class BinanceFutureTrader(object): def __init__(self): """ the binance future trader, 币安合约交易的网格交易, the grid trading in Future will endure a lot of risk, use it before you understand the risk and grid strategy. 网格交易在合约上会有很大的风险,请注意风险 """ self.http_client = BinanceFutureHttp(api_key=config.api_key, secret=config.api_secret, proxy_host=config.proxy_host, proxy_port=config.proxy_port) self.buy_orders = [] # 买单. buy orders self.sell_orders = [] # 卖单. sell orders self.symbols_dict = {} # all the symbols exchange info and filters. def get_exchange_info(self): data = self.http_client.exchangeInfo() if isinstance(data, dict): items = data.get('symbols', []) for item in items: if item.get('status') == "TRADING": symbol = item['symbol'] symbol_data = {"symbol": symbol} for filters in item['filters']: if filters['filterType'] == 'PRICE_FILTER': symbol_data['min_price'] = float( filters['tickSize']) elif filters['filterType'] == 'LOT_SIZE': symbol_data['min_qty'] = float(filters['stepSize']) elif filters['filterType'] == 'MIN_NOTIONAL': symbol_data['min_notional'] = float( filters['notional']) self.symbols_dict[symbol] = symbol_data # print(len(self.symbols),self.symbols) # 129 个交易对. def get_bid_ask_price(self): ticker = self.http_client.get_ticker(config.symbol) bid_price = 0 ask_price = 0 if ticker: bid_price = float(ticker.get('bidPrice', 0)) ask_price = float(ticker.get('askPrice', 0)) return bid_price, ask_price def start(self): """ 执行核心逻辑,网格交易的逻辑. the grid trading logic :return: """ symbol_data = self.symbols_dict.get(config.symbol, None) if symbol_data is None: self.get_exchange_info() symbol_data = self.symbols_dict.get(config.symbol, None) if symbol_data is None: return None min_price = symbol_data.get('min_price', 0) min_qty = symbol_data.get('min_qty', 0) if min_price <= 0 and min_qty <= 0: return None bid_price, ask_price = self.get_bid_ask_price() print( f"bid_price: {bid_price}, ask_price: {ask_price}, time: {datetime.now()}" ) quantity = round_to(float(config.quantity), float(min_qty)) self.buy_orders.sort(key=lambda x: float(x['price']), reverse=True) # 最高价到最低价. self.sell_orders.sort(key=lambda x: float(x['price']), reverse=True) # 最高价到最低价. buy_delete_orders = [] # 需要删除买单 sell_delete_orders = [] # 需要删除的卖单 # 买单逻辑,检查成交的情况. for buy_order in self.buy_orders: check_order = self.http_client.get_order( buy_order.get('symbol', config.symbol), client_order_id=buy_order.get('clientOrderId')) if check_order: if check_order.get('status') == OrderStatus.CANCELED.value: buy_delete_orders.append(buy_order) print( f"buy order was canceled: {check_order.get('status')}, time: {datetime.now()}" ) elif check_order.get('status') == OrderStatus.FILLED.value: # 买单成交,挂卖单. print(f"buy order was filled, time: {datetime.now()}") logging.info( f"buy order was filled, price: {check_order.get('price')}, qty: {check_order.get('origQty')}, time: {datetime.now()}" ) sell_price = round_to( float(check_order.get("price")) * (1 + float(config.gap_percent)), min_price) if 0 < sell_price < ask_price: # 防止价格 sell_price = round_to(ask_price, float(min_price)) new_sell_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=sell_price) if new_sell_order: print( f"buy order was filled and place the sell order: {new_sell_order}, time: {datetime.now()}" ) buy_delete_orders.append(buy_order) self.sell_orders.append(new_sell_order) buy_price = round_to( float(check_order.get("price")) * (1 - float(config.gap_percent)), min_price) if buy_price > bid_price > 0: buy_price = round_to(buy_price, min_price) new_buy_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=buy_price) if new_buy_order: print( f"买单成交,下了更低价的买单: {new_buy_order}, 时间: {datetime.now()}" ) self.buy_orders.append(new_buy_order) elif check_order.get('status') == OrderStatus.NEW.value: print(f"buy order status is: New , time: {datetime.now()}") else: print( f"buy order status is not above options: {check_order.get('status')}, time: {datetime.now()}" ) # 过期或者拒绝的订单删除掉. for delete_order in buy_delete_orders: self.buy_orders.remove(delete_order) # 卖单逻辑, 检查卖单成交情况. for sell_order in self.sell_orders: check_order = self.http_client.get_order( sell_order.get('symbol', config.symbol), client_order_id=sell_order.get('clientOrderId')) if check_order: if check_order.get('status') == OrderStatus.CANCELED.value: sell_delete_orders.append(sell_order) print( f"sell order was canceled: {check_order.get('status')}, time: {datetime.now()}" ) elif check_order.get('status') == OrderStatus.FILLED.value: logging.info( f"sell order was filled, price: {check_order.get('price')}, qty: {check_order.get('origQty')}, time:: {datetime.now()}" ) # 卖单成交,先下买单. buy_price = round_to( float(check_order.get("price")) * (1 - float(config.gap_percent)), min_price) if buy_price > bid_price > 0: buy_price = round_to(buy_price, min_price) new_buy_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=buy_price) if new_buy_order: print( f"sell order was filled, place buy order: {new_buy_order}, time: {datetime.now()}" ) sell_delete_orders.append(sell_order) self.buy_orders.append(new_buy_order) sell_price = round_to( float(check_order.get("price")) * (1 + float(config.gap_percent)), min_price) if 0 < sell_price < ask_price: # 防止价格 sell_price = round_to(ask_price, min_price) new_sell_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=sell_price) if new_sell_order: print( f"卖单成交,下了更高价的卖单: {new_sell_order},time: {datetime.now()}" ) self.sell_orders.append(new_sell_order) elif check_order.get('status') == OrderStatus.NEW.value: print(f"sell order is: New, time: {datetime.now()}") else: print( f"sell order status is not in above options: {check_order.get('status')}, 时间: {datetime.now()}" ) # 过期或者拒绝的订单删除掉. for delete_order in sell_delete_orders: self.sell_orders.remove(delete_order) # 没有买单的时候. if len(self.buy_orders) <= 0: if bid_price > 0: price = round_to(bid_price * (1 - float(config.gap_percent)), min_price) buy_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=price) print(f'没有买单,根据盘口下买单: {buy_order}, time: {datetime.now()}') if buy_order: self.buy_orders.append(buy_order) else: self.buy_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_orders = [] for i in range(len(self.buy_orders) - 1): order = self.buy_orders[i] next_order = self.buy_orders[i + 1] if float(next_order['price']) / float( order['price']) - 1 < 0.001: print( f"买单之间价差太小,撤销订单:{next_order}, time: {datetime.now()}") cancel_order = self.http_client.cancel_order( next_order.get('symbol'), client_order_id=next_order.get('clientOrderId')) if cancel_order: delete_orders.append(next_order) for order in delete_orders: self.buy_orders.remove(order) if len(self.buy_orders) > int(config.max_orders): # 最多允许的挂单数量. # 订单数量比较多的时候. self.buy_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_order = self.buy_orders[0] print(f"订单太多了,撤销最低价的买单:{delete_order}, time: {datetime.now()}") order = self.http_client.cancel_order( delete_order.get('symbol'), client_order_id=delete_order.get('clientOrderId')) if order: self.buy_orders.remove(delete_order) # 没有卖单的时候. if len(self.sell_orders) <= 0: if ask_price > 0: price = round_to(ask_price * (1 + float(config.gap_percent)), float(min_price)) sell_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=price) print(f'没有卖单,根据盘口下卖单:{sell_order} , time: {datetime.now()}') if sell_order: self.sell_orders.append(sell_order) else: self.sell_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_orders = [] for i in range(len(self.sell_orders) - 1): order = self.sell_orders[i] next_order = self.sell_orders[i + 1] if float(next_order['price']) / float( order['price']) - 1 < 0.001: print( f"卖单之间价差太小,撤销订单:{next_order}, time: {datetime.now()}") cancel_order = self.http_client.cancel_order( next_order.get('symbol'), client_order_id=next_order.get('clientOrderId')) if cancel_order: delete_orders.append(next_order) for order in delete_orders: self.sell_orders.remove(order) if len(self.sell_orders) > int(config.max_orders): # 最多允许的挂单数量. # 订单数量比较多的时候. self.sell_orders.sort(key=lambda x: x['price'], reverse=True) # 最高价到最低价 delete_order = self.sell_orders[0] print(f"订单太多了,撤销最高价的卖单:{delete_order}, time:{datetime.now()}") order = self.http_client.cancel_order( delete_order.get('symbol'), client_order_id=delete_order.get('clientOrderId')) if order: self.sell_orders.remove(delete_order)
