Ejemplo n.º 1
0
    def __init__(self):
        self._db = Sqlite3()
        self._sms = SMSGateway()

        self._account_btcchina = BTCChinaAccount(config.ACCESS_KEY,
                                                 config.SECRET_KEY,
                                                 config.ACCOUNT_ID)
        pass
Ejemplo n.º 2
0
    def __init__(self):
        self._db = Sqlite3()
        self._sms = SMSGateway()

        self._account_btcchina = BTCChinaAccount(config.ACCESS_KEY, config.SECRET_KEY, config.ACCOUNT_ID)
        pass
Ejemplo n.º 3
0
class TrendMonitor(object):
    '''
    行情趋势监控类
    1. 行情短信预警
    2. 自动止损卖空
    '''
    def __init__(self):
        self._db = Sqlite3()
        self._sms = SMSGateway()

        self._account_btcchina = BTCChinaAccount(config.ACCESS_KEY, config.SECRET_KEY, config.ACCOUNT_ID)
        pass

    def _load_recent_price(self):
        ret = False
        recs = []

        sql = 'SELECT price, updatetime FROM t_price_history ORDER BY id desc LIMIT %d;' % (config.STOP_LOSS_SAMPLE_SPACE)
        ret, recs = self._db.execute(sql)
        if not ret:
            logger.error('load recent price fail')
            return ret, recs
        return ret, recs

    def _fresh_pipeline(self, price_tuple_history):
        now = time.time()
        fresh_price_history = []
        for tuple_price in price_tuple_history:
            price = tuple_price[0]
            updatetime = tuple_price[1]
            elapse_sec = now - updatetime
            if elapse_sec < (config.STOP_LOSS_FRESH_TIME * 60):
                fresh_price_history.append(price)
            else:
                logger.info('price info too old - %d secs - "%s"' % (elapse_sec, str(tuple_price)))
        logger.info('fresh pipeline %d -> %d' % (len(price_tuple_history), len(fresh_price_history)))
        return fresh_price_history

    # 止损策略 - 均值
    #   如果平均价格低于阀值,则满足止损条件
    #   True - dangerous
    #   False - safe
    def _strategy_stop_loss_mean(self, price_history):
        ret = False
        msg = ''
        # 计算平均值
        mean = sum(price_history) / float(len(price_history))
        if mean < config.STOP_LOSS_MEAN:
            ret = True
        last = price_history[0]

        if not ret:
            logger.info('>>> strategy mean checked safe - mean %0.2f' % (mean))
            return ret, msg

        logger.info('>>> BE CAUTIOUS -> strategy mean checked DANGEROUS - mean %0.2f / %0.2f' % (mean, config.STOP_LOSS_MEAN))

        # 发送预警短信
        if config.STOP_LOSS_EXEC_SMS:
            logger.info('exec sms flag is open')
            msg = 'kxLowPrice,sms_zend_framework,sl,10min,mean%0.2f,last%0.2f' % (mean, last)
            self._sms.send(msg)
        else:
            logger.info('exec sms flag is close')

        # 执行抛售操作
        if config.STOP_LOSS_EXEC_SELLOUT:
            logger.info('exec sell flag is open')
            best_ask = last - config.OFFSET_SELLOUT
            logger.info('best ask %0.2f' % (best_ask))
            self._account_btcchina.sell_out(best_ask)
        else:
            logger.info('exec sms flag is close')
        return ret, msg

    # 止损策略 - 首次触底
    def _strategy_stop_loss_bottom(self, price_history):
        ret = False
        msg = ''
        return ret,msg

    def _judge_direction(self, price_history):
        pass

    def run(self):
        while True:
            logger.info('sleep %d sec' % (config.PRICE_MONITOR_INTERVAL))
            time.sleep(config.PRICE_MONITOR_INTERVAL)

            ret, recs = self._load_recent_price()
            if ret:
                # 判断价格历史数据是否已经过期
                price_history = self._fresh_pipeline(recs)
                if len(price_history) < (config.STOP_LOSS_SAMPLE_SPACE / 10):
                    logger.info('stop loss sample space is too small %d/%d, skip' % (len(price_history), config.STOP_LOSS_SAMPLE_SPACE))
                    continue

