def process(res, timestamp):
global write_lines
for i in res:
if i == 'data':
ts = time.time()
trade_item = res[i][0]
latest_price = float(trade_item['price'])
trade_id = str(trade_item['trade_id'])
size = float(trade_item['size'])
side = str(trade_item['side'])
deal_entity = DealEntity(trade_id, latest_price, size, ts, side)
print('detail:' + deal_entity.detail())
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
less = 0
holding_status = 'spot_less: %d' % less
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' % (latest_price, avg_3s_price, avg_10s_price,
avg_min_price, avg_3m_price)
# print("price info: " + price_info)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
# print("vol info: " + vol_info)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_3m_change)
# print("rate info: " + rate_info)
write_info = holding_status + u', ' + price_info + u', ' + vol_info + u', ' + rate_info + u', ' + timestamp + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(holding_status + '\r\n' + price_info + '\r\n' + vol_info +
'\r\n' + rate_info + u', ' + str(timestamp))
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, time_flag_1min, time_flag_1s
jmessage = json.loads(message)
ts = time.time()
if int(ts) - int(time_flag_1min) >= 60:
time_flag_1min = int(ts)
turtle.calc_unit()
if int(ts) - int(time_flag_1s) >= 1:
time_flag_1s = int(ts)
turtle.build_position()
turtle.add_position()
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
price_5m_ago = handle_deque(deque_5m, deal_entity, ts, ind_5m)
def on_message(ws, message):
global buy_price, sell_price, buy_queue, sell_queue, bid_price, ask_price, last_time_sec, latest_deal_price, last_time_account_sec
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
jmessage = json.loads(message)
each_message = jmessage[0]
channel = each_message['channel']
now_time_sec = float(time.time())
if channel == 'ok_sub_spot_%s_usdt_depth_5' % coin_name:
data = each_message['data']
asks = data['asks'][::-1]
bids = data['bids']
ask_price = float(asks[0][0])
bid_price = float(bids[0][0])
ask_price_2 = float(asks[1][0])
bid_price_2 = float(bids[1][0])
mid_price = (ask_price + bid_price) / 2
elif channel == ('ok_sub_spot_%s_usdt_deals' % coin_name):
jdata = each_message['data'][0]
latest_deal_price = float(jdata[1])
mid_price = (ask_price + bid_price) / 2
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), now_time_sec,
jdata[4])
handle_deque(deque_3s, deal_entity, now_time_sec, ind_3s)
avg_3s_price = ind_3s.cal_avg_price()
price_3s_change = cal_rate(latest_deal_price, avg_3s_price)
spot_maker.timeLog(
"最新成交价: %.4f, 中间价: %.4f, 买一价: %.4f, 卖一价: %.4f, 3秒平均价: %.4f, 波动: %.3f%%"
% (latest_deal_price, mid_price, bid_price, ask_price,
avg_3s_price, price_3s_change))
if price_3s_change > 0.03 or price_3s_change < -0.03:
return
elif latest_deal_price >= bid_price * 1.0003 and ask_price >= latest_deal_price * 1.0003:
buy_price = bid_price + 0.0001
sell_price = ask_price - 0.0001
elif ask_price > bid_price * 1.0006:
buy_price = bid_price + 0.0001
sell_price = ask_price - 0.0001
else:
# 不操作
return
try:
buy_order_id = spot_buy(spotAPI, instrument_id, amount, buy_price)
except Exception as e:
buy_order_id = False
traceback.print_exc()
try:
sell_order_id = spot_sell(spotAPI, instrument_id, amount,
sell_price)
except Exception as e:
sell_order_id = False
traceback.print_exc()
def on_message(ws, message):
global latest_price, deque_3s, deque_10s, deque_min, deque_3m, deque_15m, \
ind_3s, ind_10s, ind_1min, ind_3m, ind_15m, write_lines, swap_latest_price
ts = time.time()
now_time = timestamp2string(ts)
message = bytes.decode(inflate(message), 'utf-8') # data decompress
json_message = json.loads(message)
for json_data in json_message['data']:
ins_id = json_data['instrument_id']
if ins_id == swap_instrument_id:
swap_latest_price = float(json_data['last'])
continue
latest_price = float(json_data['price'])
deal_entity = DealEntity(json_data['trade_id'], latest_price, round(float(json_data['size']), 3), ts,
json_data['side'])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
handle_deque(deque_15m, deal_entity, ts, ind_15m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
price_change_3m_ago = cal_rate(latest_price, deque_3m[0].price)
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' % (latest_price, avg_3s_price, avg_10s_price, avg_min_price,
avg_3m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_3m_change)
print_message = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(print_message)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print('less: %d, more: %d' % (less, more))
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' + now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, moreless
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts) >= 60:
last_5min_macd_ts = int(ts)
print(ts, last_5min_macd_ts)
if more == 0 and less == 0 and moreless == 0:
ret = futureAPI.get_specific_position(time_type)
print(ret)
if len(ret["holding"]) > 0:
buy_available = int(ret["holding"][0]["long_avail_qty"])
sell_available = int(ret["holding"][0]["short_avail_qty"])
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
print("确认未持仓")
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
# price_5m_ago = cal_price_ago(deque_5m)
# print("price_5m_ago: %.4f" % price_5m_ago)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
# price_5m_ago_change = cal_rate(latest_price, price_5m_ago)
if more == 1:
# 盈利中，放宽卖出条件，盈利最大化
if latest_price > buy_price:
if price_1m_change <= -0.1 and price_5m_change <= 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
if price_1m_change <= -0.2 or price_5m_change <= 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
elif less == 1:
# 盈利中，放宽卖出条件，盈利最大化
if latest_price < buy_price:
if price_1m_change >= 0.1 and price_5m_change >= 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
