class RealEngine(Engine):
"""实盘引擎"""
def __init__(self, instance_id, config):
super().__init__(instance_id, config, DB_ORDERS_NAME)
exchange = config["exchange"]
if exchange == "binance":
self.__exchange = BinanceExchange(debug=True)
elif exchange == "okex":
self.__exchange = OkexExchange(debug=True)
else:
print("Wrong exchange name: %s" % exchange)
exit(1)
def now(self):
return datetime.datetime.now()
def get_klines(self, symbol, interval, size):
""" 获取日k线 """
return self.__exchange.get_klines(symbol, interval, size)
def get_klines_1day(self, symbol, size):
""" 获取日k线 """
return self.__exchange.get_klines_1day(symbol, size)
def get_account(self):
""" 获取账户信息 """
return self.__exchange.get_account()
def get_balances(self, *coins):
""" 获取余额 """
return self.__exchange.get_balances(*coins)
def get_position(self, symbol, cur_price):
""" 获取持仓信息 """
self.sync_orders(symbol)
orders = self.td_db.find(self.db_orders_name, {
"instance_id": self.instance_id,
"symbol": symbol
})
if len(orders) > 0:
now_ts = self.now().timestamp()
if orders[-1]["action"] == xq.OPEN_POSITION:
if "high" not in orders[-1] or orders[-1]["high"] < cur_price:
orders[-1]["high"] = cur_price
orders[-1]["high_time"] = now_ts
self.td_db.update_one(
self.db_orders_name,
orders[-1]["_id"],
{
"high": cur_price,
"high_time": now_ts,
},
)
if "low" not in orders[-1] or orders[-1]["low"] > cur_price:
orders[-1]["low"] = cur_price
orders[-1]["low_time"] = now_ts
self.td_db.update_one(
self.db_orders_name,
orders[-1]["_id"],
{
"low": cur_price,
"low_time": now_ts,
},
)
return self._get_position(symbol, orders, cur_price)
def get_open_orders(self, symbol):
""" 是否有open状态的委托 """
return self.td_db.find(
DB_ORDERS_NAME,
{
"instance_id": self.instance_id,
"symbol": symbol,
"status": xq.ORDER_STATUS_OPEN,
},
)
def sync_orders(self, symbol):
orders = self.get_open_orders(symbol)
if not orders:
return
df_amount, df_value = self.__exchange.get_deals(symbol)
for order in orders:
self.log_debug("order: %r" % order)
order_id = order["order_id"]
order_amount = order["amount"]
if order_id not in df_amount.index:
""" 没有成交信息 """
continue
deal_amount = df_amount[order_id]
target_coin, base_coin = xq.get_symbol_coins(symbol)
deal_amount = ts.reserve_float(deal_amount,
self.config["digits"][target_coin])
deal_value = df_value[order_id]
status = xq.ORDER_STATUS_OPEN
if deal_amount > order_amount:
self.log_error("最新成交数量(%f)大于委托数量(%f) %g" %
(deal_amount, order_amount,
(deal_amount - order_amount)))
continue
elif deal_amount == order_amount:
status = xq.ORDER_STATUS_CLOSE
else:
if deal_amount < order["deal_amount"]:
self.log_warning("最新成交数量小于委托里记载的旧成交数量")
continue
elif deal_amount == order["deal_amount"]:
self.log_info("成交数量没有更新")
else:
pass
if self.__exchange.order_status_is_close(symbol, order_id):
status = xq.ORDER_STATUS_CLOSE
self.log_debug(
"deal_amount: %f, deal_value: %g, deal_price: %g" %
(deal_amount, deal_value, deal_value / deal_amount))
self.td_db.update_one(
DB_ORDERS_NAME,
order["_id"],
{
"deal_amount": deal_amount,
"deal_value": deal_value,
"status": status,
},
)
return
