def __build_kline(self, contract_id, quot):
last_price = self.__get_last_price(quot)
if last_price != 0.0:
qty = self.__get_qty(contract_id)
#买单
buy_order = Order()
buy_order.contract_id = contract_id
buy_order.side = 1
buy_order.price = to_decimal(float(last_price),
price_precision_dic[contract_id])
buy_order.quantity = qty
#卖单
sell_order = Order()
sell_order.contract_id = contract_id
sell_order.side = -1
sell_order.price = to_decimal(float(last_price),
price_precision_dic[contract_id])
sell_order.quantity = qty
flag = random.randint(1, 4)
if flag % 2 == 0:
if False == self.__send_order(buy_order):
return False
if False == self.__send_order(sell_order):
return False
else:
if False == self.__send_order(sell_order):
return False
if False == self.__send_order(buy_order):
return False
return True
def __init_levels(self):
for contract_id in self.levels_params:
while True:
if contract_id in golbal_quot_book:
break
quot = Quot()
quot_lock.acquire()
quot = copy.deepcopy(golbal_quot_book[contract_id])
quot_lock.release()
# 全部撤单
self.__cancel_all_order(contract_id)
# 初始档位
level_param = self.levels_params[contract_id]
for side in [1, -1]:
order = Order()
order.contract_id = contract_id
order.side = side
for level in range(level_param.max_level):
if order.side == 1:
if len(quot.bid_price
) != 0 and quot.bid_price[0] != 0.0:
bid_price = quot.bid_price[0]
else:
bid_price = level_param.bid_price
price = bid_price - random.uniform(
level_param.step_price[0],
level_param.step_price[1])
order.price = to_decimal(
price, price_precision_dic[contract_id])
else:
if len(quot.ask_price
) != 0 and quot.ask_price[0] != 0.0:
ask_price = quot.ask_price[0]
else:
ask_price = level_param.ask_price
price = ask_price + random.uniform(
level_param.step_price[0],
level_param.step_price[1])
order.price = to_decimal(
price, price_precision_dic[contract_id])
flag = random.randint(1, 4)
if flag % 2 == 0:
coeff = 1.0 + random.uniform(1 / (level + 1), 1)
else:
coeff = 1.0 - random.uniform(1 / (level + 1), 1)
min_qty = level_param.step_qty[0] * coeff + qty_size_dic[
contract_id]
max_qty = level_param.step_qty[1] * coeff + qty_size_dic[
contract_id]
qty = random.uniform(min_qty, max_qty)
order.quantity = to_decimal(qty,
qty_precision_dic[contract_id])
self.__send_order(order)
def __get_order_price(self, side, level_param, quot):
if side == 1:
bid_price = 0.0
if len(quot.bid_price) != 0:
bid_price = quot.bid_price[0]
if bid_price == 0.0:
bid_price = quot.last_price
if bid_price == 0.0:
bid_price = level_param.bid_price
price = bid_price - random.uniform(level_param.step_price[0],
level_param.step_price[1])
return to_decimal(price, price_precision_dic[quot.contract_id])
else:
ask_price = 0.0
if len(quot.ask_price) != 0:
ask_price = quot.bid_price[0]
if ask_price == 0.0:
ask_price = quot.last_price
if ask_price == 0.0:
ask_price = level_param.ask_price
price = ask_price + random.uniform(level_param.step_price[0],
level_param.step_price[1])
return to_decimal(price, price_precision_dic[quot.contract_id])
def __rebuild_levels(self, contract_id, level_param, quot):
# 全部撤单后补单
self.__cancel_all_order(contract_id)
for side in [1, -1]:
order = Order()
order.contract_id = contract_id
order.side = side
for level in range(level_param.max_level):
order.price = self.__get_order_price(side, level_param, quot)
flag = random.randint(1, 4)
if flag % 2 == 0:
coeff = 1.0 + random.uniform(1 / (level + 1), 1)
else:
coeff = 1.0 - random.uniform(1 / (level + 1), 1)
min_qty = level_param.step_qty[0] * coeff
max_qty = level_param.step_qty[1] * coeff
qty = random.uniform(min_qty, max_qty)
order.quantity = to_decimal(qty,
qty_precision_dic[contract_id])
