async def create_order(self, action, price, quantity, *args, **kwargs):
""" Create an order.
Args:
action: Trade direction, BUY or SELL.
price: Price of each contract.
quantity: The buying or selling quantity.
Returns:
order_no: Order ID if created successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
if float(quantity) > 0:
if action == ORDER_ACTION_BUY:
trade_type = TRADE_TYPE_BUY_OPEN
else:
trade_type = TRADE_TYPE_SELL_CLOSE
else:
if action == ORDER_ACTION_BUY:
trade_type = TRADE_TYPE_BUY_CLOSE
else:
trade_type = TRADE_TYPE_SELL_OPEN
quantity = abs(float(quantity))
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
client_order_id = tools.get_uuid1().replace("-",
"")[:21] + str(trade_type)
result, error = await self._rest_api.create_order(
action, self._raw_symbol, price, quantity, client_order_id)
if error:
return None, error
order_no = "{}_{}".format(result["orderId"], result["clientOrderId"])
return order_no, None
async def create_order(self,
action,
price,
quantity,
order_type=ORDER_TYPE_LIMIT):
""" Create an order.
Args:
action: Trade direction, BUY or SELL.
price: Price of each contract.
quantity: The buying or selling quantity.
order_type: Limit order or market order, LIMIT or MARKET.
Returns:
order_no: Order ID if created successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
result, error = await self._rest_api.create_order(
action, self._raw_symbol, price, quantity)
if error:
return None, error
order_no = "{}_{}".format(result["orderId"], result["clientOrderId"])
return order_no, None
async def on_event_orderbook_update(self, orderbook: Orderbook):
""" 订单薄更新
"""
logger.debug("orderbook:", orderbook, caller=self)
ask1_price = float(orderbook.asks[0][0]) # 卖一价格
bid1_price = float(orderbook.bids[0][0]) # 买一价格
price = (ask1_price + bid1_price) / 2 # 为了方便，这里假设盘口价格为 卖一 和 买一 的平均值
# 判断是否需要撤单
if self.order_no:
if (self.create_order_price + 10 > price - 1) and (self.create_order_price + 10 < price + 1):
return
_, error = await self.trader.revoke_order(self.order_no)
if error:
logger.error("revoke order error! error:", error, caller=self)
return
self.order_no = None
logger.info("revoke order:", self.order_no, caller=self)
# 创建新订单
new_price = price + 10
quantity = "1" # 委托数量为1
action = ORDER_ACTION_BUY
new_price = tools.float_to_str(new_price) # 将价格转换为字符串，保持精度
quantity = tools.float_to_str(quantity) # 将数量转换为字符串，保持精度
order_no, error = await self.trader.create_order(action, new_price, quantity)
if error:
logger.error("create order error! error:", error, caller=self)
return
self.order_no = order_no
self.create_order_price = float(new_price)
logger.info("create new order:", order_no, caller=self)
async def create_order(self, action, price, quantity, order_type=ORDER_TYPE_LIMIT):
""" 创建订单
@param action 交易方向 BUY / SELL
@param price 委托价格
@param quantity 委托数量
@param order_type 委托类型 LIMIT / MARKET
"""
if action == ORDER_ACTION_BUY:
if order_type == ORDER_TYPE_LIMIT:
t = "buy-limit"
elif order_type == ORDER_TYPE_MARKET:
t = "buy-market"
else:
logger.error("order_type error! order_type:", order_type, caller=self)
return None, "order type error"
elif action == ORDER_ACTION_SELL:
if order_type == ORDER_TYPE_LIMIT:
t = "sell-limit"
elif order_type == ORDER_TYPE_MARKET:
t = "sell-market"
else:
logger.error("order_type error! order_type:", order_type, caller=self)
return None, "order type error"
else:
logger.error("action error! action:", action, caller=self)
return None, "action error"
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
result, error = await self._rest_api.create_order(self._raw_symbol, price, quantity, t)
return result, error
async def create_order(self, action, price, quantity, *args, **kwargs):
""" Create an order.
Args:
action: Trade direction, BUY or SELL.
price: Price of each contract.
quantity: The buying or selling quantity.