def send_order_limit(self, direction, action, symbol, pst_rate, cur_price,
limit_price, amount, rmk):
""" 提交委托 """
"""
_id = self._db.insert_one(
DB_ORDERS_NAME,
{
"create_time": self.now().timestamp(),
"instance_id": self.instance_id,
"symbol": symbol,
"side": side,
"pst_rate": pst_rate,
"type": xq.ORDER_TYPE_LIMIT,
"price": limit_price,
"amount": amount,
"status": xq.ORDER_STATUS_WAIT,
"order_id": "",
"cancle_amount": 0,
"deal_amount": 0,
"deal_value": 0,
},
)
order_id = self.__exchange.send_order(
side, xq.ORDER_TYPE_LIMIT, symbol, limit_price, amount, _id
)
self._db.update_one(
DB_ORDERS_NAME, _id, {"order_id": order_id, "status": xq.ORDER_STATUS_OPEN}
)
"""
# 暂时简单处理
order_id = self.__exchange.send_order(direction, action,
xq.ORDER_TYPE_LIMIT, symbol,
limit_price, amount)
_id = self.td_db.insert_one(
DB_ORDERS_NAME,
{
"create_time": self.now().timestamp(),
"instance_id": self.instance_id,
"symbol": symbol,
"direction": direction,
"action": action,
"pst_rate": pst_rate,
"type": xq.ORDER_TYPE_LIMIT,
"market_price": cur_price,
"price": limit_price,
"amount": amount,
"status": xq.ORDER_STATUS_OPEN,
"order_id": order_id,
"cancle_amount": 0,
"deal_amount": 0,
"deal_value": 0,
"rmk": rmk,
},
)
return order_id
def cancle_orders(self, symbol):
""" 撤掉本策略的所有挂单委托 """
orders = self.get_open_orders(symbol)
if not orders:
return
e_order_ids = self.__exchange.get_open_order_ids(symbol)
for order in orders:
order_id = order["order_id"]
if order_id not in e_order_ids:
continue
self.__exchange.cancel_order(symbol, order_id)
self.td_db.update_one(DB_ORDERS_NAME, order["_id"],
{"status": xq.ORDER_STATUS_CANCELLING})
def run(self, strategy, debug):
""" run """
while True:
tick_start = datetime.datetime.now()
self.log_info(
"%s tick start......................................" %
tick_start)
if debug:
strategy.on_tick()
else:
try:
strategy.on_tick()
except Exception as ept:
self.log_critical(ept)
tick_end = datetime.datetime.now()
self.log_info(
"%s tick end...; tick cost: %s -----------------------\n\n" %
(tick_end, tick_end - tick_start))
time.sleep(strategy.config["sec"])
class RealEngine(Engine):
"""实盘引擎"""
def __init__(self, instance_id, config):
super().__init__(instance_id, config, DB_ORDERS_NAME)
exchange = config["exchange"]
if exchange == "binance":
self.__exchange = BinanceExchange(debug=True)
elif exchange == "okex":
self.__exchange = OkexExchange(debug=True)
else:
print("Wrong exchange name: %s" % exchange)
exit(1)
def now(self):
return datetime.datetime.now()
def get_klines_1day(self, symbol, size):
""" 获取日k线 """
return self.__exchange.get_klines_1day(symbol, size)
def get_balances(self, *coins):
""" 获取余额 """
return self.__exchange.get_balances(*coins)
def get_position(self, symbol, cur_price):
""" 获取持仓信息 """
self.sync_orders(symbol)
orders = self._db.find(self.db_orders_name, {
"instance_id": self.instance_id,
"symbol": symbol
})
return self._get_position(symbol, orders, cur_price)
def has_open_orders(self, symbol):
""" 是否有open状态的委托 """
db_orders = self._db.find(
DB_ORDERS_NAME,
{
"instance_id": self.instance_id,
"symbol": symbol,
"status": xq.ORDER_STATUS_OPEN,
