async def on_event_orderbook_update(self):
"""订单薄更新"""
await asyncio.sleep(0.1)
bid1_price = self.exchange.bids[0] # 买一价格
bid5_price = self.exchange.bids[4] # 买五价格
# 如果已有挂单，且在价格区间内，就不需要执行任何操作
if self.order_no and bid5_price < self.exchange.open_orders(clOrdID="")[0]["price"] < bid1_price:
return
# 如果存在挂单但不在价格区间内，就撤单；如果没有挂单也执行挂单操作
else:
if self.order_no:
self.exchange.revoke_order(self.order_no)
logger.info("撤销订单:{}".format(self.order_no))
# 创建新订单
new_price = (bid1_price + bid5_price) / 2
price = round(new_price) # bitmex的XBTUSD合约价格精度限制为下单价格必须是例如10000.0 或10000.5，此处简化处理为取整数
quantity = 5 # 假设委托数量为5
# 限价订单
order_no = self.exchange.generate_uuid() # 生成机器码作为自己维护的client order id
self.exchange.buy(price, quantity, clOrdID=order_no)
logger.info("创建订单:{}".format(order_no))
sleep(0.5) # 下单后等待一下，因为websocket获取当前挂单信息也有延迟，防止重复挂单
async def on_event_asset_update(self):
"""资产更新"""
while True:
if self.exchange.asset != self.asset: # 如果资产有变化就打印变化后的资产信息
logger.info("asset:{}".format(self.exchange.asset))
self.asset = self.exchange.asset
await asyncio.sleep(0.1)
async def on_event_order_update(self):
"""订单状态更新"""
await asyncio.sleep(0.1)
if not self.exchange.open_orders(clOrdID=""): # 如果订单失败、订单取消、订单完成交易,即当前无挂单
self.order_no = None
elif self.exchange.open_orders(clOrdID="") and self.exchange.open_orders(clOrdID="")[0]['clOrdID'] != self.order_no: # 有挂单且订单有变化
logger.info("订单更新:{}".format(self.exchange.open_orders(clOrdID=""))) # 订单变动时打印最新的订单信息
self.order_no = self.exchange.open_orders(clOrdID="")[0]['clOrdID']
async def on_event_order_update(self):
"""订单状态更新"""
while True:
if not self.exchange.open_orders(clOrdID=""): # 如果当前无挂单
self.order_no = ""
elif self.exchange.open_orders(
clOrdID=""
) and self.exchange.open_orders(
clOrdID="")[0]['clOrdID'] != self.order_no: # 有挂单且订单有变化
logger.info("order update:{}".format(
self.exchange.open_orders(clOrdID=""))) # 订单变动时打印最新的订单信息
self.order_no = self.exchange.open_orders(
clOrdID="")[0]['clOrdID']
await asyncio.sleep(0.1)
def begin_trade(self, kline=None):
try:
if self.indicators.CurrentBar(kline=kline) < self.slow_length: # 如果k线数据不够长就返回
return
timestamp = ts_to_datetime_str(utctime_str_to_ts(kline[-1][0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间
# 计算策略信号
ma = self.indicators.MA(self.fast_length, self.slow_length, kline=kline)
fast_ma = ma[0]
slow_ma = ma[1]
cross_over = fast_ma[-2] >= slow_ma[-2] and fast_ma[-3] < slow_ma[-3] # 不用当根k线上的ma来计算信号，防止信号闪烁
cross_below = slow_ma[-2] >= fast_ma[-2] and slow_ma[-3] < fast_ma[-3]
if self.indicators.BarUpdate(kline=kline): # 如果k线更新，计数器归零
self.counter = 0
if self.counter < 1:
# 按照策略信号开平仓
if cross_over: # 金叉时
if self.position.amount() == 0: # 若当前无持仓，则买入开多并推送下单结果
price = self.market.open(-1, kline=kline) # 下单价格=此根k线收盘价
amount = round(self.total_asset / self.contract_value) # 数量=总资金/价格/合约面值
info = self.exchange.buy(price, amount)
push(info)
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * self.contract_value, price,
"long", amount, 0, self.total_profit, self.total_asset) # 将信息保存至数据库
if self.position.direction() == 'short': # 若当前持空头，先平空再开多
profit = self.position.covershort_profit(market_type="usd_contract", last=self.market.open(-1, kline=kline)) # 在平空前先计算逻辑盈亏，当前最新成交价为开盘价
self.total_profit += profit
self.total_asset += profit # 计算此次盈亏后的总资金
cover_short_price = self.market.open(-1, kline=kline)
cover_short_amount = self.position.amount()
open_long_price = self.market.open(-1, kline=kline)
open_long_amount = round(self.total_asset / self.contract_value)
info = self.exchange.BUY(cover_short_price, cover_short_amount, open_long_price, open_long_amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info)) # 需将返回的下单结果info转换为字符串后进行拼接
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "平空开多",
open_long_price, open_long_amount, open_long_amount * self.contract_value,
open_long_price, "long", open_long_amount, profit, self.total_profit, self.total_asset)
if cross_below: # 死叉时
if self.position.amount() == 0:
price = self.market.open(-1, kline=kline)
amount = round(self.total_asset / self.contract_value)
info = self.exchange.sellshort(price, amount)
push(info)
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "卖出开空",
price, amount, amount * self.contract_value, price,
"short", amount, 0, self.total_profit, self.total_asset)
if self.position.direction() == 'long':
