def revoke_order(self, order_id, now_time_sec):
try:
self.timeLog(
'撤单成功，order_id: %s, result: %s, 时间: %s' %
(order_id, self.spotAPI.revoke_order(
instrument_id, order_id), timestamp2string(now_time_sec)))
return True
except Exception as e:
traceback.print_exc()
self.timeLog("撤单失败: %s, order_id: %s, 时间: %s" %
(repr(e), order_id, timestamp2string(now_time_sec)))
return False
def buyin_less(futureAPI, coin_name, time_type, buy_price, amount=None, lever_rate=20, taker=True):
ts = time.time()
now_time = timestamp2string(ts)
try:
coin_account = futureAPI.get_coin_account(coin_name)
balance = float(coin_account['equity'])
if balance < 1:
log_trade_v3("In future buyin_less function, available balance less than 1, balance: %.2f" % balance)
return False
if not amount:
amount = math.floor(balance * lever_rate * (buy_price - 0.1) / 10 * 0.95)
log_trade_v3('In buyin_less function, plan to buyin amount: %d' % amount)
if amount >= 1:
if taker:
ret = futureAPI.take_order('', time_type, 2, buy_price, amount, 1, lever_rate)
else:
ret = futureAPI.take_order('', time_type, 2, buy_price, amount, 0, lever_rate)
log_trade_v3('In future_buyin_less function: %s, time: %s' % (ret, now_time))
if ret and ret['result']:
email_msg = "下单做空%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, buy_price, amount, now_time, ret)
thread.start_new_thread(send_email, (email_msg,))
return ret["order_id"]
else:
return False
except Exception as e:
info = traceback.format_exc()
log_trade_v3("In future buyinless func, info: %s" % info)
return False
def ensure_sell_less(coin_name, time_type, lever_rate=20):
sleep_time = 30
while sleep_time > 0:
time.sleep(sleep_time)
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type, "1"))
if len(jRet["holding"]) > 0:
cancel_uncompleted_order(coin_name, time_type)
time.sleep(1)
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type,
"1"))
sell_available = jRet["holding"][0]["sell_available"]
okFuture.future_trade(coin_name + "_usd", time_type, '',
sell_available, 4, 1, lever_rate)
else:
break
ts = time.time()
now_time = timestamp2string(ts)
info = u'做空卖出成功！！！卖出价格：' + str(latest_price) + u', 收益: ' + str(buy_price - latest_price) \
+ ', ' + now_time
thread.start_new_thread(send_email, (info, ))
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
def sell_more_batch(coin_name, time_type, latest_price, lever_rate = 20):
global processing
processing = True
jRet = json.loads(okFuture.future_position_4fix(coin_name+"_usd", time_type, "1"))
print(jRet)
flag = True
ret = u'没有做多订单'
while len(jRet["holding"]) > 0:
cancel_uncompleted_order(coin_name, time_type)
if flag:
flag = False
amount = jRet["holding"][0]["buy_available"]
order_data = gen_orders_data(latest_price, amount, 3, 5)
ret = okFuture.future_batchTrade(coin_name + "_usd", time_type, order_data, lever_rate)
else:
buy_available = jRet["holding"][0]["buy_available"]
ret = okFuture.future_trade(coin_name + "_usd", time_type, '', buy_available, 3, 1, lever_rate)
if 'true' in ret:
time.sleep(2)
jRet = json.loads(okFuture.future_position_4fix(coin_name + "_usd", time_type, "1"))
sell_more_suc()
email_msg = "做多%s批量卖出成交, 时间: %s, 成交结果: %s" \
% (coin_name, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
processing = False
return True
def buyin_less_batch(futureAPI, coin_name, time_type, buy_price, lever_rate=20, amount=None):
now_time = timestamp2string(time.time())
try:
if not amount:
coin_account = futureAPI.get_coin_account(coin_name)
balance = float(coin_account['total_avail_balance'])
if balance < 1:
log_trade_v3(
'In future buyin_less_batch function, %s balance less than 1, balance: %.2f' % (coin_name, balance))
return False
amount = math.floor(balance * lever_rate * buy_price / 10 * 0.95)
while amount >= 5:
order_data = gen_orders_data(buy_price, amount, 2, 5)
ret = futureAPI.take_orders(time_type, order_data, lever_rate)
if ret and ret['result']:
email_msg = "批量下单做空%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, buy_price, amount, now_time, ret)
thread.start_new_thread(send_email, (email_msg,))
return True
amount = math.floor(amount * 0.95)
return False
except Exception as e:
