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BitMEX挂单策略详解
2019-02-01 20:19 发明者量化FMZ 阅读:55

BitMEX已经成为了虚拟货币杠杆交易的首选平台,但其API交易限制严格,让人十分困扰。本文主要分享在FMZ量化交易平台实盘中API使用的少量技巧,主要针对做市策略。

以下代码为使用websocket协议,实时获取行情和账户信息,主要针对做市策略编写。具体使用需要在main()函数里执行。

var ticker  = {price:0, buy:0, sell:0, time:0} //ticker信息,分别为最新价、买一价、卖一价、升级时间//账户信息,分别有仓位,买卖价格,买卖数量,买卖状态,订单Idvar info = {position:0, buyPrice:0, sellPrice:0, buyAmount:0, sellAmount:0, buyState:0, sellState:0, buyId:0, sellId:0}var buyListId = []//全局变量,预埋买单id列表,下文有详情var sellListId = []var APIKEY = 'your api id' //这里需要填入BitMEX API ID 注意不是密钥,websocket协议验证时需要var expires = parseInt(Date.now() / 1000) + 10var signature = exchange.HMAC("sha256", "hex", "GET/realtime" + expires, "{{secretkey}}")//secretkey会在底层自动替换,不需要填入。var bitmexClient = Dial("wss://www.bitmex.com/realtime", 60)var auth = JSON.stringify({args: [APIKEY, expires, signature], op: "authKeyExpires"})//认证信息,不然无法订阅账户bitmexClient.write(auth)bitmexClient.write('{"op": "subscribe", "args": ["position","execution","trade:XBTUSD"]}')//订阅了仓位、订单执行和永续合约实时成交while(true){    if(bitmexClient.read()){        bitmexData = JSON.parse(data)        if('table' in bitmexData && bitmexData.table == 'trade'){            data = bitmexData.data            ticker.price = parseFloat(data[data.length-1].price)//最新成交价,一次会推送多条成交,取一个就可            //可根据最新成交的trade方向得出买一卖一,不用订阅深度。            if(data[data.length-1].side == 'Buy'){                ticker.sell = parseFloat(data[data.length-1].price)                ticker.buy = parseFloat(data[data.length-1].price)-0.5            }else{                ticker.buy = parseFloat(data[data.length-1].price)                ticker.sell = parseFloat(data[data.length-1].price)+0.5            }            ticker.time =  new Date(data[data.length-1].timestamp);//升级时间,可用于判断延时        }    }else if(bitmexData.table == 'position'){        var position = parseInt(bitmexData.data[0].currentQty)          if(position != info.position){            Log('仓位变化: ', position, info.position, '#FF0000@')//仓位变化Log,并推送到微信,去掉@不推送            info.position = position          }        info.position  = parseInt(bitmexData.data[0].currentQty)      }}
  //撤销所有订单,并重置全局变量function cancelAll(){    exchange.IO("api","DELETE","/api/v1/order/all","symbol=XBTUSD")//调用IO扩展撤销    info = {position:0, buyPrice:0, sellPrice:0, buyAmount:0, sellAmount:0, buyState:0, sellState:0, buyId:0, sellId:0}    buyListId = []    sellListId = []}//下备选订单function waitOrders(){    var orders = []    if(buyListId.length<4){        //检查数量不足时再下一批        for(var i=0;i<7;i++){            //因为BitMEX限制,价格不能偏离过多,订单量不能太小,execInst参数保证只能做市成交            orders.push({symbol:'XBTUSD', side:'Buy', orderQty:100, price:ticker.buy-400+i, execInst:'ParticipateDoNotInitiate'})        }    }    if(sellListId.length<4){        for(var i=0;i<7;i++){            orders.push({symbol:'XBTUSD', side:'Sell', orderQty:100, price:ticker.buy+400+i, execInst:'ParticipateDoNotInitiate'})        }    }    if(orders.length>0){        var param = "orders=" + JSON.stringify(orders);        var ids = exchange.IO("api", "POST", "/api/v1/order/bulk", param);//批量订单在这里提交        for(var i=0;i<ids.length;i++){            if(ids.side == 'Buy'){                buyListId.push(ids.orderID)            }else{                sellListId.push(ids.orderID)            }        }    }}//修改订单函数function