def batch_cancel_orders(symbol, order_id_list):
trade_client = TradeClient(api_key=g_api_key, secret_key=g_secret_key)
print("cancel order list:", order_id_list)
if len(order_id_list):
result = trade_client.cancel_orders(symbol, order_id_list)
result.print_object()
def test_trade_create_cancel_orders(self):
trade_client = TradeClient(api_key=g_api_key,
secret_key=g_secret_key,
performance_test=True)
client_order_id_header = "test_" + str(round(time.time())) + "_id"
client_order_id_eos_01 = client_order_id_header + "01"
client_order_id_eos_02 = client_order_id_header + "02"
client_order_id_eos_03 = client_order_id_header + "03"
buy_limit_eos_01 = {
"account_id": g_account_id,
"symbol": trade_symbol,
"order_type": OrderType.BUY_LIMIT,
"source": OrderSource.API,
"amount": 50,
"price": 0.12,
"client_order_id": client_order_id_eos_01
}
buy_limit_eos_02 = {
"account_id": g_account_id,
"symbol": trade_symbol,
"order_type": OrderType.BUY_LIMIT,
"source": OrderSource.API,
"amount": 7,
"price": 0.80,
"client_order_id": client_order_id_eos_02
}
buy_limit_eos_03 = {
"account_id": g_account_id,
"symbol": trade_symbol,
"order_type": OrderType.BUY_LIMIT,
"source": OrderSource.API,
"amount": 20,
"price": 0.252,
"client_order_id": client_order_id_eos_03
}
order_config_list = [
buy_limit_eos_01, buy_limit_eos_02, buy_limit_eos_03
]
# case batch_create_order
tc = TimeCost(function_name=trade_client.batch_create_order.__name__)
create_result, tc.server_req_cost, tc.server_api_cost = trade_client.batch_create_order(
order_config_list=order_config_list)
tc.run_status = RunStatus.SUCCESS if create_result else RunStatus.FAILED
tc.add_record()
# time.sleep(1) # need wait
order_id_list = []
if create_result and len(create_result):
for item in create_result:
order_id_list.append(item.order_id)
# case batch_create_order
tc = TimeCost(
function_name=trade_client.batch_create_order.__name__)
result, tc.server_req_cost, tc.server_api_cost = trade_client.cancel_orders(
symbol=trade_symbol, order_id_list=order_id_list)
tc.run_status = RunStatus.SUCCESS if result else RunStatus.FAILED
tc.add_record()
class User:
def __init__(self, access_key, secret_key, buy_amount, wxuid):
self.access_key = access_key
self.sercet_key = secret_key
self.account_client = AccountClient(api_key=access_key, secret_key=secret_key)
self.trade_client = TradeClient(api_key=access_key, secret_key=secret_key)
self.account_id = next(filter(
lambda account: account.type=='spot' and account.state =='working',
self.account_client.get_accounts()
)).id
self.usdt_balance = self.get_currency_balance(['usdt'])['usdt']
if buy_amount.startswith('/'):
self.buy_amount = max(math.floor(self.usdt_balance / float(buy_amount[1:])), 5)
else:
self.buy_amount = float(buy_amount)
self.wxuid = wxuid.split(';')
self.balance = {}
self.buy_order_list = []
self.sell_order_list = []
self.buy_id = []
self.sell_id = []
self.username = wx_name(self.wxuid[0])
self.high = True
def buy(self, targets, amounts):
buy_order_list = [{
"symbol": target.symbol,
"account_id": self.account_id,
"order_type": OrderType.BUY_MARKET,
"source": OrderSource.SPOT_API,
"price": 1,
"amount": target.check_amount(max(
amount,
target.min_order_value
))}
for target, amount in zip(targets, amounts)
if amount > 0
]
if buy_order_list:
self.buy_id.extend(self.trade_client.batch_create_order(buy_order_list))
self.buy_order_list.extend(buy_order_list)
# logger.debug(f'User {self.account_id} buy report')
for order in buy_order_list:
logger.debug(f'Speed {order["amount"]} USDT to buy {order["symbol"][:-4].upper()}')
def buy_limit(self, targets, amounts, prices=None):
if not prices:
rate = MAX_BUY_RATE
rate2 = 9
buy_order_list = [{
"symbol": target.symbol,
"account_id": self.account_id,
"order_type": OrderType.BUY_LIMIT,