log_trade_v3("In future buyin_less_batch func, error info: %s, time: %s" % (repr(e), now_time))
log_trade_v3(traceback.format_exc())
return False
def ensure_sell_less(futureAPI, coin_name, time_type, latest_price, buy_price, lever_rate=20):
now_time = timestamp2string(time.time())
try:
sleep_time = 3
while True:
time.sleep(sleep_time)
jRet = futureAPI.get_specific_position(time_type)
if len(jRet["holding"]) > 0:
cancel_uncompleted_order(futureAPI, coin_name, time_type)
time.sleep(1)
jRet = futureAPI.get_specific_position(time_type)
short_available = int(jRet["holding"][0]["short_avail_qty"])
if short_available == 0:
break
futureAPI.take_order('', time_type, 4, latest_price, short_available, 1, lever_rate)
else:
break
info = u'做空卖出成功！！！卖出价格：' + str(latest_price) + u', 收益: ' + str(buy_price - latest_price) \
+ ', ' + now_time
thread.start_new_thread(send_email, (info,))
file_transaction = coin_name + '_future_transaction.txt'
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
except Exception as e:
log_trade_v3("In future ensure_sell_less function, error: %s\r\n traceback: %s\r\n time: %s"
% (repr(e), traceback.format_exc(), now_time))
return False
def ensure_sell_more(futureAPI, coin_name, time_type, latest_price, buy_price, lever_rate=20):
try:
sleep_time = 10
while sleep_time > 0:
time.sleep(sleep_time)
jRet = futureAPI.get_specific_position(time_type)
if len(jRet["holding"]) > 0:
cancel_uncompleted_order(futureAPI, coin_name, time_type)
time.sleep(1)
jRet = futureAPI.get_specific_position(time_type)
buy_available = int(jRet["holding"][0]["long_avail_qty"])
futureAPI.take_order('', time_type, 3, latest_price, buy_available, 1, lever_rate)
else:
break
ts = time.time()
now_time = timestamp2string(ts)
info = u'做多卖出成功！！！卖出价格：' + str(latest_price) + u', 收益: ' + str(latest_price - buy_price) \
+ ', ' + now_time
thread.start_new_thread(send_email, (info,))
file_transaction = coin_name + '_future_transaction.txt'
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
except Exception as e:
log_trade_v3(repr(e))
return False
def ensure_buyin_less(futureAPI, coin_name, time_type, buy_price, order_id, lever_rate=20):
now_time = timestamp2string(time.time())
try:
retry = 3
while retry > 0:
time.sleep(2)
retry -= 1
if order_id:
futureAPI.revoke_order(time_type, order_id)
else:
cancel_uncompleted_order(futureAPI, coin_name, time_type, 2)
time.sleep(1)
coin_account = futureAPI.get_coin_account(coin_name)
balance = float(coin_account['total_avail_balance'])
# 撤销所有未完成挂单后，若balance<1则认为已全仓买入
if balance < 1:
return
amount = math.floor(balance * lever_rate * buy_price / 10 * 0.95)
if not buyin_less_batch(futureAPI, coin_name, time_type, buy_price, 20, amount):
break
time.sleep(5)
cancel_uncompleted_order(futureAPI, coin_name, time_type, 2)
except Exception as e:
log_trade_v3("In ensure_buyin_less function, error: %s, time: %s" % (traceback.format_exc(), now_time))
return
def print_detail(self):
print(timestamp2string(self.timestamp))
for i in range(0, 20):
print('sell' + str(20 - i) + '\t' + self.asks[i][0] + ':\t' +
self.asks[i][1])
for i in range(0, 20):
print('buy ' + str(i + 1) + '\t' + self.bids[i][0] + ':\t' +
self.bids[i][1])
def buyin_less_turn(futureAPI, coin_name, time_type, buy_price, amount=None, lever_rate=20, taker=True):
try:
coin_account = futureAPI.get_coin_account(coin_name)
balance = float(coin_account['equity'])
if not amount:
amount = math.floor(balance * lever_rate * (buy_price - 0.1) / 10 * 0.95)
turn = int(amount / batch_size)
ts = time.time()
now_time = timestamp2string(ts)
if turn == 0 and amount >= 1:
if taker:
ret = futureAPI.take_order('', time_type, 2, buy_price, amount, 1, lever_rate)
else:
ret = futureAPI.take_order('', time_type, 2, buy_price, amount, 0, lever_rate)
log_trade_v3('In future_buyin_less funciton: %s, time: %s' % (ret, now_time))
if ret and ret['result']:
email_msg = "下单做空%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, buy_price, amount, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
return ret["order_id"]
else:
amount -= turn * batch_size
while turn > 0:
futureAPI.take_order('', time_type, 2, '', batch_size, 1, lever_rate)
time.sleep(0.3)
turn -= 1
while amount >= 1:
