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)
from fcoin import Fcoin
#if python3 use fcoin3
#from fcoin3 import Fcoin
fcoin = Fcoin()
print(fcoin.get_symbols())
print(fcoin.get_currencies())
fcoin.auth('you-key', 'you-secret')
print(fcoin.get_balance())
print(fcoin.buy('fteth', 0.0001, 10))
#print(fcoin.sell('fteth', 0.002, 5))
#print(fcoin.cancel_order('6TfBZ-eORp4_2nO5ar6zhg0gLLvuWzTTmL1OzOy9OYg='))
#print(fcoin.get_candle('M1','fteth'))
def runBuy(accessKey, secretyKey, price, volume):
fcoin = Fcoin()
fcoin.auth(accessKey, secretyKey)
return fcoin.buy('btcusdt', price, volume)
class ArbitrageRobot(object):
"""docstring for Robot"""
def __init__(self):
self.fcoin = Fcoin(api_key, api_secret)
self.price_decimals = {}
self.amount_decimals = {}
self.tickers = {}
pd.set_option('precision', 10)
self.time_last_call = time.time()
# 截取指定小数位数
def trunc(self, f, n):
return round(f, n)
# return math.floor(f*10**n)/10**n
def ticker_handler(self, message):
# print(message)
if 'ticker' in message:
symbol = message['type'].split('.')[1]
self.tickers[symbol] = message['ticker']
ticker_queue.put(self.tickers, block=False)
logging.debug("get ticker")
# logging.info("ticker message: {}".format(message))
else:
logging.debug("ticker message: {}".format(message))
def symbols_action(self):
all_symbols = self.fcoin.get_symbols()
for symbol in symbol_pairs:
for info in all_symbols:
if symbol == info['name']:
self.price_decimals[symbol] = int(info['price_decimal'])
self.amount_decimals[symbol] = int(info['amount_decimal'])
break
logging.info("price_decimals: {}".format(self.price_decimals))
logging.info("amount_decimals: {}".format(self.amount_decimals))
# 买操作
def buy_action(self, this_symbol, this_price, this_amount, type="limit"):
# this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount,
self.amount_decimals[this_symbol])
buy_result = self.fcoin.buy(this_symbol, this_price, this_amount, type)
# print('buy_result is', buy_result)
buy_order_id = buy_result['data']
if buy_order_id:
lprint("买单 {} 价格成功委托, 订单ID {}".format(this_price, buy_order_id))
return buy_order_id
# 卖操作
def sell_action(self, this_symbol, this_price, this_amount, type="limit"):
# this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount,
self.amount_decimals[this_symbol])
sell_result = self.fcoin.sell(this_symbol, this_price, this_amount,
type)
# print('sell_result is: ', sell_result)
sell_order_id = sell_result['data']
if sell_order_id:
lprint("卖单 {} 价格成功委托, 订单ID {}".format(this_price, sell_order_id))
return sell_order_id
def strategy(self, type, pricedf, amount):
# 从zipeth开始交易, 因为它成交量最小
# print('使用套利策略')
self.time_last_call = time.time()
if type == 1:
# usdtamount = amount*pricedf["ethusdt"]
zipamount = amount / pricedf["zipeth"]
thread1 = threading.Thread(target=self.sell_action,
args=("zipeth", pricedf["zipeth"],
zipamount))
thread2 = threading.Thread(target=self.buy_action,
args=("zipusdt", pricedf["zipusdt"],
zipamount))
thread3 = threading.Thread(target=self.sell_action,
args=("ethusdt", pricedf["ethusdt"],
amount))
thread1.start()
thread2.start()
thread3.start()
elif type == 2:
zipamount = amount / pricedf["zipeth"]
