def __WorkThread():
"""
数据下载线程
如果换成别的交易所，需要改这个函数里的下载那一行代码
"""
global __exceptionTime,__exceptionCount, __terminated
while(True):
if __terminated:
break
try:
startTime = time.time()
depthData = HuobiServices.get_depth(__symbol,'step0')
endTime = time.time()
usedTime = endTime - startTime
waitTime = 1 - usedTime - 0.1
if depthData != None and depthData['status'] == 'ok':
bid1 = depthData['tick']['bids'][0][0]
ask1 = depthData['tick']['asks'][0][0]
__ParseData(bid1,ask1)
if waitTime > 0:
time.sleep(waitTime)
except Exception as e:
if __exceptionTime < 0:
__exceptionTime = int(time.time())
__exceptionCount += 1
Log.Print("Download Data Exception: ",str(e))
Log.Info(__logFile,"Download Data Exception: " + str(e))
time.sleep(1)
finally:
if __exceptionTime > 0:
currTime = int(time.time())
diffSeconds = currTime - __exceptionTime
if diffSeconds >= 60:
#print("Exceptioin Count in 1Min:",__exceptionCount)
Log.Info(__logFile,"Exception Count in 1Min: {}".format(__exceptionCount))
if __exceptionCount > 10:
Log.Print("more than 15 times Exception in 1Min, Clear Data")
Log.Info(__logFile,"more than 15 times Exception in 1Min, Clear Data")
__InitData()
__exceptionTime = currTime
__exceptionCount = 0
logStr = "!!!Terminated DataDownloader Stoped!"
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
def LockHold(self):
"""
要卖的时候，本地调用此方法锁定一个持有
"""
if self.state != 'hold':
logStr = "HM - ##### FAILD! hold lock faild! " + self.__str__()
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
return False
logStr = "HM - SUCCESS! hold lock successful! " + self.__str__()
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
self.state = 'lock'
return True
def SendBuy(operationId, price, amount, cost):
"""
直接在主线程中下买单，最多尝试2次
买入下单
operationId: 操作Id
price: 买入价格
amount: 买入数量
cost: 买入总花费
"""
global __tradeOperations
for x in range(2):
orderSended = False
try:
#orderData = HuobiServices.send_order(amount,'api','btcusdt','buy-limit',price)
orderData = __DEBUG_ConstructTradeResult()
status = orderData['status']
orderId = orderData['data']
if status == 'ok':
orderSended = True
buyOperation = TradeOperation(1, price, amount, operationId,
orderId, cost)
__tradeOperations.append(buyOperation)
SaveTradeOperations()
logStr = "OM - SUCCESS! Send Buy Order OK! operationId:{} price:{} amount:{} cost:{} orderId:{}".format(
operationId, price, amount, cost, orderId)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
return
else:
logStr = "OM - ##### FAILD! Send Buy Order FAILD! operationId:{} price:{} amount:{} rawJson:{}".format(
operationId, price, amount, orderData)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
except Exception as e:
logStr = "OM - ##### EXCEPTION! Send Buy Order Exception! operationId:{} price:{} amount:{} Exception:{}".format(
operationId, price, amount, e)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
if orderSended == True:
logStr = "OM - #### Buy FATAL ERROR!!!!!"
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
time.sleep(1)
#走到这里，说明下买单失败，资金回滚
BalanceManage.BuyFallback(cost)
def SendSell(operationId, price, amount, buyCost):
"""
卖出持有
operationId: 操作Id
price: 卖出价格
amount: 卖出数量
buyCost: 购买的时候花了多少钱，用于计算收益
"""
global __tradeOperations
for x in range(2):
orderSended = False
try:
#orderData = HuobiServices.send_order(amount,'api','btcusdt','sell-limit',price)
orderData = __DEBUG_ConstructTradeResult()
status = orderData['status']
orderId = orderData['data']
if status == 'ok':
orderSended = True
sellOperation = TradeOperation(0, price, amount, operationId,
orderId, buyCost)
__tradeOperations.append(sellOperation)
SaveTradeOperations()
logStr = "OM - SUCCESS! Send Sell Order OK! operationId:{} price:{} amount:{} cost:{} orderId:{}".format(
operationId, price, amount, buyCost, orderId)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
return
else:
logStr = "OM - ##### FAILD! Send Sell Order FAILD! operationId:{} price:{} amount:{} rawJson:{}".format(
operationId, price, amount, orderData)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
except Exception as e:
logStr = "OM - ##### EXCEPTION! Send Sell Order Exception! operationId:{} price:{} amount:{} Exception:{}".format(
operationId, price, amount, e)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
if orderSended == True:
logStr = "OM - #### Sell FATAL ERROR!!!!!"