ret = futureAPI.take_order('', time_type, 2, buy_price, amount, 1, lever_rate)
log_trade_v3(ret)
if ret and ret['result']:
email_msg = "下单做空%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, buy_price, amount, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
return ret["order_id"]
amount = math.floor(amount * 0.95)
time.sleep(1)
return True
except Exception as e:
log_trade_v3(repr(e))
return False
def sell_more_suc():
global more
ts = time.time()
now_time = timestamp2string(ts)
info = u'发出卖出信号！！！卖出价格：' + str(latest_price) + u', 收益: ' + str(latest_price - buy_price) \
+ ', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
more = 0
def buyin_more(futureAPI, coin_name, time_type, buy_price=None, amount=None, lever_rate=20):
try:
if not amount:
result = futureAPI.get_coin_account(coin_name)
balance = float(result['equity'])
amount = math.floor(balance * lever_rate * buy_price / 10)
turn = int(amount / batch_size)
if turn == 0 and amount >= 1:
if buy_price:
ret = futureAPI.take_order('', time_type, 1, buy_price, amount, 0, lever_rate)
else:
ret = futureAPI.take_order('', time_type, 1, buy_price, amount, 1, lever_rate)
log_trade_v3(ret)
if ret and ret['result']:
email_msg = "下单做多%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, buy_price, amount, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
return ret["order_id"]
else:
amount -= turn * batch_size
while turn > 0:
futureAPI.take_order('', time_type, 1, buy_price, batch_size, 1, lever_rate)
time.sleep(0.3)
turn -= 1
while amount >= 1:
ret = futureAPI.take_order('', time_type, 1, buy_price, amount, 1, lever_rate)
log_trade_v3(ret)
if ret and ret['result']:
email_msg = "下单做多%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, buy_price, amount, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
return ret["order_id"]
amount = math.floor(amount * 0.95)
time.sleep(1)
return True
except Exception as e:
info = traceback.format_exc()
log_trade_v3("In future buyinmore func, info: %s" % info)
return False
def gm_character_info(cmd, ts, args, sign):
res_err = {'result': 1, 'character_info': {}}
if len(args) != 1:
res_err['result'] = GM_INVALID_ARGS
defer.returnValue(res_err)
_cid = int(args['character_id'])
_dict_data = {}
user = g_UserMgr.getUserByCid(_cid)
if user:
_dict_data = copy.deepcopy(user.info)
if user.temp_lost:
_dict_data['online'] = 0
else:
_dict_data['online'] = 1
else:
try:
errorno = yield gs_call("gs_gm_login", (_cid, True))
if errorno:
res_err['result'] = GM_INVALID_CID
defer.returnValue(res_err)
_dict_data = yield gs_call('gs_gm_get_character_info', [_cid])
_dict_data['online'] = 0
except Exception as e:
log.exception()
res_err['result'] = GM_INVALID_ERROR
defer.returnValue(res_err)
_dict_data['register_time'] = timestamp2string(_dict_data['register_time'])
_dict_data['last_login_time'] = timestamp2string(
_dict_data['last_login_time'])
_dict_data['forbidden_seconds'] = yield check_character_status(
_cid, TYPE_FORBIDDEN)
_dict_data['mute_seconds'] = yield check_character_status(_cid, TYPE_MUTE)
res_err['character_info'] = _dict_data
defer.returnValue(res_err)
def get_account_money(self, coin_name):
ret = self.spotAPI.get_coin_account_info(coin_name)
self.timeLog(str(ret))
coin_balance = float(ret['balance'])
price = float(self.spotAPI.get_specific_ticker(instrument_id)['last'])
usdt_ret = self.spotAPI.get_coin_account_info("usdt")
usdt_balance = float(usdt_ret['balance'])
self.timeLog(str(usdt_ret))
total_usdt = coin_balance * price + usdt_balance
self.timeLog(
"当前时间: %s, 持有%s: %.4f,单价: %.4f, usdt: %.4f, 折合: %.4f USDT" %
(timestamp2string(time.time()), coin_name, coin_balance, price,
usdt_balance, total_usdt))
def gm_character_info(cmd, ts, args, sign):
res_err = {'result': 1, 'character_info': {}}
if len(args) != 1:
res_err['result'] = GM_INVALID_ARGS
defer.returnValue( res_err )
_cid = int(args['character_id'])
_dict_data = {}
user = g_UserMgr.getUserByCid( _cid )
if user:
_dict_data = copy.deepcopy(user.info)
if user.temp_lost:
_dict_data['online'] = 0
else:
_dict_data['online'] = 1
else:
try:
errorno = yield gs_call("gs_gm_login", (_cid, True))
if errorno:
res_err['result'] = GM_INVALID_CID
