def sell_less_batch(coin_name, time_type, latest_price, lever_rate=20):
global processing, less2more
processing = True
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type, "1"))
flag = True
ret = u'没有做空订单'
while len(jRet["holding"]) > 0:
cancel_uncompleted_order(coin_name, time_type)
if flag:
amount = jRet["holding"][0]["sell_available"]
order_data = gen_orders_data(latest_price, amount, 4, 5)
ret = okFuture.future_batchTrade(coin_name + "_usd", time_type,
order_data, lever_rate)
flag = False
else:
sell_available = jRet["holding"][0]["sell_available"]
ret = okFuture.future_trade(coin_name + "_usd", time_type, '',
sell_available, 4, 1, lever_rate)
if 'true' in ret:
time.sleep(5)
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type,
"1"))
sell_less_suc()
if less2more == 1:
if buyin_more(coin_name, time_type, latest_price):
info = u'发出反手做多信号！！！买入价格：' + str(latest_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
less2more = 0
email_msg = "做空%s批量卖出成交, 时间: %s, 成交结果: %s" \
% (coin_name, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg, ))
processing = False
return True
if order_type == 1:
more = 1
elif order_type == 2:
less = 1
elif order_type == 3:
more = 0
elif order_type == 4:
less = 0
elif status == -1:
del_list.append(old_order_id)
elif int(ts) > int(order_info['create_date'] / 1000) + 3:
okFuture.future_cancel(coin.name + "_usd", time_type,
old_order_id)
if order_type == 1:
order_id = buyin_more(okFuture, coin.name, time_type,
buy_price)
if order_id:
order_id_queue.append(order_id)
elif order_type == 2:
order_id = buyin_less(okFuture, coin.name, time_type,
sell_price)
if order_id:
order_id_queue.append(order_id)
elif order_type == 3:
order_id = sell_more_price(okFuture, coin.name,
time_type, sell_price)
if order_id:
order_id_queue.append(order_id)
elif order_type == 4:
order_id = sell_less_price(okFuture, coin.name,
time_type, buy_price)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, buy_sell_ratio, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_minute_ts, last_second_ts, order_id_queue, now_time
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
exe_second(ts)
exe_minute(ts)
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
# 单边上涨行情持有做多单，达到卖出条件
if more == 1:
if price_1m_change <= -0.2 or price_5m_change <= 0:
if sell_more_batch(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
# 单边下跌行情持有做空单，达到卖出条件
elif less == 1:
if price_1m_change >= 0.2 or price_5m_change >= 0:
if sell_less_batch(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
# 单边上涨行情
if price_1m_change >= incr_1m_rate and price_5m_change >= incr_5m_rate:
# 撤单开空、平多单
cancel_uncompleted_order(coin.name, time_type, 2)
cancel_uncompleted_order(coin.name, time_type, 3)
# 撤单平空单
cancel_uncompleted_order(coin.name, time_type, 4)
# 空单全部卖出
if sell_less_batch(coin.name, time_type, latest_price):
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
# 做多买入
if buyin_more(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(
ensure_buyin_more,
(coin.name, time_type, latest_price))
# 单边下跌行情
elif price_1m_change < -incr_1m_rate and price_5m_change < -incr_5m_rate:
# 撤单开多，平空单
cancel_uncompleted_order(coin.name, time_type, 1)
cancel_uncompleted_order(coin.name, time_type, 4)
# 撤单平多单
cancel_uncompleted_order(coin.name, time_type, 3)
# 多单全部卖出
if sell_more_batch(coin.name, time_type, latest_price):
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
# 做空买入
if buyin_less(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(
ensure_buyin_less,
(coin.name, time_type, latest_price))
if -0.05 < price_1m_change < 0.05 and -0.02 < price_10s_change < 0.02 and ind_1min.vol < 6000 and ind_10s.vol < 1000:
more_order_id, less_order_id = buyin_moreandless(
coin.name, time_type, latest_price, 20, buy_sell_ratio)
if more_order_id:
order_id_queue.append(more_order_id)
print('more order_id: %s' % more_order_id)
if less_order_id:
order_id_queue.append(less_order_id)
print('less order_id: %s' % less_order_id)
def on_message(ws, message):
if 'pong' in message or 'addChannel' in message:
return
global more, less, buy_price, write_lines
jmessage = json.loads(message)
coin_name = jmessage[0]['channel'].split('_')[3]
data = jmessage[0]['data']
index = float(data['futureIndex'])
timestamp = int(data['timestamp'])
now_time = timestamp2string(timestamp)