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
sys.exit()
time.sleep(1)
# 因为一些原因，卖出失败了，所以要回滚持有
print("Ready Fallback ", operationId)
HoldManager.FallbackHold(operationId)
def InitSystem():
"""
加载密钥，初始化交易所服务
获取Account id，赋值到交易所服务
"""
configFile = "Config.json"
try:
configJsonStr = IOUtil.ReadTextFromFile(configFile)
configData = json.loads(configJsonStr)
access_key = configData['access_key']
secret_key = configData['secret_key']
HuobiServices.init_key(access_key, secret_key)
accounts = HuobiServices.get_accounts()
account_id = accounts['data'][0]['id']
HuobiServices.init_account(account_id)
HuobiServices.init_symbols()
except Exception as e:
logStr = "Fatal Error: Init System Faild!\n Exception:{}".format(e)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
sys.exit()
def Start():
t = threading.Thread(target=__WorkThread)
t.setDaemon(True)
t.start()
logStr = "DataDownloader Started!"
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
def Buy(price):
"""
购买：根据价格和购买单位计算出需要花费多少 quote,把 quote 从原始资金拿到冻结资金中
注意：这里的价格是已经加了0.3 usdt 后的价格
"""
global __totalQuote, __tradePart, __quoteBalance, __frozeQuoteBalance
# 计算每次买入多少 usdt 的 btc
costQuote = MathUtil.GetPrecision(__totalQuote / __tradePart, 2)
if __quoteBalance > costQuote: # 资金足够，可以购买
__LogBalance("Before Buy Action")
__quoteBalance -= costQuote
__frozeQuoteBalance += costQuote
# 计算要花费的 usdt 按现在的价格能买多少 btc
buyAmount = costQuote / price
buyAmount = MathUtil.GetPrecision(buyAmount, 4)
Log.Print("BM - Buy Info: price:{} costQuote:{} buyAmount:{}".format(
price, costQuote, buyAmount))
Log.Info(
Const.logFile,
"BM - Buy Info: price:{} costQuote:{} buyAmount:{}".format(
price, costQuote, buyAmount))
__SaveBalance()
__LogBalance("After Buy Action")
return costQuote, buyAmount # 返回以 costQuote usdt 买入 buyAmount 的 btc
return -1, -1
def UnLockHold(self):
"""
因为一些原因下单失败，需要回滚持有
"""
logStr = "HM - UnLock Hold: " + self.__str__()
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
self.state = 'hold'
def __WorkThread_CheckTradeFillState():
"""
检查所有订单的成交状态
"""
logStr = "OrderManager Started!"
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
global __tradeOperations, __terminated
while (__terminated != True):
tradeLen = len(__tradeOperations)
for x in range(tradeLen - 1, -1, -1):
trade = __tradeOperations[x]
if trade.exchangerOrderId != '':
try:
#jsonResult = HuobiServices.order_info(trade.exchangerOrderId)
if trade.tradeType == 1:
jsonResult = __DEBUG_ConstructBuyFillResult(
trade.tradePrice, trade.tradeAmount)
else:
jsonResult = __DEBUG_ConstructSellFillResult(
trade.tradePrice, trade.tradeAmount)
if jsonResult['status'] == 'ok':
state = jsonResult['data']['state']
if state == 'filled':
fieldAmount = jsonResult['data']['field-amount']
fieldCashAmount = jsonResult['data'][
'field-cash-amount']
fieldFees = jsonResult['data']['field-fees']
logStr = "OM - Exchanger Order FILLED! operationId:{} fieldAmount:{} fieldCashAmount:{} field-fees:{}".format(
trade.operationId, fieldAmount,
fieldCashAmount, fieldFees)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
OnTradeFilled(trade, fieldCashAmount)
except Exception as e:
logStr = "OM - ##### EXCEPTION! Check Order State Faild! operationId:{} Exception:{}".format(
trade.operationId, e)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
time.sleep(1)
time.sleep(2)
Log.Print("!!!Terminated OrderManager Stoped!")
Log.Info(Const.logFile, "!!!Terminated OrderManager Stoped!")