self.__send_order(order)
def __get_qty(self, contract_id):
line_param = self.lines_params[contract_id]
if line_param.next_time <= time.time():
min_qty = round(
random.uniform(line_param.min_qty[0], line_param.min_qty[1]),
qty_precision_dic[contract_id])
max_qty = round(
random.uniform(line_param.max_qty[0], line_param.max_qty[1]),
qty_precision_dic[contract_id])
line_param.period = random.randint(line_param.step_perid[0],
line_param.step_perid[1])
flag = random.randint(1, 4)
if flag % 2 == 0:
step_period = (1.0 + 0.382) * random.randint(
line_param.step_perid[0], line_param.step_perid[1])
else:
step_period = (1.0 - 0.382) * random.randint(
line_param.step_perid[0], line_param.step_perid[1])
line_param.next_time = time.time() + step_period
line_param.scope_qty.append(min_qty + qty_size_dic[contract_id])
line_param.scope_qty.append(max_qty + qty_size_dic[contract_id])
return to_decimal(
random.uniform(line_param.scope_qty[0], line_param.scope_qty[1]),
qty_precision_dic[contract_id])
TRADE_SERVER_URL = 'tcp://xmu-centos7:20050'
#TRADE_SERVER_URL = 'tcp://118.24.201.203:20060'
variety_vs_symbol = {1: 'btcusdt'}
price_precision = {1: 2}
if __name__ == '__main__':
context = zmq.Context()
socket = context.socket(zmq.DEALER)
socket.connect(TRADE_SERVER_URL)
py2json = {}
py2json['message_type'] = 5008
py2json['appl_id'] = 2
py2json['commodity_id'] = 2
py2json['currency_id'] = 7
py2json['index_price'] = to_decimal(6400)
# py2json['index_price'] = to_decimal(5252.4)
# py2json['index_price'] = to_decimal(5169.1)
# py2json['index_price'] = to_decimal(5169.1)
# py2json['index_price'] = to_decimal(6099.2)
# py2json['index_price'] = to_decimal(5946.2)
# py2json['index_price'] = to_decimal(7381)
py2json['funding_basis'] = '0'
py2json['market_id'] = ''
str_json = json.dumps(py2json).encode('utf-8')
print(str_json)
socket.send(str_json)
ret = socket.recv()
print(ret)
#py2json['type'] = 1
#py2json['forbid_trade'] = 0
#py2json['taker_fee_ratio'] = to_decimal(0.002)
#py2json['maker_fee_ratio'] = to_decimal(0.001)
#str_json = json.dumps(py2json).encode('utf-8')
#print(str_json)
#send_msg(str_json)
# 转账
py2json = {}
py2json['message_type'] = 4005
py2json['account_id'] = 13
py2json['currency_id'] = 7
py2json['from_appl_id'] = 5
py2json['to_appl_id'] = 1
py2json['quantity'] = to_decimal(555)
py2json['id'] = 1540727468003
str_json = json.dumps(py2json).encode('utf-8')
#print(str_json)
send_msg(str_json)
## 批量转账
#last_id = int(time.time())
#while True:
# py2json = {}
# py2json['message_type'] = 1001
# py2json['appl_id'] = 1
# py2json['contract_id'] = 1
# py2json['account_id'] = 6
# py2json['client_order_id'] = str(time.strftime('%H:%M:%S.000'))
# py2json['side'] = 1
def run(self):
context = zmq.Context()
socket = context.socket(zmq.REQ)
socket.connect("tcp://localhost:20050")
logger.debug('Market Maker is Ready')
pre_quot = {}
cancel_orders = {}
while True:
for symbol in contract_id_dic:
quot_lock.acquire()
quot = Quot()
if symbol in golbal_quot_book:
quot = copy.deepcopy(golbal_quot_book[symbol])
# logger.debug(quot.to_string())
quot_lock.release()
if symbol not in pre_quot:
empty = Quot()
pre_quot[symbol] = empty
change = quot.get_change(pre_quot[symbol])
pre_quot[symbol] = copy.deepcopy(quot)
order_list = []
for key in change:
#print(key, change[key])
contract_id = contract_id_dic[quot.symbol]
if key == 1:
qty = round(random.uniform(0.01, 0.02), 4)
# print(quot.to_string())
#买单
buy_order = Order()
buy_order.contract_id = contract_id
buy_order.side = 1
buy_order.price = to_decimal(
float(quot.last_price),
price_precision_dic[contract_id])
buy_order.quantity = to_decimal(
qty, qty_precision_dic[contract_id])