if price_1m_change >= 0.2 or price_5m_change >= 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
if price_1m_change >= 0.2 and price_5m_change >= 0.3:
btc_change = coin_recent_change_rate("btc")
eth_change = coin_recent_change_rate("eth")
print('btc_change: %.2f%%, eth change: %.2f%%' %
(btc_change, eth_change))
write_lines.append(
'btc_change: %.2f%%, eth change: %.2f%% \r\n' %
(btc_change, eth_change))
if btc_change >= 0.5 and eth_change >= 0.5:
if buyin_more(futureAPI, coin.name, time_type,
latest_price + 0.01):
more = 1
thread.start_new_thread(ensure_buyin_more, (
futureAPI,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_1m_change <= -0.2 and price_5m_change <= -0.3:
btc_change = coin_recent_change_rate("btc")
eth_change = coin_recent_change_rate("eth")
print('btc_change: %.2f%%, eth change: %.2f%%' %
(btc_change, eth_change))
write_lines.append(
'btc_change: %.2f%%, eth change: %.2f%% \r\n' %
(btc_change, eth_change))
if btc_change <= -0.6 and eth_change <= -0.6:
if buyin_less(futureAPI, coin.name, time_type,
latest_price - 0.01):
less = 1
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
last_avg_price = latest_price
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_5m_change)
write_info = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, less, deque_3s, deque_10s, deque_min, future_buy_price,\
deque_3m, ind_1s, ind_10s, ind_1min, ind_3m, write_lines, last_3min_macd_ts, new_macd, lessless,\
future_buy_time, spot_buy_time, spot_sell_price, spot_buy_price
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - last_3min_macd_ts > 60:
last_3min_macd_ts = int(ts)
df = get_spot_macd(spotAPI, instrument_id, 300)
diff = list(df['diff'])
dea = list(df['dea'])
new_macd = 2 * (diff[-1] - dea[-1])
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines('update macd: %.6f\r\n' % new_macd)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_1s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
# 做空
if lessless == 0 and ind_3m.vol > 500000 and ind_3m.ask_vol > 1.3 * ind_3m.bid_vol \
and ind_1min.vol > 300000 and ind_1min.ask_vol > 1.5 * ind_1min.bid_vol and -1.2 < price_1m_change \
and price_3m_change < price_1m_change < -0.4 and price_10s_change <= -0.05 and new_macd < 0:
future_buyin_less_order_id = buyin_less(futureAPI,
coin.name,
future_instrument_id,
latest_price,
amount=None,
lever_rate=20,
taker=True)
if future_buyin_less_order_id:
lessless = 1
future_buy_time = int(ts)
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
future_instrument_id,
latest_price,
future_buyin_less_order_id,
))
future_buy_price = latest_price - 0.01
info = u'发出做空信号！！买入时间： ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if less == 0 and ind_3m.vol > 500000 and ind_3m.ask_vol > 1.3 * ind_3m.bid_vol \
and ind_1min.vol > 300000 and ind_1min.ask_vol > 1.5 * ind_1min.bid_vol and -1.2 < price_1m_change \
and price_3m_change < price_1m_change < -0.4 and price_10s_change <= -0.05 and new_macd < 0:
sell_id = sell_all_position(spotAPI, instrument_id,
latest_price - 0.001)
if sell_id:
spot_buy_time = int(ts)
time.sleep(1)
sell_order_info = spotAPI.get_order_info(
sell_id, instrument_id)
if sell_order_info['status'] == 'filled' or sell_order_info[
'status'] == 'part_filled':
less = 1
spot_sell_price = float(sell_order_info['price'])
info = u'现货全部卖出！！！平均成交价格：' + spot_sell_price + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
spotAPI.revoke_order_exception(instrument_id, sell_id)
if lessless == 1:
if price_1m_change > 0 and new_macd > 0:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, future_buy_price))
info = u'做空止盈，盈利%.3f, time: %s' % (
future_buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif int(ts) - future_buy_time >= 60:
if latest_price > spot_sell_price and price_3m_change >= 0 and price_1m_change >= 0 and price_10s_change >= 0:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, future_buy_price))
info = u'做空止损，亏损%.2f, time: %s' % (
(latest_price - spot_buy_price), now_time)
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
elif latest_price > spot_sell_price * 1.01:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, future_buy_price))
info = u'做空止损，亏损%.2f, time: %s' % (
(latest_price - spot_sell_price), now_time)
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
if less == 1:
if price_1m_change > 0 and new_macd > 0:
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
spot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止盈！！！买入价格：' + str(
spot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
if int(ts) - spot_buy_time > 60:
if latest_price > spot_sell_price and price_1m_change > 0 and price_3m_change > 0:
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
apot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止盈！！！买入价格：' + str(
apot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
holding_status = 'future_less: %d, spot_less: %d' % (lessless,
less)
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_3m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%, new_macd: %.6f' \
% (price_10s_change, price_1m_change, price_3m_change, new_macd)
write_info = holding_status + u', ' + price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(holding_status + '\r\n' + price_info + '\r\n' + vol_info +
'\r\n' + rate_info + u', ' + now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, buy_price, more, less, deque_3s, deque_10s, deque_min, count, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, prev_5m_price, prev_15m_price, \
prev_5min_price_less_15min, prev_5min_price_more_15min
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts) >= 60:
last_5min_macd_ts = int(ts)
last_5min_macd, tmp_ts = get_macd("etc_usd", time_type, "1min")
print(last_5min_macd, last_5min_macd_ts)
if more == 0 and less == 0:
ret = json.loads(
okFuture.future_position_4fix("etc_usd", "quarter", "1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
else:
print("确认未持仓")
