def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, moreless
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts) >= 60:
last_5min_macd_ts = int(ts)
print(ts, last_5min_macd_ts)
if more == 0 and less == 0 and moreless == 0:
ret = futureAPI.get_specific_position(time_type)
print(ret)
if len(ret["holding"]) > 0:
buy_available = int(ret["holding"][0]["long_avail_qty"])
sell_available = int(ret["holding"][0]["short_avail_qty"])
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
print("确认未持仓")
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
# price_5m_ago = cal_price_ago(deque_5m)
# print("price_5m_ago: %.4f" % price_5m_ago)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
# price_5m_ago_change = cal_rate(latest_price, price_5m_ago)
if more == 1:
# 盈利中，放宽卖出条件，盈利最大化
if latest_price > buy_price:
if price_1m_change <= -0.1 and price_5m_change <= 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
if price_1m_change <= -0.2 or price_5m_change <= 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
elif less == 1:
# 盈利中，放宽卖出条件，盈利最大化
if latest_price < buy_price:
if price_1m_change >= 0.1 and price_5m_change >= 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
if price_1m_change >= 0.2 or price_5m_change >= 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
if price_1m_change >= 0.2 and price_5m_change >= 0.3:
btc_change = coin_recent_change_rate("btc")
eth_change = coin_recent_change_rate("eth")
print('btc_change: %.2f%%, eth change: %.2f%%' %
(btc_change, eth_change))
write_lines.append(
'btc_change: %.2f%%, eth change: %.2f%% \r\n' %
(btc_change, eth_change))
if btc_change >= 0.5 and eth_change >= 0.5:
if buyin_more(futureAPI, coin.name, time_type,
latest_price + 0.01):
more = 1
thread.start_new_thread(ensure_buyin_more, (
futureAPI,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_1m_change <= -0.2 and price_5m_change <= -0.3:
btc_change = coin_recent_change_rate("btc")
eth_change = coin_recent_change_rate("eth")
print('btc_change: %.2f%%, eth change: %.2f%%' %
(btc_change, eth_change))
write_lines.append(
'btc_change: %.2f%%, eth change: %.2f%% \r\n' %
(btc_change, eth_change))
if btc_change <= -0.6 and eth_change <= -0.6:
if buyin_less(futureAPI, coin.name, time_type,
latest_price - 0.01):
less = 1
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
last_avg_price = latest_price
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_5m_change)
write_info = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, buy_price, more, less, write_lines, last_5min_macd_ts, \
btc_30s_change, eth_30s_change, ltc_30s_change, etc_30s_change, eos_30s_change, xrp_30s_change, \
btc_5min_change, eth_5min_change, ltc_5min_change, etc_5min_change, eos_5min_change, xrp_5min_change
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
try:
if int(ts) - int(last_5min_macd_ts) >= 60:
last_5min_macd_ts = int(ts)
print(ts, last_5min_macd_ts)
if more == 0 and less == 0:
ret = futureAPI.get_specific_position(time_type)
print(ret)
if len(ret["holding"]) > 0:
buy_available = int(ret["holding"][0]["long_avail_qty"])
sell_available = int(ret["holding"][0]["short_avail_qty"])
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
else:
print("确认未持仓")
each_message = jmessage[0]
channel = each_message['channel']
jdata = each_message['data'][0]
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], latest_price,
round(float(jdata[2]), 3), ts, jdata[4])
if channel == 'ok_sub_spot_btc_usdt_deals':
coin_btc.process_entity(deal_entity, ts)
btc_30s_change = cal_rate(coin_btc.get_avg_price_3s(),
coin_btc.get_avg_price_60s())
btc_5min_change = cal_rate(coin_btc.get_avg_price_3s(),
coin_btc.get_avg_price_5min())
coin_change_info = 'btc 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
btc_30s_change, btc_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_etc_usdt_deals':
coin_etc.process_entity(deal_entity, ts)
etc_30s_change = cal_rate(coin_etc.get_avg_price_3s(),
coin_etc.get_avg_price_60s())
etc_5min_change = cal_rate(coin_etc.get_avg_price_3s(),
coin_etc.get_avg_price_5min())
coin_change_info = 'etc 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
etc_30s_change, etc_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_ltc_usdt_deals':
coin_ltc.process_entity(deal_entity, ts)
ltc_30s_change = cal_rate(coin_ltc.get_avg_price_3s(),
coin_ltc.get_avg_price_60s())
ltc_5min_change = cal_rate(coin_ltc.get_avg_price_3s(),
coin_ltc.get_avg_price_5min())
coin_change_info = 'ltc 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
ltc_30s_change, ltc_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_eos_usdt_deals':
coin_eos.process_entity(deal_entity, ts)
eos_30s_change = cal_rate(coin_eos.get_avg_price_3s(),
coin_eos.get_avg_price_60s())
eos_5min_change = cal_rate(coin_eos.get_avg_price_3s(),
coin_eos.get_avg_price_5min())
coin_change_info = 'eos 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
eos_30s_change, eos_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_eth_usdt_deals':
coin_eth.process_entity(deal_entity, ts)
eth_30s_change = cal_rate(coin_eth.get_avg_price_3s(),
coin_eth.get_avg_price_60s())
eth_5min_change = cal_rate(coin_eth.get_avg_price_3s(),
coin_eth.get_avg_price_5min())
coin_change_info = 'eth 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
eth_30s_change, eth_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
elif channel == 'ok_sub_spot_xrp_usdt_deals':
coin_xrp.process_entity(deal_entity, ts)
xrp_30s_change = cal_rate(coin_xrp.get_avg_price_3s(),
coin_xrp.get_avg_price_60s())
xrp_5min_change = cal_rate(coin_xrp.get_avg_price_3s(),
coin_xrp.get_avg_price_5min())
coin_change_info = 'xrp 30s change: %.3f%%, 5min change: %.3f%%\r\n' % (
xrp_30s_change, xrp_5min_change)
write_lines.append(coin_change_info)
print(coin_change_info)
prices_30s = [
btc_30s_change, eth_30s_change, ltc_30s_change, etc_30s_change,
eos_30s_change, xrp_30s_change
]
prices_5min = [
btc_5min_change, eth_5min_change, ltc_5min_change, etc_5min_change,
eos_5min_change, xrp_5min_change
]
weights = [0.2, 0.15, 0.15, 0.15, 0.2, 0.15]
weighted_30s_change = cal_weighted(prices_30s, weights)
weighted_5min_change = cal_weighted(prices_5min, weights)
if more == 1:
if weighted_30s_change < -0.2 or weighted_5min_change < 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
elif less == 1:
if weighted_30s_change > 0.2 or weighted_5min_change > 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
buy_price,
))
elif more == 0 and weighted_30s_change > 0.2 and weighted_5min_change > 0.3:
if buyin_more(futureAPI, coin_eos.name, time_type):
more = 1
thread.start_new_thread(ensure_buyin_more, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif less == 0 and weighted_30s_change < -0.2 and weighted_5min_change < -0.3:
if buyin_less(futureAPI, coin_eos.name, time_type):
less = 1
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin_eos.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
rate_info = u'weighted 30s_rate: %.3f%%, 5min_rate: %.3f%%' % (
weighted_30s_change, weighted_5min_change)
write_info = rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(rate_info + u', ' + now_time)
except Exception as e:
print(repr(e))
traceback.print_exc()