index_entity = IndexEntity(coin_name, index, timestamp)
coin_info = "coin: %s, index: %.2f, time: %s" % (coin_name, index, now_time)
if coin_name == 'btc':
handle_deque(btc_deque_1s, index_entity, btc_ind_1s)
handle_deque(btc_deque_1min, index_entity, btc_ind_1min)
handle_deque(btc_deque_5min, index_entity, btc_ind_5min)
elif coin_name == 'eth':
handle_deque(eth_deque_1s, index_entity, eth_ind_1s)
handle_deque(eth_deque_1min, index_entity, eth_ind_1min)
handle_deque(eth_deque_5min, index_entity, eth_ind_5min)
elif coin_name == 'ltc':
handle_deque(ltc_deque_1s, index_entity, ltc_ind_1s)
handle_deque(ltc_deque_1min, index_entity, ltc_ind_1min)
handle_deque(ltc_deque_5min, index_entity, ltc_ind_5min)
btc_avg_1s_price = btc_ind_1s.cal_avg_price()
btc_avg_min_price = btc_ind_1min.cal_avg_price()
btc_avg_5m_price = btc_ind_5min.cal_avg_price()
eth_avg_1s_price = eth_ind_1s.cal_avg_price()
eth_avg_min_price = eth_ind_1min.cal_avg_price()
eth_avg_5m_price = eth_ind_5min.cal_avg_price()
ltc_avg_1s_price = ltc_ind_1s.cal_avg_price()
ltc_avg_min_price = ltc_ind_1min.cal_avg_price()
ltc_avg_5m_price = ltc_ind_5min.cal_avg_price()
btc_1m_change = cal_rate(btc_avg_1s_price, btc_avg_min_price)
btc_5m_change = cal_rate(btc_avg_1s_price, btc_avg_5m_price)
eth_1m_change = cal_rate(eth_avg_1s_price, eth_avg_min_price)
eth_5m_change = cal_rate(eth_avg_1s_price, eth_avg_5m_price)
ltc_1m_change = cal_rate(ltc_avg_1s_price, ltc_avg_min_price)
ltc_5m_change = cal_rate(ltc_avg_1s_price, ltc_avg_5m_price)
weighted_1min_rate = btc_1m_change * btc_weight + eth_1m_change * eth_weight + ltc_1m_change * ltc_weight
weighted_5min_rate = btc_5m_change * btc_weight + eth_5m_change * eth_weight + ltc_5m_change * ltc_weight
if more == 1 and not processing:
if weighted_5min_rate <= 0:
thread.start_new_thread(sell_more_batch, (coin.name, time_type, latest_price,))
elif less == 1 and not processing:
if weighted_5min_rate >= 0:
thread.start_new_thread(sell_less_batch, (coin.name, time_type, latest_price,))
elif weighted_1min_rate >= incr_1m_rate and weighted_5min_rate >= incr_5m_rate \
and btc_5m_change >= incr_1m_rate and eth_5m_change >= incr_1m_rate and ltc_5m_change >= incr_1m_rate:
if buyin_more(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(ensure_buyin_more, (coin.name, time_type, latest_price,))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif weighted_1min_rate <= -incr_1m_rate and weighted_5min_rate <= -incr_5m_rate \
and btc_5m_change < -incr_1m_rate and eth_5m_change < -incr_1m_rate and ltc_5m_change < -incr_1m_rate:
if buyin_less(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(ensure_buyin_less, (coin.name, time_type, latest_price,))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
btc_rate_info = u'btc 1min_rate: %.2f%%, 5min_rate: %.2f%%' % (btc_1m_change, btc_5m_change)
eth_rate_info = u'eth 1min_rate: %.2f%%, 5min_rate: %.2f%%' % (eth_1m_change, eth_5m_change)
ltc_rate_info = u'ltc 1min_rate: %.2f%%, 5min_rate: %.2f%%' % (ltc_1m_change, ltc_5m_change)
weighted_rate_info = u'weighted 1min_rate: %.3f%%, 5min_rate: %.3f%%' % (weighted_1min_rate, weighted_5min_rate)
print(coin_info)
print(btc_rate_info)
print(eth_rate_info)
print(ltc_rate_info)
print(weighted_rate_info)
write_info = coin_info + '\n' + btc_rate_info + '\n' + eth_rate_info + '\n' + ltc_rate_info + '\n' \
+ weighted_rate_info + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 10:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, macd_5min, last_5min_macd_ts
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts / 1000) >= 300:
last_5min_macd_ts = int(ts)
macd_5min, diff_5min, dea_5min, last_5min_macd_ts = get_macd_val(
okFuture, coin.name + "_usd", time_type, "5min", 300)
print(macd_5min, diff_5min, dea_5min,
timestamp2string(last_5min_macd_ts))
if more == 0 and less == 0:
ret = json.loads(
okFuture.future_position_4fix(coin.name + "_usd", "quarter",
"1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
else:
print("确认未持仓")
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if more == 1:
if price_1m_change <= -0.2 or price_5m_change <= 0:
if sell_more_batch(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
elif less == 1:
if price_1m_change >= 0.2 or price_5m_change >= 0:
if sell_less_batch(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
elif check_vol():