def SellFilled(self,filledPrice,filledCash):
"""
当卖单成交时，调用此方法进行最终的结算
"""
self.sellFilledPrice = filledPrice
gainedQuote = filledCash
profit = gainedQuote - self.buyCost
profit = MathUtil.GetPrecision(profit,4)
if profit <= 0:
logStr = "HM - ##### FATAL ERROR! You are lose Money: !!!! " + self.__str__ + " filledPrice:{} filledCash:{}".format(filledPrice,filledCash)
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
sys.exit()
self.state = 'selled'
self.profit = profit
logStr = "HM - Cool! Sell Filled: buyPrice:{} buyCost:{} holdAmount:{} sellPrice:{} filledCash:{} profit:{}".format(self.buyPrice,self.buyCost,self.holdAmount,self.sellFilledPrice,filledCash,profit)
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
def OnTradeFilled(tradeOperation, fieldCash):
"""
当一个订单成交时，从操作列表中找到对应的交易索引，然后从交易列表中删除，保存数据
"""
global __tradeOperations
index = -1
for x in range(len(__tradeOperations)):
trade = __tradeOperations[x]
if trade.operationId == tradeOperation.operationId:
index = x
break
if index >= 0:
del __tradeOperations[index]
SaveTradeOperations()
if tradeOperation.tradeType == 1: # 处理买入订单成交
gainedBase = tradeOperation.tradeAmount * 0.997
gainedBase = MathUtil.GetPrecision(gainedBase, 4)
logStr = "OM - Buy Order Filled: operationId:{} gainedBase:{}".format(
tradeOperation.operationId, gainedBase)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
HoldManager.BuyFilled(tradeOperation.operationId,
tradeOperation.tradePrice, gainedBase,
tradeOperation.cost,
tradeOperation.exchangerOrderId)
BalanceManager.BuyFilled(tradeOperation.cost, gainedBase)
elif tradeOperation.tradeType == 0: # 处理卖出订单成交
# TODO: 这里要实际成交一单，查看一下最终收益和自己计算的收益是否一样
fieldCash = float(fieldCash) * 0.997 # 这里为避免float交易不精确，所以往少里算一点
profit = fieldCash - tradeOperation.cost
logStr = "OM - Sell Order Filled: operationId:{} fieldCash:{} profit:{}".format(
tradeOperation.operationId, fieldCash, profit)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
HoldManager.SellFilled(tradeOperation.operationId,
tradeOperation.exchangerOrderId,
tradeOperation.tradePrice, fieldCash)
BalanceManager.SellFilled(fieldCash, profit,
tradeOperation.tradeAmount)
def __LogBalance(actionName):
global __baseBalance, __quoteBalance, __frozeQuoteBalance, __totalProfit, __totalQuote
Log.Print(
"BM - {}: baseBalance:{} quoteBalance:{} frozeQuote:{} totalProfit:{} totalQuote:{}"
.format(actionName, __baseBalance, __quoteBalance, __frozeQuoteBalance,
__totalProfit, __totalQuote))
Log.Info(
Const.logFile,
"BM - {}: baseBalance:{} quoteBalance:{} frozeQuote:{} totalProfit:{} totalQuote:{}"
.format(actionName, __baseBalance, __quoteBalance, __frozeQuoteBalance,
__totalProfit, __totalQuote))
def HoldOnSelling(self,sellOrderId):
"""
当卖单下单成功后，调用此方法设置状态
"""
if self.state != 'lock':
logStr = "HM - ##### ERROR! hold state error for Sell! " + self.__str__()
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
self.state = 'selling'
self.sellOrderId = sellOrderId
def FallbackHold(operationId):
"""
卖出因为一些原因下单失败，回滚持有
"""
for hold in holds:
if hold.operationId == operationId:
hold.UnLockHold()
logStr = "HM - ##### Fallback Hold: " + hold.__str__()
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
break
SaveHoldsData()
def HoldOnSelling(operationId,sellOrderId):
"""
一个持有，卖出下单成功
"""
for hold in holds:
if hold.operationId == operationId:
hold.HoldOnSelling(sellOrderId)
logStr = "HM - Hold On Selling: " + hold.__str__()
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
break
SaveHoldsData()
def BuyFallback(costQuote):
"""
购买回滚，把当时要花费的 quote 从冻结资金拿到原始资金
"""
global __quoteBalance, __frozeQuoteBalance
__LogBalance("Before Buy Fallback")
Log.Print("BM - Buy Fallback Info: costQuote:{}".format(costQuote))
Log.Info(Const.logFile,
"BM - Buy Fallback Info: costQuote:{}".format(costQuote))
__frozeQuoteBalance -= costQuote
__quoteBalance += costQuote
__SaveBalance()
__LogBalance("After Buy Fallback")
def LoadTradeOperations():
global __tradeOperations
if os.path.exists(Const.dataFile_orderManager):
try:
jsonStr = IOUtil.ReadTextFromFile(Const.dataFile_orderManager)
__tradeOperations = json.loads(
jsonStr, object_hook=__Json2TradeOperationObj)
