def test_create_order(repeat=10):
# 估算时间差
system_delta = test_network()
lprint('预计系统时间差:{:.4}ms'.format(system_delta))
fcoin = Fcoin(api_key, api_secret)
beginat = time.time()
symbol = "fteth"
# price = fcoin.get_market_price(symbol)
price = 0.00001
logging.info('begin create order test: buy {}'.format(symbol))
orders_info = []
for i in range(repeat):
old = int(time.time()*1000)
buy_result = fcoin.buy(symbol, price, 3)
now = int(time.time()*1000)
lprint("before:{} after:{} delta:{}ms".format(old, now, now-old))
logging.debug("buy order result:{}".format(buy_result))
orders_info.append((buy_result['data'], old))
endat = time.time()
lprint('total time:{:.5}s avg time:{:.4}ms'.format(
endat-beginat, (endat-beginat)/repeat*1000))
# 计算从下单开始，到系统记录下单之间的时间
delta_times = []
for order_id, call_time in orders_info:
order = fcoin.get_order(order_id)
delta = int(order['data']['created_at']) - call_time
# cancel the test order
fcoin.cancel_order(order_id)
delta_times.append(delta)
avg = sum(delta_times)/len(delta_times)
lprint('average time delta: {:.5}ms differece:{:.4}ms'.format(
avg, system_delta))
lprint('平均下单时间为:{:.4}ms'.format(avg+system_delta))
class app():
def __init__(self):
self.key = config.key
self.secret = config.secret
self._log = None
self.dic_balance = defaultdict(lambda: None)
self.order_list = defaultdict(lambda: None)
self.stop = False
self.buy_order_id = None
self.sell_order_id = None
self.time_order = time.time()
self.db = mongodb()
self.fcoin = Fcoin()
self.fcoin.auth(self.key, self.secret)
self._init_log()
def _init_log(self):
self._log = logging.getLogger(__name__)
self._log.setLevel(level=logging.INFO)
formatter = logging.Formatter('%(asctime)s - %(message)s')
handler = logging.FileHandler("app.log")
handler.setLevel(logging.INFO)
handler.setFormatter(formatter)
self._log.addHandler(handler)
console = logging.StreamHandler()
console.setLevel(logging.INFO)
console.setFormatter(formatter)
self._log.addHandler(console)
#查询订单
def get_orders(self, symbol, states, limit=1):
'''
:param symbol:
:param states: submitted/partial_filled/partial_canceled/canceled/pending_cancel/filled
:return:
'''
success, data = self.fcoin.list_orders(symbol=symbol, states=states, limit=limit)
if success:
return data['data']
else:
print(data)
return None
#获取余额
def get_blance(self):
dic_blance = defaultdict(lambda: None)
success, data = self.fcoin.get_balance()
if success:
for item in data['data']:
dic_blance[item['currency']] = balance(float(item['available']), float(item['frozen']),float(item['balance']))
return dic_blance
#精度
def digits(self,num, digit):
site = pow(10, digit)
tmp = num * site
tmp = math.floor(tmp) / site
return tmp
#过程
def process(self):
if self.buy_order_id is None and self.sell_order_id is None:
success, data = self.fcoin.get_market_depth('L20', config.symbol)
if success:
bids = data['data']['bids'] # 买
asks = data['data']['asks'] # 卖
total_bids = 0
total_asks = 0
for i in range(3):
total_bids += bids[2*i - 1]
total_asks += asks[2*i - 1]
buy_price = bids[0]
buy_amount = bids[1]
sell_price = asks[0]
sell_amount = asks[1]
usdt = self.dic_balance['usdt']
btc = self.dic_balance['btc']
amount = 0
price = 0
order = None
if btc:
r = self.db.get('buy',buy_price)
if r:
amount = self.digits(r['amount'], 4)
order = {'id': r['_id'], 'amount': amount, 'price': r['price']}
#if btc.available >= 0.001 and amount < 0.001:
# amount = self.digits(btc.available, 4)
if amount >= 0.001:
price = self.digits(sell_price, 2)
success, data = self.fcoin.sell(config.symbol, price, amount)#卖
if success:
self.time_order = time.time()
self.sell_order_id = data['data']
self._log.info('挂卖单成功[%s:%s]' % (amount, price))
if order:
self.order_list[self.sell_order_id] = order
return
if usdt:
if btc and btc.available >= config.limit_account:
self.dic_balance = self.get_blance()
self._log.info('余额度超过%s个BTC,停止买入[%s]' % (config.limit_account, btc.available))
return
if usdt.available > buy_price * config.max_amount:
amount = config.max_amount if total_bids > config.total_amount and total_asks > config.total_amount else config.min_amount