"source": OrderSource.SPOT_API,
"price": target.check_price(min(
(1 + rate / 100) * target.init_price,
(1 + rate2 / 100) * target.price
)),
"amount": target.check_amount(max(
amount / min(
(1 + rate / 100) * target.init_price,
(1 + rate2 / 100) * target.price
),
target.limit_order_min_order_amt
))}
for target, amount in zip(targets, amounts)
if amount > 0
]
else:
buy_order_list = [{
"symbol": target.symbol,
"account_id": self.account_id,
"order_type": OrderType.BUY_LIMIT,
"source": OrderSource.SPOT_API,
"price": target.check_price(price),
"amount": target.check_amount(max(
amount / price,
target.limit_order_min_order_amt
))}
for target, amount, price in zip(targets, amounts, prices)
if amount > 0
]
if buy_order_list:
self.buy_id.extend(self.trade_client.batch_create_order(buy_order_list))
self.buy_order_list.extend(buy_order_list)
# logger.debug(f'User {self.account_id} buy report')
for order in buy_order_list:
logger.debug(f'Speed {order["amount"]} USDT to buy {order["symbol"][:-4].upper()}')
def sell(self, targets, amounts):
sell_order_list = [{
"symbol": target.symbol,
"account_id": self.account_id,
"order_type": OrderType.SELL_MARKET,
"source": OrderSource.SPOT_API,
"price": 1,
"amount": target.check_amount(amount)}
for target, amount in zip(targets, amounts)
]
sell_order_list = [
order for order, target in zip(sell_order_list, targets)
if order['amount'] >= target.sell_market_min_order_amt
]
if sell_order_list:
self.sell_id.extend(self.trade_client.batch_create_order(sell_order_list))
self.sell_order_list.extend(sell_order_list)
# logger.debug(f'User {self.account_id} sell report')
for order in sell_order_list:
logger.debug(f'Sell {order["amount"]} {order["symbol"][:-4].upper()} with market price')
def sell_limit(self, targets, amounts, prices=None):
if not prices:
rate = SELL_RATE if self.high else SECOND_SELL_RATE
sell_order_list = [{
"symbol": target.symbol,
"account_id": self.account_id,
"order_type": OrderType.SELL_LIMIT,
"source": OrderSource.SPOT_API,
"price": target.check_price((1 + rate / 100) * target.buy_price),
"amount": target.check_amount(amount)}
for target, amount in zip(targets, amounts)
]
else:
sell_order_list = [{
"symbol": target.symbol,
"account_id": self.account_id,
"order_type": OrderType.SELL_LIMIT,
"source": OrderSource.SPOT_API,
"price": target.check_price(price),
"amount": target.check_amount(amount)}
for target, amount, price in zip(targets, amounts, prices)
]
sell_order_list = [
order for order, target in zip(sell_order_list, targets)
if order['amount'] >= target.limit_order_min_order_amt
]
if sell_order_list:
self.sell_id.extend(self.trade_client.batch_create_order(sell_order_list))
self.sell_order_list.extend(sell_order_list)
# logger.debug(f'User {self.account_id} sell report')
for order in sell_order_list:
logger.debug(f'Sell {order["amount"]} {order["symbol"][:-4].upper()} with price {order["price"]}')
@timeout_handle([])
def get_open_orders(self, targets, side=OrderSide.SELL) -> 'list[huobi.model.trade.order.Order]':
open_orders = []
all_symbols = [target.symbol for target in targets]
for symbols in [all_symbols[i:i+10] for i in range(0, len(all_symbols), 10)]:
open_orders.extend(self.trade_client.get_open_orders(','.join(symbols), self.account_id, side))
return open_orders
def cancel_and_sell(self, targets):
open_orders = self.get_open_orders(targets)
if open_orders:
all_symbols = [target.symbol for target in targets]
for symbols in [all_symbols[i:i+10] for i in range(0, len(all_symbols), 10)]:
self.trade_client.cancel_orders(','.join(symbols), [order.id for order in open_orders if order.symbol in symbols])
logger.info(f'Cancel open sell orders for {", ".join(all_symbols)}')
self.get_balance(targets)
amounts = [self.balance[target.base_currency] for target in targets]