# usdtamount = amount*pricedf["ethusdt"]
thread1 = threading.Thread(target=self.buy_action,
args=("zipeth", pricedf["zipeth"],
zipamount))
thread2 = threading.Thread(target=self.sell_action,
args=("zipusdt", pricedf["zipusdt"],
zipamount))
thread3 = threading.Thread(target=self.buy_action,
args=("ethusdt", pricedf["ethusdt"],
amount))
thread1.start()
thread2.start()
thread3.start()
def trade(self, tickers=None):
"""套利策略，寻找一个三元pair，看是不是满足套利规则。
ETH/USDT, ZIP/ETH, ZIP/USDT
ethusdt买一价 * zipeth买一价 / zipusdt卖一价, 如果大于1很多，就存在套利空间
操作流程：usdt买zip，卖zip换回eth，卖eth换回usdt
zipusdt买一价 / zipeth卖一价 / ethusdt卖一价, 如果大于1很多，就存在套利空间
操作流程为：usdt买eth，eht买zip，卖zip换回usdt
买一下标为2， 卖一下标为4"""
# time.sleep(second)
amount = _ethamount
self_tickers = tickers
if tickers == None:
self_tickers = self.tickers
if len(self_tickers) == len(symbol_pairs):
info_df = pd.DataFrame(self_tickers).T
# 买一卖一的均价
info_df["price"] = (info_df[2] + info_df[4]) / 2
taoli1 = info_df.loc["ethusdt", 2] * \
info_df.loc["zipeth", 2] / info_df.loc["zipusdt", 4]
taoli2 = info_df.loc["zipusdt", 2] / \
info_df.loc["zipeth", 4] / info_df.loc["ethusdt", 4]
if taoli1 > difference:
info_df["price"] = info_df[2]
info_df.loc["zipusdt", "price"] = info_df.loc["zipusdt", 4]
if is_use_amount:
if info_df.loc["ethusdt", 3] < _halfeth or info_df.loc[
"zipusdt",
5] < _halfzip or info_df.loc["zipeth",
3] < _halfzip:
lprint('挂单量太小，本次无法套利 方式一', logging.DEBUG)
return
lprint("满足套利条件1 套利值为{:.4}‰".format(taoli1 * 1000 - 1000))
self.strategy(1, info_df.price, amount)
lprint("zipeth卖价：{} zipusdt买价：{} ethusdt卖价：{}".format(
info_df.price["zipeth"], info_df.price["zipusdt"],
info_df.price["ethusdt"]))
time.sleep(second)
elif taoli2 > difference:
info_df["price"] = info_df[4]
info_df.loc["zipusdt", "price"] = info_df.loc["zipusdt", 2]
if is_use_amount:
if info_df.loc["ethusdt", 5] < _halfeth or info_df.loc[
"zipusdt",
3] < _halfzip or info_df.loc["zipeth",
5] < _halfzip:
lprint('挂单量太小，本次无法套利 方式二', logging.DEBUG)
return
# else:
# if is_mutable_amount:
# amount = min(rates) * amount
# if amount > maxamount:
# amount = maxamount
# lprint("每单金额{}eth，最小利差{:.2}‰".format(amount, (difference-1)*1000))
lprint("满足套利条件2 套利值比为{:.4}‰".format(taoli2 * 1000 - 1000))
self.strategy(2, info_df.price, amount)
lprint("zipeth买价：{} zipusdt卖价：{} ethusdt买价：{}".format(
info_df.price["zipeth"], info_df.price["zipusdt"],
info_df.price["ethusdt"]))
time.sleep(second)
else:
lprint('差价太小，本次无法套利 方式一{} 方式二{}'.format(taoli1, taoli2),
logging.DEBUG)
if time.time() - self.time_last_call > heartbeat_interval:
self.time_last_call = time.time()
thread1 = threading.Thread(target=self.fcoin.get_server_time)
thread2 = threading.Thread(target=self.fcoin.get_server_time)
thread3 = threading.Thread(target=self.fcoin.get_server_time)
thread1.start()
thread2.start()
thread3.start()
def run(self):
self.symbols_action()
# self.get_balance_action(symbols)
balance.balance()
self.client = fcoin_client(self.on_close)
self.client.start()
self.client.subscribe_tickers(symbol_pairs, self.ticker_handler)
while True:
tickers = ticker_queue.get()
self.trade(tickers)
ticker_queue.queue.clear()
def on_close(self):
print("websocket closed, try to restart...")