else:
amount = usdt.available/buy_price
amount = self.digits(amount, 4)
price = self.digits(buy_price, 2)
success, data = self.fcoin.buy(config.symbol, price, amount)#买
if success:
self.time_order = time.time()
self.buy_order_id = data['data']
self._log.info('挂买单成功[%s:%s]' % (amount, price))
else:
self._log.info('余额错误')
self.dic_balance = self.get_blance()
else:
if self.sell_order_id:
success, data = self.fcoin.get_order(self.sell_order_id)
if success:
state = data['data']['state']
amount = float(data['data']['filled_amount'])
if state in ('filled','partial_canceled'):
order = self.order_list[self.sell_order_id]
if order:
self.db.update( order['id'], amount)
if state == 'filled':
self.sell_order_id = None
self._log.info('卖单已成交')
self.dic_balance = self.get_blance()
elif state == 'canceled' or state == 'partial_canceled':
self.sell_order_id = None
self._log.info('卖单已撤单')
self.dic_balance = self.get_blance()
elif state not in ('pending_cancel'):
if time.time() - self.time_order >= 15:
self.fcoin.cancel_order(self.sell_order_id)
self._log.info('15秒超时撤单')
if self.buy_order_id:
success, data = self.fcoin.get_order(self.buy_order_id)
if success:
state = data['data']['state']
amount = float(data['data']['filled_amount']) - float(data['data']['fill_fees'])
price = float(data['data']['price'])
if amount > 0 and state in ('filled','partial_canceled'):
self.db.add('buy', price, amount)
if state == 'filled':
self.buy_order_id = None
self._log.info('买单已成交')
self.dic_balance = self.get_blance()
elif state == 'canceled' or state == 'partial_canceled':
self.buy_order_id = None
self._log.info('买单已撤单')
self.dic_balance = self.get_blance()
elif state not in ('pending_cancel'):
if time.time() - self.time_order >= 15:
self.fcoin.cancel_order(self.buy_order_id)
self._log.info('15秒超时撤单')
def task(self):
dic = self.get_orders(config.symbol, 'submitted', 20)
for item in dic:
self.fcoin.cancel_order(item['id'])
self.dic_balance = self.get_blance()
self.loop()
def loop(self):
while not self.stop:
self.process()
time.sleep(1)
def cancelAll():
print("cancelAll")
sleep(1.5)
cancel_order_nums = 3
public_order_deal = Fcoin()
public_order_deal.auth(accessKey, secretyKey)
all_orders = []
for state in ["submitted", "partial_filled"]:
result, data = public_order_deal.list_orders(symbol="btcusdt",
states=state)
if str(data["status"]) == "0":
orders = data["data"]
for use_order in orders:
all_orders.append(use_order)
sleep(2)
if len(all_orders) > 0:
buy_order_array = []
sell_order_array = []
for use_order in all_orders:
systemID = str(use_order["id"])
status = use_order["state"]
tradedVolume = float(use_order["filled_amount"])
totalVolume = float(use_order["amount"])
price = float(use_order["price"])
side = use_order["side"]
if status in ["partial_filled", "submitted", "partial_canceled"]:
if side == "buy":
buy_order_array.append([price, systemID])
else:
sell_order_array.append([price, systemID])
all_need_cancel = []
if len(buy_order_array) > cancel_order_nums:
sort_buy_arr = sorted(buy_order_array,
key=lambda price_pair: price_pair[0])
sort_buy_arr.reverse()
print('sort_buy_arr :{}'.format(sort_buy_arr))
for i in range(cancel_order_nums, len(sort_buy_arr)):
all_need_cancel.append(str(sort_buy_arr[i][1]))
# public_order_deal.cancel_order( str(sort_buy_arr[i][1]))
if len(sell_order_array) > cancel_order_nums:
sort_sell_arr = sorted(sell_order_array,
key=lambda price_pair: price_pair[0])
print(u'sort_sell_arr'.format(sort_sell_arr))
for i in range(cancel_order_nums, len(sell_order_array)):
all_need_cancel.append(str(sort_sell_arr[i][1]))
for systemID in all_need_cancel:
try:
print(public_order_deal.cancel_order(systemID))
sleep(1.5)
except Exception as ex:
print(ex, file=sys.stderr)
else:
print("order_all is not ")
class wss_app():
def __init__(self):
self.client = fcoin_client()
self.client.stream.stream_depth.subscribe(self.depth)
self.client.stream.stream_klines.subscribe(self.candle)
self.client.stream.stream_ticker.subscribe(self.ticker)