class BinanceFutureTrader(object): def __init__(self): """ the binance future trader, 币安合约交易的网格交易, the grid trading in Future will endure a lot of risk, use it before you understand the risk and grid strategy. 网格交易在合约上会有很大的风险,请注意风险 """ self.http_client = BinanceFutureHttp(api_key=config.api_key, secret=config.api_secret, proxy_host=config.proxy_host, proxy_port=config.proxy_port) self.buy_orders = [] # 买单. buy orders self.sell_orders = [] # 卖单. sell orders def get_bid_ask_price(self): ticker = self.http_client.get_ticker(config.symbol) bid_price = 0 ask_price = 0 if ticker: bid_price = float(ticker.get('bidPrice', 0)) ask_price = float(ticker.get('askPrice', 0)) return bid_price, ask_price def grid_trader(self): """ 执行核心逻辑,网格交易的逻辑. the grid trading logic :return: """ bid_price, ask_price = self.get_bid_ask_price() print( f"bid_price: {bid_price}, ask_price: {ask_price}, time: {datetime.now()}" ) quantity = round_to(float(config.quantity), float(config.min_qty)) self.buy_orders.sort(key=lambda x: float(x['price']), reverse=True) # 最高价到最低价. self.sell_orders.sort(key=lambda x: float(x['price']), reverse=True) # 最高价到最低价. buy_delete_orders = [] # 需要删除买单 sell_delete_orders = [] # 需要删除的卖单 # 买单逻辑,检查成交的情况. for buy_order in self.buy_orders: check_order = self.http_client.get_order( buy_order.get('symbol', config.symbol), client_order_id=buy_order.get('clientOrderId')) if check_order: if check_order.get('status') == OrderStatus.CANCELED.value: buy_delete_orders.append(buy_order) print( f"buy order status was canceled: {check_order.get('status')}, time: {datetime.now()}" ) elif check_order.get('status') == OrderStatus.FILLED.value: # 买单成交,挂卖单. print(f"买单成交了, 时间: {datetime.now()}") logging.info( f"买单成交时间: {datetime.now()}, 价格: {check_order.get('price')}, 数量: {check_order.get('origQty')}" ) sell_price = round_to( float(check_order.get("price")) * (1 + float(config.gap_percent)), float(config.min_price)) if 0 < sell_price < ask_price: # 防止价格 sell_price = round_to(ask_price, float(config.min_price)) new_sell_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=sell_price) if new_sell_order: print( f"买单成交,下了对应价格的卖单: {new_sell_order}, 时间: {datetime.now()}" ) buy_delete_orders.append(buy_order) self.sell_orders.append(new_sell_order) buy_price = round_to( float(check_order.get("price")) * (1 - float(config.gap_percent)), config.min_price) if buy_price > bid_price > 0: buy_price = round_to(buy_price, float(config.min_price)) new_buy_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=buy_price) if new_buy_order: print( f"买单成交,下了更低价的买单: {new_buy_order}, 时间: {datetime.now()}" ) self.buy_orders.append(new_buy_order) elif check_order.get('status') == OrderStatus.NEW.value: print(f"buy order status is: New , 时间: {datetime.now()}") else: print( f"buy order status is not above options: {check_order.get('status')}, 时间: {datetime.now()}" ) # 过期或者拒绝的订单删除掉. for delete_order in buy_delete_orders: self.buy_orders.remove(delete_order) # 卖单逻辑, 检查卖单成交情况. for sell_order in self.sell_orders: check_order = self.http_client.get_order( sell_order.get('symbol', config.symbol), client_order_id=sell_order.get('clientOrderId')) if check_order: if check_order.get('status') == OrderStatus.CANCELED.value: sell_delete_orders.append(sell_order) print( f"sell order status was canceled: {check_order.get('status')}, 时间: {datetime.now()}" ) elif check_order.get('status') == OrderStatus.FILLED.value: