def __init__(self):
""" 初始化
"""
self.strategy = config.strategy
self.platform = config.accounts[0]["platform"]
self.account = config.accounts[0]["account"]
self.access_key = config.accounts[0]["access_key"]
self.secret_key = config.accounts[0]["secret_key"]
self.host = config.accounts[0]["host"]
self.wss = config.accounts[0]["wss"]
self.symbol = config.symbol
self.contract_type = config.contract_type
self.channels = config.markets[0]["channels"]
self.orderbook_length = config.markets[0]["orderbook_length"]
self.orderbooks_length = config.markets[0]["orderbooks_length"]
self.klines_length = config.markets[0]["klines_length"]
self.trades_length = config.markets[0]["trades_length"]
self.market_wss = config.markets[0]["wss"]
self.orderbook_invalid_seconds = 5
self.last_bid_price = 0 # 上次的买入价格
self.last_ask_price = 0 # 上次的卖出价格
self.last_orderbook_timestamp = 0 # 上次的orderbook时间戳
self.raw_symbol = self.symbol.split(
'_')[0] if self.contract_type != 'SWAP' else self.symbol.split(
'-')[0]
self.ask1_price = 0
self.bid1_price = 0
self.ask1_volume = 0
self.bid1_volume = 0
if self.contract_type == "this_week":
self.future_contract_code = self.symbol + "_CW"
elif self.contract_type == "next_week":
self.future_contract_code = self.symbol + "_NW"
elif self.contract_type == "quarter":
self.future_contract_code = self.symbol + "_CQ"
# 交易模块
cc = {
"strategy": self.strategy,
"platform": self.platform,
"symbol": self.symbol,
"contract_type": self.contract_type,
"account": self.account,
"access_key": self.access_key,
"secret_key": self.secret_key,
"host": self.host,
"wss": self.wss,
"order_update_callback": self.on_event_order_update,
"asset_update_callback": self.on_event_asset_update,
"position_update_callback": self.on_event_position_update,
"init_success_callback": self.on_event_init_success_callback,
}
self.trader = Trade(**cc)
# 行情模块
cc = {
"platform": self.platform,
"symbols": [self.future_contract_code],
"channels": self.channels,
"orderbook_length": self.orderbook_length,
"orderbooks_length": self.orderbooks_length,
"klines_length": self.klines_length,
"trades_length": self.trades_length,
"wss": self.market_wss,
"orderbook_update_callback": self.on_event_orderbook_update,
"kline_update_callback": self.on_event_kline_update,
"trade_update_callback": self.on_event_trade_update
}
self.market = Market(**cc)
# 60秒执行1次
LoopRunTask.register(self.on_ticker, 60)
def __init__(self):
""" 初始化
"""
self.strategy = config.strategy
self.platform = config.accounts[0]["platform"]
self.account = config.accounts[0]["account"]
self.access_key = config.accounts[0]["access_key"]
self.secret_key = config.accounts[0]["secret_key"]
self.host = config.accounts[0]["host"]
self.wss = config.accounts[0]["wss"]
self.future_platform = config.accounts[1]["platform"]
self.future_account = config.accounts[1]["account"]
self.future_access_key = config.accounts[1]["access_key"]
self.future_secret_key = config.accounts[1]["secret_key"]
self.future_host = config.accounts[1]["host"]
self.future_wss = config.accounts[1]["wss"]
self.symbol = config.markets[0]["symbol"]
self.channels = config.markets[0]["channels"]
self.orderbook_length = config.markets[0]["orderbook_length"]
self.orderbooks_length = config.markets[0]["orderbooks_length"]
self.klines_length = config.markets[0]["klines_length"]
self.trades_length = config.markets[0]["trades_length"]
self.market_wss = config.markets[0]["wss"]
self.future_symbol = config.markets[1]["symbol"]
self.future_contract_type = config.markets[1]["contract_type"]