self.fcoin = Fcoin()
self.fcoin.auth(config.key, config.secret)
self.buy_price = None # 买1价
self.buy_amount = None # 买1量
self.sell_price = None # 卖1价
self.sell_amount = None # 卖1量
self.ts = None # 深度更新时间
self.market_price = None # 市价
self.total_bids = 0
self.total_asks = 0
self.filled_buy_order_list = []
self.order_list = defaultdict(lambda: None)
self.buy_order_id = None
self.dic_balance = defaultdict(lambda: None)
self.time_order = time.time()
self.price_list = []
self.candle_list = None
self.SMA = None
self._init_log()
# 日志初始化
def _init_log(self):
self._log = logging.getLogger(__name__)
self._log.setLevel(level=logging.INFO)
formatter = logging.Formatter('%(asctime)s - %(message)s') # 格式
'''
保存文档
'''
handler = logging.FileHandler("app.log")
handler.setLevel(logging.INFO)
handler.setFormatter(formatter)
self._log.addHandler(handler)
'''
控制台显示
'''
console = logging.StreamHandler()
console.setLevel(logging.INFO)
console.setFormatter(formatter)
self._log.addHandler(console)
# 精度控制，直接抹除多余位数，非四舍五入
def digits(self, num, digit):
site = pow(10, digit)
tmp = num * site
tmp = math.floor(tmp) / site
return tmp
# wss订阅深度接收
def depth(self, data):
bids = data['bids']
asks = data['asks']
self.ts = time.time()
self.buy_price = bids[0] # 买
self.buy_amount = bids[1]
self.sell_price = asks[0] # 卖
self.sell_amount = asks[1]
for i in range(3):
self.total_bids += bids[2 * i - 1]
self.total_asks += asks[2 * i - 1]
# wss订阅K线接收
def candle(self, data):
if self.candle_list is None:
self.candle_list = [{
'timestamp': data['id'],
'open': data['open'],
'high': data['high'],
'low': data['low'],
'close': data['close'],
'volume': data['base_vol']
}]
else:
last_candle = self.candle_list[-1]
if last_candle['timestamp'] == data['id']:
self.candle_list[-1] = {
'timestamp': data['id'],
'open': data['open'],
'high': data['high'],
'low': data['low'],
'close': data['close'],
'volume': data['base_vol']
}
else:
self.candle_list.append({
'timestamp': data['id'],
'open': data['open'],
'high': data['high'],
'low': data['low'],
'close': data['close'],
'volume': data['base_vol']
})
if len(self.candle_list) > 10:
self.candle_list.pop(0)
if len(self.candle_list) >= 7:
close_array = np.array(
[item['close'] for item in self.candle_list])
self.SMA = talib.SMA(close_array, timeperiod=7)
# 市价
def ticker(self, data):
self.ts = time.time()
self.market_price = data['ticker'][0]
# 刷单流程
def process(self):
if self.ts and time.time(
) - self.ts < 10 and self.buy_price and self.market_price:
price = self.market_price if config.fix_price == 0 else config.fix_price
amount = 0
'''
挂卖单
'''
success_item_list = []
for item in self.filled_buy_order_list:
amount = self.digits(item['amount'],
config.symbol['amount_precision'])
price = self.digits(max(item['price'], price),
config.symbol['price_precision'])
order = [amount, price]
if amount >= config.symbol['min_amount']:
success, data = self.fcoin.sell(config.symbol['name'],
price, amount) # 卖
if success:
success_item_list.append(item)
self.order_list[data['data']] = order
self._log.info('挂卖单成功[%s:%s]' % (amount, price))
'''
删除已成功订单
'''
for item in success_item_list:
self.filled_buy_order_list.remove(item)
keys = []
for key in self.order_list.keys():
success, data = self.fcoin.get_order(key)
if success:
state = data['data']['state']
if state == 'filled':
keys.append([0, key])
elif state in ('partial_canceled', 'canceled'):
keys.append([1, key])
for tag, key in keys:
self.order_list.pop(key)
if tag == 0:
self._log.info('已经成交：' + key)
else:
self._log.info('已经撤单：' + key)
'''
买单不存在时
'''
if not self.buy_order_id:
'''
价格异动识别,可以根据实际情况改动,价格固定时无效
'''
if config.fix_price == 0:
if abs(self.buy_price - self.sell_price) > 0.5:
self._log.info('价格异动买卖差价:%s' %
abs(self.buy_price - self.sell_price))
return
elif self.SMA is None:
if len(self.price_list) > 0:
avg = sum(self.price_list) / len(self.price_list)
if abs(avg - self.buy_price) > 10:
self._log.info('价格异动avg:%s [%s]' %
(avg, self.buy_price))
self.price_list.append(self.buy_price)