if price_1m_change >= incr_1m_rate and price_5m_change >= incr_5m_rate:
if ind_3s.bid_vol >= vol_3s_bal * ind_3s.ask_vol and ind_1min.bid_vol >= vol_1m_bal * ind_1min.ask_vol:
if buyin_more(okFuture, coin.name, time_type,
latest_price):
more = 1
thread.start_new_thread(ensure_buyin_more, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
elif price_5m_change <= -incr_5m_rate and price_1m_change <= -incr_1m_rate:
if ind_3s.ask_vol >= vol_3s_bal * ind_3s.bid_vol and ind_1min.ask_vol >= vol_1m_bal * ind_1min.bid_vol:
if buyin_less(okFuture, coin.name, time_type,
latest_price):
less = 1
thread.start_new_thread(ensure_buyin_less, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f' \
% (price_10s_change, price_1m_change, price_5m_change, macd_5min)
write_info = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
def on_message(ws, message):
message = bytes.decode(inflate(message), 'utf-8') # data decompress
if 'pong' in message or 'addChannel' in message:
return
global latest_price, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, moreless, lessmore, \
lessless, moremore, deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, highest, \
lowest, vol_24h, new_macd, last_1min_ts, random_times
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_1min_ts) >= 5:
coin_list = ["etc", "btc", "eth", "eos", "ltc", "xrp"]
weight_list = [0.15, 0.35, 0.15, 0.15, 0.1, 0.1]
last_1min_ts = int(ts)
rate_list = coin_avg_price_change(coin_list, 1)
all_coins_1min_price_change = float(
np.sum([
rate_list[i] * weight_list[i] for i in range(len(coin_list))
]))
avg_info = ''
for i in range(len(coin_list)):
avg_info += coin_list[i] + ': ' + str(rate_list[i]) + ' '
avg_info += 'avg: %.3f, time: %s\r\n' % (all_coins_1min_price_change,
timestamp2string(ts))
print(avg_info)
write_lines.append(avg_info)
if all_coins_1min_price_change < -0.6 and lessless == 0 and moremore == 0:
for i in range(random_times):
if random.random() >= 0.9:
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if ind_1min.ask_vol > 2 * ind_1min.bid_vol and ind_10s.ask_vol > 5 * ind_10s.bid_vol \
and price_10s_change < 0 and price_1m_change < -0.1 and price_5m_change < -0.3 \
and ind_1min.vol > 8 * vol_24h:
if buyin_less(okFuture, coin.name, time_type,
latest_price - 0.01):
lessless = 1
thread.start_new_thread(ensure_buyin_less, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price - 0.01
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
break
random_times *= 2
elif all_coins_1min_price_change > 0.6 and lessless == 0 and moremore == 0:
for i in range(random_times):
if random.random() >= 0.9:
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
if ind_5m.ask_vol < ind_5m.bid_vol and ind_3m.ask_vol < ind_3m.bid_vol \
and 2 * ind_1min.ask_vol < ind_1min.bid_vol and 5 * ind_10s.ask_vol < ind_10s.bid_vol \
and price_10s_change > 0 and price_1m_change > 0.1 and price_5m_change > 0.3 \
and ind_1min > 8 * vol_24h:
if buyin_more(okFuture, coin.name, time_type,
latest_price + 0.01):
moremore = 1
thread.start_new_thread(ensure_buyin_more, (
okFuture,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price + 0.01
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
break
random_times *= 2
else:
random_times = 1
if int(ts) - int(last_5min_macd_ts) >= 180:
last_5min_macd_ts = int(ts)
ticker = futureAPI.get_specific_ticker(coin.get_future_instrument_id())
vol_24h = int(
int(ticker['volume_24h']) * 10 / 24 / 60 / float(ticker['last']))
symbol = coin.name + "_usd"
contract_type = "quarter"
df = get_future_Nval(okFuture, symbol, contract_type, "15min", 200, 16)
highest = list(df['highest'])[-1]
lowest = list(df['lowest'])[-1]
df = get_macd(okFuture, coin.name + "_usd", "quarter", "5min", 300)
diff = list(df['diff'])
dea = list(df['dea'])
new_macd = 2 * (diff[-1] - dea[-1])
if more == 0 and less == 0 and lessmore == 0 and moreless == 0 and lessless == 0 and moremore == 0:
ret = json.loads(
okFuture.future_position_4fix(coin.name + "_usd", "quarter",
"1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
else:
print("确认未持仓")
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_3m, deal_entity, ts, ind_3m)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if lessless == 1:
if price_5m_change > 0 and new_macd > 0:
if sell_less_batch(okFuture, coin.name, time_type,
latest_price):
lessless = 0