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
handle_deque(deque_15m, deal_entity, ts, ind_15m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
avg_15m_price = ind_15m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if more == 1:
if avg_5m_price < prev_5m_price:
count += 1
if count > 3:
if sell_more(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
elif less == 1:
if avg_5m_price > prev_5m_price:
count += 1
if count > 3:
if sell_less(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
elif prev_5m_price <= prev_15m_price and avg_5m_price > avg_15m_price:
if buyin_more_price(coin.name, time_type,
latest_price - 0.002):
more = 1
count = 0
buy_price = latest_price - 0.002
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif prev_5m_price >= prev_15m_price and avg_5m_price < avg_15m_price:
if buyin_less_price(coin.name, time_type,
latest_price + 0.002):
less = 1
count = 0
buy_price = latest_price + 0.002
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f, 15min_price: %.4f' \
% (price_10s_change, price_1m_change, price_5m_change, last_5min_macd, avg_15m_price)
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
prev_5m_price = avg_5m_price
prev_15m_price = avg_15m_price
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, less, deque_3s, deque_10s, deque_min,\
deque_3m, ind_1s, ind_10s, ind_1min, ind_3m, write_lines, last_3min_macd_ts, new_macd, lessless,\
future_buy_time, buyin_price_spot, moremore, freeze_time
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - last_3min_macd_ts > 60:
last_3min_macd_ts = int(ts)
df = get_spot_macd(spotAPI, instrument_id, 300)
diff = list(df['diff'])
dea = list(df['dea'])
new_macd = 2 * (diff[-1] - dea[-1])
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines('update macd: %.6f\r\n' % new_macd)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_1s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
# 做空
if lessless == 0 and int(
ts) - freeze_time > 180 and check_do_future_less(
price_3m_change, price_1m_change, price_10s_change):
latest_future_price = get_latest_future_price(
futureAPI, future_instrument_id)
if not latest_future_price:
latest_future_price = latest_price
future_buyin_less_order_id = buyin_less(futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
amount=None,
lever_rate=20,
taker=True)
if future_buyin_less_order_id:
lessless = 1
future_buy_time = int(ts)
buyin_price_spot = latest_price
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
future_buyin_less_order_id,
))
info = now_time + u' 发出做空信号！！future_buy_price： ' + str(
latest_future_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if moremore == 0 and int(
ts) - freeze_time > 180 and check_do_future_more(
price_3m_change, price_1m_change, price_10s_change):
latest_future_price = get_latest_future_price(
futureAPI, future_instrument_id)
if not latest_future_price:
latest_future_price = latest_price
future_buyin_more_order_id = buyin_more(futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
amount=None,
lever_rate=20,
taker=True)
if future_buyin_more_order_id:
moremore = 1
future_buy_time = int(ts)
buyin_price_spot = latest_price
thread.start_new_thread(ensure_buyin_more, (
futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
future_buyin_more_order_id,
))
info = now_time + u' 发出做多信号！！future_buy_price： ' + str(
latest_future_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if moremore == 1:
if int(ts) - future_buy_time >= 60 and price_10s_change < -0.03:
if sell_more(futureAPI, future_instrument_id):
moremore = 0
thread.start_new_thread(
ensure_sell_more,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
info = u'做多止盈，盈利%.3f, time: %s' % (
latest_price - buyin_price_spot, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
freeze_time = int(ts)
elif latest_price < buyin_price_spot * 0.99:
if sell_more(futureAPI, future_instrument_id):
moremore = 0
thread.start_new_thread(
ensure_sell_more,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
info = u'做多止损，亏损%.3f, time: %s' % (
buyin_price_spot - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
freeze_time = int(ts)
if lessless == 1:
if price_1m_change > 0 and new_macd > 0:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
freeze_time = int(ts)
info = u'做空止盈，盈利%.3f, time: %s' % (
buyin_price_spot - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif int(ts
) - future_buy_time >= 60 and price_10s_change > 0.03:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
freeze_time = int(ts)
info = u'做空止盈，盈利%.2f, time: %s' % (
(latest_price - buyin_price_spot), now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif latest_price > buyin_price_spot * 1.01:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
freeze_time = int(ts)
info = u'做空止损，亏损%.2f, time: %s' % (
(latest_price - buyin_price_spot), now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
holding_status = 'future_less: %d, future_more: %d' % (lessless,
moremore)
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_3m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%, new_macd: %.6f' \
% (price_10s_change, price_1m_change, price_3m_change, new_macd)
write_info = holding_status + u', ' + price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(holding_status + '\r\n' + price_info + '\r\n' + vol_info +
'\r\n' + rate_info + u', ' + now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, buy_sell_ratio, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_minute_ts, last_second_ts, order_id_queue, now_time
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
exe_second(ts)
exe_minute(ts)
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
# 单边上涨行情持有做多单，达到卖出条件
if more == 1:
if price_1m_change <= -0.2 or price_5m_change <= 0:
if sell_more_batch(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
# 单边下跌行情持有做空单，达到卖出条件
elif less == 1:
if price_1m_change >= 0.2 or price_5m_change >= 0:
if sell_less_batch(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
# 单边上涨行情
if price_1m_change >= incr_1m_rate and price_5m_change >= incr_5m_rate:
# 撤单开空、平多单
cancel_uncompleted_order(coin.name, time_type, 2)
cancel_uncompleted_order(coin.name, time_type, 3)
# 撤单平空单
cancel_uncompleted_order(coin.name, time_type, 4)
# 空单全部卖出
if sell_less_batch(coin.name, time_type, latest_price):
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
# 做多买入
if buyin_more(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(
ensure_buyin_more,
(coin.name, time_type, latest_price))
# 单边下跌行情
elif price_1m_change < -incr_1m_rate and price_5m_change < -incr_5m_rate:
# 撤单开多，平空单
cancel_uncompleted_order(coin.name, time_type, 1)
cancel_uncompleted_order(coin.name, time_type, 4)
# 撤单平多单
cancel_uncompleted_order(coin.name, time_type, 3)
# 多单全部卖出
if sell_more_batch(coin.name, time_type, latest_price):
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
# 做空买入
if buyin_less(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(
ensure_buyin_less,
(coin.name, time_type, latest_price))
if -0.05 < price_1m_change < 0.05 and -0.02 < price_10s_change < 0.02 and ind_1min.vol < 6000 and ind_10s.vol < 1000:
more_order_id, less_order_id = buyin_moreandless(
coin.name, time_type, latest_price, 20, buy_sell_ratio)
if more_order_id:
order_id_queue.append(more_order_id)
print('more order_id: %s' % more_order_id)
if less_order_id:
order_id_queue.append(less_order_id)
print('less order_id: %s' % less_order_id)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, buy_price, more, less, write_lines, last_5min_macd_ts, \
btc_30s_change, eth_30s_change, ltc_30s_change, etc_30s_change, eos_30s_change, xrp_30s_change, \
btc_5min_change, eth_5min_change, ltc_5min_change, etc_5min_change, eos_5min_change, xrp_5min_change
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
try:
if int(ts) - int(last_5min_macd_ts) >= 60:
last_5min_macd_ts = int(ts)
print(ts, last_5min_macd_ts)
if more == 0 and less == 0:
ret = futureAPI.get_specific_position(time_type)
print(ret)
if len(ret["holding"]) > 0:
buy_available = int(ret["holding"][0]["long_avail_qty"])
sell_available = int(ret["holding"][0]["short_avail_qty"])
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
else:
print("确认未持仓")
each_message = jmessage[0]
channel = each_message['channel']
jdata = each_message['data'][0]
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], latest_price,
round(float(jdata[2]), 3), ts, jdata[4])
if channel == 'ok_sub_spot_btc_usdt_deals':
coin_btc.process_entity(deal_entity, ts)
btc_30s_change = cal_rate(coin_btc.get_avg_price_3s(),
coin_btc.get_avg_price_60s())
btc_5min_change = cal_rate(coin_btc.get_avg_price_3s(),
coin_btc.get_avg_price_5min())
coin_change_info = 'btc 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
btc_30s_change, btc_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_etc_usdt_deals':
coin_etc.process_entity(deal_entity, ts)
etc_30s_change = cal_rate(coin_etc.get_avg_price_3s(),
coin_etc.get_avg_price_60s())
etc_5min_change = cal_rate(coin_etc.get_avg_price_3s(),
coin_etc.get_avg_price_5min())
coin_change_info = 'etc 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
etc_30s_change, etc_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_ltc_usdt_deals':
coin_ltc.process_entity(deal_entity, ts)
ltc_30s_change = cal_rate(coin_ltc.get_avg_price_3s(),
coin_ltc.get_avg_price_60s())
ltc_5min_change = cal_rate(coin_ltc.get_avg_price_3s(),
coin_ltc.get_avg_price_5min())
coin_change_info = 'ltc 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
ltc_30s_change, ltc_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_eos_usdt_deals':
coin_eos.process_entity(deal_entity, ts)
eos_30s_change = cal_rate(coin_eos.get_avg_price_3s(),
coin_eos.get_avg_price_60s())
eos_5min_change = cal_rate(coin_eos.get_avg_price_3s(),
coin_eos.get_avg_price_5min())
coin_change_info = 'eos 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
eos_30s_change, eos_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_eth_usdt_deals':
coin_eth.process_entity(deal_entity, ts)
eth_30s_change = cal_rate(coin_eth.get_avg_price_3s(),
coin_eth.get_avg_price_60s())
eth_5min_change = cal_rate(coin_eth.get_avg_price_3s(),
coin_eth.get_avg_price_5min())
coin_change_info = 'eth 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
eth_30s_change, eth_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_xrp_usdt_deals':
coin_xrp.process_entity(deal_entity, ts)
xrp_30s_change = cal_rate(coin_xrp.get_avg_price_3s(),
coin_xrp.get_avg_price_60s())
xrp_5min_change = cal_rate(coin_xrp.get_avg_price_3s(),
coin_xrp.get_avg_price_5min())
coin_change_info = 'xrp 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
xrp_30s_change, xrp_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
prices_30s = [
btc_30s_change, eth_30s_change, ltc_30s_change, etc_30s_change,
eos_30s_change, xrp_30s_change
]
prices_5min = [
btc_5min_change, eth_5min_change, ltc_5min_change, etc_5min_change,
eos_5min_change, xrp_5min_change
]
weights = [0.2, 0.15, 0.15, 0.15, 0.2, 0.15]
weighted_30s_change = cal_weighted(prices_30s, weights)
weighted_5min_change = cal_weighted(prices_5min, weights)
if more == 1:
if weighted_30s_change < -0.2 or weighted_5min_change < 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
elif less == 1:
if weighted_30s_change > 0.2 or weighted_5min_change > 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
elif more == 0 and weighted_30s_change > 0.2 and weighted_5min_change > 0.3:
if buyin_more(futureAPI, coin_eos.name, time_type):
more = 1
thread.start_new_thread(ensure_buyin_more, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif less == 0 and weighted_30s_change < -0.2 and weighted_5min_change < -0.3:
if buyin_less(futureAPI, coin_eos.name, time_type):
less = 1
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