#卖单
sell_order = Order()
sell_order.contract_id = contract_id
sell_order.side = -1
sell_order.price = to_decimal(
float(quot.last_price),
price_precision_dic[contract_id])
sell_order.quantity = to_decimal(
qty, qty_precision_dic[contract_id])
flag = random.randint(0, 3)
if flag % 2 == 0:
order_list.append(
(contract_id, buy_order.to_json()))
order_list.append(
(contract_id, sell_order.to_json()))
else:
order_list.append(
(contract_id, sell_order.to_json()))
order_list.append(
(contract_id, buy_order.to_json()))
elif key == 2:
#买单
levels = change[2]
for i in range(0, len(levels)):
order = Order()
order.contract_id = contract_id
order.side = 1
order.price = to_decimal(
float(quot.bid_price[levels[i]]),
price_precision_dic[contract_id])
order.quantity = to_decimal(
float(quot.bid_qty[levels[i]]),
qty_precision_dic[contract_id])
#order_list.append((order.contract_id, order.to_json()))
elif key == 3:
#卖单
levels = change[3]
for i in range(0, len(levels)):
order = Order()
order.contract_id = contract_id
order.side = -1
order.price = to_decimal(
float(quot.ask_price[levels[i]]),
price_precision_dic[contract_id])
order.quantity = to_decimal(
float(quot.ask_qty[levels[i]]),
qty_precision_dic[contract_id])
#order_list.append((order.contract_id, order.to_json()))
# 报单
pre_cancel_list = []
if quot.symbol in cancel_orders:
pre_cancel_list = copy.deepcopy(cancel_orders[quot.symbol])
cancel_orders[quot.symbol].clear()
for i in range(0, len(order_list)):
# logger.debug(order_list[i][1])
socket.send(order_list[i][1])
ret = socket.recv()
data = json.loads(ret.decode('utf-8'))
# logger.debug(data)
if quot.symbol not in cancel_orders:
orders = []
cancel_orders[quot.symbol] = orders
cancel_orders[quot.symbol].append(
(data['msg'], order_list[i][0]))
# 撤掉上一轮报单
for i in range(0, len(pre_cancel_list)):
py2json = {}
py2json['message_type'] = 1003
py2json['appl_id'] = 1
py2json['account_id'] = 6
py2json['contract_id'] = pre_cancel_list[i][1]
py2json['original_order_id'] = pre_cancel_list[i][0]
cancel_order = json.dumps(py2json).encode('utf-8')
# logger.debug(cancel_order)
socket.send(cancel_order)
socket.recv()
wait_sec = random.randint(1, 3)
time.sleep(wait_sec)
def run(self):
# 读取参数
csv_reader = csv.reader(open("conf_levels.csv"))
for row in csv_reader:
level_param = LevelParam()
level_param.contract_id = int(row[0])
level_param.max_level = int(row[1])
level_param.bid_price = float(row[2])
level_param.ask_price = float(row[3])
level_param.step_price.append(float(row[4]))
level_param.step_price.append(float(row[5]))
level_param.step_qty.append(float(row[6]))
level_param.step_qty.append(float(row[7]))
self.levels_params[level_param.contract_id] = level_param
csv_reader = csv.reader(open("conf_lines.csv"))
for row in csv_reader:
line_param = LineParam()
line_param.contract_id = int(row[0])
line_param.rate = float(row[1])
line_param.step_perid.append(int(row[2]))
line_param.step_perid.append(int(row[3]))
line_param.min_qty.append(int(row[4]))
line_param.min_qty.append(int(row[5]))
line_param.max_qty.append(int(row[6]))
line_param.max_qty.append(int(row[7]))
self.lines_params[line_param.contract_id] = line_param
# 初始档位
self.__init_levels()
fill_levels_time = {}
build_next_time = {}
cancel_next_time = {}
while True:
for contract_id in contract_id_dic:
if contract_id not in golbal_quot_book:
continue
if contract_id not in self.levels_params:
continue
quot = Quot()
quot_lock.acquire()
quot = copy.deepcopy(golbal_quot_book[contract_id])
quot_lock.release()
# 构造K线
if contract_id not in build_next_time:
build_next_time[contract_id] = 0
if build_next_time[contract_id] < time.time():
