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.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, **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)
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)
class MaStrategy:
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)
async def on_ticker(self, *args, **kwargs):
if not self.trade_init_result:
logger.error("trade not init.", caller=self)
return
if not self.market.init_data():
logger.error("not init market data.", caller=self)
return
if not self.trader.init_data():
logger.error("not init trader data.", caller=self)
return
klines = self.market.klines
if klines[-1].id == self.last_open_order_time:
logger.info("haved order. ordertime:",
self.last_open_order_time,
caller=self)
return
ma_point = interval_handler(values=klines,
periods=self.periods,
vtype="close")
if ma_point[self.periods[0]][1] < ma_point[self.periods[1]][1]:
if ma_point[self.periods[0]][0] >= ma_point[self.periods[1]][0]:
print(time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()),
"开多平空")
elif ma_point[self.periods[0]][1] > ma_point[self.periods[1]][1]:
if ma_point[self.periods[0]][0] <= ma_point[self.periods[1]][0]:
print(time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()),
"开空平多")
# await self.cancel_orders()
# await self.place_orders()
async def cancel_orders(self):
""" 取消订单
"""
order_nos = [orderno for orderno in self.trader.orders]
if order_nos and self.last_ask_price != self.ask1_price:
_, errors = await self.trader.revoke_order(*order_nos)
if errors:
logger.error(self.strategy,
"cancel future order error! error:",
errors,
caller=self)
else:
logger.info(self.strategy,
"cancel future order:",
order_nos,
caller=self)
async def place_orders(self):
""" 下单
"""
orders_data = []
if self.trader.position and self.trader.position.short_quantity:
# 平空单
price = self.ask1_price - 0.1
quantity = -self.trader.position.short_quantity
action = ORDER_ACTION_BUY
new_price = str(price) # 将价格转换为字符串，保持精度
if quantity:
orders_data.append({
"price": new_price,
"quantity": quantity,
"action": action,
"order_type": ORDER_TYPE_LIMIT,
"lever_rate": self.lever_rate
})
self.last_ask_price = self.ask1_price
if self.trader.assets and self.trader.assets.assets.get(
self.raw_symbol):
# 开空单
price = self.bid1_price + 0.1
volume = float(
self.trader.assets.assets.get(
self.raw_symbol).get("free")) * price // 100
if volume >= 1:
quantity = -volume # 空1张
action = ORDER_ACTION_SELL
new_price = str(price) # 将价格转换为字符串，保持精度
if quantity:
orders_data.append({
"price": new_price,
"quantity": quantity,
"action": action,
"order_type": ORDER_TYPE_LIMIT,
"lever_rate": self.lever_rate
})
self.last_bid_price = self.bid1_price
if orders_data:
order_nos, error = await self.trader.create_orders(orders_data)
if error:
logger.error(self.strategy,
"create future order error! error:",
error,
caller=self)
logger.info(self.strategy,
"create future orders success:",
order_nos,
caller=self)
async def on_event_orderbook_update(self, orderbook: Orderbook):
""" orderbook更新
self.market.orderbooks 是最新的orderbook组成的队列，记录的是历史N次orderbook的数据。
本回调所传的orderbook是最新的单次orderbook。
"""
logger.debug("orderbook:", orderbook, caller=self)
if orderbook.asks:
self.ask1_price = float(orderbook.asks[0][0]) # 卖一价格
self.ask1_volume = float(orderbook.asks[0][1]) # 卖一数量
if orderbook.bids:
self.bid1_price = float(orderbook.bids[0][0]) # 买一价格
self.bid1_volume = float(orderbook.bids[0][1]) # 买一数量
self.last_orderbook_timestamp = orderbook.timestamp
async def on_event_order_update(self, order: Order):
""" 订单状态更新
"""
print("on_event_order_update")
print(order.__str__())
async def on_event_asset_update(self, asset: Asset):
""" 资产更新
"""
print("on_event_asset_update")
print(asset.__str__())
async def on_event_position_update(self, position: Position):
""" 仓位更新
"""
print("on_event_position_update")
print(position.__str__())
async def on_event_kline_update(self, kline: Kline):
""" kline更新
self.market.klines 是最新的kline组成的队列，记录的是历史N次kline的数据。
本回调所传的kline是最新的单次kline。
"""
print("on_event_kline_update")
print(kline.__str__())
async def on_event_trade_update(self, trade: MarketTrade):
""" market trade更新
self.market.trades 是最新的逐笔成交组成的队列，记录的是历史N次trade的数据。
本回调所传的trade是最新的单次trade。
"""
print("on_event_trade_update")
print(trade.__str__())
async def on_event_init_trade_success_callback(self, success: bool,
error: Error, **kwargs):
""" init success callback
"""
if not success:
logger.error("init trade error callback update:",
success,
error,
kwargs,
caller=self)
else:
self.trade_init_result = True
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
# 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)