except Exception as e:
logStr = "OM - ##### EXCEPTION! Load Trade Operations Faild! EXCEPTION:{}".format(
e)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
sys.exit()
def __LoadHoldsData():
"""
加载所有的持有数据
"""
global holds
if os.path.exists(__dataFile):
try:
jsonStr = IOUtil.ReadTextFromFile(__dataFile)
holds = json.loads(jsonStr,object_hook=__HoldJson2Obj)
except Exception as e:
logStr = "HM - ##### EXCEPTION! Load Hold Buy data exception: {}".format(e)
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
sys.exit()
def SellFilled(operationId, sellOrderId, filledPrice, filledCash):
"""
一个卖出成交了
"""
for x in range(len(holds)):
hold = holds[x]
if hold.operationId == operationId:
hold.SellFilled(filledPrice,filledCash)
del holds[x]
ArchiveHold(hold)
logStr = "HM - Sell Filled: " + hold.__str__()
Log.Print(logStr)
Log.Info(Const.logFile,logStr)
break
SaveHoldsData()
def BuyFilled(costQuote, baseAmount):
"""
买入成交，从冻结资金中减去当时的花费，然后把购买的 base 数量加到原始资金中
注意：传到这里的 baseAmount 是已经去掉手续费的了
"""
global __frozeQuoteBalance, __baseBalance
__LogBalance("Before Buy Filled")
Log.Print("BM - Buy Filled Info: costQuote:{} filledAmount:{}".format(
costQuote, baseAmount))
Log.Info(
Const.logFile,
"BM - Buy Filled Info: costQuote:{} filledAmount:{}".format(
costQuote, baseAmount))
__frozeQuoteBalance -= costQuote
__baseBalance += baseAmount
__SaveBalance()
__LogBalance("After Buy Filled")
def SellFilled(filledQuote, profit, selledAmount):
"""
如果卖出成交了，则把获得的 quote 资金加到原始资金中
"""
global __baseBalance, __quoteBalance, __totalQuote, __totalProfit
__LogBalance("Before Sell Filled")
Log.Print(
"BM - Sell Filled Info: filledQuote:{} profit:{} selledAmount:{}".
format(filledQuote, profit, selledAmount))
Log.Info(
Const.logFile,
"BM - Sell Filled Info: filledQuote:{} profit:{} selledAmount:{}".
format(filledQuote, profit, selledAmount))
__baseBalance -= selledAmount
__quoteBalance += filledQuote
__totalProfit += profit
__totalQuote += profit
__SaveBalance()
__LogBalance("After Sell Filled")
def SetProbe(price, probeType, lastTriggeredProbe=None):
if probeType == 0:
# 设置下降探针
if lastTriggeredProbe != None and lastTriggeredProbe.probeType == 0:
lastProbeLevel = lastTriggeredProbe.probeLevel
currProbeLevel = lastProbeLevel * 1.2
else:
currProbeLevel = 150
p = Probe(probeType, price - currProbeLevel, currProbeLevel)
else:
# 布置上升探针
if lastTriggeredProbe != None and lastTriggeredProbe.probeType == 1:
lastProbeLevel = lastTriggeredProbe.probeLevel
currProbeLevel = lastProbeLevel * 1.1
else:
currProbeLevel = 100
p = Probe(probeType, price + currProbeLevel, currProbeLevel)
logStr = "Set Probe: probeType:{} price:{} probeLevel:{} probePrice:{}".format(
probeType, price, currProbeLevel, p.probePrice)
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
return p
def __LoadBalance():
"""
加载资产数据，如果数据文件不存在，则初始化资产数据
"""
global __baseBalance, __quoteBalance, __frozeQuoteBalance, __totalProfit, __totalQuote
if os.path.exists(__balanceFile):
try:
jsonStr = IOUtil.ReadTextFromFile(__balanceFile)
jsonData = json.loads(jsonStr)
__baseBalance = jsonData['baseBalance']
__quoteBalance = jsonData['quoteBalance']
__frozeQuoteBalance = jsonData['frozeQuoteBalance']
__totalProfit = jsonData['totalProfit']
__totalQuote = jsonData['totalQuote']
except Exception as e:
Log.Print("BM - ##### Fatal Error , can not load balance file! ",
e)
Log.Info(
Const.logFile,
"BM - ##### Fatal Error, Can not load balance file! " + str(e))
sys.exit()
else:
__SaveBalance()
def Terminated():
if os.path.exists("terminated"):
return True
return False
declineProbe = None
riseProbe = None
if __name__ == '__main__':
InitSystem()
StartSystem()
logStr = "All System Started!"
Log.Print(logStr)
Log.Info(Const.logFile, logStr)
while (True):
if Terminated():
break
if DataDownloader.DataValid() and len(DataDownloader.realTimeBids) > 0:
currBidPrice = DataDownloader.realTimeBids[-1]
TryToSell(currBidPrice)
currAskPrice = DataDownloader.realTimeAsks[-1]
if declineProbe == None and riseProbe == None:
declineProbe = SetProbe(currAskPrice, 0)
riseProbe = SetProbe(currAskPrice, 1)
else:
if len(DataDownloader.realTimeAsks) < 60:
time.sleep(0.5)