rate_info = u'weighted 30s_rate: %.3f%%, 5min_rate: %.3f%%' % (
weighted_30s_change, weighted_5min_change)
write_info = rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(rate_info + u', ' + now_time)
except Exception as e:
print(repr(e))
traceback.print_exc()
def on_message(ws, message):
global buy_price, sell_price, buy_queue, sell_queue, bid_price, ask_price, last_time_sec,latest_deal_price,last_time_account_sec
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
jmessage = json.loads(message)
each_message = jmessage[0]
channel = each_message['channel']
now_time_sec = float(time.time())
if channel == 'ok_sub_spot_%s_usdt_depth_5' % coin_name:
data = each_message['data']
asks = data['asks'][::-1]
bids = data['bids']
ask_price = float(asks[0][0])
bid_price = float(bids[0][0])
ask_price_2 = float(asks[1][0])
bid_price_2 = float(bids[1][0])
mid_price = (ask_price + bid_price) / 2
if now_time_sec > last_time_sec + 0.2:
last_time_sec = now_time_sec
print('撤单前sell_queue length: ', len(sell_queue))
new_queue = []
for order in sell_queue:
is_revoke_suc = spot_maker.revoke_order(order.order_id, now_time_sec)
if is_revoke_suc:
if latest_deal_price >= ask_price * 0.9999:
# 上涨行情, 追加买单
buy_price = mid_price
sell_price = max(buy_price * 1.001, ask_price_2)
buy_order_id = spot_maker.take_buy_order(2 * amount, buy_price)
if buy_order_id:
new_buy_order = Order(buy_order_id, buy_price, amount, 'buy', now_time_sec)
buy_queue.append(new_buy_order)
spot_maker.timeLog("挂买入单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), buy_price, buy_order_id))
continue
else:
sell_price = ask_price - 0.0001
if ask_price > bid_price * 1.0006:
sell_order_id = spot_maker.take_sell_order(amount, sell_price)
if sell_order_id:
new_sell_order = Order(sell_order_id, sell_price, amount, 'sell',
timestamp2string(now_time_sec))
new_queue.append(new_sell_order)
spot_maker.timeLog("挂卖出单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), sell_price, sell_order_id))
else:
# 撤单失败，retry
spot_maker.timeLog('%s撤单失败，重试')
spot_maker.revoke_order(order.order_id, now_time_sec)
sell_queue = copy.deepcopy(new_queue)
new_queue = []
print('撤单后sell_queue length: ', len(sell_queue))
print('撤单前buy_queue length: ', len(buy_queue))
for order in buy_queue:
if spot_maker.revoke_order(order.order_id, now_time_sec):
if latest_deal_price <= bid_price * 1.0001:
# 下跌行情, 追加卖单
sell_price = mid_price
buy_price = min(sell_price * 0.999, bid_price_2)
sell_order_id = spot_maker.take_sell_order(amount, sell_price)
if sell_order_id:
new_sell_order = Order(sell_order_id, sell_price, 2 * amount, 'sell',
timestamp2string(now_time_sec))
sell_queue.append(new_sell_order)
spot_maker.timeLog("挂卖出单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), sell_price, sell_order_id))
continue
else:
buy_price = bid_price + 0.0001
if ask_price > bid_price * 1.0006:
buy_order_id = spot_maker.take_buy_order(amount, buy_price)
if buy_order_id:
new_buy_order = Order(buy_order_id, buy_price, amount, 'buy', now_time_sec)
new_queue.append(new_buy_order)
spot_maker.timeLog("挂买入单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), buy_price, buy_order_id))
buy_queue = copy.deepcopy(new_queue)
print('撤单后buy_queue length: ', len(buy_queue))
elif channel == ('ok_sub_spot_%s_usdt_deals' % coin_name):
jdata = each_message['data'][0]
latest_deal_price = float(jdata[1])
mid_price = (ask_price + bid_price) / 2
deal_entity = DealEntity(jdata[0], float(jdata[1]), round(float(jdata[2]), 3), now_time_sec, jdata[4])
handle_deque(deque_3s, deal_entity, now_time_sec, ind_3s)
avg_3s_price = ind_3s.cal_avg_price()
if now_time_sec > last_time_account_sec + 60:
last_time_account_sec = now_time_sec
spot_maker.get_account_money(coin_name)
spot_maker.delete_overdue_order(latest_deal_price)
price_3s_change = cal_rate(latest_deal_price, avg_3s_price)
spot_maker.timeLog("最新成交价: %.4f, 中间价: %.4f, 买一价: %.4f, 卖一价: %.4f, 3秒平均价: %.4f, 波动: %.3f%%"
% (latest_deal_price, mid_price, bid_price, ask_price, avg_3s_price, price_3s_change))
if price_3s_change > 0.03 or price_3s_change < -0.03:
return
elif latest_deal_price > bid_price * 1.0002 and ask_price > latest_deal_price * 1.0002 \
and buy_price != bid_price + 0.0001 and sell_price != ask_price - 0.0001:
buy_price = bid_price + 0.0001
sell_price = ask_price - 0.0001
elif ask_price > bid_price * 1.0006 and buy_price != bid_price + 0.0001 and sell_price != ask_price - 0.0001:
if latest_deal_price < mid_price:
buy_price = bid_price + 0.0001
sell_price = buy_price * 1.0005
else:
sell_price = ask_price - 0.0001
buy_price = ask_price * 0.9995
else:
# 不操作
return
try:
buy_order_id = spot_buy(spotAPI, instrument_id, amount, buy_price)
except Exception as e:
buy_order_id = False
traceback.print_exc()
try:
sell_order_id = spot_sell(spotAPI, instrument_id, amount, sell_price)
except Exception as e:
sell_order_id = False
traceback.print_exc()
if buy_order_id:
buy_order = Order(buy_order_id, buy_price, amount, 'buy', timestamp2string(now_time_sec))
buy_queue.append(buy_order)
spot_maker.timeLog("挂买入单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(time.time()), buy_price, buy_order_id))
if sell_order_id:
sell_order = Order(sell_order_id, sell_price, amount, 'sell', timestamp2string(now_time_sec))
sell_queue.append(sell_order)
spot_maker.timeLog("挂卖出单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(time.time()), sell_price, sell_order_id))
def on_message(ws, message):
global latest_price, last_avg_price, less, deque_3s, deque_10s, deque_min, instrument_id, \
deque_3m, ind_3s, ind_10s, ind_1min, ind_3m, write_lines, freeze_time, swap_less_time, \
swap_more_price, swap_more_time, more, swap_more_price, swap_less_price, swap_latest_price
ts = time.time()
now_time = timestamp2string(ts)
message = bytes.decode(inflate(message), 'utf-8') # data decompress
json_message = json.loads(message)
for json_data in json_message['data']:
ins_id = json_data['instrument_id']
