def sell_more_batch(coin_name, time_type, latest_price, lever_rate = 20):
global processing
processing = True
jRet = json.loads(okFuture.future_position_4fix(coin_name+"_usd", time_type, "1"))
print(jRet)
flag = True
ret = u'没有做多订单'
while len(jRet["holding"]) > 0:
cancel_uncompleted_order(coin_name, time_type)
if flag:
flag = False
amount = jRet["holding"][0]["buy_available"]
order_data = gen_orders_data(latest_price, amount, 3, 5)
ret = okFuture.future_batchTrade(coin_name + "_usd", time_type, order_data, lever_rate)
else:
buy_available = jRet["holding"][0]["buy_available"]
ret = okFuture.future_trade(coin_name + "_usd", time_type, '', buy_available, 3, 1, lever_rate)
if 'true' in ret:
time.sleep(2)
jRet = json.loads(okFuture.future_position_4fix(coin_name + "_usd", time_type, "1"))
sell_more_suc()
email_msg = "做多%s批量卖出成交, 时间: %s, 成交结果: %s" \
% (coin_name, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
processing = False
return True
def sell_more_batch(coin_name, time_type, latest_price, lever_rate=20):
global processing, more2less
processing = True
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type, "1"))
print(jRet)
flag = True
ret = u'没有做多订单'
while len(jRet["holding"]) > 0:
cancel_uncompleted_order(coin_name, time_type)
if flag:
flag = False
amount = jRet["holding"][0]["buy_available"]
order_data = gen_orders_data(latest_price, amount, 3, 5)
ret = okFuture.future_batchTrade(coin_name + "_usd", time_type,
order_data, lever_rate)
else:
buy_available = jRet["holding"][0]["buy_available"]
ret = okFuture.future_trade(coin_name + "_usd", time_type, '',
buy_available, 3, 1, lever_rate)
if 'true' in ret:
time.sleep(5)
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type,
"1"))
sell_more_suc()
if more2less == 1:
if buyin_less(coin_name, time_type, latest_price):
info = u'发出反手做空信号！！！买入价格：' + str(latest_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
more2less = 0
email_msg = "做多%s批量卖出成交, 时间: %s, 成交结果: %s" \
% (coin_name, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg, ))
processing = False
return True
def on_message(ws, message):
if 'pong' in message or 'addChannel' in message:
return
global more, less, buy_price, write_lines
jmessage = json.loads(message)
coin_name = jmessage[0]['channel'].split('_')[3]
data = jmessage[0]['data']
index = float(data['futureIndex'])
timestamp = int(data['timestamp'])
now_time = timestamp2string(timestamp)
index_entity = IndexEntity(coin_name, index, timestamp)
coin_info = "coin: %s, index: %.2f, time: %s" % (coin_name, index, now_time)
if coin_name == 'btc':
handle_deque(btc_deque_1s, index_entity, btc_ind_1s)
handle_deque(btc_deque_1min, index_entity, btc_ind_1min)
handle_deque(btc_deque_5min, index_entity, btc_ind_5min)
elif coin_name == 'eth':
handle_deque(eth_deque_1s, index_entity, eth_ind_1s)
handle_deque(eth_deque_1min, index_entity, eth_ind_1min)
handle_deque(eth_deque_5min, index_entity, eth_ind_5min)
elif coin_name == 'ltc':
handle_deque(ltc_deque_1s, index_entity, ltc_ind_1s)
handle_deque(ltc_deque_1min, index_entity, ltc_ind_1min)
handle_deque(ltc_deque_5min, index_entity, ltc_ind_5min)
btc_avg_1s_price = btc_ind_1s.cal_avg_price()
btc_avg_min_price = btc_ind_1min.cal_avg_price()
btc_avg_5m_price = btc_ind_5min.cal_avg_price()
eth_avg_1s_price = eth_ind_1s.cal_avg_price()
eth_avg_min_price = eth_ind_1min.cal_avg_price()
eth_avg_5m_price = eth_ind_5min.cal_avg_price()
ltc_avg_1s_price = ltc_ind_1s.cal_avg_price()
ltc_avg_min_price = ltc_ind_1min.cal_avg_price()
ltc_avg_5m_price = ltc_ind_5min.cal_avg_price()
btc_1m_change = cal_rate(btc_avg_1s_price, btc_avg_min_price)
btc_5m_change = cal_rate(btc_avg_1s_price, btc_avg_5m_price)
eth_1m_change = cal_rate(eth_avg_1s_price, eth_avg_min_price)
eth_5m_change = cal_rate(eth_avg_1s_price, eth_avg_5m_price)
