def on_message(ws, message):
global sell_price, sell_times
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
jmessage = json.loads(message)
for each_message in jmessage:
data = each_message['data']
asks = data['asks'][::-1]
bids = data['bids']
ask_price = float(asks[0][0])
bid_price = float(bids[0][0])
if ask_price < sell_price:
spotAPI.revoke_order(instrument_id, old_order_id)
#下单
if ask_price >= bid_price * 1.0008:
new_order_id = spot_sell(spotAPI, instrument_id, amount,
ask_price - 0.0001)
if new_order_id:
old_order_id = new_order_id
sell_price = ask_price - 0.0001
sell_times += 1
bid_info = 'ask_price: %.4f, sell_price: %.4f, sell_times: %d' % (
ask_price, sell_price, sell_times)
print(bid_info)
def on_message(ws, message):
global buy_price, sell_price, buy_queue, sell_queue, bid_price, ask_price, last_time_sec, latest_deal_price, last_time_account_sec
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
jmessage = json.loads(message)
each_message = jmessage[0]
channel = each_message['channel']
now_time_sec = float(time.time())
if channel == 'ok_sub_spot_%s_usdt_depth_5' % coin_name:
data = each_message['data']
asks = data['asks'][::-1]
bids = data['bids']
ask_price = float(asks[0][0])
bid_price = float(bids[0][0])
ask_price_2 = float(asks[1][0])
bid_price_2 = float(bids[1][0])
mid_price = (ask_price + bid_price) / 2
elif channel == ('ok_sub_spot_%s_usdt_deals' % coin_name):
jdata = each_message['data'][0]
latest_deal_price = float(jdata[1])
mid_price = (ask_price + bid_price) / 2
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), now_time_sec,
jdata[4])
handle_deque(deque_3s, deal_entity, now_time_sec, ind_3s)
avg_3s_price = ind_3s.cal_avg_price()
price_3s_change = cal_rate(latest_deal_price, avg_3s_price)
spot_maker.timeLog(
"最新成交价: %.4f, 中间价: %.4f, 买一价: %.4f, 卖一价: %.4f, 3秒平均价: %.4f, 波动: %.3f%%"
% (latest_deal_price, mid_price, bid_price, ask_price,
avg_3s_price, price_3s_change))
if price_3s_change > 0.03 or price_3s_change < -0.03:
return
elif latest_deal_price >= bid_price * 1.0003 and ask_price >= latest_deal_price * 1.0003:
buy_price = bid_price + 0.0001
sell_price = ask_price - 0.0001
elif ask_price > bid_price * 1.0006:
buy_price = bid_price + 0.0001
sell_price = ask_price - 0.0001
else:
# 不操作
return
try:
buy_order_id = spot_buy(spotAPI, instrument_id, amount, buy_price)
except Exception as e:
buy_order_id = False
traceback.print_exc()
try:
sell_order_id = spot_sell(spotAPI, instrument_id, amount,
sell_price)
except Exception as e:
sell_order_id = False
traceback.print_exc()
def on_message(ws, message):
global buy_price, sell_price, buy_queue, sell_queue, bid_price, ask_price, last_time_sec,latest_deal_price,last_time_account_sec
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
jmessage = json.loads(message)
each_message = jmessage[0]
channel = each_message['channel']
now_time_sec = float(time.time())
if channel == 'ok_sub_spot_%s_usdt_depth_5' % coin_name:
data = each_message['data']
asks = data['asks'][::-1]
bids = data['bids']
ask_price = float(asks[0][0])
bid_price = float(bids[0][0])
ask_price_2 = float(asks[1][0])
bid_price_2 = float(bids[1][0])
mid_price = (ask_price + bid_price) / 2
if now_time_sec > last_time_sec + 0.2:
last_time_sec = now_time_sec
print('撤单前sell_queue length: ', len(sell_queue))
new_queue = []
for order in sell_queue:
is_revoke_suc = spot_maker.revoke_order(order.order_id, now_time_sec)
if is_revoke_suc:
if latest_deal_price >= ask_price * 0.9999:
# 上涨行情, 追加买单
buy_price = mid_price
sell_price = max(buy_price * 1.001, ask_price_2)
buy_order_id = spot_maker.take_buy_order(2 * amount, buy_price)
if buy_order_id:
new_buy_order = Order(buy_order_id, buy_price, amount, 'buy', now_time_sec)
buy_queue.append(new_buy_order)
spot_maker.timeLog("挂买入单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), buy_price, buy_order_id))
