0x0 题记

• 书接上文 上次一次不是写了一篇《Crpyto-Quant 加密资产量化从0开始之0信号通知》。但是没写如何自动下单交易。既然quant肯定要自动化了。今天就开始如何自动化，由0到1了。

0x1 操作

• 修改原来信号模块，增加返回return数据信号数据1和-1,注释掉邮件通知。

function getboll() { //信号捕捉模块
    var records = exchange.GetRecords(14400); //获取K线周期为4小时的K线数据
    if (records && records.length > 20) {
        var boll = TA.BOLL(records, 20, 3) //将K线数据转换为boll带数据
        var upLine = boll[0]
        var midLine = boll[1]
        var downLine = boll[2]
        var price = exchange.GetTicker().Last
        if (price > upLine[upLine.length - 1]) { // 对比成交价与boll上轨线
          //注释邮件通  sendtomail("卖出信号", "价格：" + price + "大于BOLL上轨线:" + upLine[upLine.length - 1]) //发送邮件
            Log("卖出信号:" + "价格：" + price + "大于BOLL上轨线:" + upLine[upLine.length - 1] + "@") //打印信号信息
            return -1;  //返回-1 等于返回一个卖出信号
        } else if (price < downLine[downLine.length - 1]) {
           //注释邮件通知 sendtomail("买入信号", "价格：" + price + "小于BOLL下轨线:" + downLine[downLine.length - 1])
            Log("买入信号:" + "价格：" + price + "小于BOLL下轨线:" + downLine[downLine.length - 1] + "@")
            return 1 //返回-1 等于返回一个卖出信号
        }
    }
    return 0;
}

• 设置一个全局的交易者信息，主要用于设置一些全局信息

 let trader = { //初始化 
        direction: 0, //买卖方向标记
        tip: 10, //下单数量
        order: 0,      //下单确认开关
        lever: 20, ////杠杆倍数
        period: "quarter", ////合约类型，这儿设置为季度合约
        long: 35, //止盈点设置,均已usd都是简单计算
        close: -50 //止损点设置
    };

• 添加主执行模块

function fox(trader) { //执行主模块
    var id;
    var aount = exchange.GetAccount(); //获取账户信息
    if (trader.order == 1) {           //再次确认下单信号
        if (trader.direction == 1) {   //判断下单方向
            price = getprice("buy", 1);  //获取执行价格，这儿是买二价格，
            if (aount.Stocks > trader.tip / trader.lever) {
                exchange.SetDirection("buy");
                id = exchange.Buy(price, trader.tip);
                
                if (id != null) {
                    trader.price = price;
                    trader.direction = 0;
                }
            }

        } else if (trader.direction == -1) {
            price = getprice("sell", 1);
            if (aount.Stocks >= trader.tip / trader.lever) {
                exchange.SetDirection("sell")
                id = exchange.Sell(price, trader.tip)
                trader.price = price;
                trader.direction = 0;
            }
        }
    }
    return trader;
}

• 修改主函数

 while (true) {
        if (tm == 60) { //1分钟执行一次
            if(trader.order==0){  //确认无订单状态
                let signal=getboll(trader); //获取入市信号
              if(signal!=0){  //确认入市信号
                  trader.order=1   //改变交易下单信息
                  trader.direction=signal;//设置买卖方向
                  trader = fox(trader); //进入执行模块
              }
            }
          
            tm = 0;
        }
      
        trader = riskcode(trader); //执行风险控制代码
        Sleep(1000); //1秒执行一次
        tm++;
    }
}

0x2 回测

• 设置回测信息

/*backtest
start: 2022-01-01 00:00:00
end: 2023-03-09 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_HuobiDM","currency":"BTC_USD"}]
*/

当然也可以通过系统提供来设置

• 回测效果展示
  
  

• 
  可以通过K线图来判断，是否策略执行效果，是否在需要的点位上。
• 
  

• 
  
  夏普率是有点低，回撤还好。当然这是完全用的固定回报比垃圾风控仓位管理方式。其实很多系统的灵魂其实不是在入市信号上，更多的灵魂是在风控上或者是在平仓方面。

0x3 后记

• 今天展示如何执行订单。本来还计划准备专门写一下动态仓位管理与风控的。可能短期没什么时间。看看以后。。。目前也算由0到1了。
• 附录全部源码

/*backtest
start: 2022-01-01 00:00:00
end: 2023-03-09 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_HuobiDM","currency":"BTC_USD"}]
*/



function main() { //主程序入口

    let tm = 0; //初始化次数
    let trader = { //初始化 
        direction: 0, //买卖方向标记
        tip: 10, //下单数量
        order: 0, //下单确认开关
        lever: 20, ////杠杆倍数
        period: "quarter", ////合约类型，这儿设置为季度合约
        long: 35, //止盈点设置,均已usd都是简单计算
        close: -50 //止损点设置