self.price_list.append(self.sell_price)
if len(self.price_list) >= 120:
self.price_list.pop(0)
return
else:
self.price_list.append(self.buy_price)
self.price_list.append(self.sell_price)
else:
last = self.SMA[-2]
if not np.isnan(last):
if abs(self.buy_price - last) >= 0.5:
self._log.info('价格异动:%s' %
abs(self.buy_price - last))
return
'''
查询余额度
'''
self.dic_balance = self.get_balance()
'''
判断币种持仓量，到设定值停止买入。
'''
coin = self.dic_balance[config.symbol['coin']]
if coin and coin.balance > config.limit_amount:
self._log.info('%s余额度达到最大值[%s]' %
(config.symbol['coin'], coin.balance))
return
'''
挂买单
'''
usdt = self.dic_balance['usdt']
if usdt:
if config.fix_price:
diff = abs(config.fix_price - self.market_price)
if config.diff_price < diff:
self._log.info('固定价格模式差价异常[%-0.2f]' % diff)
return
price = self.market_price if config.fix_price == 0 else config.fix_price
if usdt.available > price * config.max_amount:
amount = config.max_amount if self.total_bids > config.total_amount and self.total_asks > config.total_amount else config.min_amount
else:
amount = usdt.available / price
amount = self.digits(amount,
config.symbol['amount_precision'])
if amount >= config.symbol['min_amount']:
price = self.digits(price,
config.symbol['price_precision'])
success, data = self.fcoin.buy(config.symbol['name'],
price, amount) # 买
if success:
self.time_order = time.time()
self.buy_order_id = data['data']
self._log.info('挂买单成功[%s:%s]' % (amount, price))
else:
self._log.info('usdt不足[%s]' % (usdt.available))
else:
self._log.info('查询余额错误')
else:
'''
买单ID存在时查询订单状态
'''
success, data = self.fcoin.get_order(self.buy_order_id)
if success:
state = data['data']['state']
amount = float(data['data']['filled_amount']) - float(
data['data']['fill_fees'])
price = float(data['data']['price'])
if amount > 0 and state in ('filled', 'partial_canceled'):
self.filled_buy_order_list.append({
'price': price,
'amount': amount
})
if state == 'filled':
self.buy_order_id = None
self._log.info('买单已成交')
elif state == 'canceled' or state == 'partial_canceled':
self.buy_order_id = None
self._log.info('买单已撤单')
elif state not in ('pending_cancel'):
'''
超时判断
'''
if time.time() - self.time_order >= config.delay:
self.fcoin.cancel_order(self.buy_order_id)
self._log.info('%s秒超时撤单' % config.delay)
else:
self._log.info('等待WebSocket数据……')
# 循环
def loop(self):
if config.min_amount < config.symbol[
'min_amount'] or config.min_amount < config.symbol[
'min_amount']:
self._log.info('max_amount,min_amount ≥ 规定的最小数量[%s]' %
(config.symbol['min_amount']))
return
self.client.start()
while not self.client.isConnected:
self._log.info('waitting……')
time.sleep(1)
self.client.subscribe_depth(config.symbol['name'], 'L20')
self.client.subscribe_candle(config.symbol['name'], 'M1')
self.client.subscribe_ticker(config.symbol['name'])
while True:
try:
self.process()
except Exception as error:
self._log.info('未知错误')
time.sleep(0.5)
# 获取余额
def get_balance(self):
dic_balance = defaultdict(lambda: None)
success, data = self.fcoin.get_balance()
if success:
for item in data['data']:
dic_balance[item['currency']] = balance(
float(item['available']), float(item['frozen']),
float(item['balance']))
return dic_balance
# 获取订单
def get_orders(self, symbol, states, limit=1):
'''
:param symbol:
:param states: submitted/partial_filled/partial_canceled/canceled/pending_cancel/filled
:return:
'''
success, data = self.fcoin.list_orders(symbol=symbol,
states=states,
limit=limit)
if success:
return data['data']
else:
print(data)
return None
class wss_app:
def __init__(self):
self.client = fcoin_client()
self.client.stream.stream_depth.subscribe(self.depth)
self.client.stream.stream_klines.subscribe(self.candle)
self.client.stream.stream_ticker.subscribe(self.ticker)
self.fcoin = Fcoin()
self.fcoin.auth(config.key, config.secret)
self.buy_price = None # 买1价
self.buy_amount = None # 买1量
self.sell_price = None # 卖1价
self.sell_amount = None # 卖1量
self.ts = None # 深度更新时间
self.market_price = None # 市价
self.total_bids = 0
self.total_asks = 0
self.filled_buy_order_list = []
