def _convert_asset_format(self, data):
for d in data:
c = d["currency"]
self._assets[c]["free"] = float(d["available"])
self._assets[c]["locked"] = float(d["hold"])
self._assets[c]["total"] = float(d["balance"])
return Asset(self._platform, self._account, self._assets,
tools.get_cur_timestamp_ms(), True)
async def on_asset_update_callback(self, asset: Asset):
""" 账户资产更新
"""
if self.is_upper: #如果币种符号需要转换成大写,就进行转换
_assets = defaultdict(
lambda: {k: 0.0
for k in {'free', 'locked', 'total'}})
for (k, v) in asset.assets.items():
_assets[k.upper()] = v
asset.assets = _assets
await self._original_on_asset_update_callback(asset)
async def init_asset(self):
""" 读取回测配置信息中的初始化资产,通知上层策略
"""
ts = ModelAPI.current_milli_timestamp()
d = config.backtest["feature"][self._platform]["asset"]
for (k, v) in d.items():
self._assets[k]["free"] = float(v)
self._assets[k]["total"] = float(v)
#通知上层策略
ast = Asset(self._platform, self._account, self._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
async def get_assets(self):
""" 获取交易账户资产信息
Args:
None
Returns:
assets: Asset if successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
ts = ModelAPI.current_milli_timestamp()
ast = Asset(self._platform, self._account, self._assets, ts, True)
return ast, None
async def get_assets(self):
""" 获取交易账户资产信息
Args:
None
Returns:
assets: Asset if successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
#{"result": {"backstopProvider": false, "collateral": 110.094266926, "freeCollateral": 109.734306926, "initialMarginRequirement": 0.2, "leverage": 5.0, "liquidating": false, "maintenanceMarginRequirement": 0.03, "makerFee": 0.0002, "marginFraction": 61.1703338848761, "openMarginFraction": 61.170278323147016, "positionLimit": null, "positionLimitUsed": 2.15976, "positions": [{"collateralUsed": 0.35996, "cost": -1.7999, "entryPrice": 179.99, "estimatedLiquidationPrice": 11184.0172926, "future": "ETH-PERP", "initialMarginRequirement": 0.2, "longOrderSize": 0.0, "maintenanceMarginRequirement": 0.03, "netSize": -0.01, "openSize": 0.01, "realizedPnl": 0.01723393, "shortOrderSize": 0.0, "side": "sell", "size": 0.01, "unrealizedPnl": 0.0001}], "takerFee": 0.0007, "totalAccountValue": 110.094366926, "totalPositionSize": 1.7998, "useFttCollateral": true, "username": "******"}, "success": true}
success, error = await self._rest_api.get_account_info()
if error:
return None, error
if not success["success"]:
return None, "get_account_info error"
data = success["result"]
assets = {}
total = float(data["collateral"])
free = float(data["freeCollateral"])
locked = total - free
assets["USD"] = {
"total": "%.8f" % total,
"free": "%.8f" % free,
"locked": "%.8f" % locked
}
if assets == self._assets:
update = False
else:
update = True
self._assets = assets
timestamp = tools.get_cur_timestamp_ms()
ast = Asset(self._platform, self._account, self._assets, timestamp,
update)
#因为ftx websocket接口里面没有资产通知,所以只能这样模拟
SingleTask.run(self.cb.on_asset_update_callback, ast)
return ast, None
def parse(self):
asset = Asset(**self.data)
return asset
def parse(self):
""" 解析self._data数据
"""
asset = Asset(**self.data)
return asset
async def create_order(self, action, price, quantity, order_type=ORDER_TYPE_LIMIT):
""" 下单
"""
if not self._last_kline or not self._last_kline.usable:
return None, "无法创建订单"
#获取符号相关信息
syminfo = config.backtest["feature"][self._platform]["syminfo"][self._symbol]
price_tick = syminfo["price_tick"] #价格变动最小精度
size_tick = syminfo["size_tick"] #下单数量变动最小精度
size_limit = syminfo["size_limit"] #下单数量最小限制
value_tick = syminfo["value_tick"] #下单金额变动最小精度
value_limit = syminfo["value_limit"] #下单金额最小限制
base_currency = syminfo["base_currency"] #基础币种,交易标的,或者说就是'货'
settlement_currency = syminfo["settlement_currency"] #结算币种,或者说就是'钱'
#输入参数验证
if order_type == ORDER_TYPE_MARKET:
if price:
return None, "无法创建订单,市价单价格必须填0"
if action == ORDER_ACTION_BUY:
#市价买单quantity代表的是下单金额
if quantity < value_limit:
return None, "无法创建订单,下单金额太少"
if not self.precision_verify(quantity, value_tick):
return None, "无法创建订单,下单金额精度错误"
else:
if quantity < size_limit:
return None, "无法创建订单,下单数量太少"
if not self.precision_verify(quantity, size_tick):
return None, "无法创建订单,下单数量精度错误"
else:
if price <= 0:
return None, "无法创建订单,价格必须大于0"
if not self.precision_verify(price, price_tick):
return None, "无法创建订单,价格精度错误"
if quantity < size_limit:
return None, "无法创建订单,下单数量太少"
if not self.precision_verify(quantity, size_tick):
return None, "无法创建订单,下单数量精度错误"
#获取当前时间
ts = ModelAPI.current_milli_timestamp()
#
if order_type == ORDER_TYPE_MARKET: #市价单
if action == ORDER_ACTION_BUY: #买
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity > sc['free']:
return None, "账户余额不够"
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
#市价买单quantity指的是'钱',逼真模拟
tradevolmue, left_money = self.market_buy_order_cross(quantity, tradeprice, size_tick)
#市价买单quantity指的是'钱'
#tradevolmue = quantity/tradeprice
#对于现货交易,手续费是从接收币种里面扣除
fee = tradevolmue*self.taker_commission_rate
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": 0,
"quantity": tools.nearest(quantity, value_tick),
"remain": tools.nearest(left_money, value_tick),
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(tradevolmue, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, size_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'增加
bc['free'] += (tradevolmue-fee)
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'减少
sc['free'] -= quantity #市价买单quantity指的是'钱'
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif action == ORDER_ACTION_SELL: #卖
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity > bc['free']:
return None, "账户币不足"
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
trademoney = quantity*tradeprice
#对于现货交易,手续费是从接收币种里面扣除
fee = trademoney*self.taker_commission_rate
trademoney -= fee
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": 0,
"quantity": tools.nearest(quantity, size_tick),
