def process_pending_orders(self):
print('当前订单队列共有%d个订单' % len(self.order_queue))
del_list = []
for i in range(len(self.order_queue)):
old_order_id = self.order_queue[i]
try:
old_order_info = futureAPI.get_order_info(
old_order_id, self.instrument_id)
print('第%d个订单信息为：%s' % (i + 1, old_order_info))
status = old_order_info['status']
type = int(old_order_info['type'])
last = float(old_order_info['price'])
# 已撤单
if status == '-1':
del_list.append(old_order_id)
# 全部成交
elif status == '2':
del_list.append(old_order_id)
# 部分成交或等待成交
else:
futureAPI.revoke_order(self.instrument_id, old_order_id)
amount = int(old_order_info['size'])
filled_amt = int(old_order_info['filled_qty'])
unfilled = amount - filled_amt
if unfilled >= 1:
if type == 1:
buyID = buyin_more(futureAPI, self.coin_name,
self.instrument_id, False,
unfilled)
elif type == 2:
buyID = buyin_less(futureAPI, self.coin_name,
self.instrument_id, False,
unfilled)
else:
continue
if buyID:
self.order_queue.append(buyID)
else:
del_list.append(old_order_id)
except Exception as e:
print(repr(e))
traceback.print_exc()
del_list.append(old_order_id)
continue
# 删除已成交和已撤销订单
for to_del_id in del_list:
self.order_queue.remove(to_del_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, 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, last_avg_price, spot_buy_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
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_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)
# 做空
if price_3m_change < 0 and price_10s_change <= 0 and new_macd < 0 and lessless == 0:
if buyin_less(futureAPI,
coin.name,
future_instrument_id,
latest_price,
amount=None,
lever_rate=20,
taker=True):
lessless = 1
future_buy_time = int(ts)
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
future_instrument_id,
latest_price,
))
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')
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_buy_price = sell_order_info['price']
info = u'现货全部卖出！！！平均成交价格：' + spot_buy_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_3m_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:
future_buy_time = int(ts)
holding_position = futureAPI.get_specific_position(
future_instrument_id)
if len(holding_position["holding"]) > 0:
profit = float(
holding_position["holding"][0]["short_pnl_ratio"])
if profit < 0 < price_1m_change:
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' % (
profit * 100, now_time)
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
elif profit < -0.1:
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' % (
profit * 100, now_time)
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(
'holding error: lessless == 1 but not hold future\n'
)
lessless = 0
if less == 1:
if price_3m_change > 0 and new_macd > 0:
buy_id = buy_all_position(spotAPI, instrument_id,
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
buy_price = order_info['price']
info = u'全部买入！！！买入价格：' + str(
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_buy_price and price_1m_change > 0:
buy_id = buy_all_position(spotAPI, instrument_id,
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
buy_price = order_info['price']
info = u'全部买入！！！买入价格：' + str(
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_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%%, 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, 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, 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)
# 做空
if lessless == 0 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)
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
future_buyin_less_order_id,
))
future_buy_price = latest_price - 0.01
info = now_time + u' 发出做空信号！！future_buy_price： ' + str(
future_buy_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
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 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')
time.sleep(5)
# do more
retry = 10
while retry > 0:
retry -= 1
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:
lessmore = 1
thread.start_new_thread(
ensure_buyin_more, (
futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
future_buyin_more_order_id,
))
future_more_buy_price = latest_price
info = u'%s 反手做多，现货价格: %.3f' % (now_time,
latest_price)
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
break
time.sleep(0.5)
elif int(ts
) - future_buy_time >= 60 and price_10s_change > 0.01:
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_buy_price), now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif latest_price > future_buy_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_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 lessmore == 1:
if new_macd < 0 or latest_price < future_more_buy_price * 0.995:
if sell_more(futureAPI, future_instrument_id):
lessmore = 0
thread.start_new_thread(
ensure_sell_more,
(futureAPI, coin.name, future_instrument_id,
latest_price, future_more_buy_price))
info = u'做多止盈，盈利%.3f, time: %s' % (
future_more_buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
holding_status = 'future_less: %d, spot_less: %d, future_more: %d' % (
lessless, less, lessmore)
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, 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, 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()