50行网格策略（教学）.md

策略名称

50行网格策略（教学）

策略作者

小小梦

策略参数

参数	默认值	描述
direction	true	网格方向
_GridNum	10	网格节点数量
_GridPointAmount	0.1	网格节点下单量
_GridPointDis	20	网格节点间距
_GridCovDis	50	网格节点平仓差价

源码 (javascript)

var _StopLoss = 0
var _StopWin = 0
var _Grid = []

function UpdateGrid(nowBidsPrice, nowAsksPrice, direction){    // up 1, down -1
    if(_Grid.length == 0 || (direction == 1 && nowBidsPrice - _Grid[_Grid.length - 1].price > _GridPointDis) || 
        (direction == -1 && _Grid[_Grid.length - 1].price - nowAsksPrice > _GridPointDis)){

        var nowPrice = direction == 1 ? nowBidsPrice : nowAsksPrice
        _Grid.push({
            price: _Grid.length == 0 ? nowPrice : _Grid[_Grid.length - 1].price + _GridPointDis * direction,
            hold : {price: 0, amount: 0}, 
            coverPrice : _Grid.length == 0 ? nowPrice - direction * _GridCovDis : _Grid[_Grid.length - 1].price + _GridPointDis * direction - direction * _GridCovDis
        })

        var tradeInfo = direction == 1 ? $.Sell(_GridPointAmount) : $.Buy(_GridPointAmount)
        _Grid[_Grid.length - 1].hold.price = tradeInfo.price
        _Grid[_Grid.length - 1].hold.amount = tradeInfo.amount
        $.PlotFlag(new Date().getTime(), JSON.stringify(tradeInfo), "O")
    }
    if(_Grid.length > 0 && 
        ((direction == 1 && nowAsksPrice < _Grid[_Grid.length - 1].coverPrice) || (direction == -1 && nowBidsPrice > _Grid[_Grid.length - 1].coverPrice))){
        
        var coverInfo = direction == 1 ? $.Buy(_Grid[_Grid.length - 1].hold.amount) : $.Sell(_Grid[_Grid.length - 1].hold.amount)
        _Grid.pop()
        $.PlotFlag(new Date().getTime(), JSON.stringify(coverInfo), "C")
        _StopWin++
    } else if(_Grid.length > _GridNum){
        var coverfirstInfo = direction == 1 ? $.Buy(_Grid[0].hold.amount) : $.Sell(_Grid[0].hold.amount)
        _Grid.shift()
        $.PlotFlag(new Date().getTime(), JSON.stringify(coverfirstInfo), "C")
        _StopLoss++
    }

}

function main(){
    while(1){
        var ticker = _C(exchange.GetTicker)
        var records = _C(exchange.GetRecords)
        $.PlotRecords(records, "kline")
        UpdateGrid(ticker.Buy, ticker.Sell, direction)       
        var msg = ""
        for(var i = 0; i < _Grid.length; i++){
            msg += JSON.stringify(_Grid[i]) + "\n"
        }
        LogStatus(_D(), "_StopWin:", _StopWin, "_StopLoss:", _StopLoss, _C(exchange.GetAccount), "\n", "_Grid.length:", _Grid.length, "_GridNum:", _GridNum, "\n", msg)
        Sleep(500)
    }
}

策略出处

https://www.fmz.com/strategy/113144

更新时间

2018-08-25 18:19:22