defer.returnValue( res_err )
_dict_data = yield gs_call('gs_gm_get_character_info', [_cid])
_dict_data['online'] = 0
except Exception as e:
log.exception()
res_err['result'] = GM_INVALID_ERROR
defer.returnValue( res_err )
_dict_data['register_time'] = timestamp2string( _dict_data['register_time'] )
_dict_data['last_login_time'] = timestamp2string( _dict_data['last_login_time'] )
_dict_data['forbidden_seconds'] = yield check_character_status(_cid, TYPE_FORBIDDEN)
_dict_data['mute_seconds'] = yield check_character_status(_cid, TYPE_MUTE)
res_err['character_info'] = _dict_data
defer.returnValue( res_err )
def delete_overdue_order(self, latest_deal_price):
now_ts = int(time.time())
self.timeLog('Start to delete pending orders..., %s' %
timestamp2string(now_ts))
orders_list = self.spotAPI.get_orders_list('open', instrument_id)
self.timeLog('before delete, pending orders num: %d' %
len(orders_list))
for order in orders_list[0]:
o_price = float(order['price'])
o_time = string2timestamp(order['timestamp'])
if o_time < now_ts - 60 or o_price < latest_deal_price * 0.995 or o_price or o_price > 1.005 * latest_deal_price:
order_id = order['order_id']
self.revoke_order(order_id, now_ts)
self.timeLog('Finish delete pending orders')
def buyin_more_batch(okFuture, coin_name, time_type, latest_price, lever_rate=20, amount=None):
json_ret = json.loads(okFuture.future_userinfo_4fix())
balance = float(json_ret["info"][coin_name]["balance"])
if amount is None:
amount = math.floor(balance * lever_rate * latest_price / 10 * 0.9)
while amount >= 5:
order_data = gen_orders_data(latest_price, amount, 1, 5)
ret = okFuture.future_batchTrade(coin_name+"_usd", time_type, order_data, lever_rate)
if 'true' in ret:
email_msg = "批量下单做多%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, latest_price, amount, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
return True
amount *= 0.95
return False
def sell_less(okFuture, coin_name, time_type, price=None, lever_rate=20):
jRet = json.loads(okFuture.future_position_4fix(coin_name+"_usd", time_type, "1"))
while len(jRet["holding"]) > 0:
cancel_uncompleted_order(okFuture, coin_name, time_type)
sell_available = jRet["holding"][0]["sell_available"]
if price:
ret = okFuture.future_trade(coin_name+"_usd", time_type, price, sell_available, 4, 0, lever_rate)
else:
ret = okFuture.future_trade(coin_name+"_usd", time_type, '', sell_available, 4, 1, lever_rate)
if 'true' in ret:
time.sleep(2)
jRet = json.loads(okFuture.future_position_4fix(coin_name + "_usd", time_type, "1"))
email_msg = "卖出做空%s成功, 时间: %s, 成交结果: %s" \
% (coin_name, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
return True
def buyin_less(okFuture, coin_name, time_type, buy_price, amount=None, lever_rate=20, taker=False):
json_ret = json.loads(okFuture.future_userinfo_4fix())
balance = float(json_ret["info"][coin_name]["balance"])
if not amount:
amount = math.floor(balance * lever_rate * buy_price / 10)
while amount >= 1:
if taker:
ret = okFuture.future_trade(coin_name + "_usd", time_type, '', amount, 2, 1, lever_rate)
else:
ret = okFuture.future_trade(coin_name + "_usd", time_type, buy_price, amount, 2, 0, lever_rate)
print(ret)
if 'true' in ret:
email_msg = "做空%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, buy_price, amount, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg,))
return json.loads(ret)["order_id"]
amount = math.floor(amount * 0.95)
return False
def sell_less(futureAPI, time_type, lever_rate=20):
now_time = timestamp2string(time.time())
try:
position = futureAPI.get_specific_position(time_type)
log_trade_v3('In sell_less func, %s position: %s' % (time_type, position))
while len(position["holding"]) > 0:
amount = int(position["holding"][0]["short_avail_qty"])
if amount == 0:
return True
ret = futureAPI.take_order('', time_type, 4, '', amount, 1, lever_rate)
log_trade_v3('In future sell_less func, sell less result: %s, time: %s' % (ret, now_time))
if ret and ret['result']:
break
else:
return False
return True
except Exception as e:
info = traceback.format_exc()
log_trade_v3("In future sell_less func, error: %s\r\n traceback: %s\r\n time: %s" % (repr(e), info, now_time))
