RSI Statistical Arbitrage Strategy

/*
RSIStrategy: For Learning Purposes Only, Use at Your Own Risk in Live Trading
*/

var ExchangProcessor={
	createNew: function(exc_obj){
		//Strategy Arguments
		var manage_assets=1;//bch
		var max_positions=4;//max=4N
		var price_n={BTC_BCH:8,ETH_BCH:8,XRP_BCH:8,EOS_BCH:8,LTC_BCH:8,DASH_BCH:8,CET_BCH:8}; //Price Precision
		var num_n={BTC_BCH:8,ETH_BCH:8,XRP_BCH:8,EOS_BCH:8,LTC_BCH:8,DASH_BCH:8,CET_BCH:8}; //Quantity Precision
		var minest_buy={BTC_BCH:0.001,ETH_BCH:0.01,XRP_BCH:1,EOS_BCH:1,LTC_BCH:0.1,DASH_BCH:0.01,CET_BCH:1};//Minimum purchase quantity
		var minest_sell={BTC_BCH:0.001,ETH_BCH:0.01,XRP_BCH:1,EOS_BCH:1,LTC_BCH:0.1,DASH_BCH:0.01,CET_BCH:1};//Minimum sell quantity
		var order_wait_secs=120000; //Maximum waiting time for orders in milliseconds
		var wait_ms=1000;//default wait in milliseconds
		var sxf=0.0005;//Used to calculate commission consumption
		
		
		//global state variables
		var positions=[];//Record Position
		var init_asset=0; //Initial Assets
		var trades=[];//All transactions
		var trades_recorder=true;//record all trades
		var pre_time=null; //Record polling interval time
		var approximate_profit=0;//Approximate profit and loss
		var add_already=0;//Number of times already added to position
		
		var processor={};
		//Retry the purchase until successful return
		processor.retryBuy=function(ex,price,num)
		{
			var currency=ex.GetCurrency();
			var r=ex.Buy(_N(price,price_n[currency]), _N(num,num_n[currency]));
			while (!r){
				Log("BuyFailed, currentlyretry.");
				Sleep(wait_ms);
				var account=_C(ex.GetAccount);
				var ticker=_C(ex.GetTicker);
				var last=ticker.Last;
				var fixedAmount=(price===-1?Math.min(account.Balance*0.95,num):Math.min(account.Balance/last*0.95,num));
				r=ex.Buy(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency]));
			}
			return r;
		}
		
		//Retry selling until successful
		processor.retrySell=function(ex,price,num){
			var currency=ex.GetCurrency();
			var r=ex.Sell(_N(price,price_n[currency]), _N(num,num_n[currency]));
			while (!r){
				Log("SellFailed, currentlyretry.");
				Sleep(wait_ms);
				var account=_C(ex.GetAccount);
				var fixedAmount=Math.min(account.Stocks,num);
				r=ex.Sell(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency]));
			}
			return r;
		}
		
		
		processor.get_ChinaTimeString=function(){
			var date = new Date(); 
			var now_utc =  Date.UTC(date.getUTCFullYear(), date.getUTCMonth(), date.getUTCDate(),
					date.getUTCHours(), date.getUTCMinutes(), date.getUTCSeconds());
			var cdate=new Date(now_utc);
			cdate.setHours(cdate.getHours()+8);
			var localstring=cdate.getFullYear()+'/'+(cdate.getMonth()+1)+'/'+cdate.getDate()+' '+cdate.getHours()+':'+cdate.getMinutes()+':'+cdate.getSeconds();
			return localstring;
		}
		
		processor.init_obj=function(){
			_CDelay(wait_ms);
			pre_time = new Date();
			
			//init
			{
				var account=_C(exc_obj.GetAccount);
				var ticker=_C(exc_obj.GetTicker);
				var last=ticker.Last;
				init_asset=(account.Balance+account.FrozenBalance)+(account.Stocks+account.FrozenStocks)*last;
				Sleep(wait_ms);
			}
		}
		
		
		processor.work=function(){
			var cur_time = new Date();
			var passedtime=cur_time-pre_time;
			pre_time=cur_time;
			
