class Forceorder():
def __init__(self):
self.ev = EventEngine()
self.ev.start()
self.broke = BinanceFutures(self.ev)
self.broke.start("btcusdt", [FORCEORDER])
self.ev.register(FORCEORDER, self.callback)
def callback(self, event):
"""
{'e': 'forceOrder', 'E': 1594107015086,
'o': {'s': 'BTCUSDT',
'S': 'SELL',
'o': 'LIMIT',
'f': 'IOC',
'q': '1.300',
'p': '9206.39',
'ap': '9242.01',
'X': 'FILLED',
'l': '1.084',
'z': '1.300',
'T': 1594107015081}}
:param event:
:return:
"""
e = event.data
try:
data = e["o"]
db.insert_one("forceorder", data)
except Exception as e:
log.debug(e)
def __init__(self, engine):
super().__init__(engine)
self.bar = {}
self.t = {}
cfg = config.exchange
self.broker = BinanceFutures(cfg)
self.symbols = cfg.symbols
self.timeframe = cfg.timeframe
self.update()
def __init__(self):
self.ev = EventEngine()
self.maker = BinanceFutures(self.ev)
self.taker = Ftx(self.ev)
self.maker_price = 0
self.taker_price = 0
self.data = []
RepeatingTimer(1, self.savedb).start()
def __init__(self, engine, setting):
super().__init__(engine, setting)
self.symbol=""
self.kma_time=45
self.rsi_time=14
self.rsi_fastk=5
self.rsi_fastd=3
self.rsi_fastd_matype=0
cfg=config.binance
self.broker=BinanceFutures(cfg)
self.symbol=cfg.symbol[0]
self.timeframe="15m"
self.qty=0.001
self.bar=None
self.tp=30.00
self.sl=30.00
RepeatingTimer(60, self.start).start()
class OpenInterest():
symbol = 'BTCUSDT'
starttime = None
def __init__(self):
self.ev = EventEngine()
self.ev.start()
self.broke = BinanceFutures(self.ev)
# self.broke.start("btcusdt",[FORCEORDER])
# self.ev.register(FORCEORDER, self.callback)
def loop(self):
# db.table_name.aggregate({"$group": {_id: "max", max_value: {"$max": "$column_name"}}})
rs = db.db["openinterest"].find().sort([("timestamp", -1)]).limit(1)
rs = list(rs)
if len(rs) > 0:
self.starttime = float(rs[0]["timestamp"]) + 1000 * 60
else:
self.starttime = get_cur_timestamp_ms() - 1000 * 30 * 288 * 5 * 60
while True:
self.loaddata()
if (get_cur_timestamp_ms() - self.starttime) > 1000 * 60 * 5:
time.sleep(0.5)
else:
time.sleep(60)
def loaddata(self):
endtime = self.starttime + 500 * 1000 * 60 * 5
t = get_cur_timestamp_ms()
if endtime > t:
endtime = t
data = self.broke.get_open_interest(self.symbol, '5m', self.starttime,
endtime)
try:
db.insert_many("openinterest", data)
self.starttime = data[-1]["timestamp"]
except Exception as e:
log.error(e)
def __init__(self):
self.ev = EventEngine()
self.ev.start()
self.broke = BinanceFutures(self.ev)
def __init__(self):
self.ev = EventEngine()
self.ev.start()
self.broke = BinanceFutures(self.ev)
self.broke.start("btcusdt", [FORCEORDER])
self.ev.register(FORCEORDER, self.callback)
class Stcstrategy(BaseStrategy):
def __init__(self, engine, setting):
super().__init__(engine, setting)
self.symbol=""
self.kma_time=45
self.rsi_time=14
self.rsi_fastk=5
self.rsi_fastd=3
self.rsi_fastd_matype=0
cfg=config.binance
self.broker=BinanceFutures(cfg)
self.symbol=cfg.symbol[0]
self.timeframe="15m"
self.qty=0.001
self.bar=None
self.tp=30.00
self.sl=30.00
RepeatingTimer(60, self.start).start()
def start(self):
bar=self.broker.get_bar(self.symbol,self.timeframe)
self.bar=bar
self.on_bar(bar[-1])
def on_bar(self, event):
if not self.broker.get_positions(self.symbol):
self.trade()
def trend(self):
kma=talib.KAMA(self.bar.close,self.kma_time*16)
close=self.bar.close
return close[-1]>kma[-1]
def on_trade(self,trade):
position=self.broker.get_positions(self.symbol)
if position:
price=position.price
side=position.direction
if side==Direction.LONG:
if trade.price-price>self.tp or price-trade.price>self.sl:
self.broker.close_position(position)
else:
if price-trade.price>self.tp or trade.price-price>self.sl:
self.broker.close_position(position)
def trade(self):
rsi,k,d = talib.STOCHRSI(self.bar.close, self.rsi_time, self.rsi_fastk, self.rsi_fastd, self.rsi_fastd_matype);
if self.trend():
if crossover(k,d) and k <50:
price=self.bar.close[-1]
self.broker.buy(self.symbol,self.qty,price)
else:
if crossunder(k, d) and k > 50:
price = self.bar.close[-1]
self.broker.sell(self.symbol,self.qty,price)
class SHstrategy(BaseStrategy):
"""
StrengthHedge,趋势强度对冲策略
根据4小时TSI信号，0轴向上做多，0轴向下做空，
多空仓位保持平衡
"""
def __init__(self, engine):
super().__init__(engine)
self.bar = {}
self.t = {}
cfg = config.exchange