return False
def spot_buy(spotAPI, instrument_id, amount, price):
try:
if amount > 0:
amount = float(math.floor(amount * 100) / 100)
ret = spotAPI.take_order(
'limit',
'buy',
instrument_id,
amount,
margin_trading=1,
client_oid='',
price=price,
funds='',
)
if ret and ret['result']:
return ret["order_id"]
return False
except Exception as e:
log_trade_v3("In spot_buy func, error: %s, time: %s" %
(traceback.format_exc(), timestamp2string(time.time())))
return "spot_buy_exception"
def buyin_more_batch(futureAPI, coin_name, time_type, latest_price, lever_rate=20, amount=None):
now_time = timestamp2string(time.time())
try:
result = futureAPI.get_coin_account(coin_name)
balance = float(result['equity'])
if not amount:
amount = math.floor(balance * lever_rate * latest_price / 10)
while amount >= 5:
order_data = gen_orders_data(latest_price, amount, 1, 5)
ret = futureAPI.take_orders(time_type, order_data, lever_rate)
if ret and ret['result']:
email_msg = "批量下单做多%s成功，最新价格: %.4f, 成交张数: %d, 时间: %s, 成交结果: %s" \
% (coin_name, latest_price, amount, now_time, ret)
thread.start_new_thread(send_email, (email_msg,))
return True
amount = math.floor(amount * 0.95)
return False
except Exception as e:
log_trade_v3("In future buyin_more_batch function, error: %s, time: %s" % (repr(e), now_time))
log_trade_v3(traceback.format_exc())
return False
def sell_more_batch(coin_name, time_type, latest_price, lever_rate=20):
global processing, more2less
processing = True
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type, "1"))
print(jRet)
flag = True
ret = u'没有做多订单'
while len(jRet["holding"]) > 0:
cancel_uncompleted_order(coin_name, time_type)
if flag:
flag = False
amount = jRet["holding"][0]["buy_available"]
order_data = gen_orders_data(latest_price, amount, 3, 5)
ret = okFuture.future_batchTrade(coin_name + "_usd", time_type,
order_data, lever_rate)
else:
buy_available = jRet["holding"][0]["buy_available"]
ret = okFuture.future_trade(coin_name + "_usd", time_type, '',
buy_available, 3, 1, lever_rate)
if 'true' in ret:
time.sleep(5)
jRet = json.loads(
okFuture.future_position_4fix(coin_name + "_usd", time_type,
"1"))
sell_more_suc()
if more2less == 1:
if buyin_less(coin_name, time_type, latest_price):
info = u'发出反手做空信号！！！买入价格：' + str(latest_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
else:
more2less = 0
email_msg = "做多%s批量卖出成交, 时间: %s, 成交结果: %s" \
% (coin_name, timestamp2string(time.time()), ret)
thread.start_new_thread(send_email, (email_msg, ))
processing = False
return True
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, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts) >= 300:
last_5min_macd_ts = int(ts)
print(last_5min_macd_ts)
if more == 0 and less == 0:
ret = json.loads(
okFuture.future_position_4fix("etc_usd", "quarter", "1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
else:
print("确认未持仓")
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_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.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_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if more == 1:
if price_10s_change < 0:
cancel_uncompleted_order(coin.name, time_type)
if sell_more_batch(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
elif less == 1:
if price_10s_change > 0:
cancel_uncompleted_order(coin.name, time_type)
if sell_less_batch(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
elif check_vol():
if price_10s_change > incr_10s_rate:
if ind_3s.bid_vol >= vol_3s_bal * ind_3s.ask_vol and ind_1min.bid_vol >= vol_1m_bal * ind_1min.ask_vol:
latest_order_id = buyin_more_price(
coin.name, time_type, latest_price)
if latest_order_id:
more = 1
thread.start_new_thread(pend_order, (
coin.name,
time_type,
latest_order_id,
'more',
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
elif price_10s_change < -incr_10s_rate:
if ind_3s.ask_vol >= vol_3s_bal * ind_3s.bid_vol and ind_1min.ask_vol >= vol_1m_bal * ind_1min.bid_vol:
latest_order_id = buyin_less_price(
coin.name, time_type, latest_price)
if latest_order_id:
less = 1
thread.start_new_thread(pend_order, (
coin.name,
time_type,
latest_order_id,
'less',
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+',