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
info = u'做空止盈，盈利%.3f, time: %s' % (
buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_5m_change > 0 and latest_price > buy_price - 0.02:
if sell_less_batch(okFuture, coin.name, time_type,
latest_price):
lessless = 0
thread.start_new_thread(ensure_sell_less, (
okFuture,
coin.name,
time_type,
))
info = u'做空止损，盈利%.3f, time: %s' % (
buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif moremore == 1:
if price_5m_change < 0 and new_macd < 0:
if sell_more_batch(okFuture, coin.name, time_type,
latest_price):
moremore = 0
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
info = u'做多止盈，盈利%.3f, time: %s' % (latest_price -
buy_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_5m_change < 0 and latest_price < buy_price + 0.02:
if sell_more_batch(okFuture, coin.name, time_type,
latest_price):
moremore = 0
thread.start_new_thread(ensure_sell_more, (
okFuture,
coin.name,
time_type,
))
info = u'做多止损，盈利%.3f, time: %s' % (latest_price -
buy_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, highest: %.4f, lowest: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, highest, lowest, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, ' \
u'3s_ask_vol: %.3f, 3s_bid_vol: %.3f, 24h_vol: %.3f, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol, vol_24h, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f' \
% (price_10s_change, price_1m_change, price_5m_change, new_macd)
write_info = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
def on_message(ws, message):
if 'pong' in message or 'addChannel' in message:
return
print(message)
global latest_price, last_avg_price, buy_price, last_last_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, less2more, more2less
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
deal_entity = DealEntity(jdata[0], float(jdata[1]),
round(float(jdata[2]), 3), ts, jdata[4])
handle_deque(deque_3s, deal_entity, ts, ind_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
price_10s_change = cal_rate(avg_3s_price, avg_10s_price)
price_1m_change = cal_rate(avg_3s_price, avg_min_price)
price_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if more == 1 and not processing:
if avg_3s_price <= 1.001 * avg_5m_price or price_1m_change <= -incr_1m_rate:
# 反手做空
if price_1m_change <= -incr_1m_rate:
more2less = 1
sell_more_batch(coin.name, time_type, latest_price)
elif less == 1 and not processing:
if avg_3s_price >= 0.999 * avg_5m_price or price_1m_change >= incr_1m_rate:
# 反手做多
if price_1m_change >= incr_1m_rate:
less2more = 1
sell_less_batch(coin.name, time_type, latest_price)
elif more2less == 1 and not processing:
if price_1m_change >= 0:
sell_less_batch(coin.name, time_type, latest_price)
elif less2more == 1 and not processing:
if price_1m_change <= 0:
sell_more_batch(coin.name, time_type, latest_price)
elif check_vol():
if latest_price > avg_3s_price > avg_10s_price > last_avg_price > last_last_price \
and incr_1m_rate <= price_1m_change < price_5m_change and incr_5m_rate <= price_5m_change < 1.5 \
and 0.05 <= price_10s_change <= 0.2\
and ind_1min.bid_vol > float(2 * ind_1min.ask_vol) \
and ind_3s.bid_vol > float(5 * ind_3s.ask_vol):
if buyin_more(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(ensure_buyin_more, (
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif latest_price < avg_3s_price < avg_10s_price < last_avg_price < last_last_price \
and -1.5 < price_5m_change <= -incr_5m_rate and price_5m_change < price_1m_change <= -incr_1m_rate \
and -0.2 <= price_10s_change <= -0.05 \
and ind_1min.ask_vol > float(4 * ind_1min.bid_vol) and ind_3s.ask_vol > float(5 * ind_3s.bid_vol):
if buyin_less(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(ensure_buyin_less, (
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if last_avg_price != avg_10s_price:
last_last_price = last_avg_price
last_avg_price = avg_10s_price
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol, ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_5m_change)
write_info = price_info + u', ' + vol_info + u', ' + rate_info + u', ' + now_time + '\r\n'
write_lines.append(write_info)
if len(write_lines) >= 100:
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines(write_lines)
write_lines = []
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)