if False == self.__build_kline(contract_id, quot):
self.__rebuild_levels(contract_id, level_param, quot)
build_next_time[contract_id] = time.time(
) + random.randint(45, 90)
# 补单
if contract_id not in fill_levels_time:
fill_levels_time[contract_id] = (0, 0)
if quot.time != fill_levels_time[contract_id][
0] and fill_levels_time[contract_id][1] < time.time():
fill_levels_time[contract_id] = (quot.time, time.time() +
random.randint(15, 60))
level_param = self.levels_params[contract_id]
if len(quot.bid_price) < level_param.max_level:
level_num = level_param.max_level - len(quot.bid_price)
order = Order()
order.contract_id = contract_id
order.side = 1
for level in range(level_num):
order.price = self.__get_order_price(
1, level_param, quot)
order.quantity = self.__get_qty(contract_id)
self.__send_order(order)
if len(quot.ask_price) < level_param.max_level:
level_num = level_param.max_level - len(quot.ask_price)
order = Order()
order.contract_id = contract_id
order.side = -1
for level in range(level_num):
order.price = self.__get_order_price(
1, level_param, quot)
order.quantity = self.__get_qty(contract_id)
self.__send_order(order)
# 随机撤单
if contract_id not in cancel_next_time:
cancel_next_time[contract_id] = 0
if cancel_next_time[contract_id] < time.time():
cancel_next_time[contract_id] = time.time(
) + random.randint(15, 60)
if contract_id in self.orders:
cancel_orders = []
for i in range(random.randint(3, 8)):
while True:
if len(self.orders[contract_id]) - 1 == 0:
idx = 0
else:
idx = random.randint(
0,
len(self.orders[contract_id]) - 1)
cancel_order = self.orders[contract_id][idx]
py2json = {}
py2json['message_type'] = 1003
py2json['appl_id'] = 1
py2json['account_id'] = ROBOT_USER_ID
py2json['contract_id'] = contract_id
cancel_orders.append(cancel_order)
del self.orders[contract_id][idx]
if True == self.__cancel_order(
contract_id, cancel_order[2]):
break
level = 0
for cancel_order in cancel_orders:
order = Order()
order.contract_id = contract_id
order.side = cancel_order[1]
order.price = self.__get_order_price(
order.side, level_param, quot)
flag = random.randint(1, 4)
if flag % 2 == 0:
coeff = 1.0 + random.uniform(
1 / (level + 1), 1)
else:
coeff = 1.0 - random.uniform(
1 / (level + 1), 1)
level = level + 1
min_qty = level_param.step_qty[
0] * coeff + qty_precision_dic[contract_id]
max_qty = level_param.step_qty[
1] * coeff + qty_precision_dic[contract_id]
qty = random.uniform(min_qty, max_qty)
order.quantity = to_decimal(
qty, qty_precision_dic[contract_id])
self.__send_order(order)
time.sleep(1)
#py2json['appl_id'] = 2
#py2json['contract_id'] = 100
#py2json['account_id'] = 6
#py2json['margin'] = to_decimal(-1)
#str_json = json.dumps(py2json).encode('utf-8')
###print(str_json)
#send_msg(str_json)
py2json = {}
py2json['message_type'] = 1001
py2json['appl_id'] = 2
py2json['contract_id'] = 100
py2json['account_id'] = 6
py2json['client_order_id'] = str(time.strftime('%H:%M:%S.000'))
py2json['side'] = 1
py2json['price'] = to_decimal(6400)
py2json['quantity'] = to_decimal(80)
py2json['order_type'] = 1
py2json['time_in_force'] = 1
py2json['position_effect'] = 1
#py2json['margin_type'] = 2
#py2json['margin_rate'] = to_decimal(0.05)
py2json['margin_type'] = 1
py2json['margin_rate'] = "0"
str_json = json.dumps(py2json).encode('utf-8')
#print(str_json)
send_msg(str_json)
py2json = {}
py2json['message_type'] = 1001
py2json['appl_id'] = 2
def run(self):
context = zmq.Context()
socket = context.socket(zmq.REQ)
socket.connect(TRADE_FRONT_URL)
# 全部撤单
for user_id in contract_vs_user:
py2json = {}
py2json['message_type'] = 1003
py2json['appl_id'] = 1
py2json['account_id'] = contract_vs_user[user_id]