'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f' \
% (price_10s_change, price_1m_change, price_5m_change, last_5min_macd)
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
print('当前行情: %s' % ret)
if more == 1 and (new_macd < 0 or
(check_trend(list(df['macd'])) == 'down'
and new_macd < buy_thread)):
sell_price = float(ret['best_ask']) - 0.0005
order_id = sell_all_position(spotAPI, instrument_id,
sell_price)
if order_id:
order_id_queue.append(order_id)
elif more == 0 and last_macd <= buy_thread < new_macd:
buy_price = float(ret['best_bid']) + 0.0005
order_id = buy_all_position(spotAPI, instrument_id,
buy_price)
if order_id:
order_id_queue.append(order_id)
last_macd = new_macd
for i in range(len(diff) - 10, len(diff)):
print(
"macd: %.6f, diff: %.6f, dea: %.6f, macd_time: %s\r\n"
% (2 *
(diff[i] - dea[i]), diff[i], dea[i], timestamp[i]))
print("finish calculating macd... %s" % timestamp2string(ts))
except Exception as e:
print(repr(e))
traceback.print_exc()
continue
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, last_avg_price, less, deque_3s, deque_10s, deque_min,\
deque_3m, ind_1s, ind_10s, ind_1min, ind_3m, write_lines, last_3min_macd_ts, new_macd, lessless,\
future_buy_time, buyin_price_spot, moremore, freeze_time
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 int(
ts) - freeze_time > 180 and check_do_future_less(
price_3m_change, price_1m_change, price_10s_change):
latest_future_price = get_latest_future_price(
futureAPI, future_instrument_id)
if not latest_future_price:
latest_future_price = latest_price
future_buyin_less_order_id = buyin_less(futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
amount=None,
lever_rate=20,
taker=True)
if future_buyin_less_order_id:
lessless = 1
future_buy_time = int(ts)
buyin_price_spot = latest_price
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
future_buyin_less_order_id,
))
info = now_time + u' 发出做空信号！！future_buy_price： ' + str(
latest_future_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if moremore == 0 and int(
ts) - freeze_time > 180 and check_do_future_more(
price_3m_change, price_1m_change, price_10s_change):
latest_future_price = get_latest_future_price(
futureAPI, future_instrument_id)
if not latest_future_price:
latest_future_price = latest_price
future_buyin_more_order_id = buyin_more(futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
amount=None,
lever_rate=20,
taker=True)
if future_buyin_more_order_id:
moremore = 1
future_buy_time = int(ts)
buyin_price_spot = latest_price
thread.start_new_thread(ensure_buyin_more, (
futureAPI,
coin.name,
future_instrument_id,
latest_future_price,
future_buyin_more_order_id,
))
info = now_time + u' 发出做多信号！！future_buy_price： ' + str(
latest_future_price)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
if moremore == 1:
if int(ts) - future_buy_time >= 60 and price_10s_change < -0.03:
if sell_more(futureAPI, future_instrument_id):
moremore = 0
thread.start_new_thread(
ensure_sell_more,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
info = u'做多止盈，盈利%.3f, time: %s' % (
latest_price - buyin_price_spot, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
freeze_time = int(ts)
elif latest_price < buyin_price_spot * 0.99:
if sell_more(futureAPI, future_instrument_id):
moremore = 0
thread.start_new_thread(
ensure_sell_more,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
info = u'做多止损，亏损%.3f, time: %s' % (
buyin_price_spot - latest_price, now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
freeze_time = int(ts)
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, buyin_price_spot))
freeze_time = int(ts)
info = u'做空止盈，盈利%.3f, time: %s' % (
buyin_price_spot - 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 and price_10s_change > 0.03:
if sell_less(futureAPI, future_instrument_id):
lessless = 0
thread.start_new_thread(
ensure_sell_less,
(futureAPI, coin.name, future_instrument_id,
latest_price, buyin_price_spot))
freeze_time = int(ts)
info = u'做空止盈，盈利%.2f, time: %s' % (
(latest_price - buyin_price_spot), now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif latest_price > buyin_price_spot * 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, buyin_price_spot))
