# Crpyto-Quant 加密资产量化从0开始之1下单执行(小白版)

**Published by:** [new world](https://paragraph.com/@new-world/)
**Published on:** 2023-03-13
**URL:** https://paragraph.com/@new-world/crpyto-quant-0-1

## Content

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 等于返回一个买入信号 } } 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 *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; }

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