time.sleep(second)
self.client = fcoin_client(self.on_close)
self.client.start()
self.client.subscribe_tickers(symbol_pairs, self.ticker_handler)
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 Robot(object):
"""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, should_repeat = 0):
ticker = self.ticker
print('准备买入', this_price, ticker)
buy_result = self.fcoin.buy(this_symbol, self.trunc(this_price, self.price_decimal), this_amount)
print('buy_result is', buy_result)
buy_order_id = buy_result['data']
if buy_order_id:
print('买单', this_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):
ticker = self.ticker
print('准备卖出', this_price, ticker)
if is_direct_buy == 1:
sell_result = self.fcoin.sell(this_symbol, self.trunc(this_price * (1 - 0.0002), self.price_decimal), this_amount)
else:
sell_result = self.fcoin.sell(this_symbol, this_price, this_amount)
print('sell_result is: ', sell_result)
sell_order_id = sell_result['data']
if sell_order_id:
print('卖单', this_price, '价格成功委托', '订单ID', sell_order_id)
return sell_order_id
def strategy(self, symbol, order_price, amount):
print('使用单边震荡策略')
buy_id = self.buy_action(symbol, order_price, amount)
sell_id = self.sell_action(symbol, order_price, amount)
def trade(self):
time.sleep(second)
print(bytes.decode(base64.b64decode(b'6LSt5Lmw6K+36K6k5YeG5b6u5L+h5Y+3YXJjaGVyemhz77yM5LiN6KaB55u45L+h5YW25LuW55qE5p2l5rqQ')))
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)
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)
while True:
self.trade()
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 ArbitrageRobot(object):
"""docstring for Robot"""
def __init__(self):
self.fcoin = Fcoin(api_key, api_secret)
self.price_decimals = {}
self.amount_decimals = {}
self.tickers = {}
self.time_last_call = time.time()
# 截取指定小数位数
def trunc(self, f, n):
return round(f, n)
# return math.floor(f*10**n)/10**n
def ticker_handler(self, message):
if 'ticker' in message:
symbol = message['type'].split('.')[1]
self.tickers[symbol] = message['ticker']
ticker_queue.put(self.tickers, block=False)
logging.debug("get ticker")
# logging.info("ticker message: {}".format(message))
else:
logging.debug("ticker message: {}".format(message))
def symbols_action(self):
all_symbols = self.fcoin.get_symbols()
for symbol in symbol_pairs:
for info in all_symbols:
if symbol == info['name']:
self.price_decimals[symbol] = int(info['price_decimal'])
self.amount_decimals[symbol] = int(info['amount_decimal'])
break
logging.info("price_decimals: {}".format(self.price_decimals))
logging.info("amount_decimals: {}".format(self.amount_decimals))
# 买操作
def buy_action(self, this_symbol, this_price, this_amount, type="limit"):
# this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount,
self.amount_decimals[this_symbol])
buy_result = self.fcoin.buy(this_symbol, this_price, this_amount, type)
buy_order_id = buy_result['data']
if buy_order_id:
logging.info("买单 {} 价格成功委托, 订单ID {}".format(
this_price, buy_order_id))
return buy_order_id
# 卖操作
def sell_action(self, this_symbol, this_price, this_amount, type="limit"):
# this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount,
self.amount_decimals[this_symbol])
sell_result = self.fcoin.sell(this_symbol, this_price, this_amount,
type)
sell_order_id = sell_result['data']
if sell_order_id:
logging.info("卖单 {} 价格成功委托, 订单ID {}".format(
this_price, sell_order_id))