self.future_channels = config.markets[1]["channels"]
self.future_orderbook_length = config.markets[1]["orderbook_length"]
self.future_orderbooks_length = config.markets[1]["orderbooks_length"]
self.future_klines_length = config.markets[1]["klines_length"]
self.future_trades_length = config.markets[1]["trades_length"]
self.future_market_wss = config.markets[1]["wss"]
self.orderbook_invalid_seconds = 100 # orderbook无效时间
self.spread = 1 # 价差设定
self.volume = 1 # 每次开仓数量
self.max_quantity = 10 # 最大仓位数量(多仓的最大仓位数量和空仓的最大数量)
self.delta_limit = 1 # delta超过多少进行对冲
self.future_volume_usd = 100 # 交割合约面值
self.last_bid_price = 0 # 上次的买入价格
self.last_ask_price = 0 # 上次的卖出价格
self.last_orderbook_timestamp = 0 # 上次的orderbook时间戳
self.last_mark_price = 0 # 上次的标记价格
self.raw_symbol = self.symbol.split('-')[0]
self.partition_symbol = self.symbol.split('-')[1]
self.ask1_price = 0
self.bid1_price = 0
self.ask1_volume = 0
self.bid1_volume = 0
self.mark_price = 0 # 标记价格
# 交易模块
cc = {
"strategy": self.strategy,
"platform": self.platform,
"symbol": self.symbol,
"account": self.account,
"access_key": self.access_key,
"secret_key": self.secret_key,
"host": self.host,
"wss": self.wss,
"order_update_callback": self.on_event_order_update,
"asset_update_callback": self.on_event_asset_update,
"position_update_callback": self.on_event_position_update,
"init_success_callback": self.on_event_init_success_callback,
}
self.trader = Trade(**cc)
future_cc = {
"strategy": self.strategy,
"platform": self.future_platform,
"symbol": self.future_symbol,
"contract_type": self.future_contract_type,
"account": self.future_account,
"access_key": self.future_access_key,
"secret_key": self.future_secret_key,
"host": self.future_host,
"wss": self.future_wss,
"order_update_callback": self.on_event_order_update_future,
"asset_update_callback": self.on_event_asset_update_future,
"position_update_callback": self.on_event_position_update_future,
"init_success_callback":
self.on_event_init_success_callback_future,
}
self.future_trader = Trade(**future_cc)
# 行情模块
cc = {
"platform": self.platform,
"symbols": [self.symbol],
"channels": self.channels,
"orderbook_length": self.orderbook_length,
"orderbooks_length": self.orderbooks_length,
"klines_length": self.klines_length,
"trades_length": self.trades_length,
"wss": self.market_wss,
"orderbook_update_callback": self.on_event_orderbook_update,
"kline_update_callback": self.on_event_kline_update,
"trade_update_callback": self.on_event_trade_update
}
self.market = Market(**cc)
if self.future_contract_type == "this_week":
self.future_contract_code = self.future_symbol + "_CW"
elif self.future_contract_type == "next_week":
self.future_contract_code = self.future_symbol + "_NW"
elif self.future_contract_type == "quarter":
self.future_contract_code = self.future_symbol + "_CQ"
# 行情模块
market_cc = {
"platform": self.future_platform,
"symbols": [self.future_contract_code],
"channels": self.future_channels,
"orderbook_length": self.future_orderbook_length,
"orderbooks_length": self.future_orderbooks_length,
"klines_length": self.future_klines_length,
"trades_length": self.future_trades_length,
"wss": self.future_market_wss,
"orderbook_update_callback": self.on_event_orderbook_update_future,
"kline_update_callback": self.on_event_kline_update_future,
"trade_update_callback": self.on_event_trade_update_future
}
self.future_market = Market(**market_cc)
# 10秒执行1次
LoopRunTask.register(self.on_ticker, 10)
# delta对冲
LoopRunTask.register(self.delta_hedging, 10)
def __init__(self):