amendOrders(order, direction, price, amount, id){    var param = "orders=" + JSON.stringify(order);    var ret = exchange.IO("api", "PUT", "/api/v1/order/bulk", param);//每次修改一个订单    //修改出现错误    if(!ret){        var err = GetLastError()        //overloaded未修改策成功,需要把订单id回收        if(err.includes('The system is currently overloaded')){            if(id){                if(direction == 'buy'){                    buyListId.push(id)                }else{                    sellListId.push(id)                }            }            Sleep(1000)            return        }        //非法订单状态,说明待修改的订单已完全成交        else if(err.includes('Invalid ordStatus')){            Log(order, direction)            if(direction == 'buy'){                info.buyId = 0                info.buyState = 0                info.buyAmount = 0                info.buyPrice = 0            }else{                info.sellId = 0                info.sellState = 0                info.sellAmount = 0                info.sellPrice = 0            }            //因为推送不及时,在这里用rest协议升级一下仓位            pos = _C(exchange.GetPosition)            if(pos.length>0){                info.position = pos[0].Type == 0 ? pos[0].Amount : -pos[0].Amount            }else{                info.position = 0            }        }        //出现未知错误无法修改,撤销所有订单,重置一次        else if(err.includes('Invalid orderID')){            cancelAll()            Log('Invalid orderID,重置一次')        }        //超过频率限制,休眠一下可继续尝试        else if(err.includes('Rate limit exceeded')){            Sleep(2000)            return        }        //账户被禁,撤销所有订单,休眠较长时间等待恢复        else if(err.includes('403 Forbidden')){            cancelAll()            Log('403,重置一次')            Sleep(5*60*1000)        }    }else{        //修改订单成功        if(direction == 'buy'){            info.buyState = 1            info.buyPrice = price            info.buyAmount = amount        }else{            info.sellState = 1            info.sellPrice = price            info.sellAmount = amount        }    }}//0.5价格变化function fixSize(num){    if(num>=_N(num,0)+0.75){        num = _N(num,0)+1    }else if(num>=_N(num,0)+0.5){        num=_N(num,0)+0.5    }else{        num=_N(num,0)    }    return num}//交易函数function trade(){    waitOrders()//检查能否需要下备选单    var buyPrice = fixSize(ticker.buy-5) //仅作演示用,具体的交易要自己写    var sellPrice = fixSize(ticker.sell+5)    var buyAmount =  500    var sellAmount = 500    //没有订单时,从备选订单修改    if(info.buyState == 0  && buyListId.length > 0){        info.buyId = buyListId.shift()        amendOrders([{orderID:info.buyId, price:buyPrice, orderQty:buyAmount}],'buy', group, buyPrice, buyAmount, info.buyId)    }    if(info.sellState == 0 && sellListId.length > 0){        info.sellId = sellListId.shift()        amendOrders([{orderID: info.sellId, price:sellPrice, orderQty:sellAmount}],'sell', group, sellPrice, sellAmount, info.sellId )    }    //已有订单需要更改价格    if(buyPrice !=  info.buyPrice && info.buyState == 1){        amendOrders([{orderID:info.buyId, price:buyPrice, orderQty:buyAmount}],'buy', group, buyPrice, buyAmount)    }    if(sellPrice != info.sellPrice && info.sellState == 1){        amendOrders([{orderID:info.sellId, price:sellPrice, orderQty:sellAmount}],'sell', group, sellPrice, sellAmount)    }}

转载自 : https://quant.la/Article/View/2029/BitMEX挂单策略详解.html
作者 : 小草

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