self.order_list = defaultdict(lambda: None)
self.buy_order_id = None
self.dic_balance = defaultdict(lambda: None)
self.time_order = time.time()
self.price_list = []
self.candle_list = None
self.SMA = None
self._init_log()
# 日志初始化
def _init_log(self):
self._log = logging.getLogger(__name__)
self._log.setLevel(level=logging.INFO)
formatter = logging.Formatter("%(asctime)s - %(message)s") # 格式
"""
保存文档
"""
handler = logging.FileHandler("app.log")
handler.setLevel(logging.INFO)
handler.setFormatter(formatter)
self._log.addHandler(handler)
"""
控制台显示
"""
console = logging.StreamHandler()
console.setLevel(logging.INFO)
console.setFormatter(formatter)
self._log.addHandler(console)
# 精度控制，直接抹除多余位数，非四舍五入
def digits(self, num, digit):
site = pow(10, digit)
tmp = num * site
tmp = math.floor(tmp) / site
return tmp
# wss订阅深度接收
def depth(self, data):
bids = data["bids"]
asks = data["asks"]
self.ts = time.time()
self.buy_price = bids[0] # 买
self.buy_amount = bids[1]
self.sell_price = asks[0] # 卖
self.sell_amount = asks[1]
for i in range(3):
self.total_bids += bids[2 * i - 1]
self.total_asks += asks[2 * i - 1]
# wss订阅K线接收
def candle(self, data):
if self.candle_list is None:
self.candle_list = [
{
"timestamp": data["id"],
"open": data["open"],
"high": data["high"],
"low": data["low"],
"close": data["close"],
"volume": data["base_vol"],
}
]
else:
last_candle = self.candle_list[-1]
if last_candle["timestamp"] == data["id"]:
self.candle_list[-1] = {
"timestamp": data["id"],
"open": data["open"],
"high": data["high"],
"low": data["low"],
"close": data["close"],
"volume": data["base_vol"],
}
else:
self.candle_list.append(
{
"timestamp": data["id"],
"open": data["open"],
"high": data["high"],
"low": data["low"],
"close": data["close"],
"volume": data["base_vol"],
}
)
if len(self.candle_list) > 10:
self.candle_list.pop(0)
if len(self.candle_list) >= 7:
close_array = np.array([item["close"] for item in self.candle_list])
self.SMA = talib.SMA(close_array, timeperiod=7)
# 市价
def ticker(self, data):
self.ts = time.time()
self.market_price = data["ticker"][0]
# 刷单流程
def process(self):
if (
self.ts
and time.time() - self.ts < 10
and self.buy_price
and self.market_price
):
price = self.market_price if config.fix_price == 0 else config.fix_price
amount = 0
"""
挂卖单
"""
success_item_list = []
for item in self.filled_buy_order_list:
amount = self.digits(item["amount"], config.symbol["amount_precision"])
price = self.digits(
max(item["price"], price), config.symbol["price_precision"]
)
order = [amount, price]
if amount >= config.symbol["min_amount"]:
success, data = self.fcoin.sell(
config.symbol["name"], price, amount
) # 卖
if success:
success_item_list.append(item)
self.order_list[data["data"]] = order
self._log.info("挂卖单成功[%s:%s]" % (amount, price))
"""
删除已成功订单
"""
for item in success_item_list:
self.filled_buy_order_list.remove(item)
keys = []
for key in self.order_list.keys():
success, data = self.fcoin.get_order(key)
if success:
state = data["data"]["state"]
if state == "filled":
keys.append([0, key])
elif state in ("partial_canceled", "canceled"):
keys.append([1, key])
for tag, key in keys:
self.order_list.pop(key)
if tag == 0:
self._log.info("已经成交：" + key)
else:
self._log.info("已经撤单：" + key)
"""
买单不存在时
"""
if not self.buy_order_id:
"""
价格异动识别,可以根据实际情况改动,价格固定时无效
"""
if config.fix_price == 0:
if abs(self.buy_price - self.sell_price) > 0.5:
self._log.info(
"价格异动买卖差价:%s" % abs(self.buy_price - self.sell_price)
)
return
elif self.SMA is None:
if len(self.price_list) > 0:
avg = sum(self.price_list) / len(self.price_list)
if abs(avg - self.buy_price) > 10:
self._log.info(
"价格异动avg:%s [%s]" % (avg, self.buy_price)
)
self.price_list.append(self.buy_price)
self.price_list.append(self.sell_price)
if len(self.price_list) >= 120:
self.price_list.pop(0)
return
else:
self.price_list.append(self.buy_price)
self.price_list.append(self.sell_price)
else:
last = self.SMA[-2]
if not np.isnan(last):
if abs(self.buy_price - last) >= 0.5:
self._log.info("价格异动:%s" % abs(self.buy_price - last))
