def __connect(self, wsURL):
'''Connect to the websocket in a thread.'''
self.logger.debug("Starting thread")
ssl_defaults = ssl.get_default_verify_paths()
sslopt_ca_certs = {'ca_certs': ssl_defaults.cafile}
self.ws = websocket.WebSocketApp(wsURL,
on_message=self.__on_message,
on_close=self.__on_close,
on_open=self.__on_open,
on_error=self.__on_error,
header=self.__get_auth()
)
setup_custom_logger('websocket', log_level=settings.LOG_LEVEL)
self.wst = threading.Thread(target=lambda: self.ws.run_forever(sslopt=sslopt_ca_certs))
self.wst.daemon = True
self.wst.start()
self.logger.info("Started thread")
# Wait for connect before continuing
conn_timeout = 5
while (not self.ws.sock or not self.ws.sock.connected) and conn_timeout and not self._error:
sleep(1)
conn_timeout -= 1
if not conn_timeout or self._error:
self.logger.error("Couldn't connect to WS! Exiting.")
tg_send_important_message("Couldn't connect to WS! Exiting.")
self.exit()
sys.exit(1)
def send_tg_message(self):
now = datetime.datetime.now()
mybalance = '%.6f' % XBt_to_XBT(self.start_XBt)
message = 'BitMEX交易状态\n' + \
'时间：' + now.astimezone(datetime.timezone(datetime.timedelta(hours=8))).strftime('%Y-%m-%d %H:%M:%S') + '\n' + \
'保证金余额：' + mybalance + '\n' + \
'合约数量：' + str(self.running_qty) + '\n' + \
'开仓价格：' + str(self.exchange.get_position()['avgCostPrice']) + '\n' + \
'风险等级：' + str(self.position_grade) + '\n' + \
'最新价格：' + str(self.get_ticker()['last']) + '\n' + \
'指数价格：' + str(self.exchange.get_portfolio()['XBTUSD']['markPrice']) + '\n' + \
'今日盈利：' + '%.6f' % (float(mybalance) - self.yesterday_balance) + '\n' + \
'作日盈利：' + '%.6f' % (self.yesterday_balance - self.before_yesterday_balance)
tg_send_message(message)
if self.position_grade > 4:
tg_send_important_message(message)
def write_mybalance(self):
now = datetime.datetime.now()
mybalance = '%.6f' % XBt_to_XBT(self.start_XBt)
with open(r'/root/mybalance2.txt', 'a') as f:
f.write(now.strftime('%Y-%m-%d %H:%M:%S') + ' ' + mybalance + '\n')
message = 'BitMEX今日交易统计' + ACCOUNT_NAME + '\n' + \
'时间：' + now.strftime('%Y-%m-%d %H:%M:%S') + '\n' + \
'保证金余额：' + mybalance + '\n' + \
'合约数量：' + str(self.running_qty) + '\n' + \
'开仓价格：' + str(self.exchange.get_position()['avgCostPrice']) + '\n' + \
'最新价格：' + str(self.get_ticker()['last']) + '\n' + \
'指数价格：' + str(self.exchange.get_portfolio()['XBTUSD']['markPrice']) + '\n' + \
'今日盈利：' + '%.6f' % (float(mybalance) - self.yesterday_balance) + '\n' + \
'作日盈利：' + '%.6f' % (self.yesterday_balance - self.before_yesterday_balance)
tg_send_important_message(message)
self.before_yesterday_balance = self.yesterday_balance
self.yesterday_balance = float(mybalance)
def exit(self):
logger.info("Shutting down. All open orders will be cancelled.")
now = datetime.datetime.now()
message = 'BitMEX交易机器人2异常退出\n' + \
'时间：' + now.astimezone(datetime.timezone(datetime.timedelta(hours=8))).strftime('%Y-%m-%d %H:%M:%S') + '\n' + \
'合约数量：' + str(self.running_qty) + '\n' + \
'开仓价格：' + str(self.exchange.get_position()['avgCostPrice']) + '\n' + \
'最新价格：' + str(self.get_ticker()['last']) + '\n' + \
'指数价格：' + str(self.exchange.get_portfolio()['XBTUSD']['markPrice'])
tg_send_important_message(message)
try:
self.exchange.cancel_all_orders()
self.exchange.bitmex.exit()
except errors.AuthenticationError as e:
logger.info("Was not authenticated; could not cancel orders.")