return sell_order_id
def strategy(self, type, pricedf, amount):
self.time_last_call = time.time()
if type == 1:
s1amount = amount / pricedf[sp1]
thread1 = threading.Thread(target=self.sell_action,
args=(sp1, pricedf[sp1], s1amount))
thread2 = threading.Thread(target=self.buy_action,
args=(sp2, pricedf[sp2], s1amount))
thread3 = threading.Thread(target=self.sell_action,
args=(sp3, pricedf[sp3], amount))
thread1.start()
thread2.start()
thread3.start()
elif type == 2:
s1amount = amount / pricedf[sp1]
thread1 = threading.Thread(target=self.buy_action,
args=(sp1, pricedf[sp1], s1amount))
thread2 = threading.Thread(target=self.sell_action,
args=(sp2, pricedf[sp2], s1amount))
thread3 = threading.Thread(target=self.buy_action,
args=(sp3, pricedf[sp3], amount))
thread1.start()
thread2.start()
thread3.start()
def trade(self, tickers=None):
"""套利策略，寻找一个三元pair，看是不是满足套利规则。
ETH/USDT, FI/ETH, FI/USDT
ethusdt买一价 * fieth买一价 / fiusdt卖一价, 如果大于1很多，就存在套利空间
操作流程：usdt买fi，卖fi换回eth，卖eth换回usdt
fiusdt买一价 / fieth卖一价 / ethusdt卖一价, 如果大于1很多，就存在套利空间
操作流程为：usdt买eth，eht买fi，卖fi换回usdt
买一下标为2， 卖一下标为4"""
# time.sleep(sleepsecond)
amount = _s2amount
self_tickers = tickers
if len(self_tickers) == len(symbol_pairs):
taoli1 = self_tickers[sp3][2] * \
self_tickers[sp1][2] / self_tickers[sp2][4]
taoli2 = self_tickers[sp2][2] / \
self_tickers[sp1][4] / self_tickers[sp3][4]
if taoli1 > difference:
pricedf = {
sp3: self_tickers[sp3][2],
sp2: self_tickers[sp2][4],
sp1: self_tickers[sp1][2]
}
if is_use_amount:
if self_tickers[sp3][3] < halfs2 or self_tickers[sp2][
5] < halfs1 or self_tickers[sp1][3] < halfs1:
logging.debug('挂单量太小，本次无法套利 方式一')
return
logging.info("满足套利条件1 套利值为{:.4}‰".format(taoli1 * 1000 - 1000))
self.strategy(1, pricedf, amount)
logging.info("{}卖价：{} {}买价：{} {}卖价：{}".format(
sp1, pricedf[sp1], sp2, pricedf[sp2], sp3, pricedf[sp3]))
time.sleep(sleepsecond)
print("满足套利条件1 套利值为{:.4}‰".format(taoli1 * 1000 - 1000))
elif taoli2 > difference:
pricedf = {
sp3: self_tickers[sp3][4],
sp2: self_tickers[sp2][2],
sp1: self_tickers[sp1][4]
}
if is_use_amount:
if self_tickers[sp3][5] < halfs2 or self_tickers[sp2][
3] < halfs1 or self_tickers[sp1][5] < halfs1:
logging.debug('挂单量太小，本次无法套利 方式二')
return
logging.info("满足套利条件2 套利值比为{:.4}‰".format(taoli2 * 1000 -
1000))
self.strategy(2, pricedf, amount)
logging.info("{}买价：{} {}卖价：{} {}买价：{}".format(
sp1, pricedf[sp1], sp2, pricedf[sp2], sp3, pricedf[sp3]))
time.sleep(sleepsecond)
print("满足套利条件2 套利值比为{:.4}‰".format(taoli2 * 1000 - 1000))
else:
logging.debug('差价太小，本次无法套利 方式一{} 方式二{}'.format(taoli1, taoli2))
print('差价太小，本次无法套利 方式一{} 方式二{}'.format(taoli1, taoli2))
else:
time.sleep(sleepsecond)
return
if time.time() - self.time_last_call > heartbeat_interval:
self.time_last_call = time.time()
thread1 = threading.Thread(target=self.fcoin.get_server_time)
thread2 = threading.Thread(target=self.fcoin.get_server_time)
thread3 = threading.Thread(target=self.fcoin.get_server_time)
thread1.start()
thread2.start()
thread3.start()
def run(self):
self.symbols_action()
# self.get_balance_action(symbols)
balance.balance(symbols)
self.client = fcoin_client(self.on_close)
self.client.start()
self.client.subscribe_tickers(symbol_pairs, self.ticker_handler)
while True:
tickers = ticker_queue.get()
self.trade(tickers)
ticker_queue.queue.clear()
def on_close(self):
print("websocket closed, try to restart...")