return
"""
查询余额度
"""
self.dic_balance = self.get_balance()
"""
判断币种持仓量，到设定值停止买入。
"""
coin = self.dic_balance[config.symbol["coin"]]
if coin and coin.balance > config.limit_amount:
self._log.info(
"%s余额度达到最大值[%s]" % (config.symbol["coin"], coin.balance)
)
return
"""
挂买单
"""
usdt = self.dic_balance["usdt"]
if usdt:
if config.fix_price:
diff = abs(config.fix_price - self.market_price)
if config.diff_price < diff:
self._log.info("固定价格模式差价异常[%-0.2f]" % diff)
return
price = (
self.market_price if config.fix_price == 0 else config.fix_price
)
if usdt.available > price * config.max_amount:
amount = (
config.max_amount
if self.total_bids > config.total_amount
and self.total_asks > config.total_amount
else config.min_amount
)
else:
amount = usdt.available / price
amount = self.digits(amount, config.symbol["amount_precision"])
if amount >= config.symbol["min_amount"]:
price = self.digits(price, config.symbol["price_precision"])
success, data = self.fcoin.buy(
config.symbol["name"], price, amount
) # 买
if success:
self.time_order = time.time()
self.buy_order_id = data["data"]
self._log.info("挂买单成功[%s:%s]" % (amount, price))
else:
self._log.info("usdt不足[%s]" % (usdt.available))
else:
self._log.info("查询余额错误")
else:
"""
买单ID存在时查询订单状态
"""
success, data = self.fcoin.get_order(self.buy_order_id)
if success:
state = data["data"]["state"]
amount = float(data["data"]["filled_amount"]) - float(
data["data"]["fill_fees"]
)
price = float(data["data"]["price"])
if amount > 0 and state in ("filled", "partial_canceled"):
self.filled_buy_order_list.append(
{"price": price, "amount": amount}
)
if state == "filled":
self.buy_order_id = None
self._log.info("买单已成交")
elif state == "canceled" or state == "partial_canceled":
self.buy_order_id = None
self._log.info("买单已撤单")
elif state not in ("pending_cancel"):
"""
超时判断
"""
if time.time() - self.time_order >= config.delay:
self.fcoin.cancel_order(self.buy_order_id)
self._log.info("%s秒超时撤单" % config.delay)
else:
self._log.info("等待WebSocket数据……")
# 循环
def loop(self):
if (
config.min_amount < config.symbol["min_amount"]
or config.min_amount < config.symbol["min_amount"]
):
self._log.info(
"max_amount,min_amount ≥ 规定的最小数量[%s]" % (config.symbol["min_amount"])
)
return
self.client.start()
while not self.client.isConnected:
self._log.info("waitting……")
time.sleep(1)
self.client.subscribe_depth(config.symbol["name"], "L20")
self.client.subscribe_candle(config.symbol["name"], "M1")
self.client.subscribe_ticker(config.symbol["name"])
while True:
try:
self.process()
except Exception as error:
self._log.info("未知错误")
time.sleep(0.5)
# 获取余额
def get_balance(self):
dic_balance = defaultdict(lambda: None)
success, data = self.fcoin.get_balance()
if success:
for item in data["data"]:
dic_balance[item["currency"]] = balance(
float(item["available"]),
float(item["frozen"]),
float(item["balance"]),
)
return dic_balance
# 获取订单
def get_orders(self, symbol, states, limit=1):
"""
:param symbol:
:param states: submitted/partial_filled/partial_canceled/canceled/pending_cancel/filled
:return:
"""
success, data = self.fcoin.list_orders(
symbol=symbol, states=states, limit=limit
)
if success:
return data["data"]
else:
print(data)
return None
def fteth(self, profit_margin, volumn_rate):
fcoin = Fcoin()
#print(fcoin.get_symbols())
fcoin.auth(key, secret)
balance = (fcoin.get_balance())['data']
for i in balance:
if i['currency'] == u'eth':
#print i
eth_balance = i['balance']
eth_available = i['available']
if eth_balance != eth_available:
print('Warning: Some ETH frozen: ', i)
sys.exit(0)
for i in balance:
if i['currency'] == u'ft':
#print i
ft_balance = i['balance']
ft_available = i['available']
if ft_available != ft_balance:
print('Warning: Some FT frozen: ', i)
sys.exit(0)
result = (fcoin.get_market_ticker(u'fteth'))
#result=(fcoin.get_currencies())
#print(result)
#print(result['status'])
#print(result['data']['ticker'])
_latest_trans_price = result['data']['ticker'][0]
_latest_volumn = result['data']['ticker'][1]
_max_buy_price = result['data']['ticker'][2]
