def process_message(message):
global latest_price, last_avg_price, less, deque_3s, deque_10s, deque_min, future_buy_price,\
deque_3m, ind_3s, ind_10s, ind_1min, ind_3m, write_lines, last_3min_macd_ts, new_macd, lessless,\
future_buy_time, spot_buy_time, spot_sell_price, spot_buy_price, lessmore, future_more_buy_price
ts = time.time()
now_time = timestamp2string(ts)
for each_message in message['data']:
latest_price = float(each_message['price'])
trade_id = each_message['trade_id']
size = each_message['size']
side = each_message['side']
deal_entity = DealEntity(trade_id, latest_price, size, ts, side)
print('detail:' + deal_entity.detail())
handle_deque(deque_3s, deal_entity, ts, ind_1s)
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)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.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_3m_change = cal_rate(avg_3s_price, avg_3m_price)
# 做空
if less == 0 and check_do_future_less(price_3m_change, price_1m_change,
price_10s_change):
sell_id = sell_all_position(spotAPI, instrument_id,
latest_price - 0.001)
if sell_id:
spot_buy_time = int(ts)
time.sleep(1)
sell_order_info = spotAPI.get_order_info(
sell_id, instrument_id)
if sell_order_info['status'] == 'filled' or sell_order_info[
'status'] == 'part_filled':
less = 1
spot_sell_price = float(sell_order_info['price'])
info = now_time + u' 现货全部卖出！！！spot_sell_price：' + str(
spot_sell_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
spotAPI.revoke_order_exception(instrument_id, sell_id)
if less == 1:
if price_1m_change > 0 and new_macd > 0:
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
spot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止盈！！！买入价格：' + str(
spot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
if int(ts) - spot_buy_time > 60:
if latest_price > spot_sell_price and price_1m_change >= 0 and price_10s_change >= 0 \
and (ind_1min.bid_vol > ind_1min.ask_vol or price_3m_change >= 0):
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
spot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止损！！！买入价格：' + str(
spot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
holding_status = 'spot_less: %d' % less
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_3m_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, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%, new_macd: %.6f' \
% (price_10s_change, price_1m_change, price_3m_change, new_macd)
write_info = holding_status + u', ' + 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(holding_status + '\r\n' + price_info + '\r\n' + vol_info +
'\r\n' + rate_info + u', ' + now_time)
spotAPI.get_specific_ticker(instrument_id))
if side == 'buy':
buy_price = float(ret['best_ask'])
try:
order_id = buy_all_position(
spotAPI, instrument_id, buy_price)
if order_id:
order_id_queue.append(order_id)
except Exception as e:
print(repr(e))
traceback.print_exc()
continue
elif side == 'sell':
sell_price = float(ret['best_bid'])
try:
order_id = sell_all_position(
spotAPI, instrument_id, sell_price)
if order_id:
order_id_queue.append(order_id)
except Exception as e:
print(repr(e))
traceback.print_exc()
continue
for del_id in del_list:
order_id_queue.remove(del_id)
del_list = []
time.sleep(1)
if int(ts) - last_minute_ts > 60:
last_minute_ts = int(ts)
if more == 1:
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, less, deque_3s, deque_10s, deque_min, future_buy_price,\
deque_3m, ind_1s, ind_10s, ind_1min, ind_3m, write_lines, last_3min_macd_ts, new_macd, lessless,\
future_buy_time, spot_buy_time, spot_sell_price, spot_buy_price
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - last_3min_macd_ts > 60:
last_3min_macd_ts = int(ts)
df = get_spot_macd(spotAPI, instrument_id, 300)
diff = list(df['diff'])
dea = list(df['dea'])
new_macd = 2 * (diff[-1] - dea[-1])
with codecs.open(file_deal, 'a+', 'UTF-8') as f:
f.writelines('update macd: %.6f\r\n' % new_macd)
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_1s)
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)
avg_3s_price = ind_1s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_3m_price = ind_3m.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_3m_change = cal_rate(avg_3s_price, avg_3m_price)