                # 止损策略
                self._strategy_stop_loss_mean(price_history)
                pass
            pass
        pass
Ejemplo n.º 4
0
class TrendMonitor(object):
    '''
    行情趋势监控类
    1. 行情短信预警
    2. 自动止损卖空
    '''
    def __init__(self):
        self._db = Sqlite3()
        self._sms = SMSGateway()

        self._account_btcchina = BTCChinaAccount(config.ACCESS_KEY,
                                                 config.SECRET_KEY,
                                                 config.ACCOUNT_ID)
        pass

    def _load_recent_price(self):
        ret = False
        recs = []

        sql = 'SELECT price, updatetime FROM t_price_history ORDER BY id desc LIMIT %d;' % (
            config.STOP_LOSS_SAMPLE_SPACE)
        ret, recs = self._db.execute(sql)
        if not ret:
            logger.error('load recent price fail')
            return ret, recs
        return ret, recs

    def _fresh_pipeline(self, price_tuple_history):
        now = time.time()
        fresh_price_history = []
        for tuple_price in price_tuple_history:
            price = tuple_price[0]
            updatetime = tuple_price[1]
            elapse_sec = now - updatetime
            if elapse_sec < (config.STOP_LOSS_FRESH_TIME * 60):
                fresh_price_history.append(price)
            else:
                logger.info('price info too old - %d secs - "%s"' %
                            (elapse_sec, str(tuple_price)))
        logger.info('fresh pipeline %d -> %d' %
                    (len(price_tuple_history), len(fresh_price_history)))
        return fresh_price_history

    # 止损策略 - 均值
    #   如果平均价格低于阀值,则满足止损条件
    #   True - dangerous
    #   False - safe
    def _strategy_stop_loss_mean(self, price_history):
        ret = False
        msg = ''
        # 计算平均值
        mean = sum(price_history) / float(len(price_history))
        if mean < config.STOP_LOSS_MEAN:
            ret = True
        last = price_history[0]

        if not ret:
            logger.info('>>> strategy mean checked safe - mean %0.2f' % (mean))
            return ret, msg

        logger.info(
            '>>> BE CAUTIOUS -> strategy mean checked DANGEROUS - mean %0.2f / %0.2f'
            % (mean, config.STOP_LOSS_MEAN))

        # 发送预警短信
        if config.STOP_LOSS_EXEC_SMS:
            logger.info('exec sms flag is open')
            msg = 'kxLowPrice,sms_zend_framework,sl,10min,mean%0.2f,last%0.2f' % (
                mean, last)
            self._sms.send(msg)
        else:
            logger.info('exec sms flag is close')

        # 执行抛售操作
        if config.STOP_LOSS_EXEC_SELLOUT:
            logger.info('exec sell flag is open')
            best_ask = last - config.OFFSET_SELLOUT
            logger.info('best ask %0.2f' % (best_ask))
            self._account_btcchina.sell_out(best_ask)
        else:
            logger.info('exec sms flag is close')
        return ret, msg

    # 止损策略 - 首次触底
    def _strategy_stop_loss_bottom(self, price_history):
        ret = False
        msg = ''
        return ret, msg

    def _judge_direction(self, price_history):
        pass

    def run(self):
        while True:
            logger.info('sleep %d sec' % (config.PRICE_MONITOR_INTERVAL))
            time.sleep(config.PRICE_MONITOR_INTERVAL)

            ret, recs = self._load_recent_price()
            if ret:
                # 判断价格历史数据是否已经过期
                price_history = self._fresh_pipeline(recs)
                if len(price_history) < (config.STOP_LOSS_SAMPLE_SPACE / 10):
                    logger.info(
                        'stop loss sample space is too small %d/%d, skip' %
                        (len(price_history), config.STOP_LOSS_SAMPLE_SPACE))
                    continue

                # 止损策略
                self._strategy_stop_loss_mean(price_history)
                pass
            pass
        pass