freeze_time = int(ts)
info = u'做空止损，亏损%.2f, time: %s' % (
(latest_price - buyin_price_spot), now_time)
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
holding_status = 'future_less: %d, future_more: %d' % (lessless,
moremore)
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)
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, last_avg_price, buy_price, more, less, deque_3s, deque_10s, deque_min, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, moreless
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts) >= 60:
last_5min_macd_ts = int(ts)
print(ts, last_5min_macd_ts)
if more == 0 and less == 0 and moreless == 0:
ret = futureAPI.get_specific_position(time_type)
print(ret)
if len(ret["holding"]) > 0:
buy_available = int(ret["holding"][0]["long_avail_qty"])
sell_available = int(ret["holding"][0]["short_avail_qty"])
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
print("确认未持仓")
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_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
# price_5m_ago = cal_price_ago(deque_5m)
# print("price_5m_ago: %.4f" % price_5m_ago)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.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_5m_change = cal_rate(avg_3s_price, avg_5m_price)
# price_5m_ago_change = cal_rate(latest_price, price_5m_ago)
if more == 1:
# 盈利中，放宽卖出条件，盈利最大化
if latest_price > buy_price:
if price_1m_change <= -0.1 and price_5m_change <= 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
if price_1m_change <= -0.2 or price_5m_change <= 0:
if sell_more_batch(futureAPI, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
elif less == 1:
# 盈利中，放宽卖出条件，盈利最大化
if latest_price < buy_price:
if price_1m_change >= 0.1 and price_5m_change >= 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
else:
if price_1m_change >= 0.2 or price_5m_change >= 0:
if sell_less_batch(futureAPI, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
futureAPI,
coin.name,
time_type,
latest_price,
buy_price,
))
if price_1m_change >= 0.2 and price_5m_change >= 0.3:
btc_change = coin_recent_change_rate("btc")
eth_change = coin_recent_change_rate("eth")
print('btc_change: %.2f%%, eth change: %.2f%%' %
(btc_change, eth_change))
write_lines.append(
'btc_change: %.2f%%, eth change: %.2f%% \r\n' %
(btc_change, eth_change))
if btc_change >= 0.5 and eth_change >= 0.5:
if buyin_more(futureAPI, coin.name, time_type,
latest_price + 0.01):
more = 1
thread.start_new_thread(ensure_buyin_more, (
futureAPI,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif price_1m_change <= -0.2 and price_5m_change <= -0.3:
btc_change = coin_recent_change_rate("btc")
eth_change = coin_recent_change_rate("eth")
print('btc_change: %.2f%%, eth change: %.2f%%' %
(btc_change, eth_change))
write_lines.append(
'btc_change: %.2f%%, eth change: %.2f%% \r\n' %
(btc_change, eth_change))
if btc_change <= -0.6 and eth_change <= -0.6:
if buyin_less(futureAPI, coin.name, time_type,
latest_price - 0.01):
less = 1
thread.start_new_thread(ensure_buyin_less, (
futureAPI,
coin.name,
time_type,
latest_price,
))
buy_price = latest_price
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
last_avg_price = latest_price
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%' \
% (price_10s_change, price_1m_change, price_5m_change)
write_info = 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(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
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)
else:
more = 0
elif less == 1:
jRet = json.loads(
okFuture.future_position_4fix(coin.name + "_usd",
time_type, "1"))
if len(jRet["holding"]) > 0:
sell_available = jRet["holding"][0]["sell_available"]
if sell_available > 0:
print("确认持有做空单: ", jRet)
else:
less = 0
else:
less = 0
else:
print('未持有单, %s' % timestamp2string(int(ts)))
df = get_spot_macd(spotAPI, instrument_id, 300)
# df = get_macd(okFuture, coin.name + "_usd", time_type, "5min", 300)
diff = list(df['diff'])
dea = list(df['dea'])
timestamp = list(df['time'])
new_macd = 2 * (diff[-1] - dea[-1])
macd_5min = list(df['macd'])