},
)
if db_orders:
return True
return False
def sync_orders(self, symbol):
""" 同步委托。注意：触发是本策略有未完成的委托，但同步是account下所有委托，避免重复查询成交 """
if not self.has_open_orders(symbol):
return
orders = self._db.find(DB_ORDERS_NAME, {
"symbol": symbol,
"status": xq.ORDER_STATUS_OPEN
})
if not orders:
return
df_amount, df_value = self.__exchange.get_deals(symbol)
for order in orders:
logging.debug("order: %r", order)
order_id = order["order_id"]
order_amount = order["amount"]
if order_id not in df_amount.index:
""" 没有成交信息 """
continue
deal_amount = df_amount[order_id]
deal_value = df_value[order_id]
status = xq.ORDER_STATUS_OPEN
if deal_amount > order_amount:
logging.error("最新成交数量大于委托数量")
continue
elif deal_amount == order_amount:
status = xq.ORDER_STATUS_CLOSE
else:
if deal_amount < order["deal_amount"]:
logging.warning("最新成交数量小于委托里记载的旧成交数量")
continue
elif deal_amount == order["deal_amount"]:
logging.info("成交数量没有更新")
else:
pass
if self.__exchange.order_status_is_close(symbol, order_id):
status = xq.ORDER_STATUS_CLOSE
logging.debug("deal_amount: %s, deal_value: %s", deal_amount,
deal_value)
self._db.update_one(
DB_ORDERS_NAME,
order["_id"],
{
"deal_amount": deal_amount,
"deal_value": deal_value,
"status": status,
},
)
return
def send_order_limit(self, side, symbol, pst_rate, cur_price, limit_price,
amount, rmk):
""" 提交委托 """
"""
_id = self._db.insert_one(
DB_ORDERS_NAME,
{
"create_time": self.now().timestamp(),
"instance_id": self.instance_id,
"symbol": symbol,
"side": side,
"pst_rate": pst_rate,
"type": xq.ORDER_TYPE_LIMIT,
"pirce": limit_price,
"amount": amount,
"status": xq.ORDER_STATUS_WAIT,
"order_id": "",
"cancle_amount": 0,
"deal_amount": 0,
"deal_value": 0,
},
)
order_id = self.__exchange.send_order(
side, xq.ORDER_TYPE_LIMIT, symbol, limit_price, amount, _id
)
self._db.update_one(
DB_ORDERS_NAME, _id, {"order_id": order_id, "status": xq.ORDER_STATUS_OPEN}
)
"""
# 暂时简单处理
order_id = self.__exchange.send_order(side, xq.ORDER_TYPE_LIMIT,
symbol, limit_price, amount)
_id = self._db.insert_one(
DB_ORDERS_NAME,
{
"create_time": self.now().timestamp(),
"instance_id": self.instance_id,
"symbol": symbol,
"side": side,
"pst_rate": pst_rate,
"type": xq.ORDER_TYPE_LIMIT,
"pirce": limit_price,
"amount": amount,
"status": xq.ORDER_STATUS_OPEN,
"order_id": order_id,
"cancle_amount": 0,
"deal_amount": 0,
"deal_value": 0,
"rmk": rmk,
},
)
return order_id
def cancle_orders(self, symbol):
""" 撤掉本策略的所有挂单委托 """
if not self.has_open_orders(symbol):
return
orders = self.__exchange.get_open_orders(symbol)
for order in orders:
if order["instance_id"] == self.instance_id:
self._db.update_one(DB_ORDERS_NAME, order["_id"],
{"status": xq.ORDER_STATUS_CANCELLING})
self.__exchange.cancel_order(symbol, order["order_id"])
def run(self, strategy):
""" run """
while True:
tick_start = datetime.datetime.now()
logging.info("%s tick start......................................",
tick_start)
strategy.on_tick()
tick_end = datetime.datetime.now()
logging.info(
"%s tick end...; tick cost: %s -----------------------\n\n",
tick_end,
tick_end - tick_start,
)
time.sleep(strategy.config["sec"])