			//Calculationn,Position
			var exname=exc_obj.GetName();
			var currency=exc_obj.GetCurrency();
			var account=_C(exc_obj.GetAccount);
			var ticker=_C(exc_obj.GetTicker);
			var depth = _C(exc_obj.GetDepth);
			var last=ticker.Last;
			var ask1=depth.Asks[0].Price;
			var bid1=depth.Bids[0].Price;
			var bestprice=bid1+(Math.abs(ask1-bid1)/2);
			var records = _C(exc_obj.GetRecords);
			if (records.length<=50){
				Log("records.length is not valid.");
				Sleep(wait_ms);
				return;
			}
			var atr = TA.ATR(records, 20);
			if (atr.length<=1){
				Log("atr.length is not valid.");
				Sleep(wait_ms);
				return;
			}
			var N=atr[atr.length-1];
			var position_unit=Math.min(manage_assets*0.01/N,account.Balance/last*0.95);//cet
			//Log("N="+N+",  Position Unit="+position_unit+"CET");
			var highest=TA.Highest(records, 20, 'High');
			var Lowest=TA.Lowest(records, 10, 'Low');
			var cur_asset=(account.Balance+account.FrozenBalance)+(account.Stocks+account.FrozenStocks)*last;
			var rsi6 = TA.RSI(records, 6);
			var rsi12 = TA.RSI(records, 12);
			if (rsi6.length<=5 || rsi12.length<=5){
				Log("rsi is not valid.");
				Sleep(wait_ms);
				return;
			}
			var rsi_in=false;
			if (rsi6[rsi6.length-1]-rsi6[rsi6.length-2]>1 && rsi6[rsi6.length-2]<=65){
					//Log("rsi_in=true");
					rsi_in=true;
				}
			var rsi_out=false;
			if (rsi6[rsi6.length-1]>=60){
				//Log("rsi_out=true");
				rsi_out=true;
			}
			
			//Open a position
			if (positions.length==0 && position_unit>minest_buy[currency]){
				if (rsi_in)
				{
					var buyID = processor.retryBuy(exc_obj,last,position_unit);
					Sleep(order_wait_secs);
					var buyOrder=_C(exc_obj.GetOrder,buyID);
					if (buyOrder.Status!=ORDER_STATE_CLOSED){
						exc_obj.CancelOrder(buyID);
					}
					if (buyOrder.DealAmount>0){
						var postion = {
							amount:buyOrder.DealAmount, 
							buy_price:buyOrder.AvgPrice, 
							stoploss_price:buyOrder.AvgPrice-N};
						positions.push(postion);
						
						var details={
							type:"Open a position",
							time:processor.get_ChinaTimeString(),
							RealAmount:buyOrder.DealAmount,
							WantAmount:position_unit,
							RealPrice:buyOrder.AvgPrice,
							WantPrice:buyOrder.Price,
							Memo:""
							};
						if (trades_recorder){
							trades.push(details);
						}
						
						add_already=1;
					}
				}
			}
			
			//add to position
			if (positions.length>0 && position_unit>minest_buy[currency]){
				var last_buy_price=positions[positions.length-1].buy_price;
				if (add_already<max_positions){
					if (last-last_buy_price>=0.5*N){
						var buyID = processor.retryBuy(exc_obj,last,position_unit);
						Sleep(order_wait_secs);
						var buyOrder=_C(exc_obj.GetOrder,buyID);
						if (buyOrder.Status!=ORDER_STATE_CLOSED){
							exc_obj.CancelOrder(buyID);
						}
						if (buyOrder.DealAmount>0){
							var postion = {
								amount:buyOrder.DealAmount, 
								buy_price:buyOrder.AvgPrice, 
								stoploss_price:buyOrder.AvgPrice-N};
							positions.push(postion);
							
							var details={
								type:"add to position",
								time:processor.get_ChinaTimeString(),
								RealAmount:buyOrder.DealAmount,
								WantAmount:position_unit,
								RealPrice:buyOrder.AvgPrice,
								WantPrice:last,
								Memo:""
								};
							if (trades_recorder){
								trades.push(details);
							}
							
							add_already=add_already+1;
						}
					}
				}
			}
			
			//stop loss
			if (positions.length>0){
				var positions_new=[];
				for (var i=0; i < positions.length; i++){
					if (last<=positions[i].stoploss_price){
						account=_C(exc_obj.GetAccount);
						var fixedAmount=Math.min(account.Stocks,positions[i].amount);
						if (fixedAmount>minest_sell[currency]){
							var sellID = processor.retrySell(exc_obj, last, fixedAmount);
							Sleep(order_wait_secs);
							var sellOrder=_C(exc_obj.GetOrder,sellID);
							approximate_profit+=(sellOrder.AvgPrice*sellOrder.DealAmount*(1-sxf)-positions[i].buy_price*sellOrder.DealAmount*(1+sxf));
							Log("Limit Sell: Quantity-"+sellOrder.DealAmount+",approximate_profit="+approximate_profit);
							if (sellOrder.Status!=ORDER_STATE_CLOSED){
								exc_obj.CancelOrder(sellID);
								if (Math.min(account.Stocks,fixedAmount-sellOrder.DealAmount)>minest_sell[currency]){
									var marketsellOrderID=processor.retrySell(exc_obj, -1, fixedAmount-sellOrder.DealAmount);
									Sleep(order_wait_secs);
									var marketsellOrderData=_C(exc_obj.GetOrder,marketsellOrderID);
									approximate_profit+=(marketsellOrderData.AvgPrice*marketsellOrderData.DealAmount*(1-sxf)-positions[i].buy_price*marketsellOrderData.DealAmount*(1+sxf));
									Log("Market Sell: Quantity-"+marketsellOrderData.DealAmount+",approximate_profit="+approximate_profit);
								}
							}
							
							var details={
								type:"stop loss",
								time:processor.get_ChinaTimeString(),
								RealAmount:-1,
								WantAmount:fixedAmount,
								RealPrice:-1,
								WantPrice:last,
								Memo:(last>positions[i].buy_price?"Profit : Loss")
								};
							if (trades_recorder){
								trades.push(details);
							}
						}
					}else{
						positions_new.push(positions[i]);
					}
				}
				positions=positions_new;
			}
			