except Exception as e:
logger.info("Unable to cancel orders: %s" % e)
sys.exit()
def place_orders(self):
"""Create order items for use in convergence."""
buy_orders = []
sell_orders = []
buy_stop_order = {}
sell_stop_order = {}
order_status = 0
"""order_status参数说明
0: running_qty为0, 维持原样
1: self.running_qty > 0, 买卖都变化, 买单按照offset2, 卖单按照offset3
2: 买单维持不变, 卖单按照offset3
3: self.running_qty < 0, 买卖都变化, 买单按照offset3, 卖单按照offset2
4: 卖单维持不变, 买单按照offset3
5: 追加指定订单
6: 取消指定订单
7: self.running_qty > 0, 买单按照offset2, 卖单不变
8: self.running_qty < 0, 买单不变, 卖单按照offset2
9: self.running_qty > 0, 买单维持不变, 卖单变化, 不追加
10: self.running_qty < 0, 卖单维持不变, 买单变化, 不追加
11: 订单变化, 不可追加
"""
# Create orders from the outside in. This is intentional - let's say the inner order gets taken;
# then we match orders from the outside in, ensuring the fewest number of orders are amended and only
# a new order is created in the inside. If we did it inside-out, all orders would be amended
# down and a new order would be created at the outside.
avgCostPrice = self.exchange.get_position()['avgCostPrice']
print ('running_qty: %s ' % self.running_qty)
print ('ORDER_START_SIZE: %s ' % self.ORDER_START_SIZE)
print ('wave_coefficient: %s ' % self.get_wave_coefficient())
self.mode_number = self.select_mode()
print ('select_mode: %s ' % self.mode_number)
schedule.run_pending()
if(((self.get_ticker()['last'] - self.get_MA20()) > 100) and self.running_qty == 0 and self.stop_market_maker_flag == False):
self.stop_market_maker_flag = True
if (len(self.exchange.get_orders()) != 0):
self.exchange.cancel_all_orders()
tg_send_important_message('超涨模式大于100，暂停交易')
self.stop_price_flag = True
elif(self.get_ticker()['last'] < (self.stop_order_price+50) and self.running_qty == 0 and self.stop_market_maker_flag == False):
self.stop_market_maker_flag = True
if (len(self.exchange.get_orders()) != 0):
self.exchange.cancel_all_orders()
tg_send_important_message('触发止损，暂停交易')
self.stop_price_flag = True
elif(self.stop_market_maker_flag == True and self.cancel_all_orders_flag == True):
if (len(self.exchange.get_orders()) != 0):
self.exchange.cancel_all_orders()
logger.info("Cancel all orders")
elif(self.stop_market_maker_flag == True and self.clear_position_flag == True):
if(self.running_qty != 0):
self.clear_position(buy_orders, sell_orders)
else:
if (len(self.exchange.get_orders()) != 0):
self.exchange.cancel_all_orders()
logger.info("Market_maker has stopped. No orders, no positions now")
elif(self.stop_market_maker_flag == True):
if(self.running_qty > 0):
if avgCostPrice != None:
sell_stop_order = self.prepare_stop_order(math.toNearest(avgCostPrice - STOP_SIZE, self.instrument['tickSize']), "Sell", abs(self.running_qty))
order_status = 4
elif(self.running_qty < 0):
if avgCostPrice != None:
buy_stop_order = self.prepare_stop_order(math.toNearest(avgCostPrice + STOP_SIZE, self.instrument['tickSize']), "Buy", abs(self.running_qty))
order_status = 2
elif(self.running_qty == 0 and self.last_running_qty == 0):
if(self.stop_price_flag == True):
pass
elif (len(self.exchange.get_orders()) != 0):
self.exchange.cancel_all_orders()
logger.info("Market_maker has stopped. No orders, no positions now")
elif(self.running_qty == 0 and self.restart_flag == False):
self.ORDER_START_SIZE = self.start_XBt // 100000 * START_SIZE_MAGNIFICATION #新算法, 每次初始交易重新设定ORDER_START_SIZE
order_status = 0
if not(self.sell_only_flag == True):
buy_orders.append(self.prepare_order(-1, order_status))
if not(self.buy_only_flag == True):
sell_orders.append(self.prepare_order(1, order_status))
