def sync_depth():
fcoin = Fcoin()
# fcoin.auth('key ', 'secret')
sDir = os.path.join(os.path.abspath('..'), '..', 'Fcoin_DL')
stime = time.strftime('%Y%m%d', time.localtime())
rootn = 'depth'
level = 'L20'
dirname = '{0}{1}'.format(rootn, level)
# 获取最新的深度明细
# 买(卖)1价, 买(卖)1量
depth_head = ['买1价', '买的量数', '卖1价', '卖的量数']
depth_flag = '买1价'
# asks_head = ['卖1价','卖的量数']
# asks_flag = '卖1价'
for sy in config.sylist:
# for original data
sTfile = '{0}_{1}_{2}'.format(stime, sy, '{0}{1}'.format(rootn, '.txt'))
sTfilepath = os.path.join(sDir, dirname, sTfile)
dpfile = '{0}_{1}_{2}'.format(stime, sy, '{0}{1}'.format(rootn, '.csv'))
dpspath = os.path.join(sDir, dirname, dpfile)
rdata = fcoin.get_market_depth(level, sy)
depthinfo = rdata['data'] # 20 档行情深度 for iask in depthinfo['asks']:
bidlists = depthinfo['bids']
print(bidlists)
asklists = depthinfo['asks']
print(asklists)
idp = 0
nask = len(depthinfo['asks'])
# nbid = len(depthinfo['bids'])
rFind = False
while idp < nask:
if os.path.exists(dpspath):
with open(dpspath, 'r', encoding='utf-8') as f:
first_line = f.readline() # 取第一行
rFind = depth_flag in first_line
with open(dpspath, 'a+', encoding='utf-8', newline='') as f:
w = csv.writer(f)
balist = []
# balist = list(bidlists[idp:idp + 2] )
balist.extend(bidlists[idp:idp + 2])
balist.extend(asklists[idp:idp + 2])
if rFind is True:
w.writerow(balist)
idp += 2
else:
w.writerow(depth_head)
w.writerow(balist)
idp += 2
f.close()
# write original data to txt files
with open(sTfilepath, 'a+', encoding='utf-8') as tf:
tf.writelines(json.dumps(rdata) + '\n')
tf.close()
def getMidPrice():
"""
获取btc_usdt的深度行情
:return:
"""
public_ticker = Fcoin()
result, data = public_ticker.get_market_depth("L20", "btcusdt")
if data["status"] == 0:
info = data["data"]
bids_data = info["bids"]
asks_data = info["asks"]
bids_data = [float(x) for x in bids_data]
asks_data = [float(x) for x in asks_data]
llen_bids = len(bids_data)
llen_asks = len(asks_data)
new_bids_arr = []
for i in range(int(llen_bids / 2)):
new_bids_arr.append([bids_data[2 * i], bids_data[2 * i + 1]])
new_asks_arr = []
for i in range(int(llen_asks / 2)):
new_asks_arr.append([asks_data[2 * i], asks_data[2 * i + 1]])
sort_bids_data = sorted(new_bids_arr,
key=lambda price_pair: price_pair[0])
sort_asks_data = sorted(new_asks_arr,
key=lambda price_pair: price_pair[0])
sort_bids_data.reverse()
bidPrice1, bidVolume1 = sort_bids_data[0]
askPrice1, askVolume1 = sort_asks_data[0]
midPrice = (bidPrice1 + askPrice1) / 2.0
midPrice = round(midPrice, 2)
return (midPrice, bidPrice1, askPrice1)
else:
return None, None, None
class app():
def __init__(self):
self.key = config.key
self.secret = config.secret
self._log = None
self.dic_balance = defaultdict(lambda: None)
self.order_list = defaultdict(lambda: None)
self.stop = False
self.buy_order_id = None
self.sell_order_id = None
self.time_order = time.time()
self.db = mongodb()
self.fcoin = Fcoin()
self.fcoin.auth(self.key, self.secret)
self._init_log()
def _init_log(self):
self._log = logging.getLogger(__name__)
self._log.setLevel(level=logging.INFO)
formatter = logging.Formatter('%(asctime)s - %(message)s')
handler = logging.FileHandler("app.log")
handler.setLevel(logging.INFO)
handler.setFormatter(formatter)
self._log.addHandler(handler)
console = logging.StreamHandler()
console.setLevel(logging.INFO)
console.setFormatter(formatter)
self._log.addHandler(console)
#查询订单
def get_orders(self, symbol, states, limit=1):
'''
:param symbol:
:param states: submitted/partial_filled/partial_canceled/canceled/pending_cancel/filled
:return:
'''
success, data = self.fcoin.list_orders(symbol=symbol, states=states, limit=limit)
if success:
return data['data']
else:
print(data)
return None
#获取余额
def get_blance(self):
dic_blance = defaultdict(lambda: None)
success, data = self.fcoin.get_balance()
if success:
for item in data['data']:
dic_blance[item['currency']] = balance(float(item['available']), float(item['frozen']),float(item['balance']))
return dic_blance
#精度
def digits(self,num, digit):
site = pow(10, digit)
tmp = num * site
tmp = math.floor(tmp) / site
return tmp
#过程
def process(self):
if self.buy_order_id is None and self.sell_order_id is None:
success, data = self.fcoin.get_market_depth('L20', config.symbol)
if success:
bids = data['data']['bids'] # 买
asks = data['data']['asks'] # 卖
total_bids = 0
total_asks = 0
for i in range(3):
total_bids += bids[2*i - 1]
total_asks += asks[2*i - 1]
buy_price = bids[0]
buy_amount = bids[1]
sell_price = asks[0]
sell_amount = asks[1]
usdt = self.dic_balance['usdt']
btc = self.dic_balance['btc']
amount = 0
price = 0
order = None
if btc:
r = self.db.get('buy',buy_price)
if r:
amount = self.digits(r['amount'], 4)
order = {'id': r['_id'], 'amount': amount, 'price': r['price']}
