def get_soc_wicc_day_prices():
# 2018-09-12 今天取前百日(本来想取200, 但是soc和wicc对usdt的交易没这么多数据)的数据算出 k = 9.0902; n = 0.0468
# soc_kline = HuobiService.get_kline("socusdt", "1day", "100")
'''
2018-09-18 11:11 今天取百日数据算的 k = 6.9950; n = 0.1150; 用这组数据回测收益较低, 所以这里取106日的数据试试
2018-09-18 106日的数据算出来 k = 9.1002; n = 0.0458
'''
days = 106
soc_kline = HuobiService.get_kline("socusdt", "1day", "%d" % days)
soc_day_prices = []
for soc_bean in soc_kline['data']:
soc_day_prices.append(float(soc_bean['close']))
print soc_day_prices
common_utils.write_json("soc_day_prices.txt", soc_day_prices, list)
time.sleep(5)
wicc_kline = HuobiService.get_kline("wiccusdt", "1day", "%d" % days)
wicc_day_prices = []
for wicc_bean in wicc_kline['data']:
wicc_day_prices.append(float(wicc_bean['close']))
print wicc_day_prices
common_utils.write_json("wicc_day_prices.txt", wicc_day_prices, list)
def on_minute():
global kline, usdt, buythresh, sellupthresh, selldownthresh
Timer(60, on_minute).start()
curtime = int(time())
# 更新价格
try:
for symbol in kline:
klinedata = HuobiService.get_kline(symbol, '1min', 1)['data'][0]
kline[symbol]['time'] = klinedata['id']
kline[symbol]['high'] = klinedata['high']
kline[symbol]['low'] = klinedata['low']
kline[symbol]['open'] = klinedata['open']
kline[symbol]['close'] = klinedata['close']
print symbol, kline[symbol], kline[symbol]
if curtime - klinedata['id'] > 120:
print 'Time different from server:', symbol
coinid = symbol.replace('usdt', '')
# 如果购买则更新maxprice
if coinid in usdtcoins and usdtcoins[coinid]['buy']:
if klinedata['high'] > usdtcoins[coinid]['maxprice']:
usdtcoins[coinid]['maxprice'] = klinedata['high']
except Exception as e:
print 'Error in get_kline', e.message
return
# 更新当前货币量
try:
balancedata = get_balance()
for item in balancedata:
if item['type'] == 'trace' and (
item['currency']) in usdtcoins: # 不算冻结资金
usdtcoins[item]['balance'] = float(item['balance'])
except Exception as e:
pass
# 检测哪些币要卖
buyable_symbols = []
for symbol in kline:
# 策略2 => 1分钟内涨幅降幅超过各自门限的多个币 均摊
optype = 'none' # none buy sell
if symbol.endswith('usdt') and symbol != 'usdt':
coinid = symbol.replace('usdt', '')
op = kline[symbol]['open'] # 开盘价
cp = kline[symbol]['close'] # 收盘价
bp = usdtcoins[coinid]['buyprice']
mp = usdtcoins[coinid]['maxprice']
if cp / op > buythresh: # 涨到一定程度则入手
buyable_symbols.append(symbol)
#elif bp > 0.0 and (cp / bp > sellupthresh or cp / bp < selldownthresh): # 已经入手且降到一定程度则出手
# optype = 'buy-market'
elif mp > 0.0 and cp / mp < selldownthresh:
# 市价卖出，清除数据
sell(usdtcoins[coinid]['balance'], symbol)
usdtcoins[coinid] = {
'buyprice': 0.0,
'maxprice': 0.0,
'balance': 0.0,
'optype': 'none'
}
# 更新卖出后的usdt数量 #需要等待吗？
usdtamount = 0.0
try:
balancedata = get_balance()
for item in balancedata:
coinid = item['currency']
if item['type'] == 'trace' and coinid in usdtcoins: # 不算冻结资金
usdtcoins[item]['balance'] = float(item['balance'])
if coinid == 'usdt':
usdtamount = float(item['balance'])
except Exception as e:
pass
if usdtamount > 1.0 and len(buyable_symbols) > 0: # 如果有可买货币则进行对冲
splitamount = usdtamount / len(buyable_symbols)
for symbol in buyable_symbols:
coinid = symbol.replace('usdt', '')
buy(splitamount, symbol)
usdtcoins[coinid]['buy'] = True