if ins_id == swap_instrument_id:
swap_latest_price = float(json_data['last'])
continue
latest_price = float(json_data['price'])
deal_entity = DealEntity(json_data['trade_id'], latest_price, round(float(json_data['size']), 3), ts,
json_data['side'])
handle_deque(deque_3s, deal_entity, ts, ind_1s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
price_change_3m_ago = cal_rate(latest_price, deque_3m[0].price)
# 做空
if less == 0 and check_do_future_less_test(price_3m_change, price_1m_change, price_10s_change):
i = 1
while True:
swap_less_order_id = do_swap_less()
write_info_into_file('第' + str(i) + '次做空尝试, id: ' + str(swap_less_order_id), file_transaction)
i += 1
if swap_less_order_id:
swap_order_info = swapAPI.get_order_info(swap_instrument_id, swap_less_order_id)
write_info_into_file('做空 order info: ' + str(swap_order_info), file_transaction)
if swap_order_info['state'] == '2':
less = 1
swap_less_time = int(ts)
swap_less_price = float(swap_order_info['price_avg'])
thread.start_new_thread(send_email, ('合约做空，价格：' + str(swap_less_price),))
break
elif swap_order_info['state'] == '-1':
continue
else:
swapAPI.revoke_order(swap_less_order_id, swap_instrument_id)
if more == 0 and check_do_future_more_test(price_3m_change, price_1m_change, price_10s_change):
i = 1
while True:
swap_more_order_id = do_swap_more()
write_info_into_file('第' + str(i) + '次做多尝试, id: ' + str(swap_more_order_id), file_transaction)
i += 1
if swap_more_order_id:
swap_order_info = swapAPI.get_order_info(swap_instrument_id, swap_more_order_id)
write_info_into_file('做多 order info: ' + str(swap_order_info), file_transaction)
if swap_order_info['state'] == '2':
more = 1
swap_more_time = int(ts)
swap_more_price = float(swap_order_info['price_avg'])
thread.start_new_thread(send_email, ('合约做多, 价格：' + str(swap_more_price),))
break
elif swap_order_info['state'] == '-1':
continue
else:
swapAPI.revoke_order(swap_more_order_id, swap_instrument_id)
if less == 1:
if int(ts) - swap_less_time > 60 and price_1m_change > 0.1:
if stop_swap_less():
less = 0
elif more == 1:
if int(ts) - swap_more_time > 60 and price_1m_change < -0.1:
if stop_swap_more():
more = 0
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' % (latest_price, avg_3s_price, avg_10s_price, avg_min_price,
avg_3m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_3m_change)
print_message = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(print_message)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print('less: %d, more: %d' % (less, more))
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' + now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, moreless, lessmore, \
lessless, moremore, deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, highest, \
lowest, vol_24h, new_macd, last_1min_ts, random_times
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_1min_ts) >= 5:
coin_list = ["etc", "btc", "eth", "eos", "ltc", "xrp"]
weight_list = [0.15, 0.35, 0.15, 0.15, 0.1, 0.1]
last_1min_ts = int(ts)
rate_list = coin_avg_price_change(coin_list, 1)
all_coins_1min_price_change = float(
np.sum([
rate_list[i] * weight_list[i] for i in range(len(coin_list))
]))
avg_info = ''
for i in range(len(coin_list)):
avg_info += coin_list[i] + ': ' + str(rate_list[i]) + ' '
avg_info += 'avg: %.3f, time: %s\r\n' % (all_coins_1min_price_change,
timestamp2string(ts))
print(avg_info)
write_lines.append(avg_info)
if all_coins_1min_price_change < -0.6 and lessless == 0 and moremore == 0:
for i in range(random_times):
if random.random() >= 0.9:
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if ind_1min.ask_vol > 2 * ind_1min.bid_vol and ind_10s.ask_vol > 5 * ind_10s.bid_vol \
and price_10s_change < 0 and price_1m_change < -0.1 and price_5m_change < -0.3 \
and ind_1min.vol > 8 * vol_24h:
if buyin_less(okFuture, coin.name, time_type,
latest_price - 0.01):
lessless = 1
thread.start_new_thread(ensure_buyin_less, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price - 0.01
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
break
random_times *= 2
elif all_coins_1min_price_change > 0.6 and lessless == 0 and moremore == 0:
for i in range(random_times):
if random.random() >= 0.9:
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
if ind_5m.ask_vol < ind_5m.bid_vol and ind_3m.ask_vol < ind_3m.bid_vol \
and 2 * ind_1min.ask_vol < ind_1min.bid_vol and 5 * ind_10s.ask_vol < ind_10s.bid_vol \
and price_10s_change > 0 and price_1m_change > 0.1 and price_5m_change > 0.3 \
and ind_1min > 8 * vol_24h:
if buyin_more(okFuture, coin.name, time_type,
latest_price + 0.01):
moremore = 1
thread.start_new_thread(ensure_buyin_more, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price + 0.01
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
break
random_times *= 2
else:
random_times = 1
if int(ts) - int(last_5min_macd_ts) >= 180:
last_5min_macd_ts = int(ts)
ticker = futureAPI.get_specific_ticker(coin.get_future_instrument_id())
vol_24h = int(
int(ticker['volume_24h']) * 10 / 24 / 60 / float(ticker['last']))
symbol = coin.name + "_usd"
contract_type = "quarter"
df = get_future_Nval(okFuture, symbol, contract_type, "15min", 200, 16)
highest = list(df['highest'])[-1]
lowest = list(df['lowest'])[-1]
df = get_macd(okFuture, coin.name + "_usd", "quarter", "5min", 300)
diff = list(df['diff'])
dea = list(df['dea'])
new_macd = 2 * (diff[-1] - dea[-1])
if more == 0 and less == 0 and lessmore == 0 and moreless == 0 and lessless == 0 and moremore == 0:
ret = json.loads(
okFuture.future_position_4fix(coin.name + "_usd", "quarter",
"1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
else:
print("确认未持仓")
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if lessless == 1:
if price_5m_change > 0 and new_macd > 0:
if sell_less_batch(okFuture, coin.name, time_type,
latest_price):
lessless = 0
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
info = u'做空止盈，盈利%.3f, time: %s' % (
buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_5m_change > 0 and latest_price > buy_price - 0.02:
if sell_less_batch(okFuture, coin.name, time_type,
latest_price):
lessless = 0
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
info = u'做空止损，盈利%.3f, time: %s' % (
buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif moremore == 1:
if price_5m_change < 0 and new_macd < 0:
if sell_more_batch(okFuture, coin.name, time_type,
latest_price):
moremore = 0
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
info = u'做多止盈，盈利%.3f, time: %s' % (latest_price -
buy_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_5m_change < 0 and latest_price < buy_price + 0.02:
if sell_more_batch(okFuture, coin.name, time_type,
latest_price):
moremore = 0
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
info = u'做多止损，盈利%.3f, time: %s' % (latest_price -
buy_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, highest: %.4f, lowest: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, highest, lowest, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 24h_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol, vol_24h, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f' \
% (price_10s_change, price_1m_change, price_5m_change, new_macd)
write_info = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
def on_message(ws, message):
global latest_price, last_avg_price, less, deque_3s, deque_10s, deque_min, instrument_id, \
deque_3m, ind_3s, ind_10s, ind_1min, ind_3m, write_lines, freeze_time, lever_sell_time, lever_sell_price, \
lever_more_price, lever_more_time, more
ts = time.time()
now_time = timestamp2string(ts)
message = bytes.decode(inflate(message), 'utf-8') # data decompress
json_message = json.loads(message)
for json_data in json_message['data']:
latest_price = float(json_data['price'])
deal_entity = DealEntity(json_data['trade_id'], latest_price, round(float(json_data['size']), 3), ts,
json_data['side'])
handle_deque(deque_3s, deal_entity, ts, ind_1s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
price_change_3m_ago = cal_rate(latest_price, deque_3m[0].price)
print('price change 3m ago: %.3f%%' % price_change_3m_ago)
# 做空
if less == 0 and price_change_3m_ago > -5 \
and check_do_future_less(price_3m_change, price_1m_change, price_10s_change):
if do_lever_less():
less = 1
lever_sell_time = int(ts)
if less == 1:
print('做空时间：%s，价格：%.3f' % (timestamp2string(lever_sell_time), lever_sell_price))
if price_1m_change > 0 and int(ts) - lever_sell_time > 60:
if stop_lever_less():
less = 0
elif int(ts) - lever_sell_time > 30 and latest_price > lever_sell_price:
if stop_lever_less():
less = 0
elif more == 1:
print('做多时间：%s，价格：%.3f' % (timestamp2string(lever_more_time), lever_more_price))
if price_1m_change < 0 and int(ts) - lever_sell_time > 120:
if stop_lever_more():
more = 0
elif int(ts) - lever_sell_time > 60 and latest_price < lever_more_price:
if stop_lever_more():
more = 0
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' % (latest_price, avg_3s_price, avg_10s_price, avg_min_price,
avg_3m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_3m_change)
print_message = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(print_message)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print('less: %d, more: %d' % (less, more))
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' + now_time)
def on_message(ws, message):
if 'pong' in message or 'addChannel' in message:
return
print(message)
global latest_price, last_avg_price, buy_price, last_last_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, less2more, more2less
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if more == 1 and not processing:
if avg_3s_price <= 1.001 * avg_5m_price or price_1m_change <= -incr_1m_rate:
# 反手做空
if price_1m_change <= -incr_1m_rate:
more2less = 1
sell_more_batch(coin.name, time_type, latest_price)
elif less == 1 and not processing:
if avg_3s_price >= 0.999 * avg_5m_price or price_1m_change >= incr_1m_rate:
# 反手做多
if price_1m_change >= incr_1m_rate:
less2more = 1
sell_less_batch(coin.name, time_type, latest_price)
elif more2less == 1 and not processing:
if price_1m_change >= 0:
sell_less_batch(coin.name, time_type, latest_price)
elif less2more == 1 and not processing:
if price_1m_change <= 0:
sell_more_batch(coin.name, time_type, latest_price)
elif check_vol():
if latest_price > avg_3s_price > avg_10s_price > last_avg_price > last_last_price \
and incr_1m_rate <= price_1m_change < price_5m_change and incr_5m_rate <= price_5m_change < 1.5 \
and 0.05 <= price_10s_change <= 0.2\
and ind_1min.bid_vol > float(2 * ind_1min.ask_vol) \
and ind_3s.bid_vol > float(5 * ind_3s.ask_vol):
if buyin_more(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(ensure_buyin_more, (
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif latest_price < avg_3s_price < avg_10s_price < last_avg_price < last_last_price \
and -1.5 < price_5m_change <= -incr_5m_rate and price_5m_change < price_1m_change <= -incr_1m_rate \
and -0.2 <= price_10s_change <= -0.05 \
and ind_1min.ask_vol > float(4 * ind_1min.bid_vol) and ind_3s.ask_vol > float(5 * ind_3s.bid_vol):
if buyin_less(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(ensure_buyin_less, (
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if last_avg_price != avg_10s_price:
last_last_price = last_avg_price
last_avg_price = avg_10s_price
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol, ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_5m_change)
write_info = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
def process_message(message):
global latest_price, last_avg_price, less, deque_3s, deque_10s, deque_min, future_buy_price,\
deque_3m, ind_3s, ind_10s, ind_1min, ind_3m, write_lines, last_3min_macd_ts, new_macd, lessless,\
future_buy_time, spot_buy_time, spot_sell_price, spot_buy_price, lessmore, future_more_buy_price
ts = time.time()