self.sell(targets, amounts)
target_currencies = [target.base_currency for target in targets]
while True:
frozen_balance = self.get_currency_balance(target_currencies, 'frozen')
if not any(frozen_balance.values()):
break
else:
time.sleep(0.1)
self.get_balance(targets)
amounts = [self.balance[target.base_currency] for target in targets]
def high_cancel_and_sell(self, targets, symbol, price):
self.high = False
open_orders = self.get_open_orders(targets)
if open_orders:
all_symbols = [target.symbol for target in targets]
for symbols in [all_symbols[i:i+10] for i in range(0, len(all_symbols), 10)]:
self.trade_client.cancel_orders(','.join(symbols), [order.id for order in open_orders if order.symbol in symbols])
logger.info(f'Cancel open sell orders for {", ".join(all_symbols)}')
self.get_balance(targets)
symbol_targets = [target for target in targets if target.symbol == symbol]
symbol_amounts = [self.balance[target.base_currency] for target in symbol_targets]
other_targets = [target for target in targets if target.symbol != symbol]
other_amounts = [self.balance[target.base_currency] for target in other_targets]
prices = [(price + target.buy_price * (1 + SELL_RATE / 100)) / 2 for target in symbol_targets]
self.sell_limit(symbol_targets, symbol_amounts, prices=prices)
self.sell_limit(other_targets, other_amounts)
# target_currencies = [target.base_currency for target in targets]
# while True:
# frozen_balance = self.get_currency_balance(target_currencies, 'frozen')
# if not any(frozen_balance.values()):
# break
# else:
# time.sleep(0.1)
# self.get_balance(targets)
# amounts = [self.balance[target.base_currency] for target in targets]
def buy_and_sell(self, targets):
self.buy_limit(targets, [self.buy_amount for _ in targets])
self.check_balance(targets)
sell_amounts = [self.balance[target.base_currency] for target in targets]
self.sell_limit(targets, sell_amounts)
def get_currency_balance(self, currencies, balance_type='trade'):
return {
currency.currency: float(currency.balance)
for currency in self.account_client.get_balance(self.account_id)
if currency.currency in currencies and currency.type == balance_type
}
def get_balance(self, targets):
while self.get_open_orders(targets, side=None):
pass
target_currencies = [target.base_currency for target in targets]
self.balance = self.get_currency_balance(target_currencies)
def check_balance(self, targets):
self.get_balance(targets)
# logger.debug(f'User {self.account_id} balance report')
for target in targets:
for order_id, order in zip(self.buy_id, self.buy_order_list):
if order['symbol'] == target.symbol:
break
target_balance = self.balance[target.base_currency]
if target_balance > 10 ** -target.amount_precision:
order_detail = self.trade_client.get_order(order_id.order_id)
buy_price = float(order_detail.filled_cash_amount) / float(order_detail.filled_amount)
target.buy_price = buy_price
logger.debug(f'Get {target_balance} {target.base_currency.upper()} with average price {buy_price}')
else:
target.buy_price = 0
logger.debug(f'Get no {target.base_currency.upper()}')
def report(self):
orders = [
self.trade_client.get_order(order.order_id)
for order in self.buy_id + self.sell_id
if order.order_id
]
order_info = [{
'symbol': order.symbol,
'time': strftime(order.finished_at / 1000, fmt='%Y-%m-%d %H:%M:%S.%f'),
'price': round(float(order.filled_cash_amount) / float(order.filled_amount), 6),
'amount': round(float(order.filled_amount), 6),
'fee': round(float(order.filled_fees), 6),
'currency': order.symbol[:-4].upper(),
'vol': float(order.filled_cash_amount),
'direct': order.type.split('-')[0]}
for order in orders
if order.state == 'filled'
]
buy_info = list(filter(lambda x: x['direct']=='buy', order_info))
sell_info = list(filter(lambda x: x['direct']=='sell', order_info))