    };
    exchange.SetContractType(trader.period); //设置合约类型
    exchange.SetMarginLevel(trader.lever); //设置杠杆倍数
    while (true) {
        if (tm == 60) { //1分钟执行一次
            if (trader.order == 0) {
                let signal = getboll(trader);
                if (signal != 0) {
                    trader.order = 1
                    trader.direction = signal;
                    trader = fox(trader);
                }
            }

            tm = 0;
        }

        trader = riskcode(trader); //执行风险控制代码
        Sleep(1000); //1秒执行一次
        tm++;
    }
}


function getboll() { //信号捕捉模块
    let records = exchange.GetRecords(14400); //获取K线周期为4小时的K线数据
    if (records && records.length > 20) {
        var boll = TA.BOLL(records, 20, 3) //将K线数据转换为boll带数据
        var upLine = boll[0]
        var midLine = boll[1]
        var downLine = boll[2]
        var price = exchange.GetTicker().Last
        if (price > upLine[upLine.length - 1]) { // 对比成交价与boll上轨线
            //注释邮件通  sendtomail("卖出信号", "价格：" + price + "大于BOLL上轨线:" + upLine[upLine.length - 1]) //发送邮件
            Log("卖出信号:" + "价格：" + price + "大于BOLL上轨线:" + upLine[upLine.length - 1] + "@") //打印信号信息
            return -1; //返回-1 等于返回一个卖出信号
        } else if (price < downLine[downLine.length - 1]) {
            //注释邮件通知 sendtomail("买入信号", "价格：" + price + "小于BOLL下轨线:" + downLine[downLine.length - 1])
            Log("买入信号:" + "价格：" + price + "小于BOLL下轨线:" + downLine[downLine.length - 1] + "@")
            return 1 //返回-1 等于返回一个卖出信号
        }
    }
    return 0;
}





function getprice(type, i) { //获取买卖二价
    var price = 0;
    var depth = exchange.GetDepth();
    if (type == "buy") {
        price = depth.Asks[i].Price;
    } else if (type == 'sell') {
        price = depth.Bids[i].Price;
    } else {
        Log('不交易');
    }

    return price;
}

function fox(trader) { //执行主模块
    var id;
    var aount = exchange.GetAccount();
    if (trader.order == 1) {
        if (trader.direction == 1) {
            price = getprice("buy", 1);
            if (aount.Stocks > trader.tip / trader.lever) {
                exchange.SetDirection("buy");
                id = exchange.Buy(price, trader.tip);

                if (id != null) {
                    trader.price = price;
                    trader.direction = 0;
                }
            }

        } else if (trader.direction == -1) {
            price = getprice("sell", 1);
            if (aount.Stocks >= trader.tip / trader.lever) {
                exchange.SetDirection("sell")
                id = exchange.Sell(price, trader.tip)
                trader.price = price;
                trader.direction = 0;
            }
        }
    }

    return trader;
}





function usdt(trader) { //usdt转换
    pricedata = {
        long: 0,
        close: 0
    }
    price = getprice("sell", 0);
    pricedata.long = trader.long / price;
    pricedata.close = trader.close / price;
    return pricedata;
}



function closeorder(direction, trader) {
    var id;
    var pricedata = usdt(trader);
    if (direction.Profit > pricedata.long || direction.Profit < pricedata.close) {
        if (direction.Type == 0) {
            price = getprice("sell", 0);
            exchange.SetDirection("closebuy");
            id = exchange.Sell(price, trader.tip);
            if (id != null) {
                trader.order = 0;
            } else {
                price = getprice("sell", 0);
                id = exchange.Sell(price, trader.tip);
            }

        } else if (direction.Type == 1) {
            price = getprice("buy", 0);
            exchange.SetDirection("closesell");
            id = exchange.Buy(price, trader.tip);
            if (id != null) {
                trader.order = 0;
            } else {
                price = getprice("buy", 0);
                id = exchange.Buy(price, trader.tip);
            }
        }
        Log(direction.Profit);
    }
}

function riskcode(trader) {
    var position = exchange.GetPosition();
    if (position.length >= 1) {
        for (var i = 0; i < position.length; i++) {
            closeorder(position[i], trader);
        }
    }
    return trader;
}