time.sleep(sleepsecond)
self.client = fcoin_client(self.on_close)
self.client.start()
self.client.subscribe_tickers(symbol_pairs, self.ticker_handler)
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
class ArbitrageRobot(object):
"""docstring for Robot"""
def __init__(self):
self.fcoin = Fcoin(api_key, api_secret)
self.price_decimals = {}
self.amount_decimals = {}
self.tickers = {}
# 截取指定小数位数
def trunc(self, f, n):
# return round(f, n)
return math.floor(f * 10**n) / 10**n
def ticker_handler(self, message):
# print(message)
if 'ticker' in message:
symbol = message['type'].split('.')[1]
self.tickers[symbol] = message['ticker']
logging.debug("ticker: {}".format(message['ticker']))
else:
logging.debug("ticker message: {}".format(message))
def symbols_action(self):
all_symbols = self.fcoin.get_symbols()
for symbol in symbol_pairs:
for info in all_symbols:
if symbol == info['name']:
self.price_decimals[symbol] = int(info['price_decimal'])
self.amount_decimals[symbol] = int(info['amount_decimal'])
break
logging.info("price_decimals: {}".format(self.price_decimals))
# 买操作
def buy_action(self,
this_symbol,
this_price,
this_amount,
should_repeat=0):
this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount,
self.amount_decimals[this_symbol])
# ticker = self.tickers[this_symbol]
# print('准备买入', this_price, ticker)
buy_result = self.fcoin.buy(this_symbol, this_price, this_amount)
# print('buy_result is', buy_result)
buy_order_id = buy_result['data']
if buy_order_id:
lprint("买单 {} 价格成功委托, 订单ID {}".format(this_price, buy_order_id))
return buy_order_id
# 卖操作
def sell_action(self, this_symbol, this_price, this_amount):
this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount,
self.amount_decimals[this_symbol])
# ticker = self.tickers[this_symbol]
# print('准备卖出', this_price, ticker)
sell_result = self.fcoin.sell(this_symbol, this_price, this_amount)
# print('sell_result is: ', sell_result)
sell_order_id = sell_result['data']
if sell_order_id:
lprint("卖单 {} 价格成功委托, 订单ID {}".format(this_price, sell_order_id))
return sell_order_id
def strategy(self, type, pricedf, amount):
print('使用套利策略')
if type == 1:
usdtamount = amount * pricedf["ethusdt"]
ftamount = usdtamount / pricedf["ftusdt"]
self.sell_action("fteth", pricedf["fteth"], ftamount)
self.buy_action("ftusdt", pricedf["ftusdt"], ftamount)
self.sell_action("ethusdt", pricedf["ethusdt"], amount)
elif type == 2:
ftamount = amount / pricedf["fteth"]
self.buy_action("ethusdt", pricedf["ethusdt"], amount)
self.sell_action("ftusdt", pricedf["ftusdt"], ftamount)
self.buy_action("fteth", pricedf["fteth"], ftamount)
def trade(self):
"""套利策略，寻找一个三元pair，看是不是满足套利规则。
ETH/USDT, FT/ETH, FT/USDT
ethusdt买一价 * fteth买一价 / ftusdt卖一价, 如果大于1很多，就存在套利空间
操作流程：usdt买ft，卖ft换回eth，卖eth换回usdt
ftusdt买一价 / fteth卖一价 / ethusdt卖一价, 如果大于1很多，就存在套利空间
操作流程为：usdt买eth，eht买ft，卖ft换回usdt
买一下标为2， 卖一下标为4"""
time.sleep(second)
if len(self.tickers) == len(symbol_pairs):
info_df = pd.DataFrame(self.tickers).T
# 买一卖一的均价
info_df["price"] = (info_df[2] + info_df[4]) / 2
taoli1 = info_df.price["ethusdt"] * \
info_df.price["fteth"] / info_df.price["ftusdt"]
taoli2 = info_df.price["ftusdt"] / \
info_df.price["fteth"] / info_df.price["ethusdt"]
# print(taoli1, taoli2)
# 从eth开始交易
if taoli1 > difference:
self.strategy(1, info_df.price, ethamount)
lprint("满足套利条件1 套利值为{:.4}‰".format(taoli1 * 1000 - 1000))
lprint("ethusdt卖价：{} ftusdt买价：{} fteth卖价：{}".format(
info_df.price["ethusdt"], info_df.price["ftusdt"],
info_df.price["fteth"]))
elif taoli2 > difference:
self.strategy(2, info_df.price, ethamount)
lprint("满足套利条件2 套利值比为{:.4}‰".format(taoli2 * 1000 - 1000))
lprint("fteth买价：{} ftusdt卖价：{} ethusdt买价：{}".format(
info_df.price["fteth"], info_df.price["ftusdt"],
info_df.price["ethusdt"]))
else:
lprint('差价太小，本次无法套利 方式一{} 方式二{}'.format(taoli1, taoli2),
logging.DEBUG)
def run(self):
self.client = fcoin_client()
self.client.start()
self.client.subscribe_tickers(symbol_pairs, self.ticker_handler)
self.symbols_action()
# self.get_balance_action(symbols)
balance.balance()
while True:
self.trade()
class Robot(object):