print(f"卖单成交了, 时间: {datetime.now()}") logging.info( f"卖单成交时间: {datetime.now()}, 价格: {check_order.get('price')}, 数量: {check_order.get('origQty')}" ) # 卖单成交,先下买单. buy_price = round_to( float(check_order.get("price")) * (1 - float(config.gap_percent)), float(config.min_price)) if buy_price > bid_price > 0: buy_price = round_to(buy_price, float(config.min_price)) new_buy_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=buy_price) if new_buy_order: print( f"卖单成交,下了对应价格的买单: {new_buy_order}, 时间: {datetime.now()}" ) sell_delete_orders.append(sell_order) self.buy_orders.append(new_buy_order) sell_price = round_to( float(check_order.get("price")) * (1 + float(config.gap_percent)), float(config.min_price)) if 0 < sell_price < ask_price: # 防止价格 sell_price = round_to(ask_price, float(config.min_price)) new_sell_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=sell_price) if new_sell_order: print( f"卖单成交,下了更高价的卖单: {new_sell_order}, 时间: {datetime.now()}" ) self.sell_orders.append(new_sell_order) elif check_order.get('status') == OrderStatus.NEW.value: print(f"sell order status is: New, 时间: {datetime.now()}") else: print( f"sell order status is not in above options: {check_order.get('status')}, 时间: {datetime.now()}" ) # 过期或者拒绝的订单删除掉. for delete_order in sell_delete_orders: self.sell_orders.remove(delete_order) # 没有买单的时候. if len(self.buy_orders) <= 0: if bid_price > 0: price = round_to(bid_price * (1 - float(config.gap_percent)), float(config.min_price)) buy_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=price) print(f'没有买单,根据盘口下买单: {buy_order}, 时间: {datetime.now()}') if buy_order: self.buy_orders.append(buy_order) else: self.buy_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_orders = [] for i in range(len(self.buy_orders) - 1): order = self.buy_orders[i] next_order = self.buy_orders[i + 1] if float(next_order['price']) / float( order['price']) - 1 < 0.001: print(f"买单之间价差太小,撤销订单:{next_order}, 时间: {datetime.now()}") cancel_order = self.http_client.cancel_order( next_order.get('symbol'), client_order_id=next_order.get('clientOrderId')) if cancel_order: delete_orders.append(next_order) for order in delete_orders: self.buy_orders.remove(order) if len(self.buy_orders) > int(config.max_orders): # 最多允许的挂单数量. # 订单数量比较多的时候. self.buy_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_order = self.buy_orders[0] print(f"订单太多了,撤销最低价的买单:{delete_order}, 时间: {datetime.now()}") order = self.http_client.cancel_order( delete_order.get('symbol'), client_order_id=delete_order.get('clientOrderId')) if order: self.buy_orders.remove(delete_order) # 没有卖单的时候. if len(self.sell_orders) <= 0: if ask_price > 0: price = round_to(ask_price * (1 + float(config.gap_percent)), float(config.min_price)) sell_order = self.http_client.place_order( symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=price) print(f'没有卖单,根据盘口下卖单:{sell_order} , 时间: {datetime.now()}') if sell_order: self.sell_orders.append(sell_order) else: self.sell_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_orders = [] for i in range(len(self.sell_orders) - 1): order = self.sell_orders[i] next_order = self.sell_orders[i + 1] if float(next_order['price']) / float( order['price']) - 1 < 0.001: print(f"卖单之间价差太小,撤销订单:{next_order}, 时间: {datetime.now()}") cancel_order = self.http_client.cancel_order( next_order.get('symbol'), client_order_id=next_order.get('clientOrderId')) if cancel_order: delete_orders.append(next_order) for order in delete_orders: self.sell_orders.remove(order) if len(self.sell_orders) > int(config.max_orders): # 最多允许的挂单数量. # 订单数量比较多的时候. self.sell_orders.sort(key=lambda x: x['price'], reverse=True) # 最高价到最低价 delete_order = self.sell_orders[0] print(f"订单太多了,撤销最高价的卖单:{delete_order}, 时间:{datetime.now()}") order = self.http_client.cancel_order( delete_order.get('symbol'), client_order_id=delete_order.get('clientOrderId')) if order: self.sell_orders.remove(delete_order)