""" 初始化
"""
self.strategy = config.strategy
self.platform = config.accounts[0]["platform"]
self.account = config.accounts[0]["account"]
self.access_key = config.accounts[0]["access_key"]
self.secret_key = config.accounts[0]["secret_key"]
self.host = config.accounts[0]["host"]
self.wss = config.accounts[0]["wss"]
self.symbol = config.symbol
self.contract_type = config.contract_type
self.channels = config.markets[0]["channels"]
self.orderbook_length = config.markets[0]["orderbook_length"]
self.orderbooks_length = config.markets[0]["orderbooks_length"]
self.klines_length = config.markets[0]["klines_length"]
self.trades_length = config.markets[0]["trades_length"]
self.market_wss = config.markets[0]["wss"]
self.contract_size = 0.01
self.orderbook_invalid_seconds = 10
self.last_bid_price = 0 # 上次的买入价格
self.last_ask_price = 0 # 上次的卖出价格
self.last_orderbook_timestamp = 0 # 上次的orderbook时间戳
# self.raw_symbol = self.symbol.split('-')[0]
self.ask1_price = 0
self.bid1_price = 0
self.ask1_volume = 0
self.bid1_volume = 0
self.tradeema = TradeEMA()
# # 交易模块
# cc = {
# "strategy": self.strategy,
# "platform": self.platform,
# "symbol": self.symbol,
# "contract_type": self.contract_type,
# "account": self.account,
# "access_key": self.access_key,
# "secret_key": self.secret_key,
# "host": self.host,
# "wss": self.wss,
# "order_update_callback": self.on_event_order_update,
# "asset_update_callback": self.on_event_asset_update,
# "position_update_callback": self.on_event_position_update,
# "init_success_callback": self.on_event_init_success_callback,
# }
# self.trader = Trade(**cc)
# 行情模块
for s in self.symbol:
logger.info(s)
cc = {
"platform": self.platform,
"symbols": [s],
"channels": self.channels,
"orderbook_length": self.orderbook_length,
"orderbooks_length": self.orderbooks_length,
"klines_length": self.klines_length,
"trades_length": self.trades_length,
"wss": self.market_wss,
"orderbook_update_callback": self.on_event_orderbook_update,
"kline_update_callback": self.on_event_kline_update,
"trade_update_callback": self.on_event_trade_update
}
market = Market(**cc)
# 60秒执行1次
LoopRunTask.register(self.on_ticker, 10)
def __init__(self, **kwargs):
""" 初始化
"""
self.strategy = config.strategy
self.platform = config.accounts[0]["platform"]
self.account = config.accounts[0]["account"]
self.access_key = config.accounts[0]["access_key"]
self.secret_key = config.accounts[0]["secret_key"]
self.host = config.accounts[0]["host"]
self.wss = config.accounts[0]["wss"]
self.contract_type = config.contract_type
self.channels = config.markets[0]["channels"]
self.orderbook_length = config.markets[0]["orderbook_length"]
self.orderbooks_length = config.markets[0]["orderbooks_length"]
self.klines_length = config.markets[0]["klines_length"]
self.trades_length = config.markets[0]["trades_length"]
self.market_wss = config.markets[0]["wss"]
self.symbol = kwargs.get("symbol")
self.contract_size = kwargs.get("contract_size")
self.orderbook_invalid_seconds = 10
self.last_bid_price = 0 # 上次的买入价格
self.last_ask_price = 0 # 上次的卖出价格
self.last_orderbook_timestamp = 0 # 上次的orderbook时间戳
self.raw_symbol = self.symbol.split('-')[1].upper()
self.ask1_price = 0
self.bid1_price = 0
self.ask1_volume = 0
self.bid1_volume = 0
self.total_count = 0
self.exceed_1s_count = 0
self.exceed_100ms_count = 0
self.exceed_50ms_count = 0
self.orderids = {}
# 交易模块
cc = {
"strategy": self.strategy,
"platform": self.platform,
"symbol": self.symbol,
"contract_type": self.contract_type,
"account": self.account,
