def initialize_arb():
welcome_message = "\n\n---------------------------------------------------------\n\n"
welcome_message += "Binance auto trading bot\n"
bot_start_time = str(datetime.now())
welcome_message += "\nBot Start Time: {}\n\n\n".format(bot_start_time)
logger.info(welcome_message)
time.sleep(1)
status = client.get_system_status()
logger.info("\nExchange Status: {}" % status)
# step1 第一入口
# 1.2 借出币
if loan_enabled:
loan_asset(coin_symbol, loan)
# step2 监听杠杆交易
global bm, conn_key
bm = BinanceSocketManager(client)
conn_key = bm.start_margin_socket(process_message)
logger.info("websocket Conn key: {}".format(conn_key))
bm.setDaemon(True)
bm.start()
# 根据KDJ线 + Bolling线 定期执行, 主进程
t = threading.Thread(target=kdj_signal_loop, args=(pair_symbol, ))
t.start()
# 30分钟ping user websocket，key可以存活1个小时
l = threading.Thread(target=get_margin_stream_keepalive, args=(conn_key, ))
l.setDaemon(True)
l.start()
# 30分钟检查一下过期的订单，主动取消。保证可以挂新订单。
t = threading.Thread(target=outdated_order_clear, args=(pair_symbol, ))
t.setDaemon(True)
t.start()
class BinanceDataListener(ExchangeDataListener):
PORTFOLIO_UPDATE_STRING = 'outboundAccountInfo'
ORDER_UPDATE_STRING = 'executionReport'
def __init__(self, exchangeClient, marketDataManager, marketRulesManager,
portfolioManager, orderManager):
super(BinanceDataListener,
self).__init__(exchangeClient, marketDataManager,
marketRulesManager, portfolioManager,
orderManager)
self.binanceSocket = BinanceSocketManager(
self.exchangeClient.getRawClient())
self.binanceSocket.setDaemon(True)
self.log.init(logForceDebug=False)
def dispatchUserDataUpdate(self, msg):
self.log.debug('User data message received: ' + str(msg))
if msg['e'] == self.PORTFOLIO_UPDATE_STRING:
self.processPortfolioUpdate(msg)
elif msg['e'] == self.ORDER_UPDATE_STRING:
self.processOrderUpdate(msg)
def parseOrderUpdate(self, msg):
symbol = msg['s']
quoteAsset = SupportedQuoteAsset.getQuoteAsset(
symbol, BINANCE_SUPPORTED_QUOTE_ASSET)
baseAsset = symbol[:len(symbol) - len(quoteAsset)]
orderResponse = OrderResponse(
baseAsset=baseAsset,
quoteAsset=quoteAsset,
orderSide=BinanceOrderSideMapper.getCretenValue(msg['S']),
orderType=BinanceOrderTypeMapper.getCretenValue(msg['o']),
origQty=msg['q'],
lastExecutedQty=msg['l'],
sumExecutedQty=msg['z'],
price=msg['p'],
orderTmstmp=datetime.fromtimestamp(msg['T'] / 1000),
orderState=BinanceOrderStateMapper.getCretenValue(msg['X']),
clientOrderId=msg['c'],
extOrderRef=msg['i'],
rawData=msg)
return orderResponse
def parsePortfolioUpdate(self, msg):
positions = []
for balance in msg['B']:
asset = balance['a']
free = float(balance['f'])
locked = float(balance['l'])
# TODO do only for subscribed pairs
positions.append(Position(asset, free, locked))
return positions
def parseCandleUpdate(self, msg):
symbol = msg['s']
quoteAsset = SupportedQuoteAsset.getQuoteAsset(
symbol, BINANCE_SUPPORTED_QUOTE_ASSET)
baseAsset = symbol[:len(symbol) - len(quoteAsset)]
interval = msg['k']['i']
kline = msg['k']
cretenInterval = BinanceIntervalMapper.getCretenValue(interval)
candle = Candle(
baseAsset=baseAsset,
quoteAsset=quoteAsset,
interval=cretenInterval,
openTime=datetime.fromtimestamp(int(kline['t']) / 1000),
open=kline['o'],
high=kline['h'],
low=kline['l'],
close=kline['c'],
volume=kline['v'],
closeTime=datetime.fromtimestamp(int(kline['T']) / 1000),
quoteAssetVolume=kline['q'],
tradesNb=kline['n'],
takerBuyBaseAssetVol=kline['V'],
takerBuyQuoteAssetVol=kline['Q'],
isClosing=kline['x'])
return candle
def start(self):
# subsribe candle listeners
for candleSubscription in self.candleSubscriptions:
binanceInterval = BinanceIntervalMapper.getBinanceValue(
candleSubscription.cretenInterval)
self.binanceSocket.start_kline_socket(
candleSubscription.pair.getSymbol(), self.processCandleUpdate,
binanceInterval)
# subscribe user data listener
self.binanceSocket.start_user_socket(self.dispatchUserDataUpdate)
# start listening
self.binanceSocket.start()