py2json['contract_id'] = 0
cancel_order = json.dumps(py2json).encode('utf-8')
socket.send(cancel_order)
socket.recv()
pre_quot = {}
cancel_orders = {}
while True:
for symbol in contract_id_dic:
contract_id = 0
quot_lock.acquire()
quot = Quot()
if symbol in golbal_quot_book:
quot = copy.deepcopy(golbal_quot_book[symbol])
contract_id = quot.contract_id
# logger.debug(quot.to_string())
quot_lock.release()
if symbol not in pre_quot:
empty = Quot()
pre_quot[symbol] = empty
# 构造K线
if contract_id != 0:
exquot = Quot()
exquot_lock.acquire()
if contract_id in golbal_exquot_book:
exquot = copy.deepcopy(golbal_exquot_book[contract_id])
exquot_lock.release()
last_price = self.__get_last_price(exquot, quot)
if last_price != 0.0:
qty = float(quot.last_qty) * random.uniform(
0.001, 0.01)
if qty < qty_size_dic[contract_id]:
qty = qty_size_dic[contract_id] * random.randint(
5, 10)
qty = to_decimal(float(qty),
qty_precision_dic[contract_id])
#买单
buy_order = Order(contract_id)
buy_order.side = 1
buy_order.price = to_decimal(
float(last_price),
price_precision_dic[contract_id])
buy_order.quantity = qty
# print(buy_order.to_json())
#卖单
sell_order = Order(contract_id)
sell_order.side = -1
sell_order.price = to_decimal(
float(last_price),
price_precision_dic[contract_id])
sell_order.quantity = qty
# print(sell_order.to_json())
flag = random.randint(1, 4)
if flag % 2 == 0:
self.__send_order(socket, buy_order)
self.__send_order(socket, sell_order)
else:
self.__send_order(socket, sell_order)
self.__send_order(socket, buy_order)
# 构造价格档位
change = quot.get_change(pre_quot[symbol])
pre_quot[symbol] = copy.deepcopy(quot)
order_list = []
for key in change:
if key == 2:
#买单
levels = change[2]
for i in range(0, len(levels)):
order = Order(contract_id)
order.side = 1
order_price = get_price(quot.bid_price[levels[i]],
-1, self.level_adj_rate)
order.price = to_decimal(
order_price, price_precision_dic[contract_id])
order_qty = self.__get_order_qty(i)
order.quantity = to_decimal(
order_qty, qty_precision_dic[contract_id])
order_list.append(
(order.contract_id, order.to_json()))
elif key == 3:
#卖单
levels = change[3]
for i in range(0, len(levels)):
order = Order(contract_id)
order.side = -1
order_price = get_price(quot.ask_price[levels[i]],
1, self.level_adj_rate)
order.price = to_decimal(
order_price, price_precision_dic[contract_id])
order_qty = self.__get_order_qty(i)
order.quantity = to_decimal(
order_qty, qty_precision_dic[contract_id])
order_list.append(
(order.contract_id, order.to_json()))
# 报单
pre_cancel_list = []
if quot.symbol in cancel_orders:
pre_cancel_list = copy.deepcopy(cancel_orders[quot.symbol])
cancel_orders[quot.symbol].clear()
for i in range(0, len(order_list)):
# logger.debug(order_list[i][1])
socket.send(order_list[i][1])
ret = socket.recv()
data = json.loads(ret.decode('utf-8'))
# logger.debug(data)
if 0 == data['code']:
if quot.symbol not in cancel_orders:
orders = []
cancel_orders[quot.symbol] = orders
cancel_orders[quot.symbol].append(
(data['msg'], order_list[i][0]))
else:
logger.debug('LevelMaker')
logger.debug(order_list[i][1])
logger.debug(data)
# 撤掉上一轮报单
for i in range(0, len(pre_cancel_list)):
contract_id = pre_cancel_list[i][1]
py2json = {}
py2json['message_type'] = 1003
py2json['appl_id'] = 1
py2json['account_id'] = contract_vs_user[contract_id]
py2json['contract_id'] = contract_id
py2json['original_order_id'] = pre_cancel_list[i][0]
cancel_order = json.dumps(py2json).encode('utf-8')
# logger.debug(cancel_order)
socket.send(cancel_order)
ret = socket.recv()
data = json.loads(ret.decode('utf-8'))
# if 0 != data['code']:
# logger.debug(data)
wait_sec = random.randint(3, 6)
time.sleep(wait_sec)