continue
else:
sell_price = ask_price - 0.0001
if ask_price > bid_price * 1.0006:
sell_order_id = spot_maker.take_sell_order(amount, sell_price)
if sell_order_id:
new_sell_order = Order(sell_order_id, sell_price, amount, 'sell',
timestamp2string(now_time_sec))
new_queue.append(new_sell_order)
spot_maker.timeLog("挂卖出单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), sell_price, sell_order_id))
else:
# 撤单失败，retry
spot_maker.timeLog('%s撤单失败，重试')
spot_maker.revoke_order(order.order_id, now_time_sec)
sell_queue = copy.deepcopy(new_queue)
new_queue = []
print('撤单后sell_queue length: ', len(sell_queue))
print('撤单前buy_queue length: ', len(buy_queue))
for order in buy_queue:
if spot_maker.revoke_order(order.order_id, now_time_sec):
if latest_deal_price <= bid_price * 1.0001:
# 下跌行情, 追加卖单
sell_price = mid_price
buy_price = min(sell_price * 0.999, bid_price_2)
sell_order_id = spot_maker.take_sell_order(amount, sell_price)
if sell_order_id:
new_sell_order = Order(sell_order_id, sell_price, 2 * amount, 'sell',
timestamp2string(now_time_sec))
sell_queue.append(new_sell_order)
spot_maker.timeLog("挂卖出单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), sell_price, sell_order_id))
continue
else:
buy_price = bid_price + 0.0001
if ask_price > bid_price * 1.0006:
buy_order_id = spot_maker.take_buy_order(amount, buy_price)
if buy_order_id:
new_buy_order = Order(buy_order_id, buy_price, amount, 'buy', now_time_sec)
new_queue.append(new_buy_order)
spot_maker.timeLog("挂买入单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(now_time_sec), buy_price, buy_order_id))
buy_queue = copy.deepcopy(new_queue)
print('撤单后buy_queue length: ', len(buy_queue))
elif channel == ('ok_sub_spot_%s_usdt_deals' % coin_name):
jdata = each_message['data'][0]
latest_deal_price = float(jdata[1])
mid_price = (ask_price + bid_price) / 2
deal_entity = DealEntity(jdata[0], float(jdata[1]), round(float(jdata[2]), 3), now_time_sec, jdata[4])
handle_deque(deque_3s, deal_entity, now_time_sec, ind_3s)
avg_3s_price = ind_3s.cal_avg_price()
if now_time_sec > last_time_account_sec + 60:
last_time_account_sec = now_time_sec
spot_maker.get_account_money(coin_name)
spot_maker.delete_overdue_order(latest_deal_price)
price_3s_change = cal_rate(latest_deal_price, avg_3s_price)
spot_maker.timeLog("最新成交价: %.4f, 中间价: %.4f, 买一价: %.4f, 卖一价: %.4f, 3秒平均价: %.4f, 波动: %.3f%%"
% (latest_deal_price, mid_price, bid_price, ask_price, avg_3s_price, price_3s_change))
if price_3s_change > 0.03 or price_3s_change < -0.03:
return
elif latest_deal_price > bid_price * 1.0002 and ask_price > latest_deal_price * 1.0002 \
and buy_price != bid_price + 0.0001 and sell_price != ask_price - 0.0001:
buy_price = bid_price + 0.0001
sell_price = ask_price - 0.0001
elif ask_price > bid_price * 1.0006 and buy_price != bid_price + 0.0001 and sell_price != ask_price - 0.0001:
if latest_deal_price < mid_price:
buy_price = bid_price + 0.0001
sell_price = buy_price * 1.0005
else:
sell_price = ask_price - 0.0001
buy_price = ask_price * 0.9995
else:
# 不操作
return
try:
buy_order_id = spot_buy(spotAPI, instrument_id, amount, buy_price)
except Exception as e:
buy_order_id = False
traceback.print_exc()
try:
sell_order_id = spot_sell(spotAPI, instrument_id, amount, sell_price)
except Exception as e:
sell_order_id = False
traceback.print_exc()
if buy_order_id:
buy_order = Order(buy_order_id, buy_price, amount, 'buy', timestamp2string(now_time_sec))
buy_queue.append(buy_order)
spot_maker.timeLog("挂买入单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(time.time()), buy_price, buy_order_id))
if sell_order_id:
sell_order = Order(sell_order_id, sell_price, amount, 'sell', timestamp2string(now_time_sec))
sell_queue.append(sell_order)
spot_maker.timeLog("挂卖出单成功，时间：%s, 价格: %.4f, order_id: %s" % (
timestamp2string(time.time()), sell_price, sell_order_id))