Returns:
order_no: Order ID if created successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
client_order_id = kwargs.get("client_order_id")
result, error = await self._rest_api.create_order(
action,
self._raw_symbol,
price,
quantity,
client_order_id=client_order_id)
if error:
return None, error
order_no = "{}_{}".format(result["orderId"], result["clientOrderId"])
return order_no, None
async def create_order(self, action, price, quantity, order_type=ORDER_TYPE_LIMIT, *args, **kwargs):
""" 创建订单
@param action 交易方向 BUY/SELL
@param price 委托价格
@param quantity 委托数量
@param order_type 委托类型 LIMIT / MARKET
"""
if action not in [ORDER_ACTION_BUY, ORDER_ACTION_SELL]:
return None, "action error"
if order_type not in [ORDER_TYPE_MARKET, ORDER_TYPE_LIMIT]:
return None, "order_type error"
# 创建订单
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
success, error = await self._rest_api.create_order(action, self._raw_symbol, price, quantity, order_type)
if error:
return None, error
order_no = str(success["orderNo"])
infos = {
"account": self._account,
"platform": self._platform,
"strategy": self._strategy,
"order_no": order_no,
"symbol": self._symbol,
"action": action,
"price": price,
"quantity": quantity,
"order_type": order_type
}
order = Order(**infos)
self._orders[order_no] = order
if self._order_update_callback:
SingleTask.run(self._order_update_callback, copy.copy(order))
return order_no, None
async def on_event_orderbook_update(self, orderbook: Orderbook):
""" 订单薄更新
"""
logger.debug("orderbook:", orderbook, caller=self)
bid3_price = orderbook.bids[2][0] # 买三价格
bid4_price = orderbook.bids[3][0] # 买四价格
# 判断是否需要撤单
if self.order_no:
if float(self.create_order_price) < float(bid3_price) or float(
self.create_order_price) > float(bid4_price):
return
_, error = await self.trader.revoke_order(self.order_no)
if error:
logger.error("revoke order error! error:", error, caller=self)
return
self.order_no = None
logger.info("revoke order:", self.order_no, caller=self)
# 创建新订单
new_price = (float(bid3_price) + float(bid4_price)) / 2
quantity = "0.1" # 假设委托数量为0.1
action = ORDER_ACTION_BUY
price = tools.float_to_str(new_price)
quantity = tools.float_to_str(quantity)
order_no, error = await self.trader.create_order(
action, price, quantity)
if error:
logger.error("create order error! error:", error, caller=self)
return
self.order_no = order_no
self.create_order_price = price
logger.info("create new order:", order_no, caller=self)
async def create_order(self,
symbol,
action,
price,
quantity,
order_type=ORDER_TYPE_LIMIT,
*args,
**kwargs):
""" Create an order.
Args:
symbol: Trade target
action: Trade direction, `BUY` or `SELL`.
price: Price of each contract.
quantity: The buying or selling quantity.
order_type: Order type, `MARKET` or `LIMIT`.
Returns:
order_no: Order ID if created successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
result, error = await self._rest_api.create_order(
action, symbol, price, quantity, order_type)
if error:
return None, error
if not result["result"]:
return None, result
return result["order_id"], None
async def on_event_orderbook_update(self, orderbook: Orderbook):
""" 订单薄更新
"""
#logger.debug("orderbook:", orderbook, caller=self)
ask1_price = float(orderbook.asks[0][0]) # 卖一价格
bid1_price = float(orderbook.bids[0][0]) # 买一价格
logger.debug("btc/busd :",
ask1_price,
bid1_price,
self.bsud_usdt_price,
caller=self)
if self.bsud_usdt_price == 0:
logger.debug("on_event_orderbook_update busd/usdt not get now")
return
self.highest_price = max(self.highest_price, ask1_price)
self.lowest_price = min(self.lowest_price, bid1_price)
if ask1_price < self.btc_busd_relative[
'bid0_relative'] and not self.buy_open_order_no:
logger.info("on_event_orderbook_update: Buy signal", bid1_price,
orderbook.bids[0][1])
self.buy_open_price = float(orderbook.asks[0][0])
quantity = self.buy_open_quantity
action = ORDER_ACTION_BUY
new_price = tools.float_to_str(self.buy_open_price)
logger.info('check :', action)
order_no, error = await self.trader.create_order(
action, new_price, quantity)
s = "buy bitcoin" + new_price
os.system('say ' + s)
if error:
logger.error("create order error! error:", error, caller=self)
return
self.buy_open_order_no = order_no
logger.info("create buy open order:", order_no, caller=self)
elif self.buy_open_order_no and not self.sell_close_order_no:
#止损
if ask1_price < self.buy_open_price * (1 - self.threshold) or \
(ask1_price < self.highest_price * (1 - self.threshold) and ask1_price > self.buy_open_price * (1 + self.threshold)):
price = bid1_price # 当前盘口价格，
new_price = tools.float_to_str(price) # 将价格转换为字符串，保持精度
order_no, error = await self.trader.create_order(
ORDER_ACTION_SELL, new_price, self.buy_open_quantity)
if error:
logger.error("create order error! error:",
error,
caller=self)
return
self.sell_close_order_no = order_no
logger.info("create sell close order:", order_no, caller=self)
elif self.sell_close_order_no:
logger.info("wait for sell close")
else:
logger.info("wait for better price")
async def create_order(self,
action,
price,
quantity,
order_type=ORDER_TYPE_LIMIT,
*args,
**kwargs):
""" Create an order.
