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| > 策略名称 | ||
| HFT高频订单流因子 | ||
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| > 策略作者 | ||
| 发明者量化 | ||
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| > 策略描述 | ||
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| 一个入门级订单流高频alpha因子, 可以做为市商策略的最优买卖定价距离参考, 信号归一为[-1, 1], 趋向1表示买方市场,趋向-1则是卖方市场, 策略会实时绘制因子值与最后成交价 | ||
| 策略使用OKX与币安期货websocket接口接收计算, 下图是指标效果, 可以看出有一定的有效性, 公开给高频入门的量化爱好者 | ||
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| > 策略参数 | ||
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| |参数|默认值|描述| | ||
| |----|----|----| | ||
| |QSize|100|QSize| | ||
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| > 源码 (javascript) | ||
| ``` javascript | ||
| let _chart = Chart({ | ||
| subtitle: { | ||
| text: "Market Status", | ||
| }, | ||
| yAxis: [{ | ||
| height: "60%", | ||
| lineWidth: 1, | ||
| title: { | ||
| text: 'Close', | ||
| }, | ||
| opposite: true, | ||
| labels: { | ||
| align: "right", | ||
| x: -3, | ||
| } | ||
| }, { | ||
| title: { | ||
| text: 'Alpha', | ||
| }, | ||
| top: "60%", | ||
| height: "20%", | ||
| offset: 0, | ||
| lineWidth: 1 | ||
| }, { | ||
| title: { | ||
| text: 'Vol', | ||
| }, | ||
| top: "80%", | ||
| height: "20%", | ||
| offset: 0, | ||
| lineWidth: 1 | ||
| }], | ||
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| series: [{ | ||
| name: 'Last', | ||
| lineWidth: 1, | ||
| data: [], | ||
| id: 'primary', | ||
| tooltip: { | ||
| xDateFormat: '%Y-%m-%d %H:%M:%S' | ||
| }, | ||
| yAxis: 0 | ||
| }, { | ||
| type: 'column', | ||
| lineWidth: 2, | ||
| name: 'Alpha', | ||
| data: [], | ||
| yAxis: 1, | ||
| color: 'green', | ||
| zones: [{ | ||
| value: 0, | ||
| color: 'red' | ||
| }] | ||
| }, { | ||
| lineWidth: 1, | ||
| type: 'area', | ||
| color: '#257ed4', | ||
| name: 'Vol', | ||
| data: [], | ||
| yAxis: 2 | ||
| }], | ||
| }) | ||
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| function calc_alpha(trades) { | ||
| let tick_sell_vol = 0 | ||
| let tick_buy_vol = 0 | ||
| let last_buy_vol = 0 | ||
| let last_sell_vol = 0 | ||
| let rightPos = Math.ceil(trades.length * 0.382) | ||
| trades.forEach(function(trade, idx) { | ||
| if (trade.side == 'buy') { | ||
| if (idx >= rightPos) { | ||
| last_buy_vol += trade.qty | ||
| } | ||
| tick_buy_vol += trade.qty | ||
| } else { | ||
| if (idx >= rightPos) { | ||
| last_sell_vol += trade.qty | ||
| } | ||
| tick_sell_vol += trade.qty | ||
| } | ||
| }) | ||
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| let tanh = function(x) { | ||
| // return [-1, 1] | ||
| return (Math.exp(x) - Math.exp(-x)) / (Math.exp(x) + Math.exp(-x)) | ||
| } | ||
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| let positive_ratio = last_buy_vol / tick_sell_vol | ||
| let negative_ratio = last_sell_vol / tick_buy_vol | ||
| let trade_ratio = 0 | ||
| if (positive_ratio > negative_ratio) { | ||
| trade_ratio = tanh(positive_ratio) | ||
| } else { | ||
| trade_ratio = tanh(-negative_ratio) | ||
| } | ||
| return _N(trade_ratio, 3) | ||
| } | ||
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| let _trades = [] | ||
| let _vol = 0 | ||
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| function onTick(ctx, event) { | ||
| if (event.trades) { | ||
| event.trades.forEach(function(trade) { | ||
| _vol += trade.qty | ||
| _trades.push(trade) | ||
| if (_trades.length > QSize) { | ||
| _trades.shift() | ||
| } | ||
| }) | ||
| if (_trades.length >= QSize) { | ||
| let val = calc_alpha(_trades) | ||
| _chart.add(0, [event.ts, _trades[_trades.length-1].price]) | ||
| _chart.add(1, [event.ts, val]) | ||
| _chart.add(2, [event.ts, _vol]) | ||
| _vol = 0 | ||
| } | ||
| } | ||
| } | ||
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| function main() { | ||
| let ctName = "swap" | ||
| _chart.reset() | ||
| let ctx = $.NewWSS(exchange, function(ws, e) { | ||
| let msg = null | ||
| if (e.GetName() == 'Futures_OKCoin') { | ||
| msg = { | ||
| op: "subscribe", | ||
| args: [] | ||
| } | ||
| let instId = e.SetContractType(ctName).InstrumentID | ||
| msg.args.push({ | ||
| channel: "books5", | ||
| instId: instId | ||
| }) | ||
| msg.args.push({ | ||
| channel: "trades", | ||
| instId: instId | ||
| }) | ||
| } else { | ||
| msg = { | ||
| method: "SUBSCRIBE", | ||
| params: [], | ||
| id: "1" | ||
| } | ||
| let symbol = e.GetCurrency().replace('_', '').toLowerCase() | ||
| msg.params.push(symbol + "@aggTrade") | ||
| msg.params.push(symbol + "@depth20@100ms") | ||
| } | ||
| ws.write(JSON.stringify(msg)) | ||
| Log("subscribe", msg, "channel") | ||
| LogStatus("Ready") | ||
| }, onTick, false) | ||
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| while (true) { | ||
| ctx.poll() | ||
| EventLoop(1000) | ||
| } | ||
| } | ||
| ``` | ||
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| > 策略出处 | ||
| https://www.fmz.com/strategy/392784 | ||
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| > 更新时间 | ||
| 2023-02-01 19:43:36 |
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