# 做空
if lessless == 0 and ind_3m.vol > 500000 and ind_3m.ask_vol > 1.3 * ind_3m.bid_vol \
and ind_1min.vol > 300000 and ind_1min.ask_vol > 1.5 * ind_1min.bid_vol and -1.2 < price_1m_change \
and price_3m_change < price_1m_change < -0.4 and price_10s_change <= -0.05 and new_macd < 0:
future_buyin_less_order_id = buyin_less(futureAPI,
coin.name,
future_instrument_id,
latest_price,
amount=None,
lever_rate=20,
taker=True)
if future_buyin_less_order_id:
lessless = 1
future_buy_time = int(ts)
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
future_instrument_id,
latest_price,
future_buyin_less_order_id,
))
future_buy_price = latest_price - 0.01
info = u'发出做空信号！！买入时间： ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if less == 0 and ind_3m.vol > 500000 and ind_3m.ask_vol > 1.3 * ind_3m.bid_vol \
and ind_1min.vol > 300000 and ind_1min.ask_vol > 1.5 * ind_1min.bid_vol and -1.2 < price_1m_change \
and price_3m_change < price_1m_change < -0.4 and price_10s_change <= -0.05 and new_macd < 0:
sell_id = sell_all_position(spotAPI, instrument_id,
latest_price - 0.001)
if sell_id:
spot_buy_time = int(ts)
time.sleep(1)
sell_order_info = spotAPI.get_order_info(
sell_id, instrument_id)
if sell_order_info['status'] == 'filled' or sell_order_info[
'status'] == 'part_filled':
less = 1
spot_sell_price = float(sell_order_info['price'])
info = u'现货全部卖出！！！平均成交价格：' + spot_sell_price + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
spotAPI.revoke_order_exception(instrument_id, sell_id)
if lessless == 1:
if price_1m_change > 0 and new_macd > 0:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, future_buy_price))
info = u'做空止盈，盈利%.3f, time: %s' % (
future_buy_price - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif int(ts) - future_buy_time >= 60:
if latest_price > spot_sell_price and price_3m_change >= 0 and price_1m_change >= 0 and price_10s_change >= 0:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, future_buy_price))
info = u'做空止损，亏损%.2f, time: %s' % (
(latest_price - spot_buy_price), now_time)
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
elif latest_price > spot_sell_price * 1.01:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, future_buy_price))
info = u'做空止损，亏损%.2f, time: %s' % (
(latest_price - spot_sell_price), now_time)
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
if less == 1:
if price_1m_change > 0 and new_macd > 0:
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
spot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止盈！！！买入价格：' + str(
spot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
if int(ts) - spot_buy_time > 60:
if latest_price > spot_sell_price and price_1m_change > 0 and price_3m_change > 0:
usdt_account = spotAPI.get_coin_account_info("usdt")
usdt_available = float(usdt_account['available'])
amount = math.floor(usdt_available / latest_price)
if amount > 0:
buy_id = spot_buy(spotAPI, instrument_id, amount,
latest_price)
if buy_id:
time.sleep(3)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'filled':
less = 0
apot_buy_price = order_info['price']
info = u'macd > 0, 买入现货止盈！！！买入价格：' + str(
apot_buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
else:
attempts = 5
while attempts > 0:
attempts -= 1
spotAPI.revoke_order_exception(
instrument_id, buy_id)
time.sleep(1)
order_info = spotAPI.get_order_info(
buy_id, instrument_id)
if order_info['status'] == 'cancelled':
break
else:
less = 0
holding_status = 'future_less: %d, spot_less: %d' % (lessless,
less)
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'3min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_3m_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, 3min vol: %.3f, 3min_ask_vol: %.3f, 3min_bid_vol: %.3f' \
% (deal_entity.amount, ind_1s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_1s.ask_vol, ind_1s.bid_vol, ind_3m.vol, ind_3m.ask_vol, ind_3m.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 3min_rate: %.2f%%, new_macd: %.6f' \
% (price_10s_change, price_1m_change, price_3m_change, new_macd)
write_info = holding_status + u', ' + 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(holding_status + '\r\n' + price_info + '\r\n' + vol_info +
'\r\n' + rate_info + u', ' + now_time)