ltc_1m_change = cal_rate(ltc_avg_1s_price, ltc_avg_min_price)
ltc_5m_change = cal_rate(ltc_avg_1s_price, ltc_avg_5m_price)
weighted_1min_rate = btc_1m_change * btc_weight + eth_1m_change * eth_weight + ltc_1m_change * ltc_weight
weighted_5min_rate = btc_5m_change * btc_weight + eth_5m_change * eth_weight + ltc_5m_change * ltc_weight
if more == 1 and not processing:
if weighted_5min_rate <= 0:
thread.start_new_thread(sell_more_batch, (coin.name, time_type, latest_price,))
elif less == 1 and not processing:
if weighted_5min_rate >= 0:
thread.start_new_thread(sell_less_batch, (coin.name, time_type, latest_price,))
elif weighted_1min_rate >= incr_1m_rate and weighted_5min_rate >= incr_5m_rate \
and btc_5m_change >= incr_1m_rate and eth_5m_change >= incr_1m_rate and ltc_5m_change >= incr_1m_rate:
if buyin_more(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(ensure_buyin_more, (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 weighted_1min_rate <= -incr_1m_rate and weighted_5min_rate <= -incr_5m_rate \
and btc_5m_change < -incr_1m_rate and eth_5m_change < -incr_1m_rate and ltc_5m_change < -incr_1m_rate:
if buyin_less(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(ensure_buyin_less, (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')
btc_rate_info = u'btc 1min_rate: %.2f%%, 5min_rate: %.2f%%' % (btc_1m_change, btc_5m_change)
eth_rate_info = u'eth 1min_rate: %.2f%%, 5min_rate: %.2f%%' % (eth_1m_change, eth_5m_change)
ltc_rate_info = u'ltc 1min_rate: %.2f%%, 5min_rate: %.2f%%' % (ltc_1m_change, ltc_5m_change)
weighted_rate_info = u'weighted 1min_rate: %.3f%%, 5min_rate: %.3f%%' % (weighted_1min_rate, weighted_5min_rate)
print(coin_info)
print(btc_rate_info)
print(eth_rate_info)
print(ltc_rate_info)
print(weighted_rate_info)
write_info = coin_info + '\n' + btc_rate_info + '\n' + eth_rate_info + '\n' + ltc_rate_info + '\n' \
+ weighted_rate_info + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 10:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
def on_message(ws, message):
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, last_last_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
jdata = jmessage[0]['data'][0]
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)
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 more == 1:
if avg_10s_price <= 1.001 * avg_5m_price:
# 按买一价出售
if sell_more(coin.name, time_type):
info = u'发出卖出信号！！！卖出价格：' + str(latest_price) + u', 收益: ' + str(latest_price - buy_price) \
+ ', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
more = 0
elif less == 1:
if avg_10s_price >= 0.999 * avg_5m_price:
if sell_less(coin.name, time_type):
info = u'发出卖出信号！！！卖出价格：' + str(latest_price) + u', 收益: ' + str(buy_price - latest_price) \
+ ', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
less = 0
elif check_vol():
if latest_price > avg_3s_price > avg_10s_price > last_avg_price > last_last_price \
and price_5m_change >= incr_5m_rate and price_1m_change >= incr_1m_rate and price_10s_change >= 0.1\
and ind_1min.bid_vol > float(2 * ind_1min.ask_vol) and ind_3s.bid_vol > float(2 * ind_3s.ask_vol):
if buyin_more_batch(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(ensure_buyin_more, (
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 latest_price < avg_3s_price < avg_10s_price < last_avg_price < last_last_price \
and price_5m_change <= -1 * incr_5m_rate and price_1m_change <= -1 * incr_1m_rate and price_10s_change <= -0.1 \
and ind_1min.ask_vol > float(2 * ind_1min.bid_vol) and ind_3s.ask_vol > float(2 * ind_3s.bid_vol):
if buyin_less_batch(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(ensure_buyin_less, (
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')
if last_avg_price != avg_10s_price:
last_last_price = last_avg_price
last_avg_price = avg_10s_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)