def run(coin_pair, depth=10):
"""
A single connection to stream.binance.com is only valid for 24 hours; expect to be disconnected at the 24 hour mark
:param coin_pair: coin1:coin2|coin1:coin2 小币在前，大币在后
:param depth: 5 / 10 / 20
:return:
"""
os.environ['WEBSOCKET_CLIENT_CA_BUNDLE'] = certifi.where()
rds = Redis(host='localhost', port=6379, db=0)
pair_part = coin_pair.split('|')
coin_pair_list = [item.split(':') for item in pair_part]
ws = start_websocket(coin_pair_list, depth)
start_run = time.time()
while 1:
try:
res = json.loads(ws.recv())
print("{}|Received|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), res))
if 'stream' in res:
coin_info = res['stream'].split('@')[0]
if coin_info[-3:] in bigcoin_set:
coin1 = coin_info[-3:]
coin2 = coin_info[:-3]
else:
raise Exception(
'UnExcepted Coin Info {}'.format(coin_info))
start = time.time()
redis_key = get_redis_key(market=Market.BINANCE,
coin1=coin1,
coin2=coin2)
price_data = res['data']
# 序列化复杂数据
price_data['ts'] = int(time.time() * 1000)
# 保持字符串，不要随便转换为float损失精度
price_data['bids'] = json.dumps([[item[0], item[1]]
for item in price_data['bids']
])
price_data['asks'] = json.dumps([[item[0], item[1]]
for item in price_data['asks']
])
rds.hmset(redis_key, price_data)
end = time.time()
print("{}|SetRedis|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
redis_key, end - start))
else:
print("{}|UnExceptedMessage|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), res))
run_time = time.time() - start_run
if run_time > RECONNECT_TIME: # 不超过24小时，保险点，设置为10小时 10*60*60=36000
print("{}|ReConnect".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f')))
ws.close()
ws = start_websocket(coin_pair_list, depth)
start_run = time.time()
except Exception as e:
print("{}|Exception|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), e.message))
print("Traceback|{}".format(traceback.format_exc()))
try:
ws.close()
except:
pass
try:
ExceptionInfoModel(host=ip,
source='FETCH_BINANCE_DEPTH',
message=e.message,
log_time=datetime.utcnow()).add()
clear_dbsession()
except:
pass
for fail_count in xrange(5):
# 休息10s
time.sleep(10)
try:
ws = start_websocket(coin_pair_list, depth)
start_run = time.time()
except:
print("{}|Exception|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
e.message))
print("Traceback|{}".format(traceback.format_exc()))
# 第五次还不行
if fail_count >= 4:
raise
else:
break
def run(coin_pair):
"""
:param coin_pair: coin_pair: coin1:coin2|coin1:coin2 小币在前，大币在后
:return:
"""
rds = Redis(host='localhost', port=6379, db=0)
pair_part = coin_pair.split('|')
coin_pair_list = [item.split(':') for item in pair_part]
ws = start_websocket(coin_pair_list)
start_run = time.time()
while 1:
try:
message = json.loads(ws.recv())
if 'dataType' in message and message['dataType'] == 'depth':
coin_info = message['channel'].split('_')[0]
if coin_info[-3:] in bigcoin_set:
coin1 = coin_info[-3:]
coin2 = coin_info[:-3]
else:
raise Exception(
'UnExcepted Coin Info {}'.format(coin_info))
redis_key = get_redis_key(market=Market.ZB,
coin1=coin1,
coin2=coin2)
price_data = dict()
# 序列化复杂数据
# 返回的时间戳为秒级别，不可用
price_data['ts'] = int(time.time() * 1000)
price_data['version'] = price_data['ts']
# 保持字符串，不要随便转换为float损失精度
price_data['bids'] = json.dumps([[str(item[0]),
str(item[1])]
for item in message['bids']])
price_data['asks'] = json.dumps([[str(item[0]),
str(item[1])]
for item in message['asks']])
start = time.time()
rds.hmset(redis_key, price_data)
end = time.time()
print("{}|SetRedis|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
redis_key, end - start))
# 建立连接一段时间之后准备重建连接
current_time = time.time()
if current_time - start_run > RECONNECT_TIME: # 设置为10小时 10*60*60=36000
print("{}|ReConnect".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f')))
ws.close()
ws = start_websocket(coin_pair_list)
start_run = current_time
# elif current_time - ping_time > 10: # 每10秒ping一次
# ws.send(json.dumps({'event': 'ping'}))
# ping_time = current_time
except Exception as e:
print("{}|Exception|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), e.message))
print("Traceback|{}".format(traceback.format_exc()))
try: # 出现异常之后重新建立连接