self.restart_flag = True
self.countdown_restart = 5
if(self.change_order_flag == True and self.last_mode_number2 == self.mode_number):
order_status = 11
self.change_order_flag = True
if(self.last_running_qty > 0):
tg_send_message_alias('最后成交价格：%s' % self.last_sell_orders[0]['price'])
elif(self.last_running_qty < 0):
tg_send_message_alias('最后成交价格：%s' % self.last_buy_orders[0]['price'])
self.countdown_180 = 180
elif(self.running_qty == 0 and self.restart_flag == True):
self.countdown_restart = self.countdown_restart - 1
if(self.countdown_restart <= 0):
self.restart_flag = False
return
elif(self.running_qty != 0 and self.last_running_qty == 0):
if(self.running_qty > 0):
order_status = 2
sell_orders.append(self.prepare_order(1, order_status))
if avgCostPrice != None:
sell_stop_order = self.prepare_stop_order(math.toNearest(avgCostPrice - STOP_SIZE, self.instrument['tickSize']), "Sell", abs(self.running_qty))
elif(self.running_qty < 0):
order_status = 4
buy_orders.append(self.prepare_order(-1, order_status))
if avgCostPrice != None:
buy_stop_order = self.prepare_stop_order(math.toNearest(avgCostPrice + STOP_SIZE, self.instrument['tickSize']), "Buy", abs(self.running_qty))
self.restart_flag = False
self.change_order_flag = False
elif(self.running_qty != 0 and self.running_qty == self.last_running_qty and self.delay_order_check == True and False): #可以重新挂非清仓方向的价格, 目前只有一级仓位，所以不需要
i = abs(self.running_qty) // (self.ORDER_START_SIZE) + 1
if(self.running_qty > 0):
order_status = 7
if(i <= 1):
buy_orders.append(self.prepare_order(-i, order_status))
if(self.running_qty < 0):
order_status = 8
if(i <= 1):
sell_orders.append(self.prepare_order(i, order_status))
self.cycleclock = 30
self.delay_order_check = False
else:
if(self.running_qty > 0):
if(self.running_qty != self.ORDER_START_SIZE): #部分成交, 不操作等待全部成交
return
if(self.reset == True):
order_status = 0
else:
if(self.countdown_180 > 0):
self.countdown_180 = self.countdown_180 - 1
return
else:
self.countdown_180 = 180
order_status = 9
sell_orders.append(self.prepare_order(1, order_status))
if(self.buy_only_flag == True): #仅挂买单的场合, 成交后平仓的卖单价格不降低
if(sell_orders[0]['price'] < self.last_sell_orders[0]['price']):
return
if avgCostPrice != None:
sell_stop_order = self.prepare_stop_order(math.toNearest(avgCostPrice - STOP_SIZE, self.instrument['tickSize']), "Sell", abs(self.running_qty))
elif(self.running_qty < 0):
if(abs(self.running_qty) != self.ORDER_START_SIZE): #部分成交, 不操作等待全部成交
return
if(self.reset == True):
order_status = 0
else:
if(self.countdown_180 > 0):
self.countdown_180 = self.countdown_180 - 1
return
else:
self.countdown_180 = 180
order_status = 10
buy_orders.append(self.prepare_order(-1, order_status))
if avgCostPrice != None:
buy_stop_order = self.prepare_stop_order(math.toNearest(avgCostPrice + STOP_SIZE, self.instrument['tickSize']), "Buy", abs(self.running_qty))
if(self.last_running_qty != self.running_qty):
self.send_tg_message()
self.last_running_qty = self.running_qty
self.last_mode_number2 = self.last_mode_number
self.reset = False
buy_orders = list(filter(None.__ne__, buy_orders)) #去除None
sell_orders = list(filter(None.__ne__, sell_orders)) #去除None
print(buy_orders)
print(sell_orders)
if((self.last_buy_orders == buy_orders and self.last_sell_orders == sell_orders) or (buy_orders == [] and sell_orders == [])):
print('order no change, return')
return
else:
self.last_buy_orders = buy_orders
self.last_sell_orders = sell_orders
self.converge_stop_order(buy_stop_order, sell_stop_order)
return self.converge_orders(buy_orders, sell_orders, order_status)