pay = round(sum([each['vol'] for each in buy_info]), 4)
if pay <= 0:
logger.warning(f'NO REPORT for User {self.account_id}')
return
income = round(sum([each['vol'] - each['fee'] for each in sell_info]), 4)
profit = round(income - pay, 4)
percent = round(profit / self.usdt_balance * 100, 4)
logger.info(f'REPORT for user {self.account_id}')
logger.info('Buy')
for each in buy_info:
currency = each['currency']
symbol_name = '/'.join([currency, 'USDT'])
vol = each['vol']
amount = each['amount']
price = each['price']
fee = round(each['fee'] * price, 6)
each['fee'] = fee
logger.info(f'{symbol_name}: use {vol} USDT, get {amount} {currency}, price {price}, fee {fee} {currency}, at {each["time"]}')
logger.info('Sell')
for each in sell_info:
currency = each['currency']
symbol_name = '/'.join([currency, 'USDT'])
vol = each['vol']
amount = each['amount']
price = each['price']
fee = each['fee']
logger.info(f'{symbol_name}: use {amount} {currency}, get {vol} USDT, price {price}, fee {fee} USDT, at {each["time"]}')
logger.info(f'Totally pay {pay} USDT, get {income} USDT, profit {profit} USDT, {percent}%')
add_profit(self.account_id, pay, income, profit, percent)
total_profit, month_profit = get_profit(self.account_id)
wx_report(self.account_id, self.wxuid, self.username, pay, income, profit, percent, buy_info, sell_info, total_profit, month_profit)
from huobi.client.trade import TradeClient
from huobi.constant import *
from huobi.utils import *
trade_client = TradeClient(api_key=g_api_key, secret_key=g_secret_key)
symbol_test = "eosusdt"
i = 0
n = 3
order_id_list = []
while (i < n):
order_id = trade_client.create_order(symbol=symbol_test,
account_id=g_account_id,
order_type=OrderType.BUY_LIMIT,
source=OrderSource.API,
amount=18.0,
price=0.292)
LogInfo.output("created order id : {id}".format(id=order_id))
order_id_list.append(order_id)
i = i + 1
result = trade_client.cancel_orders(symbol_test, order_id_list)
result.print_object()
class Trader(BaseTrader):
def __init__(self, api_key, secret_key, account_id, verbose=False):
super().__init__()
self.account_id = account_id
self.trade_client = TradeClient(api_key=api_key, secret_key=secret_key)
self.account_client = AccountClient(api_key=api_key,
secret_key=secret_key)
self.algo_client = AlgoClient(api_key=api_key, secret_key=secret_key)
self.market_client = MarketClient()
self.holds = {}
self.total_fee = 0
self.stop_loss_threads = []
self.long_order_threads = []
self.latest_timestamp = 0
self.client_id_counter = 0
self.verbose = verbose
self.subscription = None
def add_trade_clearing_subscription(self,
symbol,
callback,
error_handler=None):
self.subscription = self.trade_client.sub_trade_clearing(
symbol, callback, error_handler)
return self.subscription
def remove_trade_clearing_subscription(self, subscription):
self.subscription.unsubscribe_all()
def get_balance(self, symbol='usdt'):
balances = self.account_client.get_balance(self.account_id)
for balance in balances:
if balance.currency == symbol:
return float(balance.balance)
def get_balance_pair(self, symbol):
pair = transaction_pairs[symbol]
target, base = pair.target, pair.base
balances = self.account_client.get_balance(self.account_id)
target_balance, base_balance = None, None
for balance in balances:
if balance.currency == target and target_balance is None:
target_balance = float(balance.balance)
elif balance.currency == base and base_balance is None:
base_balance = float(balance.balance)
return target_balance, base_balance
def get_newest_price(self, symbol):
newest_trade = self.market_client.get_market_trade(symbol=symbol)[0]
return newest_trade.price
def submit_orders(self, symbol, prices, amounts, order_type):
"""Submit a series of orders to the trader and return their ids.