now_time = timestamp2string(ts)
for each_message in message['data']:
latest_price = float(each_message['price'])
trade_id = each_message['trade_id']
size = each_message['size']
side = each_message['side']
deal_entity = DealEntity(trade_id, latest_price, size, ts, side)
print('detail:' + deal_entity.detail())
handle_deque(deque_3s, deal_entity, ts, ind_1s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
# 做空
if less == 0 and check_do_future_less(price_3m_change, price_1m_change,
price_10s_change):
sell_id = sell_all_position(spotAPI, instrument_id,
latest_price - 0.001)
if sell_id:
spot_buy_time = int(ts)
time.sleep(1)
sell_order_info = spotAPI.get_order_info(
sell_id, instrument_id)
if sell_order_info['status'] == 'filled' or sell_order_info[
'status'] == 'part_filled':
less = 1
spot_sell_price = float(sell_order_info['price'])
info = now_time + u' 现货全部卖出！！！spot_sell_price：' + str(
spot_sell_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
spotAPI.revoke_order_exception(instrument_id, sell_id)
if less == 1:
if price_1m_change > 0 and new_macd > 0:
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
spot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止盈！！！买入价格：' + str(
spot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
if int(ts) - spot_buy_time > 60:
if latest_price > spot_sell_price and price_1m_change >= 0 and price_10s_change >= 0 \
and (ind_1min.bid_vol > ind_1min.ask_vol or price_3m_change >= 0):
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
spot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止损！！！买入价格：' + str(
spot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
holding_status = 'spot_less: %d' % less
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_3m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%, new_macd: %.6f' \
% (price_10s_change, price_1m_change, price_3m_change, new_macd)
write_info = holding_status + u', ' + price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(holding_status + '\r\n' + price_info + '\r\n' + vol_info +
'\r\n' + rate_info + u', ' + now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts) >= 300:
last_5min_macd_ts = int(ts)
print(last_5min_macd_ts)
if more == 0 and less == 0:
ret = json.loads(
okFuture.future_position_4fix("etc_usd", "quarter", "1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
else:
print("确认未持仓")
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if more == 1:
if price_10s_change < 0:
cancel_uncompleted_order(coin.name, time_type)
if sell_more_batch(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
elif less == 1:
if price_10s_change > 0:
cancel_uncompleted_order(coin.name, time_type)
if sell_less_batch(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
elif check_vol():
if price_10s_change > incr_10s_rate:
if ind_3s.bid_vol >= vol_3s_bal * ind_3s.ask_vol and ind_1min.bid_vol >= vol_1m_bal * ind_1min.ask_vol:
latest_order_id = buyin_more_price(
coin.name, time_type, latest_price)
if latest_order_id:
more = 1
thread.start_new_thread(pend_order, (
coin.name,
time_type,
latest_order_id,
'more',
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
elif price_10s_change < -incr_10s_rate:
if ind_3s.ask_vol >= vol_3s_bal * ind_3s.bid_vol and ind_1min.ask_vol >= vol_1m_bal * ind_1min.bid_vol:
latest_order_id = buyin_less_price(
coin.name, time_type, latest_price)
if latest_order_id:
less = 1
thread.start_new_thread(pend_order, (
coin.name,
time_type,
latest_order_id,
'less',
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f' \
% (price_10s_change, price_1m_change, price_5m_change, last_5min_macd)
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, less, deque_3s, deque_10s, deque_min, future_buy_price,\
deque_3m, ind_3s, ind_10s, ind_1min, ind_3m, write_lines, lessless,\
future_buy_time, spot_buy_time, spot_sell_price, spot_buy_price, lessmore, future_more_buy_price
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
# if int(ts) - last_3min_macd_ts > 60:
# last_3min_macd_ts = int(ts)
# df = get_spot_macd(spotAPI, instrument_id, 300)
# diff = list(df['diff'])
# dea = list(df['dea'])
# new_macd = 2 * (diff[-1] - dea[-1])
# with codecs.open(file_deal, 'a+', 'UTF-8') as f:
# f.writelines('update macd: %.6f\r\n' % new_macd)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_1s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_3m_change = cal_rate(avg_3s_price, avg_3m_price)
price_change_3m_ago = cal_rate(latest_price, deque_3m[0])
write_info("3min ago change: %.2f%%" % price_change_3m_ago)
# 做空
if less == 0 and price_change_3m_ago > -5 and check_do_future_less(
price_3m_change, price_1m_change,
price_10s_change) and price_change_3m_ago:
lever_less_order_id = do_lever_less()
if lever_less_order_id:
lever_less_time = int(ts)
time.sleep(1)
sell_order_info = leverAPI.get_order_info(
lever_less_order_id, instrument_id)
# 1:部分成交 2：完全成交
if sell_order_info['state'] == '1' or sell_order_info[
'state'] == '2':
less = 1
lever_sell_price = float(sell_order_info['price_avg'])
info = now_time + u' 杠杆卖出！！！卖出均价：' + str(
lever_sell_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
leverAPI.revoke_order_exception(
instrument_id, lever_less_order_id)
if less == 1:
if price_1m_change > 0 and int(
ts
) - lever_less_time > 120 and ind_1min.bid_vol > ind_1min.ask_vol:
if stop_lever_less(latest_price):
less = 0
if int(
ts
) - lever_less_time > 60 and latest_price > lever_sell_price:
if stop_lever_less(latest_price):
less = 0
holding_status = 'spot_less: %d' % less
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_3m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_3m_change)
info = holding_status + u',' + price_info + u',' + vol_info + u',' + rate_info + u',' + now_time + '\r\n'
write_lines.append(info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(holding_status + '\r\n' + price_info + '\r\n' + vol_info +
'\r\n' + rate_info + u', ' + now_time)