profit = self.position.coverlong_profit(market_type="usd_contract", last=self.market.open(-1, kline=kline)) # 在平多前先计算逻辑盈亏，当前最新成交价为开盘价
self.total_profit += profit
self.total_asset += profit
cover_long_price = self.market.open(-1, kline=kline)
cover_long_amount = self.position.amount()
open_short_price = self.market.open(-1, kline=kline)
open_short_amount = round(self.total_asset / self.contract_value)
info = self.exchange.SELL(cover_long_price,
cover_long_amount,
open_short_price,
open_short_amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "平多开空",
open_short_price, open_short_amount,
open_short_amount * self.contract_value,
open_short_price, "short", open_short_amount, profit, self.total_profit,
self.total_asset)
# 止损
if self.position.amount() > 0:
if self.position.direction() == 'long' and self.market.low(-1, kline=kline) <= self.position.price() * self.long_stop: # 多单止损
profit = self.position.coverlong_profit(market_type="usd_contract", last=self.position.price() * self.long_stop) # 在平多前先计算逻辑盈亏，当前最新成交价为止损价
self.total_profit += profit
self.total_asset += profit
price = self.position.price() * self.long_stop
amount = self.position.amount()
info = self.exchange.sell(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"卖出止损", price, amount,
amount * self.contract_value,
0, "none", 0, profit, self.total_profit,
self.total_asset)
self.counter += 1 # 计数器加1，控制此根k线上不再下单
if self.position.direction() == 'short' and self.market.high(-1, kline=kline) >= self.position.price() * self.short_stop: # 空头止损
profit = self.position.covershort_profit(market_type="usd_contract", last=self.position.price() * self.short_stop)
self.total_profit += profit
self.total_asset += profit
price = self.position.price() * self.short_stop
amount = self.position.amount()
info = self.exchange.buytocover(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"买入止损", price, amount,
amount * self.contract_value,
0, "none", 0, profit, self.total_profit,
self.total_asset)
self.counter += 1
except:
logger.info()
def begin_trade(self, kline=None):
try:
if self.indicators.CurrentBar(
kline=kline) < self.slow_length: # 如果k线数据不够长就返回
return
timestamp = ts_to_datetime_str(utctime_str_to_ts(
kline[-1]
[0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间
# 计算策略信号
ma = self.indicators.MA(self.fast_length,
self.slow_length,
kline=kline)
fast_ma = ma[0]
slow_ma = ma[1]
cross_over = fast_ma[-2] >= slow_ma[-2] and fast_ma[-3] < slow_ma[
-3] # 不用当根k线上的ma来计算信号，防止信号闪烁
cross_below = slow_ma[-2] >= fast_ma[-2] and slow_ma[-3] < fast_ma[
-3]
if self.indicators.BarUpdate(kline=kline): # 如果k线更新，计数器归零
self.counter = 0
if self.counter < 1:
# 按照策略信号开平仓
if cross_over and round(
self.position.amount()
) < self.precision: # 金叉时，若当前无持仓，则买入开多并推送下单结果。0.1这个数值根据每个币对的最小交易数量决定
price = float(self.market.open(
-1, kline=kline)) # 下单价格=此根k线开盘价
self.hold_price = price # 记录开仓价格
amount = float(self.total_asset / price) # 数量=总资金/价格
info = self.exchange.buy(price, amount)
push(info)
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * price, price, "long", amount,
0, self.total_profit, self.total_asset) # 将信息保存至数据库
if cross_below and round(
self.position.amount(), 1
) >= self.precision: # 死叉时，如果当前持多就卖出平多。当前持仓数量根据币对的最小交易数量取小数
price = float(self.market.open(-1, kline=kline))
amount = float(self.position.amount())
profit = (price - self.hold_price) * amount # 计算逻辑盈亏
self.total_profit += profit
self.total_asset += profit
info = self.exchange.sell(price, amount)
push(info)
self.hold_price = 0 # 平多后记录持仓价格为0
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出平多",
price, amount, amount * price, 0, "none", 0, profit,
self.total_profit, self.total_asset)
# 如果当前持多且最低价小于等于持仓均价*止损幅度，触发止损，卖出平多止损
if round(self.position.amount(),
1) >= self.precision and self.market.low(
-1,
kline=kline) <= self.hold_price * self.long_stop:
price = float(self.hold_price * self.long_stop)
amount = float(self.position.amount())
profit = (price - self.hold_price) * amount # 计算逻辑盈亏
self.total_profit += profit
self.total_asset += profit
info = self.exchange.sell(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) +
str(info))
self.hold_price = 0 # 平多后记录持仓价格为0
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出止损",
price, amount, amount * price, 0, "none", 0, profit,
self.total_profit, self.total_asset)
self.counter += 1 # 计数器加1，控制此根k线上不再下单
except Exception as e:
logger.info()