"""docstring for Robot"""
def __init__(self):
self.fcoin = Fcoin(api_key, api_secret)
# self.ticker = []
self.time_since_last_call = 0
# 截取指定小数位数
def trunc(self, f, n):
# return round(f, n)
return math.floor(f * 10**n) / 10**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,
should_repeat=0):
# ticker = self.ticker
# print('准备买入', this_price, ticker)
buy_result = self.fcoin.buy(this_symbol,
self.trunc(this_price, self.price_decimal),
this_amount)
# print('buy_result is', buy_result)
buy_order_id = buy_result['data']
if buy_order_id:
lprint('买单{} 价格成功委托 订单ID{}'.format(this_price, buy_order_id))
return buy_order_id
# 卖操作
def sell_action(self, this_symbol, this_price, this_amount):
# ticker = self.ticker
# print('准备卖出', this_price, ticker)
sell_result = self.fcoin.sell(this_symbol, this_price, this_amount)
# print('sell_result is: ', sell_result)
sell_order_id = sell_result['data']
if sell_order_id:
lprint('卖单{} 价格成功委托 订单ID{}'.format(this_price, sell_order_id))
return sell_order_id
def strategy(self, symbol, order_price, amount, gap):
# print('使用单边震荡策略')
# lprint("start strategy", logging.DEBUG)
buy_price = self.trunc(order_price - gap, self.price_decimal)
sell_price = self.trunc(order_price + gap, self.price_decimal)
if is_multi_thread:
buy_thread = threading.Thread(target=self.buy_action,
args=(symbol, buy_price, amount))
sell_thread = threading.Thread(target=self.sell_action,
args=(symbol, sell_price, amount))
buy_thread.start()
sell_thread.start()
else:
self.buy_action(symbol, buy_price, amount)
self.sell_action(symbol, sell_price, amount)
def trade(self):
time.sleep(second)
ticker = self.ticker
# if len(ticker) == 0:
# return
# newest_price = ticker[0]
high_bids = ticker[2]
high_bids_amount = ticker[3]
low_ask = ticker[4]
low_ask_amount = ticker[5]
order_price = (low_ask + high_bids) / 2
real_price_difference = float(low_ask - high_bids)
if real_price_difference > price_difference:
gap = 0
if is_mutable_gap:
gap = real_price_difference / 3
elif is_using_gap:
gap = price_difference / 3
# print('现在价格:', newest_price, '挂单价格', order_price)
lprint('最低卖价: {} 最高买价: {} 当前差价:{:.9f} 买卖差价: {:.9f}'.format(
low_ask, high_bids, real_price_difference, gap * 2))
if is_mutable_amount:
trade_amount = min(high_bids_amount, low_ask_amount) / 2
if trade_amount > maxamount:
trade_amount = maxamount
if trade_amount < miniamount:
trade_amount = miniamount
trade_amount = self.trunc(trade_amount, self.amount_decimal)
self.strategy(symbol, order_price, trade_amount, gap)
else:
self.strategy(symbol, order_price, amount, gap)
self.time_since_last_call = 0
else:
print('最低卖价: {} 最高买价: {} 当前差价:{:.9f} 设定差价: {:.9f}'.format(
low_ask, high_bids, real_price_difference, price_difference))
print('差价太小，放弃本次成交')
self.time_since_last_call += second
if self.time_since_last_call > heartbeat_interval:
# inorder to keep-alive
if is_multi_thread:
buy_thread = threading.Thread(
target=self.fcoin.get_server_time)
sell_thread = threading.Thread(
target=self.fcoin.get_server_time)
buy_thread.start()
sell_thread.start()
else:
self.fcoin.get_server_time()
self.time_since_last_call = 0
def run(self):
self.client = fcoin_client(self.on_close)
# self.client = fcoin_client()
self.client.start()
self.client.subscribe_tickers([symbol], self.ticker_handler)
self.symbols_action()
# self.get_balance_action(symbols)
if not is_mutable_amount:
logging.info("交易标的:{} 每单交易量:{} {}".format(symbol, amount,
symbols[0]))
balance.balance()
while True:
self.trade()
def on_close(self):
print("websocket closed, try to restart...")
time.sleep(second)
# self.client = fcoin_client(self.on_close)
self.client.start()
self.client.subscribe_tickers([symbol], self.ticker_handler)
from fcoin import Fcoin
#if python3 use fcoin3
#from fcoin3 import Fcoin
fcoin = Fcoin()
print(fcoin.get_symbols())
print(fcoin.get_currencies())
fcoin.auth('you-key', 'you-secret')
print(fcoin.get_balance())
print(fcoin.buy('fteth', 0.0001, 10))
#print(fcoin.sell('fteth', 0.002, 5))
#print(fcoin.cancel_order('6TfBZ-eORp4_2nO5ar6zhg0gLLvuWzTTmL1OzOy9OYg='))
#print(fcoin.get_candle('M1','fteth'))