_max_buy_volumn = result['data']['ticker'][3]
_min_sell_price = result['data']['ticker'][4]
_min_sell_volumn = result['data']['ticker'][5]
#buy_price = _latest_trans_price*0.92
buy_price = _latest_trans_price * 1.0
buy_price = round(buy_price, 8) ## keep 8 decimal
can_buy_ft = int(float(eth_available) / buy_price)
buy_volumn = int(float(can_buy_ft) * float(volumn_rate))
result = fcoin.buy('fteth', buy_price, buy_volumn)
sell_price = buy_price * (1.0 + profit_margin)
sell_price = round(sell_price, 8) ## keep 8 decimal
sell_volumn = buy_volumn # sell all
print('ticker fteth latest price:', _latest_trans_price)
print("order_price = ", buy_price, "order_volumn = ", buy_volumn)
print("sell_price = ", sell_price)
#print result
buy_id = result['data']
buy_order_done = 0
sell_order_done = 0
#buy_id_decode = base64.b64decode(bytes(buy_id))
print buy_id
#print buy_id_decode
buy_cycle_time = 3 ## wait 5 seconds * 3 times = 15 seconds
sell_cycle_time = 180 ## wait 10 seconds * 180 times = 30 mins
while (buy_cycle_time > 0):
time.sleep(5)
result = fcoin.get_order(buy_id)
#result = fcoin.show_orders('fteth')
#print result
filled = result['data']['filled_amount']
#print int(filled)
if int(float(filled)) == buy_volumn:
print('buy order done !')
buy_order_done = 1
break
buy_cycle_time = buy_cycle_time - 1
if buy_cycle_time == 0:
print 'Timeout!! Buy price is too low, please try again'
print 'Cancel buy order!'
fcoin.cancel_order(buy_id)
if buy_order_done == 1:
result = fcoin.sell('fteth', sell_price, sell_volumn)
sell_id = result['data']
while (sell_cycle_time > 0):
time.sleep(20)
result = fcoin.get_order(sell_id)
#print result
filled = result['data']['filled_amount']
if int(float(filled)) == sell_volumn:
print('sell order done !')
sell_order_done = 1
break
sell_cycle_time = sell_cycle_time - 1
if sell_cycle_time % 5 == 0:
print 'Sell price is too high, cancel order,try again'
fcoin.cancel_order(sell_id)
time.sleep(1)
sell_price = sell_price * 0.999 ## price down 0.001
sell_price = round(sell_price, 8) ## keep 8 decimal
sell_volumn = sell_volumn - int(float(filled))
result = fcoin.sell('fteth', sell_price, sell_volumn)
sell_id = result['data']
print('sell_price = ', sell_price)
print('sell_volumn = ', sell_volumn)
class Robot(object):
logging.basicConfig(filename='logger.log', level=logging.WARN)
"""docstring for Robot"""
def __init__(self):
self.fcoin = Fcoin(api_key, api_secret)
# 截取指定小数位数
def trunc(self, f, n):
return round(f, n)
def ticker_handler(self, message):
if 'ticker' in message:
self.ticker = message['ticker']
# print('ticker', self.ticker)
def symbols_action(self):
all_symbols = self.fcoin.get_symbols()
for info in all_symbols:
if symbol == info['name']:
self.price_decimal = int(info['price_decimal'])
self.amount_decimal = int(info['amount_decimal'])
print('price_decimal:', self.price_decimal, 'amount_decimal:',
self.amount_decimal)
return
# 查询账户余额
def get_balance_action(self, symbols, specfic_symbol=None):
balance_info = self.fcoin.get_balance()
specfic_balance = 0
for info in balance_info['data']:
for symbol in symbols:
if info['currency'] == symbol:
balance = info
print(balance['currency'], '账户余额', balance['balance'],
'可用', balance['available'], '冻结', balance['frozen'])
if info['currency'] == specfic_symbol:
specfic_balance = float(info['available'])
return specfic_balance
# 买操作
def buy_action(self,
this_symbol,
this_price,
this_amount,
diff,
should_repeat=0):
ticker = self.ticker
cur_price = str(self.trunc(this_price - diff, self.price_decimal))
print('准备买入', this_price, ticker)
buy_result = self.fcoin.buy(this_symbol, cur_price, str(this_amount))
print('buy_result is', buy_result)
buy_order_id = buy_result['data']
if buy_order_id:
print('++++++++++++++++++++++++++++买单: ' + cur_price +
'价格成功委托, 订单ID: ' + buy_order_id)
logging.warning('买单: ' + cur_price + '价格成功委托, 订单ID: ' +
buy_order_id)
return buy_order_id
# 卖操作
def sell_action(self, this_symbol, this_price, this_amount, diff):
ticker = self.ticker