Args:
action: Trade direction, BUY or SELL.
price: Price of order.
quantity: The buying or selling quantity.
order_type: order type, MARKET or LIMIT.
Returns:
order_no: Order ID if created successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
if action == ORDER_ACTION_BUY:
action_type = "buy"
elif action == ORDER_ACTION_SELL:
action_type = "sell"
else:
return None, "action error"
if order_type == ORDER_TYPE_MARKET:
order_type_2 = "market"
elif order_type == ORDER_TYPE_LIMIT:
order_type_2 = "limit"
else:
return None, "order_type error"
client_id = tools.get_uuid1()
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
success, error = await self._rest_api.create_order(
client_id, action_type, self._raw_symbol, order_type_2, price,
quantity)
if error:
return None, error
order_no = success["orderId"]
infos = {
"account": self._account,
"platform": self._platform,
"strategy": self._strategy,
"order_no": order_no,
"symbol": self._symbol,
"action": action,
"price": price,
"quantity": quantity,
"order_type": order_type
}
order = Order(**infos)
self._orders[order_no] = order
if self._order_update_callback:
SingleTask.run(self._order_update_callback, copy.copy(order))
return order_no, None
async def create_order(self, action, price, quantity, order_type=ORDER_TYPE_LIMIT):
""" 创建订单
@param action 交易方向 BUY/SELL
@param price 委托价格
@param quantity 委托数量
@param order_type 委托类型 LIMIT / MARKET
"""
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
result, error = await self._rest_api.create_order(action, self._raw_symbol, price, quantity, order_type)
if error:
return None, error
if not result["result"]:
return None, result
return result["order_id"], None
async def create_order(self,
action,
price,
quantity,
order_type=ORDER_TYPE_LIMIT,
*args,
**kwargs):
""" Create an order.
Args:
action: Trade direction, BUY or SELL.
price: Price of order.
quantity: The buying or selling quantity.
order_type: Order type, MARKET or LIMIT.
Returns:
order_no: Order ID if created successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
if action not in [ORDER_ACTION_BUY, ORDER_ACTION_SELL]:
return None, "action error"
if order_type not in [ORDER_TYPE_MARKET, ORDER_TYPE_LIMIT]:
return None, "order_type error"
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
success, error = await self._rest_api.create_order(
action, self._raw_symbol, price, quantity, order_type)
if error:
return None, error
order_no = str(success["orderNo"])
infos = {
"account": self._account,
"platform": self._platform,
"strategy": self._strategy,
"order_no": order_no,
"symbol": self._symbol,
"action": action,
"price": price,
"quantity": quantity,
"order_type": order_type
}
order = Order(**infos)
self._orders[order_no] = order
if self._order_update_callback:
SingleTask.run(self._order_update_callback, copy.copy(order))
return order_no, None
async def create_order(self,
action,
price,
quantity,
order_type=ORDER_TYPE_LIMIT,
account_type='margin',
exchange='main'):
""" 创建订单
@param action 交易方向 BUY/SELL
@param price 委托价格
@param quantity 委托数量
@param order_type 委托类型 LIMIT / MARKET
"""
if order_type == ORDER_TYPE_LIMIT and price:
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
result, error = await self._rest_api.create_order(
action, self._raw_symbol, price, quantity, order_type,
account_type, exchange)
if error:
return None, error
if result['status'] != 0:
return None, result
order_id = result["data"]
# 创建订单成功后，将订单存下来
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_id,
"action": action,
"symbol": self._symbol,
"price": price, # 字符串
"quantity": quantity,
"remain": quantity,
"status": ORDER_STATUS_SUBMITTED,
"avg_price": price,
'order_type': order_type
}
order = Order(**info)
self._orders[order_id] = order
return order_id, None
async def create_order(self,
action,
price,
quantity,
order_type=ORDER_TYPE_LIMIT):
""" 创建订单
@param action 交易方向 BUY/SELL
@param price 委托价格
@param quantity 委托数量
