unrealised_profit = parseFloat(pos[k].unRealizedProfit)
        }
    }
}

function updateTick(){
    var ticker = HttpQuery('https://fapi.binance.com/fapi/v1/ticker/bookTicker')
    if(ticker == null){
        Log('get ticker time out')
        return
    }
    ticker = JSON.parse(ticker)
    for(var i=0; i<ticker.length; i++){
        var pair = ticker[i].symbol 
        var coin = pair.slice(0,pair.length-4)
        if(symbols.indexOf(coin) < 0){continue}
        assets[coin].ask_price = parseFloat(ticker[i].askPrice)
        assets[coin].bid_price = parseFloat(ticker[i].bidPrice)
        assets[coin].ask_value = _N(assets[coin].amount*assets[coin].ask_price, 2)
        assets[coin].bid_value = _N(assets[coin].amount*assets[coin].bid_price, 2)
    }
}

function trade(symbol, dirction, value){
    if(Date.now()-assets.USDT.update_time > 10*1000){
        Log('更新账户延时，不交易')
        return
    }
    var price = dirction == 'sell' ? assets[symbol].bid_price : assets[symbol].ask_price
    var amount = _N(Math.min(value,Ice_value)/price, trade_info[symbol].amountSize)
    if(amount < trade_info[symbol].minQty){
        Log(symbol, '合约调整偏离价值或冰山委托订单设置过小，达不到最小成交, 至少需要: ', _N(trade_info[symbol].minQty*price,0))
        return
    }
    exchange.IO("currency", symbol+'_'+'USDT')
    exchange.SetContractType('swap')
    exchange.SetDirection(dirction)
    var f = dirction == 'buy' ? 'Buy' : 'Sell'
    var id = exchange[f](price, amount, symbol)
    if(id){
        exchange.CancelOrder(id) //订单会立即撤销
    }
}



function updateStatus(){
        var table = {type: 'table', title: '交易对信息', 
             cols: ['币种', '数量', '持仓价格', '当前价格', '持仓价值', '保证金', '未实现盈亏'],
             rows: []}
    for (var i=0; i<symbols.length; i++){
        var price = _N((assets[symbols[i]].ask_price + assets[symbols[i]].bid_price)/2, trade_info[symbols[i]].priceSize)
        var value = _N((assets[symbols[i]].ask_value + assets[symbols[i]].bid_value)/2, 2)
        var infoList = [symbols[i], assets[symbols[i]].amount, assets[symbols[i]].hold_price, price, value,_N(assets[symbols[i]].margin,3), _N(assets[symbols[i]].unrealised_profit,3)]
        table.rows.push(infoList)
    }
    var logString = _D() + '  ' + JSON.stringify(assets.USDT) + '\n'
    LogStatus(logString + '`' + JSON.stringify(table) + '`')
    
    if(Date.now()-update_profit_time > Log_profit_interval*1000){
        LogProfit(_N(assets.USDT.margin_balance,3))
        update_profit_time = Date.now()
    }
    
}

function onTick(){
    var short_value = Trade_value
    if(short_symbols.length<long_symbols.length){
        short_value = _N(long_symbols.length*Trade_value/short_symbols.length,0)
    }
    var long_value = Trade_value
    if(short_symbols.length>long_symbols.length){
        long_value = _N(short_symbols.length*Trade_value/long_symbols.length,0)
    }
    var symbol = ''
    for(var i=0; i<short_symbols.length; i++){
        symbol = short_symbols[i]
        if(assets[symbol].ask_price == 0){ continue }
        if(assets[symbol].bid_value + short_value > Adjust_value){
            trade(symbol, 'sell', assets[symbol].bid_value + short_value)
        }
        if(assets[symbol].ask_value + short_value < -Adjust_value){
            trade(symbol, 'buy', -(assets[symbol].ask_value + short_value))
        }
    }
    for(var i=0; i<long_symbols.length; i++){
        symbol = long_symbols[i]
        if(assets[symbol].ask_price == 0){ continue }
        if(assets[symbol].bid_value - long_value > Adjust_value){
            trade(symbol, 'sell', assets[symbol].bid_value-long_value)
        }
        if(assets[symbol].ask_value - long_value < -Adjust_value){
            trade(symbol, 'buy', long_value-assets[symbol].ask_value)
        }
    }   
}

function main() {
    while(true){
        updateAccount()
        updateTick()
        onTick()
        updateStatus()
        Sleep(Interval*1000)
    }
}