#if btc.available >= 0.001 and amount < 0.001:
# amount = self.digits(btc.available, 4)
if amount >= 0.001:
price = self.digits(sell_price, 2)
success, data = self.fcoin.sell(config.symbol, price, amount)#卖
if success:
self.time_order = time.time()
self.sell_order_id = data['data']
self._log.info('挂卖单成功[%s:%s]' % (amount, price))
if order:
self.order_list[self.sell_order_id] = order
return
if usdt:
if btc and btc.available >= config.limit_account:
self.dic_balance = self.get_blance()
self._log.info('余额度超过%s个BTC,停止买入[%s]' % (config.limit_account, btc.available))
return
if usdt.available > buy_price * config.max_amount:
amount = config.max_amount if total_bids > config.total_amount and total_asks > config.total_amount else config.min_amount
else:
amount = usdt.available/buy_price
amount = self.digits(amount, 4)
price = self.digits(buy_price, 2)
success, data = self.fcoin.buy(config.symbol, price, amount)#买
if success:
self.time_order = time.time()
self.buy_order_id = data['data']
self._log.info('挂买单成功[%s:%s]' % (amount, price))
else:
self._log.info('余额错误')
self.dic_balance = self.get_blance()
else:
if self.sell_order_id:
success, data = self.fcoin.get_order(self.sell_order_id)
if success:
state = data['data']['state']
amount = float(data['data']['filled_amount'])
if state in ('filled','partial_canceled'):
order = self.order_list[self.sell_order_id]
if order:
self.db.update( order['id'], amount)
if state == 'filled':
self.sell_order_id = None
self._log.info('卖单已成交')
self.dic_balance = self.get_blance()
elif state == 'canceled' or state == 'partial_canceled':
self.sell_order_id = None
self._log.info('卖单已撤单')
self.dic_balance = self.get_blance()
elif state not in ('pending_cancel'):
if time.time() - self.time_order >= 15:
self.fcoin.cancel_order(self.sell_order_id)
self._log.info('15秒超时撤单')
if self.buy_order_id:
success, data = self.fcoin.get_order(self.buy_order_id)
if success:
state = data['data']['state']
amount = float(data['data']['filled_amount']) - float(data['data']['fill_fees'])
price = float(data['data']['price'])
if amount > 0 and state in ('filled','partial_canceled'):
self.db.add('buy', price, amount)
if state == 'filled':
self.buy_order_id = None
self._log.info('买单已成交')
self.dic_balance = self.get_blance()
elif state == 'canceled' or state == 'partial_canceled':
self.buy_order_id = None
self._log.info('买单已撤单')
self.dic_balance = self.get_blance()
elif state not in ('pending_cancel'):
if time.time() - self.time_order >= 15:
self.fcoin.cancel_order(self.buy_order_id)
self._log.info('15秒超时撤单')
def task(self):
dic = self.get_orders(config.symbol, 'submitted', 20)
for item in dic:
self.fcoin.cancel_order(item['id'])
self.dic_balance = self.get_blance()
self.loop()
def loop(self):
while not self.stop:
self.process()
time.sleep(1)
# 买(卖)1价, 买(卖)1量
# The ask price is what sellers are willing to take for it.
# If you are selling a stock, you are going to get the bid price,
# if you are buying a stock you are going to get the ask price.
bids_head = ['买1价','买的量数']
bids_flag = '买1价'
asks_head = ['卖1价','卖的量数']
asks_flag = '卖1价'
for sy in sylist:
bidsfile = '{0}_{1}_{2}'.format(stime,sy, 'bids_depth.csv')
bidspath = os.path.join(sDir, bidsfile)
asksfile = '{0}_{1}_{2}'.format(stime, sy, 'asks_depth.csv')
askspath = os.path.join(sDir, asksfile)
depthinfo = fcoin.get_market_depth('L20',sy)['data']# 20 档行情深度 for iask in depthinfo['asks']:
bidlists = depthinfo['bids']
print(bidlists)
asklists = depthinfo['asks']
print(asklists)
nask = len(depthinfo['asks'])
nbid = len(depthinfo['bids'])
iask = 0
rFindasks = False
while iask < nask/2:
if os.path.exists(askspath):
with open(askspath, 'r', encoding='utf-8') as f:
first_line = f.readline() # 取第一行
rFindasks = asks_flag in first_line
with open(askspath, 'a+', encoding='utf-8',newline='') as f:
w = csv.writer(f)
balance_eth = 0
for data in balance["data"]:
if(data["currency"] == "usdt"):
balance_usdt = float(data["available"])
if(data["currency"] == "ft"):
balance_ft = float(data["available"])
if(data["currency"] == "eth"):
balance_eth = float(data["available"])
print("balance-FT :"+str(balance_ft))
print("balance-USDT:"+str(balance_usdt))
print("balance-ETH :"+str(balance_eth))
'''
depth_ftusdt = fcoin.get_market_depth("L20", "ftusdt")
depth_fteth = fcoin.get_market_depth("L20", "fteth")
depth_ethusdt = fcoin.get_market_depth("L20", "ethusdt")
#float('%.4g' % (balance_ft))
max = 0
min = 10000
index_max = -1
index_min = -1
####### buy algo #######
if (depth_ftusdt["data"]["asks"][0] < min):
min = depth_ftusdt["data"]["asks"][0]
index_min = 1
if (depth_fteth["data"]["asks"][0] * depth_ethusdt["data"]["asks"][0] < min):
min = depth_fteth["data"]["asks"][0] * depth_ethusdt["data"]["asks"][0]