@param order_type 委托类型 LIMIT / MARKET
"""
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
result, error = await self._rest_api.create_order(
action, self._raw_symbol, price, quantity)
if error:
return None, error
order_no = "{}_{}".format(result["orderId"], result["clientOrderId"])
return order_no, None
async def on_ticker(self, *args, **kwargs):
""" 系统循环回调，每秒钟执行一次
"""
logger.info("do ticker ...", caller=self)
if self.sell_close_time_down > 0:
self.sell_close_time_down -= 1
if self.sell_close_time_down <= 0:
price = self.current_price - 2 # 当前盘口价格再减去2，尽量保证可以快速成交
new_price = tools.float_to_str(price) # 将价格转换为字符串，保持精度
order_no, error = await self.trader.create_order(ORDER_ACTION_SELL, new_price, self.buy_open_quantity)
if error:
logger.error("create order error! error:", error, caller=self)
return
logger.info("create sell close order:", order_no, caller=self)
async def on_event_orderbook_update(self, orderbook: Orderbook):
""" 订单薄更新
"""
logger.debug("orderbook:", orderbook, caller=self)
ask1_price = float(orderbook.asks[0][0]) # 卖一价格
bid1_price = float(orderbook.bids[0][0]) # 买一价格
self.current_price = (ask1_price + bid1_price) / 2 # 为了方便，这里假设盘口价格为 卖一 和 买一 的平均值
# 如果没有挂单，那么执行挂单
if not self.buy_open_order_no:
price = self.current_price - 10
quantity = self.buy_open_quantity
action = ORDER_ACTION_BUY
new_price = tools.float_to_str(price) # 将价格转换为字符串，保持精度
order_no, error = await self.trader.create_order(action, new_price, quantity)
if error:
logger.error("create order error! error:", error, caller=self)
return
self.buy_open_order_no = order_no
logger.info("create buy open order:", order_no, caller=self)
async def start_orders(self, actions, callback):
logger.info('start orders...', actions)
# self.actions = [['BTC/BUSD', 'Buy', self.six_price[4], amount_usdt / self.six_price[2] / self.six_price[1]],
# ['BTC/USDT', 'Sell', self.six_price[3], amount_usdt / self.six_price[3]],
# ['BUSD/USDT', 'Buy', self.six_price[0], amount_usdt / self.six_price[1]]]
# 先交易第个
for action in actions:
symbol = action[0]
side = action[1]
new_price = tools.float_to_str(action[2])
decimal_places = 2 if symbol == "BUSD/USDT" else 6
quantity = tools.round2(action[3], decimal_places)
logger.info('order: ', symbol, new_price, quantity)
order_no, error = await self.trader[symbol].create_order(side, new_price, quantity)
if error:
logger.error("create order error! error:", error, caller=self)
break
logger.info("create sell close order:", order_no, caller=self)
await asyncio.sleep(0.01)
if callback:
SingleTask.run(callback, order_no)
async def create_order(self,
action,
price,
quantity,
order_type=ORDER_TYPE_LMT):
""" 创建委托单
@param action 操作类型 BUY买/SELL卖
@param price 委托价格
@param quantity 委托数量
@param order_type 委托单类型 LMT限价单/MKT市价单
"""
if action not in [ORDER_ACTION_BUY, ORDER_ACTION_SELL]:
logger.error('action error! action:', action, caller=self)
return
if order_type not in [ORDER_TYPE_MKT, ORDER_TYPE_LMT]:
logger.error('order_type error! order_type:',
order_type,
caller=self)
return
# 创建订单
price = tools.float_to_str(price)
quantity = tools.float_to_str(quantity)
params = {
"symbol": self._raw_symbol,
"action": action,
"price": price,
"quantity": quantity,
"order_type": order_type
}
success, result = await self._request.do_request(
Request.CREATE_ORDER, params)
if not success:
logger.error('create order error! strategy:',
self._strategy,
'symbol:',
self._symbol,
'action:',
action,
'price:',
price,
'quantity:',
quantity,
'order_type:',
order_type,
caller=self)
return None
order_no = result["order_no"]
infos = {
'platform': self._platform,
'account': self._account,
'strategy': self._strategy,
'order_no': order_no,
'symbol': self._symbol,
'action': action,
'price': price,
'quantity': quantity,
'order_type': order_type
}
order = Order(**infos)
# 增加订单到订单列表
self._add_order(order)
# 数据库里创建新订单记录
# await self._order_db.create_new_order(order)
logger.info('order:', order, caller=self)
return order_no