ws.close()
except:
pass
try:
ExceptionInfoModel(host=ip,
source='FETCH_ZB_DEPTH',
message=e.message,
log_time=datetime.utcnow()).add()
clear_dbsession()
except:
pass
for fail_count in xrange(5):
# 休息10s
time.sleep(10)
try:
ws = start_websocket(coin_pair_list)
start_run = time.time()
except:
print("{}|Exception|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
e.message))
print("Traceback|{}".format(traceback.format_exc()))
# 第五次还不行
if fail_count >= 4:
raise
else:
break
def run(self):
"""
运行
:return:
"""
if_trade, if_rebalance = self.frozen_check()
if if_trade is False:
print("{}|FrozenOverFLow|{}|{}|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
self.first_market, self.first_market_account,
self.second_market, self.second_market_account))
# 被冻结太多了，休息会
time.sleep(10)
self.get_account()
return
pipe = self.rds.pipeline(transaction=False)
redis_key1 = get_redis_key(market=self.first_market,
coin1=self.combination.small_coin,
coin2=self.combination.big_coin)
pipe.hgetall(redis_key1)
redis_key2 = get_redis_key(market=self.second_market,
coin1=self.combination.small_coin,
coin2=self.combination.big_coin)
pipe.hgetall(redis_key2)
res = pipe.execute()
# 数据可能不存在
if not res[0]:
print("{}|BookNotExist|{}|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
self.first_market, self.combination.small_coin,
self.combination.big_coin))
return
if not res[1]:
print("{}|BookNotExist|{}|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
self.second_market, self.combination.small_coin,
self.combination.big_coin))
return
# 先把bids和asks数据从字符串转换回去
# 版本统一用version指代
# 时间戳统一用ts
for item in res:
item['ts'] = int(item['ts'])
if 'lastUpdateId' in item:
item['version'] = int(item['lastUpdateId'])
if 'version' in item:
item['version'] = int(item['version'])
item['bids'] = json.loads(item['bids'])
item['asks'] = json.loads(item['asks'])
# 数据可能已经处理过了，还没有更新
# 这种情况很多，就不用打日志了
if redis_key1 in self.current_data_version and redis_key2 in self.current_data_version \
and (self.current_data_version[redis_key1] >= res[0]['version']
and self.current_data_version[redis_key2] >= res[1]['version']):
# print("{}|DataNotUpdate|{}|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
# coin1, coin2))
return
else: # 缓存数据
self.current_data_version[redis_key1] = res[0]['version']
self.current_data_version[redis_key2] = \
res[1]['lastUpdateId'] if 'lastUpdateId' in res[1] else res[1]['version']
# 数据可能超时，注意，存储的数据是毫秒级的
current = int(time.time() * 1000)
if current - res[0]['ts'] > BOOK_TIMEOUT * 1000:
print("{}|BookTimeOut|{}|{}|{}|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
self.first_market, self.combination.small_coin,
self.combination.big_coin, current, res[0]['ts']))
return
if current - res[1]['ts'] > BOOK_TIMEOUT * 1000:
print("{}|BookTimeOut|{}|{}|{}|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
self.second_market, self.combination.small_coin,
self.combination.big_coin, current, res[1]['ts']))
return
# 比较差价
# 先转换为Decimal
for res_index in xrange(2):
for type_index in ['bids', 'asks']:
res[res_index][type_index] = [[
Decimal(str(item[0])),
Decimal(str(item[1]))
] for item in res[res_index][type_index]]
first_market_depth_time = res[0]['ts']
second_market_depth_time = res[1]['ts']
# bids买，第一位为买小币的最高价；asks卖，第一位为卖小币的最低价
bid_price, ask_price, amount = self.find_profit(
res[0]['bids'], res[1]['asks'])
if amount > 0: # 有机会了
self.trader.first_market_sell_second_market_market_buy(
first_market_account=self.first_market_account,
second_market_account=self.second_market_account,
bid_price=bid_price,
ask_price=ask_price,
amount=amount,
first_market_bids_depth=res[0]['bids'],
second_market_asks_depth=res[1]['asks'],
first_market_depth_time=first_market_depth_time,
second_market_depth_time=second_market_depth_time)
# 不可能出现一边买大于另一边卖，同时一边的卖低于另一边的买
bid_price, ask_price, amount = self.find_profit(
res[1]['bids'], res[0]['asks'])
if amount > 0:
self.trader.first_market_buy_second_market_market_sell(
first_market_account=self.first_market_account,
second_market_account=self.second_market_account,
bid_price=bid_price,
ask_price=ask_price,
amount=amount,