# df_15 = get_macd(okFuture, coin.name + "_usd", time_type, "15min", 300)
# diff_15 = list(df_15['diff'])
# dea_15 = list(df_15['dea'])
# timestamp_15 = list(df_15['timestamp'])
# macd_15min = list(df_15['macd'])
# new_macd_15 = macd_15min[-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, buy_price, more, less, deque_3s, deque_10s, deque_min, count, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_5min_macd, last_5min_macd_ts, prev_5m_price, prev_15m_price, \
prev_5min_price_less_15min, prev_5min_price_more_15min
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
if int(ts) - int(last_5min_macd_ts) >= 60:
last_5min_macd_ts = int(ts)
last_5min_macd, tmp_ts = get_macd("etc_usd", time_type, "1min")
print(last_5min_macd, last_5min_macd_ts)
if more == 0 and less == 0:
ret = json.loads(
okFuture.future_position_4fix("etc_usd", "quarter", "1"))
print(ret)
if len(ret["holding"]) > 0:
buy_available = ret["holding"][0]["buy_available"]
sell_available = ret["holding"][0]["sell_available"]
if buy_available > 0:
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
if sell_available > 0:
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
else:
print("确认未持仓")
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_3s)
handle_deque(deque_10s, deal_entity, ts, ind_10s)
handle_deque(deque_min, deal_entity, ts, ind_1min)
handle_deque(deque_5m, deal_entity, ts, ind_5m)
handle_deque(deque_15m, deal_entity, ts, ind_15m)
avg_3s_price = ind_3s.cal_avg_price()
avg_10s_price = ind_10s.cal_avg_price()
avg_min_price = ind_1min.cal_avg_price()
avg_5m_price = ind_5m.cal_avg_price()
avg_15m_price = ind_15m.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_5m_change = cal_rate(avg_3s_price, avg_5m_price)
if more == 1:
if avg_5m_price < prev_5m_price:
count += 1
if count > 3:
if sell_more(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
elif less == 1:
if avg_5m_price > prev_5m_price:
count += 1
if count > 3:
if sell_less(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
elif prev_5m_price <= prev_15m_price and avg_5m_price > avg_15m_price:
if buyin_more_price(coin.name, time_type,
latest_price - 0.002):
more = 1
count = 0
buy_price = latest_price - 0.002
info = u'发出做多信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
elif prev_5m_price >= prev_15m_price and avg_5m_price < avg_15m_price:
if buyin_less_price(coin.name, time_type,
latest_price + 0.002):
less = 1
count = 0
buy_price = latest_price + 0.002
info = u'发出做空信号！！！买入价格：' + str(
buy_price) + u', ' + now_time
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
price_info = deal_entity.type + u' now_price: %.4f, 3s_price: %.4f, 10s_price: %.4f, 1m_price: %.4f, ' \
u'5min_price: %.4f' \
% (latest_price, avg_3s_price, avg_10s_price, avg_min_price, avg_5m_price)
vol_info = u'cur_vol: %.3f, 3s vol: %.3f, 10s vol: %.3f, 1min vol: %.3f, ask_vol: %.3f, bid_vol: %.3f, 3s_ask_vol: %.3f, 3s_bid_vol: %.3f' \
% (deal_entity.amount, ind_3s.vol, ind_10s.vol, ind_1min.vol, ind_1min.ask_vol, ind_1min.bid_vol,
ind_3s.ask_vol, ind_3s.bid_vol)
rate_info = u'10s_rate: %.2f%%, 1min_rate: %.2f%%, 5min_rate: %.2f%%, 5min_macd: %.6f, 15min_price: %.4f' \
% (price_10s_change, price_1m_change, price_5m_change, last_5min_macd, avg_15m_price)
print(price_info + '\r\n' + vol_info + '\r\n' + rate_info + u', ' +
now_time)
prev_5m_price = avg_5m_price
prev_15m_price = avg_15m_price
ret = spotAPI.get_specific_ticker(instrument_id)
buy_price = float(ret['best_bid']) + 0.0001
sell_price = float(ret['best_ask']) - 0.0001
if more == 1 and check_trend(list(df['macd'])) == 'down':
order_id = sell_all_position(spotAPI, instrument_id,
sell_price)
if order_id:
order_id_queue.append(order_id)
elif more == 0 and check_trend(list(df['macd'])) == 'up':
order_id = buy_all_position(spotAPI, instrument_id,
buy_price)
if order_id:
order_id_queue.append(order_id)
less = 0
last_macd = new_macd
if first:
first = False
for i in range(0, len(diff)):
print(
"macd: %.6f, diff: %.6f, dea: %.6f, macd_time: %s"
% (2 * (diff[i] - dea[i]), diff[i], dea[i],
timestamp[i]))
print(new_macd, diff[-1], dea[-1], timestamp[-1],
timestamp2string(ts))
except Exception as e:
print(repr(e))
traceback.print_exc()
continue