Simple Cryptocurrency Contract Copy Trading Robot
Related articles:https://www.fmz.com/bbs-topic/6821
JavaScriptOther
Simple cryptocurrency contract copy trading robot
Related articles:https://www.fmz.com/bbs-topic/6821
Parameters
| Name | Default | What it controls |
|---|---|---|
| refCurrency | ETH_USD | Copy Trading Pair |
| refCt | quarter | Copy contract |
| isSimulate | false | Use Demo Account |
| pricePrecision | 2 | Price Precision |
| amountPrecision | false | Order quantity accuracy |
Source JavaScript
/*backtest
start: 2021-03-18 00:00:00
end: 2021-04-07 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"},{"eid":"Futures_OKCoin","currency":"BTC_USD"},{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
*/
function test() {
// Test Function
var ts = new Date().getTime()
if (ts % (1000 * 60 * 60 * 6) > 1000 * 60 * 60 * 5.5) {
Sleep(1000 * 60 * 10)
var nowPosAmount = getPosAmount(_C(exchange.GetPosition), refCt)
var longPosAmount = nowPosAmount.long
var shortPosAmount = nowPosAmount.short
var x = Math.random()
if (x > 0.7) {
exchange.SetDirection("buy")
exchange.Buy(-1, _N(Math.max(1, x * 10), 0), "Reference account test order opening#FF0000")
} else if(x < 0.2) {
exchange.SetDirection("sell")
exchange.Sell(-1, _N(Math.max(1, x * 10), 0), "Reference account test order opening#FF0000")
} else if(x >= 0.2 && x <= 0.5 && longPosAmount > 4) {
exchange.SetDirection("closebuy")
exchange.Sell(-1, longPosAmount, "Reference account test order closing#FF0000")
} else if(shortPosAmount > 4) {
exchange.SetDirection("closesell")
exchange.Buy(-1, _N(shortPosAmount / 2, 0), "Reference account test order closing#FF0000")
}
}
}
function getPosAmount(pos, ct) {
var longPosAmount = 0
var shortPosAmount = 0
_.each(pos, function(ele) {
if (ele.ContractType == ct && ele.Type == PD_LONG) {
longPosAmount = ele.Amount
} else if (ele.ContractType == ct && ele.Type == PD_SHORT) {
shortPosAmount = ele.Amount
}
})
return {long: longPosAmount, short: shortPosAmount}
}
function trade(e, ct, type, delta) {
var nowPosAmount = getPosAmount(_C(e.GetPosition), ct)
var nowAmount = type == PD_LONG ? nowPosAmount.long : nowPosAmount.short
if (delta > 0) {
// Open Position
var tradeFunc = type == PD_LONG ? e.Buy : e.Sell
e.SetDirection(type == PD_LONG ? "buy" : "sell")
tradeFunc(-1, delta)
} else if (delta < 0) {
// Close Position
var tradeFunc = type == PD_LONG ? e.Sell : e.Buy
e.SetDirection(type == PD_LONG ? "closebuy" : "closesell")
if (nowAmount <= 0) {
Log("No Position Detected")
return
}
tradeFunc(-1, Math.min(nowAmount, Math.abs(delta)))
} else {
throw "Error"
}
}
function main() {
LogReset(1)
if (exchanges.length < 2) {
throw "Exchange without copy trading"
}
var exName = exchange.GetName()
// Detect reference exchange
if (!exName.includes("Futures_")) {
throw "Only supports futures copy trading"
}
Log("Start monitoring", exName, "exchange", "#FF0000")
// Detect copy trading exchange
for (var i = 1 ; i < exchanges.length ; i++) {
if (exchanges[i].GetName() != exName) {
throw "The futures exchange followed by the order is different from the reference exchange.!"
}
}
// Set trading pair, contract
_.each(exchanges, function(e) {
if (!IsVirtual()) {
e.SetCurrency(refCurrency)
if (isSimulate) {
if (e.GetName() == "Futures_OKCoin") {
e.IO("simulate", true)
}
}
}
e.SetContractType(refCt)
// Set Precision
e.SetPrecision(pricePrecision, amountPrecision)
Log("Settings", e.GetName(), e.GetLabel(), "Price Precision:", pricePrecision, "Order quantity accuracy:", amountPrecision)
})
var initRefPosAmount = getPosAmount(_C(exchange.GetPosition), refCt)
while(true) {
if (IsVirtual()) { // Simulate only during backtesting
test() // Test function: simulate active trading of a reference account to trigger copy trading in the follower account
}
Sleep(5000)
var nowRefPosAmount = getPosAmount(_C(exchange.GetPosition), refCt)
var tbl = {
type : "table",
title : "Open Position",
cols : ["Name", "Tag", "Long Position", "Short Position", "Stocks", "Account Assets", "Account Assets."(Balance)"],
rows : []
}
_.each(exchanges, function(e) {
var pos = getPosAmount(_C(e.GetPosition), refCt)
var acc = _C(e.GetAccount)
tbl.rows.push([e.GetName(), e.GetLabel(), pos.long, pos.short, acc.Stocks, acc.Balance])
})
LogStatus(_D(), "\n`" + JSON.stringify(tbl) + "`")
// Calculate position change amount
var longPosDelta = nowRefPosAmount.long - initRefPosAmount.long
var shortPosDelta = nowRefPosAmount.short - initRefPosAmount.short
// Detect changes
if (longPosDelta == 0 && shortPosDelta == 0) {
continue
} else {
// Position change detected
for (var i = 1 ; i < exchanges.length ; i++) {
// Execute long action
if (longPosDelta != 0) {
Log(exchanges[i].GetName(), exchanges[i].GetLabel(), "Execute long position copy, change amount:", longPosDelta)
trade(exchanges[i], refCt, PD_LONG, longPosDelta)
}
// Execute short action
if (shortPosDelta != 0) {
Log(exchanges[i].GetName(), exchanges[i].GetLabel(), "Execute short position copy, change amount:", shortPosDelta)
trade(exchanges[i], refCt, PD_SHORT, shortPosDelta)
}
}
}
// After executing copy action, update
initRefPosAmount = nowRefPosAmount
}
}
Published by 发明者量化-小小梦 on the FMZ strategy square · last modified 2022-09-28. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.
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