"remain": 0,
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(quantity, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, value_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'减少
bc['free'] -= quantity
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'增加
sc['free'] += trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif order_type == ORDER_TYPE_LIMIT: #限价单
if action == ORDER_ACTION_BUY: #买
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity*price > sc['free']:
return None, "账户余额不够"
#如果下单价格小于当前价格,那意味着无法成交,订单将进入订单薄挂着
if price < self._last_kline.close_avg_fillna:
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": tools.nearest(quantity, size_tick),
"status": ORDER_STATUS_SUBMITTED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
self._orders[order_no] = order #进入订单簿
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#账户资产通知
#'钱'需要被锁定一部分
sc['locked'] += quantity*price #挂单部分所占用的资金需要被锁定
sc['locked'] = tools.nearest(sc['locked'], value_tick)
sc['free'] = sc['total'] - sc['locked']
sc['free'] = tools.nearest(sc['free'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
else: #直接成交
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
tradevolmue = quantity #直接模拟全部成交
trademoney = tradeprice*tradevolmue #成交金额
#对于现货交易,手续费是从接收币种里面扣除
fee = tradevolmue*self.taker_commission_rate
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": 0,
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(tradevolmue, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, size_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'增加
bc['free'] += (tradevolmue-fee)
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'减少
sc['free'] -= trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif action == ORDER_ACTION_SELL: #卖
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity > bc['free']:
return None, "账户币不足"
#如果下单价格大于当前价格,那意味着无法成交,订单将进入订单薄挂着
if price > self._last_kline.close_avg_fillna:
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": tools.nearest(quantity, size_tick),
"status": ORDER_STATUS_SUBMITTED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
self._orders[order_no] = order #进入订单簿
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#账户资产通知
#'货'需要被锁定一部分
bc['locked'] += quantity #挂单部分所占用的'货'需要被锁定
bc['locked'] = tools.nearest(bc['locked'], size_tick)
bc['free'] = bc['total'] - bc['locked']
bc['free'] = tools.nearest(bc['free'], size_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
else: #直接成交
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
trademoney = quantity*tradeprice
#对于现货交易,手续费是从接收币种里面扣除
fee = trademoney*self.taker_commission_rate
trademoney -= fee
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": 0,
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(quantity, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, value_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'减少
bc['free'] -= quantity
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'增加
sc['free'] += trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif order_type == ORDER_TYPE_IOC:
raise NotImplementedError
#返回订单号
return order_no, None
async def make_trade(self):
""" 尝试和订单列表中的订单进行撮合成交
"""
#遍历订单簿里面所有挂单
os = copy.copy(self._orders)
for (k, o) in os.items():
syminfo = config.backtest["feature"][self._platform]["syminfo"][self._symbol]
price_tick = syminfo["price_tick"] #价格变动最小精度
size_tick = syminfo["size_tick"] #下单数量变动最小精度
value_tick = syminfo["value_tick"] #下单金额变动最小精度
base_currency = syminfo["base_currency"] #基础币种,交易标的,或者说就是'货'
settlement_currency = syminfo["settlement_currency"] #结算币种,或者说就是'钱'
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if o.action == ORDER_ACTION_BUY: #买单
if o.price >= self._last_kline.close_avg_fillna: #当前价格可以成交
ts = ModelAPI.current_milli_timestamp()
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
tradevolmue = o.quantity #直接模拟全部成交
trademoney = tradeprice*tradevolmue #成交金额
#对于现货交易,手续费是从接收币种里面扣除
fee = tradevolmue*self.maker_commission_rate
#订单通知
o.remain = 0
o.status = ORDER_STATUS_FILLED
o.utime = ts
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(o)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": o.order_no,
"side": o.action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(tradevolmue, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_MAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, size_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'增加
bc['free'] += (tradevolmue-fee)
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#释放挂单占用的'钱'
sc['locked'] -= o.quantity*o.price
sc['locked'] = tools.nearest(sc['locked'], value_tick)
sc['free'] = sc['total'] - sc['locked']
#'钱'减少
sc['free'] -= trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
#删除订单簿中的订单
del self._orders[o.order_no]
elif o.action == ORDER_ACTION_SELL: #卖单
if o.price <= self._last_kline.close_avg_fillna: #当前价格可以成交
ts = ModelAPI.current_milli_timestamp()
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
trademoney = o.quantity*tradeprice #模拟全部成交
#对于现货交易,手续费是从接收币种里面扣除
fee = trademoney*self.maker_commission_rate
trademoney -= fee
#订单通知
o.remain = 0
o.status = ORDER_STATUS_FILLED
o.utime = ts
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(o)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": o.order_no,
"side": o.action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(o.quantity, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_MAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, value_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#释放挂单占用的'货'
bc['locked'] -= o.quantity
bc['locked'] = tools.nearest(bc['locked'], size_tick)
bc['free'] = bc['total'] - bc['locked']
#'货'减少
bc['free'] -= o.quantity
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'增加
sc['free'] += trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
#删除订单簿中的订单
del self._orders[o.order_no]