first_market_asks_depth=res[0]['asks'],
second_market_bids_depth=res[1]['bids'],
first_market_depth_time=first_market_depth_time,
second_market_depth_time=second_market_depth_time)
if if_rebalance is True:
if self.first_market_account[self.combination.small_coin] \
< self.combination.small_coin_amount * REBALANCE_THRESHOLD:
self.trader.first_market_small_coin_rebalance(
first_market_account=self.first_market_account,
second_market_account=self.second_market_account,
second_market_bid_info=res[1]['bids'],
first_market_ask_info=res[0]['asks'],
small_point_amount=self.combination.small_coin_amount,
first_market_depth_time=first_market_depth_time,
second_market_depth_time=second_market_depth_time)
elif self.second_market_account[self.combination.small_coin] < \
self.combination.small_coin_amount * REBALANCE_THRESHOLD:
self.trader.second_market_small_coin_rebalance(
first_market_account=self.first_market_account,
second_market_account=self.second_market_account,
first_market_bid_info=res[0]['bids'],
second_market_ask_info=res[1]['asks'],
small_point_amount=self.combination.small_coin_amount,
first_market_depth_time=first_market_depth_time,
second_market_depth_time=second_market_depth_time)
# 小币调整应该是罕见的才对，先不限制只有没交易才小币调整
self.trader.small_coin_adjust(
first_market_account=self.first_market_account,
second_market_account=self.second_market_account,
small_coin_amount=self.combination.small_coin_amount,
first_market_depth_info=res[0],
second_market_depth_info=res[1],
first_market_depth_time=first_market_depth_time,
second_market_depth_time=second_market_depth_time)
if time.time() - self.account_fetch_time > 600: # 每10分钟获取account
self.get_account()
# 如果有需要补充货币，没10分钟处理一次
self.coin_supplement()
def run(coin_pair, depth=10):
"""
:param coin_pair: coin_pair: coin1:coin2|coin1:coin2 小币在前，大币在后
:param depth: step0 - step5
:return:
"""
rds = Redis(host='localhost', port=6379, db=0)
pair_part = coin_pair.split('|')
coin_pair_list = [item.split(':') for item in pair_part]
ws = start_websocket(coin_pair_list, depth)
start_run = ping_time = time.time()
while 1:
try:
message = json.loads(ws.recv())
if isinstance(message, list): # 订阅成功信息或者深度信息
for item in message:
if item['channel'] == 'addChannel':
if item['data']['result'] is True:
print("{}|SubChannel|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
item['data']['channel']))
else:
raise SubChannelError("{}|SubChannelFail|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), item['data']['channel']))
else: # 数据
channel = item['channel']
channel_parts = channel.split('_')
coin1 = channel_parts[-4]
coin2 = channel_parts[-3]
redis_key = get_redis_key(market=Market.OKEX, coin1=coin1, coin2=coin2)
price_data = item['data']
price_data['ts'] = price_data['timestamp']
price_data['version'] = price_data['timestamp']
price_data.pop('timestamp')
price_data['bids'] = json.dumps(price_data['bids'])
price_data['asks'] = json.dumps(price_data['asks'])
start = time.time()
rds.hmset(redis_key, price_data)
end = time.time()
print("{}|Received|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), price_data))
print("{}|SetRedis|{}|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
redis_key, end-start))
else:
if 'event' in message and message['event'] == 'pong':
print("{}|ReceivedPong|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
message))
# if 'ping' in unziped_message:
# print("{}|PING|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
# unziped_message))
# ws.send(json.dumps({'pong': unziped_message['ping']}))
# elif 'subbed' in unziped_message:
# print("{}|Sub|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
# unziped_message['subbed']))
# else: # 收到的是数据
# if 'ch' in unziped_message:
# coin_symbol = unziped_message['ch'].split('.')[1]
# if coin_symbol[-3:] in bigcoin_set:
# coin1 = coin_symbol[-3:]
# coin2 = coin_symbol[:-3]
# else:
# raise Exception('UnExcepted Coin Info {}'.format(coin_symbol))
# start = time.time()
# redis_key = get_redis_key(market=Market.HUOBI, coin1=coin1, coin2=coin2)
# price_data = unziped_message['tick']
# # 序列化复杂数据
# price_data['ts'] = unziped_message['ts']
# price_data['bids'] = json.dumps(price_data['bids'][:10])
# price_data['asks'] = json.dumps(price_data['asks'][:10])
# rds.hmset(redis_key, price_data)
# end = time.time()
# print("{}|Received|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), price_data))
# print("{}|SetRedis|{}|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
# redis_key, end-start))
# else:
# print("{}|UnExceptedMessage|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
# unziped_message))
# 建立连接一段时间之后准备重建连接
current_time = time.time()