cur_price = str(self.trunc(this_price + diff, self.price_decimal))
print('准备卖出', cur_price, ticker)
sell_result = self.fcoin.sell(this_symbol, cur_price, str(this_amount))
print('sell_result is: ', sell_result)
sell_order_id = sell_result['data']
if sell_order_id:
print('----------------------------卖单: ' + cur_price +
'价格成功委托, 订单ID: ' + sell_order_id)
logging.warning('卖单: ' + cur_price + '价格成功委托, 订单ID: ' +
sell_order_id)
return sell_order_id
def list_active_orders(self, this_symbol, state='submitted'):
dt = datetime(fees_start_time['year'], fees_start_time['month'],
fees_start_time['day'], fees_start_time['hour'],
fees_start_time['minute'], fees_start_time['second'])
timestamp = int(dt.timestamp() * 1000)
return self.fcoin.list_orders(symbol=this_symbol,
states=state,
after=timestamp)
def get_order_count(self, this_symbol):
order_list = self.list_active_orders(this_symbol)
order_buy = 0
order_sell = 0
price_buy_max = 0
price_buy_min = 655350
id_buy_min = ""
price_sell_min = 655350
price_sell_max = 0
id_sell_max = ""
for i in range(len(order_list['data'])):
price_cur = float(order_list['data'][i]['price'])
if order_list['data'][i]['side'] == 'buy':
order_buy = order_buy + 1
if price_cur > price_buy_max:
price_buy_max = price_cur
if price_cur < price_buy_min:
price_buy_min = price_cur
id_buy_min = order_list['data'][i]['id']
else:
order_sell = order_sell + 1
if price_cur < price_sell_min:
price_sell_min = price_cur
if price_cur > price_sell_max:
price_sell_max = price_cur
id_sell_max = order_list['data'][i]['id']
order_price_range = abs(price_sell_max - price_buy_min)
print("buy_count:", order_buy, "buy_min:", price_buy_min, "buy_max:",
price_buy_max, "sell_count:", order_sell, "sell_min",
price_sell_min, "sell_max", price_sell_max, "order_price_range",
order_price_range)
return (order_buy, price_buy_max, id_buy_min, order_sell,
price_sell_min, id_sell_max, order_price_range)
def adjust(self, real_diff, order_price):
diff = order_price * price_diff
if (diff < real_diff):
diff = real_diff
buy_diff = diff
sell_diff = diff
return (buy_diff, sell_diff)
def strategy(self, symbol, order_price, amount, real_diff):
order_buy, price_buy_max, id_buy_min, order_sell, price_sell_min, id_sell_max, order_price_range = self.get_order_count(
symbol)
if (order_price_range > trade_range):
if (order_buy > order_sell + order_count_diff):
if "" != id_buy_min:
print("order_price_range:", order_price_range,
"buy_order_cancel:", id_buy_min)
self.fcoin.cancel_order(id_buy_min)
if (order_sell > order_buy + order_count_diff):
if "" != id_sell_max:
print("order_price_range", order_price_range,
"sell_order_cancel:", id_sell_max)
self.fcoin.cancel_order(id_sell_max)
buy_diff, sell_diff = self.adjust(real_diff, order_price)
cur_price_range = price_range * order_price
if ((price_buy_max + cur_price_range) < order_price):
try:
buy_id = self.buy_action(symbol, order_price, amount, buy_diff)
except Exception as err:
print("failed to buy", err)
if ((price_sell_min - cur_price_range) > order_price):
try:
sell_id = self.sell_action(symbol, order_price, amount,
sell_diff)
except Exception as err:
print("failed to sell", err)
def trade(self):
time.sleep(second)
ticker = self.ticker
newest_price = ticker[0]
high_bids = ticker[2]
high_bids_amount = ticker[3]
low_ask = ticker[4]
low_ask_amount = ticker[5]
order_price = self.trunc((low_ask + high_bids) / 2, self.price_decimal)
real_price_difference = float(low_ask - high_bids)
print('最低卖价:', low_ask, '最高买价', high_bids, '欲下订单价: ', order_price,
'当前差价:', '{:.9f}'.format(real_price_difference), '设定差价:',
'{:.9f}'.format(price_difference))
if real_price_difference > price_difference:
print('现在价格:', newest_price, '挂单价格', order_price)
self.strategy(symbol, order_price, amount,
real_price_difference / 2)
else:
print('差价太小，放弃本次成交')
def run(self):
self.client = fcoin_client()
self.client.start()
self.client.subscribe_ticker(symbol, self.ticker_handler)
self.symbols_action()
self.get_balance_action(symbols)
time = 0
while True:
self.trade()
time = time + 1
if (time > 100):
break