"access_key": self.access_key,
"secret_key": self.secret_key,
"host": self.host,
"wss": self.wss,
"order_update_callback": self.on_event_order_update,
"asset_update_callback": self.on_event_asset_update,
"position_update_callback": self.on_event_position_update,
"init_success_callback": self.on_event_init_success_callback,
}
self.trader = Trade(**cc)
# 行情模块
cc = {
"platform": self.platform,
"symbols": [self.symbol],
"channels": self.channels,
"orderbook_length": self.orderbook_length,
"orderbooks_length": self.orderbooks_length,
"klines_length": self.klines_length,
"trades_length": self.trades_length,
"wss": self.market_wss,
"orderbook_update_callback": self.on_event_orderbook_update,
"kline_update_callback": self.on_event_kline_update,
"trade_update_callback": self.on_event_trade_update
}
self.market = Market(**cc)
# 60秒执行1次
LoopRunTask.register(self.on_ticker, 2)
LoopRunTask.register(self.on_showresult, 10)
def __init__(self):
""" 初始化
"""
self.strategy = config.strategy
self.platform = config.accounts[0]["platform"]
self.account = config.accounts[0]["account"]
self.access_key = config.accounts[0]["access_key"]
self.secret_key = config.accounts[0]["secret_key"]
self.host = config.accounts[0]["host"]
self.wss = config.accounts[0]["wss"]
self.swap_platform = config.accounts[1]["platform"]
self.swap_account = config.accounts[1]["account"]
self.swap_access_key = config.accounts[1]["access_key"]
self.swap_secret_key = config.accounts[1]["secret_key"]
self.swap_host = config.accounts[1]["host"]
self.swap_wss = config.accounts[1]["wss"]
self.symbol = config.markets[0]["symbol"]
self.channels = config.markets[0]["channels"]
self.orderbook_length = config.markets[0]["orderbook_length"]
self.orderbooks_length = config.markets[0]["orderbooks_length"]
self.klines_length = config.markets[0]["klines_length"]
self.trades_length = config.markets[0]["trades_length"]
self.market_wss = config.markets[0]["wss"]
self.swap_symbol = config.markets[1]["symbol"]
self.swap_contract_type = config.markets[1]["contract_type"]
self.swap_channels = config.markets[1]["channels"]
self.swap_orderbook_length = config.markets[1]["orderbook_length"]
self.swap_orderbooks_length = config.markets[1]["orderbooks_length"]
self.swap_klines_length = config.markets[1]["klines_length"]
self.swap_trades_length = config.markets[1]["trades_length"]
self.swap_market_wss = config.markets[1]["wss"]
self.orderbook_invalid_seconds = config.orderbook_invalid_seconds
self.spread = config.spread
self.volume = config.quantity
self.max_quantity = config.max_quantity
self.delta_limit = config.delta_limit
self.swap_volume_usd = config.swap_volume_usd
self.last_bid_price = 0 # 上次的买入价格
self.last_ask_price = 0 # 上次的卖出价格
self.last_orderbook_timestamp = 0 # 上次的orderbook时间戳
self.last_mark_price = 0 # 上次的标记价格
self.raw_symbol = self.symbol.split('-')[0]
self.partition_symbol = self.symbol.split('-')[1]
self.ask1_price = 0
self.bid1_price = 0
self.ask1_volume = 0
self.bid1_volume = 0
self.mark_price = 0 # 标记价格
# 交易模块
cc = {
"strategy": self.strategy,
"platform": self.platform,
"symbol": self.symbol,
"account": self.account,
"access_key": self.access_key,
"secret_key": self.secret_key,
"host": self.host,
"wss": self.wss,
"order_update_callback": self.on_event_order_update,
"asset_update_callback": self.on_event_asset_update,
"position_update_callback": self.on_event_position_update,
"init_success_callback": self.on_event_init_success_callback,
}
self.trader = Trade(**cc)
swap_cc = {
"strategy": self.strategy,