if current_time - start_run > RECONNECT_TIME: # 设置为10小时 10*60*60=36000
print("{}|ReConnect".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f')))
ws.close()
ws = start_websocket(coin_pair_list, depth)
start_run = current_time
elif current_time - ping_time > 10: # 每10秒ping一次
ws.send(json.dumps({'event': 'ping'}))
ping_time = current_time
except Exception as e:
print("{}|Exception|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
e.message))
print("Traceback|{}".format(traceback.format_exc()))
try: # 出现异常之后重新建立连接
ws.close()
except:
pass
try:
ExceptionInfoModel(host=ip, source='FETCH_OKEX_DEPTH', message=e.message,
log_time=datetime.utcnow()).add()
clear_dbsession()
except:
pass
for fail_count in xrange(5):
# 休息10s
time.sleep(10)
try:
ws = start_websocket(coin_pair_list, depth)
start_run = time.time()
except:
print("{}|Exception|{}".format(datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
e.message))
print("Traceback|{}".format(traceback.format_exc()))
# 第五次还不行
if fail_count >= 4:
raise
else:
break
def run(coin_pair, depth='step0'):
"""
:param coin_pair: string coin1:coin2|coin1:coin2
:param depth: step0 - step5
:return:
"""
rds = Redis(host='localhost', port=6379, db=0)
pair_part = coin_pair.split('|')
coin_pair_list = [item.split(':') for item in pair_part]
ws = start_websocket(coin_pair_list, depth)
start_run = time.time()
while 1:
try:
unziped_message = json.loads(
zlib.decompress(ws.recv(), 16 + zlib.MAX_WBITS))
if 'ping' in unziped_message:
print("{}|PING|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
unziped_message))
ws.send(json.dumps({'pong': unziped_message['ping']}))
elif 'subbed' in unziped_message:
print("{}|Sub|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
unziped_message['subbed']))
else: # 收到的是数据
if 'ch' in unziped_message:
coin_symbol = unziped_message['ch'].split('.')[1]
if coin_symbol[-3:] in bigcoin_set:
coin1 = coin_symbol[-3:]
coin2 = coin_symbol[:-3]
else:
raise Exception(
'UnExcepted Coin Info {}'.format(coin_symbol))
start = time.time()
redis_key = get_redis_key(market=Market.HUOBI,
coin1=coin1,
coin2=coin2)
price_data = unziped_message['tick']
# 序列化复杂数据
price_data['ts'] = unziped_message['ts']
price_data['bids'] = json.dumps(price_data['bids'][:10])
price_data['asks'] = json.dumps(price_data['asks'][:10])
rds.hmset(redis_key, price_data)
end = time.time()
print("{}|Received|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
price_data))
print("{}|SetRedis|{}|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
redis_key, end - start))
else:
print("{}|UnExceptedMessage|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
unziped_message))
# 建立连接一段时间之后准备重建连接
current_time = time.time()
if current_time - start_run > RECONNECT_TIME: # 设置为10小时 10*60*60=36000
print("{}|ReConnect".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f')))
ws.close()
ws = start_websocket(coin_pair_list, depth)
start_run = current_time
except Exception as e:
print("{}|Exception|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'), e.message))
print("Traceback|{}".format(traceback.format_exc()))
try: # 出现异常之后重新建立连接
ws.close()
except:
pass
try:
ExceptionInfoModel(host=ip,
source='FETCH_HUOBI_DEPTH',
message=e.message,
log_time=datetime.utcnow()).add()
clear_dbsession()
except:
pass
for fail_count in xrange(5):
# 休息10s
time.sleep(10)
try:
ws = start_websocket(coin_pair_list, depth)
start_run = time.time()
except:
print("{}|Exception|{}".format(
datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%f'),
e.message))
print("Traceback|{}".format(traceback.format_exc()))
# 第五次还不行
if fail_count >= 4:
raise
else:
break