self.broker = BinanceFutures(cfg)
self.symbols = cfg.symbols
self.timeframe = cfg.timeframe
self.update()
def start(self):
bar = self.broker.get_bar(self.symbol, self.timeframe)
self.bar = bar
self.on_bar(bar[-1])
def on_bar(self, event):
if not self.broker.get_positions(self.symbol):
self.trade()
def trend(self):
kma = talib.KAMA(self.bar.close, self.kma_time * 16)
close = self.bar.close
return close[-1] > kma[-1]
def on_trade(self, trade):
position = self.broker.get_positions(self.symbol)
if position:
price = position.price
side = position.direction
if side == Direction.LONG:
if trade.price - price > self.tp or price - trade.price > self.sl:
self.broker.close_position(position)
else:
if price - trade.price > self.tp or trade.price - price > self.sl:
self.broker.close_position(position)
def update(self):
tsi = pd.DataFrame()
for s in self.symbols:
self.bar[s] = self.broker.get_bar(s, self.timeframe)
close = self.bar[s].close
tsi[s] = self.tsi(close)
print(tsi.tail())
def tsi(self, data):
a = talib.EMA(data, 5)
b = talib.EMA(data, 8)
c = talib.EMA(data, 13)
d = talib.EMA(data, 21)
d1 = a / b - 1
d2 = b / c - 1
d3 = c / d - 1
t = (d1 + d2 + d3) * 1000
return talib.EMA(t, 6)
def trade(self):
rsi, k, d = talib.STOCHRSI(self.bar.close, self.rsi_time,
self.rsi_fastk, self.rsi_fastd,
self.rsi_fastd_matype)
if self.trend():
if crossover(k, d) and k < 50:
price = self.bar.close[-1]
self.broker.buy(self.symbol, self.qty, price)
else:
if crossunder(k, d) and k > 50:
price = self.bar.close[-1]
self.broker.sell(self.symbol, self.qty, price)
def on_order(self, event):
pass
def on_position(self, event):
pass
def on_ticker(self, event):
pass
import os, sys
baseroot = os.path.dirname(os.path.abspath(__file__))
sys.path.append('/alphaquant/')
from aq.broker.binancefutures import BinanceFutures
from aq.broker.huobi import HuobiFutures
from aq.common.constant import *
from aq.engine.baseStrategy import BaseStrategy
from aq.engine.config import config
from aq.common.logger import log
from aq.engine.event import EventEngine
def on_orderbook(msg):
print(msg)
lcfg = config.long
scfg = config.short
ev = EventEngine()
long = BinanceFutures(ev)
subscribe = {ORDERBOOK: on_orderbook}
# long.subscribe(lcfg.symbols,subscribe)
short = HuobiFutures(ev)
short.subscribe((scfg.symbols, subscribe))
def __init__(self, engine):
super().__init__(engine)
self.ev = engine
cfg = config.short
self.short = BinanceFutures(self.ev)
self.long = HuobiFutures(self.ev)
class Feeabrstrategy(BaseStrategy):
"""
资金费率套利
从二个市场或多个市场出找出费率差最大的交易对
买入费率低的，卖出费率高的交易对
定时调整二个账户的资金余额
"""
def __init__(self, engine):
super().__init__(engine)
self.ev = engine
cfg = config.short
self.short = BinanceFutures(self.ev)
self.long = HuobiFutures(self.ev)
def start(self):
bar = self.broker.get_bar(self.symbol, self.timeframe)
self.bar = bar
self.on_bar(bar[-1])
def on_bar(self, event):
if not self.broker.get_positions(self.symbol):
self.trade()
def trend(self):
kma = talib.KAMA(self.bar.close, self.kma_time * 16)
close = self.bar.close
return close[-1] > kma[-1]
def on_trade(self, trade):
position = self.broker.get_positions(self.symbol)
if position:
price = position.price
side = position.direction
if side == Direction.LONG:
if trade.price - price > self.tp or price - trade.price > self.sl:
self.broker.close_position(position)
else:
if price - trade.price > self.tp or trade.price - price > self.sl:
self.broker.close_position(position)
def update(self):
tsi = pd.DataFrame()
for s in self.symbols:
self.bar[s] = self.broker.get_bar(s, self.timeframe)
close = self.bar[s].close
tsi[s] = self.tsi(close)
print(tsi.tail())
def on_order(self, event):
pass
def on_position(self, event):
pass
def on_ticker(self, event):
pass
def get_fee(self):
short = self.short.get_fees()
long = self.long.get_fees()
data = []
for l in long:
symbol = l.split("-")[0] + "USDT"
r = short.get(symbol, 0)
if r != 0:
rs = [l, long[l], r]
data.append(rs)
df = pd.DataFrame(data)
df.columns = ["symbil", "huobi", "binance"]
df["dif"] = df["huobi"] - df["binance"]
from aq.broker.binancefutures import BinanceFutures
from aq.engine.event import EventEngine
import pandas as pd
ev = EventEngine()
b = BinanceFutures(ev)
bar = b.get_bar("BTCUSDT", "1m")
data = pd.DataFrame(bar)
data.to_csv("btcusdt1m.csv")