symbol -- symbol of trading pair
prices -- list of prices of limit orders
amounts -- list of amounts of limit orders
order_type -- OrderType.BUY_LIMIT or OrderType.SELL_LIMIT
"""
client_order_id_header = str(int(time.time()))
order_ids = [
f'{client_order_id_header}{symbol}{i:02d}'
for i in range(len(prices))
]
pair = transaction_pairs[symbol]
price_scale, amount_scale = pair.price_scale, pair.amount_scale
orders = [{
'account_id': self.account_id,
'symbol': symbol,
'order_type': order_type,
'source': OrderSource.API,
'amount':
f'{self.correct_amount(amount, symbol):.{amount_scale}f}',
'price': f'{price:.{price_scale}f}',
'client_order_id': order_id
} for amount, price, order_id in zip(amounts, prices, order_ids)]
results = []
for i in range(0, len(orders), MAX_ORDER_NUM):
create_results = self.trade_client.batch_create_order(
order_config_list=orders[i:i + MAX_ORDER_NUM])
results += create_results
LogInfo.output_list(results)
return results
@staticmethod
def get_normalized_amounts_with_eagerness(num_orders, eagerness=1.0):
amounts = np.geomspace(eagerness**num_orders, 1, num_orders)
return amounts / np.sum(amounts)
@staticmethod
def get_normalized_amounts_with_normal_distr(num_orders, skewness=1.0):
amounts = np.linspace(-skewness, skewness, num_orders)
amounts = stats.norm.pdf(amounts, 0, 1)
amounts += amounts.min()
return amounts / np.sum(amounts)
@staticmethod
def get_normalized_amounts_with_distr(num_orders, distr):
if distr is None:
return Trader.get_normalized_amounts_with_eagerness(
num_orders, 1.0)
elif distr['distr'] == 'geometry':
return Trader.get_normalized_amounts_with_eagerness(
num_orders, distr.get('eagerness', 1.0))
elif distr['distr'] == 'normal':
return Trader.get_normalized_amounts_with_normal_distr(
num_orders, distr.get('skewness', 1.0))
@staticmethod
def get_price_interval(lower_price, upper_price, num_orders, order_type):
if order_type == OrderType.BUY_LIMIT:
prices = np.linspace(upper_price, lower_price, num_orders)
elif order_type == OrderType.SELL_LIMIT:
prices = np.linspace(lower_price, upper_price, num_orders)
else:
raise ValueError(f'Unknown order type {order_type}')
return prices
def generate_buy_queue_orders(self,
symbol,
lower_price,
upper_price,
num_orders,
total_amount=None,
total_amount_fraction=None,
distr=None):
prices = self.get_price_interval(lower_price, upper_price, num_orders,
OrderType.BUY_LIMIT)
normalized_amounts = self.get_normalized_amounts_with_distr(
num_orders, distr)
if total_amount is not None:
amounts = normalized_amounts * total_amount
elif total_amount_fraction is not None:
balance = self.get_balance(
transaction_pairs[symbol].base) * total_amount_fraction
amounts = normalized_amounts * (balance / prices *
normalized_amounts).sum()
else:
raise ValueError(
'One of total_amount or total_amount_fraction should be given')
return self.submit_orders(symbol, prices, amounts, OrderType.BUY_LIMIT)
def create_smart_buy_queue(self,
symbol,
lower_price,
upper_price,
num_orders,
profit=1.05,
total_amount=None,
total_amount_fraction=None,
distr=None):
orders = self.generate_buy_queue_orders(symbol, lower_price,
upper_price, num_orders,
total_amount,
total_amount_fraction, distr)
client_order_id_header = str(int(time.time()))
price_scale = transaction_pairs[symbol].price_scale
algo_order_ids = []
for i, order in enumerate(orders):
client_order_id = f'{client_order_id_header}{symbol}{i:02d}'
order_price = float(order['price']) * profit
stop_price = order_price * 0.999
self.algo_client.create_order(
account_id=self.account_id,
symbol=symbol,
order_side=OrderSide.SELL,
order_type=AlgoOrderType.LIMIT,
order_size=order['amount'],
order_price=f'{order_price:.{price_scale}f}',
stop_price=f'{stop_price:.{price_scale}f}',
client_order_id=client_order_id)
algo_order_ids.append(client_order_id)
return results, orders, algo_order_ids
def cancel_all_algo_orders(self, order_ids):
results = [
self.algo_client.cancel_orders(order_id) for order_id in order_ids
]
return results
def update_timestamp(self):
now = int(time.time())
if now == self.latest_timestamp:
self.client_id_counter += 1
else:
self.latest_timestamp = now
self.client_id_counter = 0
def get_order(self, order_id):