			//close all positions
			if (positions.length>0){
				if (rsi_out){
					var positions_new=[];
					for (var i=0; i < positions.length; i++){
						account=_C(exc_obj.GetAccount);
						var fixedAmount=Math.min(account.Stocks,positions[i].amount);
						if (fixedAmount>minest_sell[currency]){
							var sellID = processor.retrySell(exc_obj, last, fixedAmount);
							Sleep(order_wait_secs);
							var sellOrder=_C(exc_obj.GetOrder,sellID);
							approximate_profit+=(sellOrder.AvgPrice*sellOrder.DealAmount*(1-sxf)-positions[i].buy_price*sellOrder.DealAmount*(1+sxf));
							Log("Limit Sell: Quantity-"+sellOrder.DealAmount+",approximate_profit="+approximate_profit);
							if (sellOrder.Status!=ORDER_STATE_CLOSED){
								exc_obj.CancelOrder(sellID);
								if (Math.min(account.Stocks,fixedAmount-sellOrder.DealAmount)>minest_sell[currency]){
									var marketsellOrderID=processor.retrySell(exc_obj, -1, fixedAmount-sellOrder.DealAmount);
									Sleep(order_wait_secs);
									var marketsellOrderData=_C(exc_obj.GetOrder,marketsellOrderID);
									approximate_profit+=(marketsellOrderData.AvgPrice*marketsellOrderData.DealAmount*(1-sxf)-positions[i].buy_price*marketsellOrderData.DealAmount*(1+sxf));
									Log("Market Sell: Quantity-"+marketsellOrderData.DealAmount+",approximate_profit="+approximate_profit);
								}
							}
							
							var details={
								type:"close all positions",
								time:processor.get_ChinaTimeString(),
								RealAmount:-1,
								WantAmount:fixedAmount,
								RealPrice:-1,
								WantPrice:last,
								Memo:(last>positions[i].buy_price?"Profit : Loss")
								};
							if (trades_recorder){
								trades.push(details);
							}
						}
					}
					positions=positions_new;
				}
			}
			
			
			//Display Status
			var table1 = {type: 'table', title: 'position-'+exname+'('+currency+')', cols: ['Quantity', 'transaction price','Stop loss price'], rows: []};
			var table2 = {type: 'table', title: 'Status-'+exname+'('+currency+')', cols: ['Average true range(N)','Position Unit','Initial Assets','Current Assets','Polling time','Latest price','Highest','Lowest','Number of positions added','[Approximate Profit and Loss]'], rows: []};
			var table3 = {type: 'table', title: 'Transaction History-'+exname+'('+currency+')', cols: ['Date','Type', 'Transaction quantity','Order quantity','transaction price','order price','Notes'], rows: []};
			for (var i=0; i < positions.length; i++){
				table1.rows.push([positions[i].amount,positions[i].buy_price,positions[i].stoploss_price]);
			}
			table2.rows.push([N,position_unit,init_asset,cur_asset,passedtime+'ms',last,highest,Lowest,add_already,approximate_profit]);
			for (i=0; i < trades.length; i++){
				table3.rows.push([trades[i].time,trades[i].type,trades[i].RealAmount,trades[i].WantAmount,trades[i].RealPrice,trades[i].WantPrice,trades[i].Memo]);
			}
			processor.logstatus=('`' + JSON.stringify([table1, table2, table3])+'`'+'\n');
			
			//Record Profit
			processor.logprofit=approximate_profit;
			
			//rest
			Sleep(wait_ms);
		}
		
		return processor;
	}
};



//Main Function
function main(){
	var exchange_num=exchanges.length;
	var processors=[];
	for (var i=0; i<exchange_num; ++i){
		var p=ExchangProcessor.createNew(exchanges[i]);
		processors.push(p);
	}
	for (i=0; i<exchange_num; ++i){
		processors[i].init_obj();
	}
	var pre_profit=Number(_G("pre_profit"));
	Log('Previous income accumulation:'+pre_profit);
	var lastprofit=0;
	while(true){
		var allstatus='For customized strategies, please contact WeChat: alinwo (Verification message:botvsquantitative)#0000ff'+'\n';
		var allprofit=0;
		for (i=0; i<exchange_num; ++i){
			processors[i].work();
			allstatus+=processors[i].logstatus;
			allprofit+=processors[i].logprofit;
		}
		allstatus+=('For customized strategies, please contact WeChat: alinwo (Verification message:botvsquantitative)#0000ff'+'\n');
		LogStatus(allstatus);
		if (lastprofit!==allprofit){
			LogProfit(pre_profit+allprofit);
			_G("pre_profit", pre_profit+allprofit);
			lastprofit=allprofit;
		}
	}
}