def calc_unit(self):
global pre_time, highest, lowest, position_unit, N
# 计算n, 头寸
account = futureAPI.get_coin_account(self.coin_name)
manage_assets = float(account['total_avail_balance'])
ticker = futureAPI.get_specific_ticker(self.instrument_id)
last = float(ticker['last'])
self.volume_24 = int(int(ticker['volume_24h']) * 10 / last)
symbol = self.coin_name + "_usd"
contract_type = "quarter"
df = get_future_Nval(okFuture, symbol, contract_type, time_gap, 200)
N = list(df['N'])[-1]
position_unit = min(manage_assets * 0.01 / N,
manage_assets / last * 0.95)
highest = list(df['highest'])[-1]
lowest = list(df['lowest'])[-1]
print("价格波动N=%.4f, unit=%.4f" % (N, position_unit))
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, moreless, lessmore, \
lessless, moremore, deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, highest, \
lowest, vol_24h, new_macd, last_1min_ts, random_times
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_1min_ts) >= 5:
coin_list = ["etc", "btc", "eth", "eos", "ltc", "xrp"]
weight_list = [0.15, 0.35, 0.15, 0.15, 0.1, 0.1]
last_1min_ts = int(ts)
rate_list = coin_avg_price_change(coin_list, 1)
all_coins_1min_price_change = float(
np.sum([
rate_list[i] * weight_list[i] for i in range(len(coin_list))
]))
avg_info = ''
for i in range(len(coin_list)):
avg_info += coin_list[i] + ': ' + str(rate_list[i]) + ' '
avg_info += 'avg: %.3f, time: %s\r\n' % (all_coins_1min_price_change,
timestamp2string(ts))
print(avg_info)
write_lines.append(avg_info)
if all_coins_1min_price_change < -0.6 and lessless == 0 and moremore == 0:
for i in range(random_times):
if random.random() >= 0.9:
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)
if ind_1min.ask_vol > 2 * ind_1min.bid_vol and ind_10s.ask_vol > 5 * ind_10s.bid_vol \
and price_10s_change < 0 and price_1m_change < -0.1 and price_5m_change < -0.3 \
and ind_1min.vol > 8 * vol_24h:
if buyin_less(okFuture, coin.name, time_type,
latest_price - 0.01):
lessless = 1
thread.start_new_thread(ensure_buyin_less, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price - 0.01
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')
break
random_times *= 2
elif all_coins_1min_price_change > 0.6 and lessless == 0 and moremore == 0:
for i in range(random_times):
if random.random() >= 0.9:
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_5m_change = cal_rate(avg_3s_price, avg_5m_price)
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
if ind_5m.ask_vol < ind_5m.bid_vol and ind_3m.ask_vol < ind_3m.bid_vol \
and 2 * ind_1min.ask_vol < ind_1min.bid_vol and 5 * ind_10s.ask_vol < ind_10s.bid_vol \
and price_10s_change > 0 and price_1m_change > 0.1 and price_5m_change > 0.3 \
and ind_1min > 8 * vol_24h:
if buyin_more(okFuture, coin.name, time_type,
latest_price + 0.01):
moremore = 1
thread.start_new_thread(ensure_buyin_more, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price + 0.01
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')
break
random_times *= 2
else:
random_times = 1
if int(ts) - int(last_5min_macd_ts) >= 180:
last_5min_macd_ts = int(ts)
ticker = futureAPI.get_specific_ticker(coin.get_future_instrument_id())
vol_24h = int(
int(ticker['volume_24h']) * 10 / 24 / 60 / float(ticker['last']))
symbol = coin.name + "_usd"
contract_type = "quarter"
df = get_future_Nval(okFuture, symbol, contract_type, "15min", 200, 16)
highest = list(df['highest'])[-1]
lowest = list(df['lowest'])[-1]
df = get_macd(okFuture, coin.name + "_usd", "quarter", "5min", 300)
diff = list(df['diff'])
dea = list(df['dea'])
new_macd = 2 * (diff[-1] - dea[-1])
if more == 0 and less == 0 and lessmore == 0 and moreless == 0 and lessless == 0 and moremore == 0:
ret = json.loads(
okFuture.future_position_4fix(coin.name + "_usd", "quarter",
"1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
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_3m, deal_entity, ts, ind_3m)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
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)
if lessless == 1:
if price_5m_change > 0 and new_macd > 0:
if sell_less_batch(okFuture, coin.name, time_type,
latest_price):
lessless = 0
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
info = u'做空止盈，盈利%.3f, time: %s' % (
buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_5m_change > 0 and latest_price > buy_price - 0.02:
if sell_less_batch(okFuture, coin.name, time_type,
latest_price):
lessless = 0
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
info = u'做空止损，盈利%.3f, time: %s' % (
buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif moremore == 1:
if price_5m_change < 0 and new_macd < 0:
if sell_more_batch(okFuture, coin.name, time_type,
latest_price):
moremore = 0
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
info = u'做多止盈，盈利%.3f, time: %s' % (latest_price -
buy_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_5m_change < 0 and latest_price < buy_price + 0.02:
if sell_more_batch(okFuture, coin.name, time_type,
latest_price):
moremore = 0
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
info = u'做多止损，盈利%.3f, time: %s' % (latest_price -
buy_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, highest: %.4f, lowest: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, highest, lowest, 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, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 24h_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_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, vol_24h, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f' \
% (price_10s_change, price_1m_change, price_5m_change, new_macd)
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)