return self.trade_client.get_order(order_id)
def create_order(self,
symbol,
price,
order_type,
amount=None,
amount_fraction=None):
pair = transaction_pairs[symbol]
if amount is None:
if order_type is OrderType.SELL_LIMIT or order_type is OrderType.SELL_MARKET:
amount = self.get_balance(pair.target) * amount_fraction
else:
amount = self.get_balance(pair.base) * amount_fraction
amount = f'{float(amount):.{pair.amount_scale}f}'
if price is not None:
price = f'{float(price):.{pair.price_scale}f}'
self.update_timestamp()
client_order_id = f'{self.latest_timestamp}{symbol}{self.client_id_counter:02d}'
order_id = self.trade_client.create_order(
symbol=symbol,
account_id=self.account_id,
order_type=order_type,
price=price,
amount=amount,
source=OrderSource.API,
client_order_id=client_order_id)
return order_id
@staticmethod
def get_time():
return int(time.time())
def get_previous_prices(self, symbol, window_type, window_size):
candlesticks = self.market_client.get_candlestick(
symbol, window_type, window_size)
return [(cs.id, (cs.open + cs.close) / 2)
for cs in sorted(candlesticks, key=lambda cs: cs.id)]
def create_buy_queue(self,
symbol,
lower_price,
upper_price,
num_orders,
total_amount=None,
total_amount_fraction=None,
distr=None):
newest_price = self.get_newest_price(symbol)
if upper_price > newest_price:
raise ValueError(
'Unable to buy at a price higher the the market price')
if lower_price >= upper_price:
raise ValueError('lower_price should be less than upper_price')
orders = self.generate_buy_queue_orders(symbol, lower_price,
upper_price, num_orders,
total_amount,
total_amount_fraction, distr)
return orders
def create_sell_queue(self,
symbol,
lower_price,
upper_price,
num_orders,
total_amount=None,
total_amount_fraction=None,
distr=None):
newest_price = self.get_newest_price(symbol)
if lower_price < newest_price:
raise ValueError(
'Unable to sell at a price lower the the market price')
if lower_price >= upper_price:
raise ValueError('lower_price should be less than upper_price')
prices = self.get_price_interval(lower_price, upper_price, num_orders,
OrderType.SELL_LIMIT)
normalized_amounts = self.get_normalized_amounts_with_distr(
num_orders, distr)
if total_amount is not None:
amounts = normalized_amounts * total_amount
elif total_amount_fraction is not None:
balance = self.get_balance(
transaction_pairs[symbol].target) * total_amount_fraction
amounts = normalized_amounts * balance
else:
raise ValueError(
'One of total_amount or total_amount_fraction should be given')
return self.submit_orders(symbol, prices, amounts,
OrderType.SELL_LIMIT)
def cancel_orders(self, symbol, order_ids):
cancel_results = []
for i in range(0, len(order_ids), MAX_CANCEL_ORDER_NUM):
cancel_result = self.trade_client.cancel_orders(
symbol, order_ids[i:i + MAX_CANCEL_ORDER_NUM])
cancel_results.append(cancel_result)
return cancel_results
def cancel_all_orders_with_type(self, symbol, order_type):
account_spot = self.account_client.get_account_by_type_and_symbol(
AccountType.SPOT, symbol=None)
orders = self.trade_client.get_open_orders(symbol=symbol,
account_id=account_spot.id,
direct=QueryDirection.NEXT)
sell_order_ids = [
str(order.id) for order in orders if order.type == order_type
]
if len(sell_order_ids) == 0:
return
return self.cancel_orders(symbol, sell_order_ids)
def cancel_all_buy_orders(self, symbol):
return self.cancel_all_orders_with_type(symbol, OrderType.BUY_LIMIT)
def cancel_all_sell_orders(self, symbol):
return self.cancel_all_orders_with_type(symbol, OrderType.SELL_LIMIT)
def sell_all_at_market_price(self, symbol):
return self.create_order(symbol=symbol,
price=None,
order_type=OrderType.SELL_MARKET,
amount_fraction=0.999)
def start_new_stop_loss_thread(self,
symbol,
stop_loss_price,
interval=10,
trailing_order=None):
from stop_loss import StopLoss
thread = StopLoss(symbol, self, stop_loss_price, interval,
trailing_order)
self.stop_loss_threads.append(thread)
def start_long_order_thread(self,
symbol,
buy_price,
profit,
amount=None,
amount_fraction=None,
stop_loss=0.9,
interval=10):
from long_order import LongOrder
thread = LongOrder(symbol, self, buy_price, profit, amount,
amount_fraction, stop_loss, interval)
self.long_order_threads.append(thread)