"platform": self.swap_platform,
"symbol": self.swap_symbol,
"contract_type": self.swap_contract_type,
"account": self.swap_account,
"access_key": self.swap_access_key,
"secret_key": self.swap_secret_key,
"host": self.swap_host,
"wss": self.swap_wss,
"order_update_callback": self.on_event_order_update_swap,
"asset_update_callback": self.on_event_asset_update_swap,
"position_update_callback": self.on_event_position_update_swap,
"init_success_callback": self.on_event_init_success_callback_swap,
}
self.swap_trader = Trade(**swap_cc)
# 行情模块
cc = {
"platform": self.platform,
"symbols": [self.symbol],
"channels": self.channels,
"orderbook_length": self.orderbook_length,
"orderbooks_length": self.orderbooks_length,
"klines_length": self.klines_length,
"trades_length": self.trades_length,
"wss": self.market_wss,
"orderbook_update_callback": self.on_event_orderbook_update,
"kline_update_callback": self.on_event_kline_update,
"trade_update_callback": self.on_event_trade_update
}
self.market = Market(**cc)
# 行情模块
market_cc = {
"platform": self.swap_platform,
"symbols": [self.swap_symbol],
"channels": self.swap_channels,
"orderbook_length": self.swap_orderbook_length,
"orderbooks_length": self.swap_orderbooks_length,
"klines_length": self.swap_klines_length,
"trades_length": self.swap_trades_length,
"wss": self.swap_market_wss,
"orderbook_update_callback": self.on_event_orderbook_update_swap,
"kline_update_callback": self.on_event_kline_update_swap,
"trade_update_callback": self.on_event_trade_update_swap
}
self.swap_market = Market(**market_cc)
# 10秒执行1次
LoopRunTask.register(self.on_ticker, 10)
# delta对冲
LoopRunTask.register(self.delta_hedging, 10)
from alpha import starter
from alpha.utils import logger
from alpha.utils.tools import ts_to_datetime_str
import time
from alpha.tasks import LoopRunTask, SingleTask
import pdb
def d():
pdb.set_trace()
async def cur_ts(**kwargs):
logger.info(ts_to_datetime_str())
if __name__ == '__main__':
LoopRunTask.register(cur_ts, 1)
starter.start()
def __init__(self):
""" 初始化
"""
print(config)
self.strategy = config.strategy
self.platform = config.accounts[0]["platform"]
self.account = config.accounts[0]["account"]
self.access_key = config.accounts[0]["access_key"]
self.secret_key = config.accounts[0]["secret_key"]
self.host = config.accounts[0]["host"]
self.wss = config.accounts[0]["wss"]
self.symbol = config.symbol
self.lever_rate = config.lever_rate
self.place_num = config.place_num
self.contract_type = config.contract_type
self.channels = config.markets[0]["channels"]
self.orderbook_length = config.markets[0]["orderbook_length"]
self.orderbook_step = config.markets[0]["orderbook_step"]
self.orderbooks_length = config.markets[0]["orderbooks_length"]
self.klines_length = config.markets[0]["klines_length"]
self.klines_period = config.markets[0]["klines_period"]
self.trades_length = config.markets[0]["trades_length"]
self.market_wss = config.markets[0]["wss"]
self.orderbook_invalid_seconds = 0.5
self.last_bid_price = 0 # 上次的买入价格
self.last_ask_price = 0 # 上次的卖出价格
self.last_orderbook_timestamp = 0 # 上次的orderbook时间戳
self.last_open_order_time = 0 #上次开单时间
self.raw_symbol = self.symbol.split('-')[0]
self.ask1_price = 0
self.bid1_price = 0
self.ask1_volume = 0
self.bid1_volume = 0
self.periods = [5, 10]
self.trade_init_result = False
# rest api
if self.platform == HUOBI_SWAP:
from alpha.platforms.swap.huobi_swap_api import HuobiSwapRestAPI
self._rest_api = HuobiSwapRestAPI(self.host, self.access_key,
self.secret_key)
elif self.platform == HUOBI_DELIVERY:
from alpha.platforms.delivery.huobi_delivery_api import HuobiDeliveryRestAPI
self._rest_api = HuobiDeliveryRestAPI(self.host, self.access_key,
self.secret_key)
# 交易模块
cc = {
"strategy": self.strategy,
"platform": self.platform,
"symbol": self.symbol,
"contract_type": self.contract_type,
"account": self.account,
"access_key": self.access_key,
"secret_key": self.secret_key,
"host": self.host,
"wss": self.wss,
"rest_api": self._rest_api,
"order_update_callback": self.on_event_order_update,
"asset_update_callback": self.on_event_asset_update,
"position_update_callback": self.on_event_position_update,
"init_success_callback": self.on_event_init_trade_success_callback,
}
self.trader = Trade(**cc)
# 行情模块
cc = {
"platform": self.platform,
"symbol": self.symbol,
"contract_type": self.contract_type,
"channels": self.channels,
"orderbook_length": self.orderbook_length,
"orderbook_step": self.orderbook_step,
"orderbooks_length": self.orderbooks_length,
"klines_length": self.klines_length,
"klines_period": self.klines_period,
"trades_length": self.trades_length,
"wss": self.market_wss,
"rest_api": self._rest_api,
"orderbook_update_callback": self.on_event_orderbook_update,
"kline_update_callback": self.on_event_kline_update,
"trade_update_callback": self.on_event_trade_update,
}
self.market = Market(**cc)
# 1秒执行1次
LoopRunTask.register(self.on_ticker, 5)
def __init__(self):
""" 初始化
"""
self.strategy = config.strategy #just the name
self.platform = config.accounts[0]["platform"]
self.account = config.accounts[0]["account"]
self.access_key = config.accounts[0]["access_key"]
self.secret_key = config.accounts[0]["secret_key"]
self.host = config.accounts[0]["host"]
self.wss = config.accounts[0]["wss"]
self.symbol = config.symbol
self.contract_type = config.contract_type
self.channels = config.markets[0]["channels"]
self.orderbook_length = config.markets[0]["orderbook_length"]
self.orderbooks_length = config.markets[0]["orderbooks_length"]
self.klines_length = config.markets[0]["klines_length"]
self.trades_length = config.markets[0]["trades_length"]
self.market_wss = config.markets[0]["wss"]
self.contract_size = 0.01
self.orderbook_invalid_seconds = 10
self.last_bid_price = 0 # 上次的买入价格
self.last_ask_price = 0 # 上次的卖出价格
self.last_orderbook_timestamp = 0 # 上次的orderbook时间戳
self.raw_symbol = self.symbol.split('-')[0]
self.ask1_price = 0
self.bid1_price = 0
self.ask1_volume = 0
self.bid1_volume = 0
self.client_orderid = 0
# Trade module 交易模块
cc = {
"strategy": self.strategy,
"platform": self.platform,
"symbol": self.symbol,
"contract_type": self.contract_type,
"account": self.account,
"access_key": self.access_key,
"secret_key": self.secret_key,
"host": self.host,
"wss": self.wss,
"order_update_callback": self.on_event_order_update,
"asset_update_callback": self.on_event_asset_update,
"position_update_callback": self.on_event_position_update,
"init_success_callback": self.on_event_init_success_callback,
}
self.trader = Trade(**cc)
# quotes module 行情模块
cc = {
"platform": self.platform,
"symbols": [self.symbol],
"channels": self.channels,
"orderbook_length": self.orderbook_length,
"orderbooks_length": self.orderbooks_length,
"klines_length": self.klines_length,
"trades_length": self.trades_length,
"wss": self.market_wss,
"orderbook_update_callback": self.on_event_orderbook_update,
"kline_update_callback": self.on_event_kline_update,
"trade_update_callback": self.on_event_trade_update
}
self.market = Market(**cc)
# 60秒执行1次
LoopRunTask.register(self.on_ticker, 1)
