def test_on_orderBookL2_action_data(mocker):
"""
Ensure orderBookL2 is updated on delete, insert and update actions.
"""
init_mock = mocker.patch('bitmex_websocket.Instrument.init')
instrument = Instrument()
# Recieve partial action message
partial_action_message = orderBookL2_data['partial']
partial_data = partial_action_message['data']
instrument.on_action(partial_action_message)
table = 'orderBookL2'
for partial_level in partial_data:
level = next(level for level in instrument.get_table(table)
if level['id'] == partial_level['id'])
assert level
# Receive delete action message
delete_action_message = orderBookL2_data['delete']
delete_level_id = delete_action_message['data'][0]['id']
instrument.on_action(delete_action_message)
delete_level = next((level for level in instrument.get_table(table)
if level['id'] == delete_level_id), None)
assert not delete_level
# Receive insert action message
insert_action_message = orderBookL2_data['insert']
instrument.on_action(insert_action_message)
insert_data = insert_action_message['data']
for insert_level in insert_data:
level = next(level for level in instrument.get_table(table)
if level['id'] == insert_level['id'])
assert level
# Receive update action message
update_action_message = orderBookL2_data['update']
update_data = update_action_message['data']
level_update = update_data[0]
instrument.on_action(update_action_message)
updated_level = next(level for level in instrument.get_table(table)
if level['id'] == level_update['id'])
assert updated_level['size'] == level_update['size']
def test_on_update_action_instrument_data(mocker):
init_mock = mocker.patch('bitmex_websocket.Instrument.init')
partial_message = instrument_data['partial']
update_message = instrument_data['update']
instrument = Instrument()
instrument.on_action(partial_message)
assert instrument.data['instrument']
instrument.on_action(update_message)
updated_instrument_table = instrument.get_table('instrument')
assert updated_instrument_table['impactAskPrice'] \
== update_message['data'][0]['impactAskPrice']
class BitmexWS:
def handleSupportAndPressurePrice(self, lastprice):
if lastprice < self.lowcontrolPriceline:
if self.bc.pos > 0 and self.cengshu >= 4:
# 关键点位上，持仓逆向，且层数过高，平仓避避风头
printlog("关键点位上，持仓逆向，且层数过高，平仓避避风头 self.bc.pos = " +
str(self.bc.pos) + " self.cengshu = " +
str(self.cengshu))
self.orderClose()
return True
elif lastprice > self.highcontrolPriceline:
if self.bc.pos < 0 and self.cengshu >= 4:
printlog("关键点位上，持仓逆向，且层数过高，平仓避避风头 self.bc.pos = " +
str(self.bc.pos) + " self.cengshu = " +
str(self.cengshu))
self.orderClose()
return True
def handlehaveLong(self, gap):
# 大于止盈点数，平仓
if gap > self.targetProfit:
printlog("持有多仓，超过盈利点数，平仓:" + str(gap))
self.orderClose()
# 处理多单亏损
else:
# 如果亏损超过初始设定，则加多仓
if gap < -self.init_jiacanggap:
printlog("持有多仓，亏损超过设定点数，加仓: " + str(gap))
self.order()
else:
pass
# print("持有多仓，不触发平仓和加仓 gap = "+str(gap))
def handlehaveShort(self, gap):
if gap < -self.targetProfit:
printlog("持有空仓，超过盈利点数，平仓:" + str(gap))
self.orderClose()
# 处理空单亏损
else:
# 价格上升到空仓开仓价格超过初始设定，则加空仓
if gap > self.init_jiacanggap:
printlog("持有空仓，亏损超过设定点数，加仓" + str(gap))
self.order()
else:
pass
# print("持有空仓，不触发平仓和加仓 gap = " + str(gap))
def onMessage(self, message):
a1 = message["data"]
b = 'lastPrice' in a1[0]
c = 'timestamp' in a1[0]
# 过滤 websocket 信息，只需要最新价格
if b and c:
lastprice = float(a1[0]['lastPrice'])
timestamp = a1[0]['timestamp']
# 同步状态
# sendToAll({
# "lastprice": lastprice
# })
# 如果存在仓位，gap就是当前仓位的盈利或者亏损的点数
gap = lastprice - self.bc.avgPrice
# 每十次websocket返回信息，就打印一次当前的状态信息
if self.n % 10 == 0:
printlog("lastprice = " + str(lastprice) + "self.bc.pos:" +
str(self.prepos) + " gap = " + str(gap) +
" self.init_zhiying = " + str(self.targetProfit) +
" self.cengshu = " + str(self.cengshu))
self.n = self.n + 1
# 如果仓位变化了，那么一直请求获得最新的仓位，如果仓位跟本地的对比，有变化了，才继续执行
isshouldgo = self.isAfterOrderPosChange()
if isshouldgo == False:
return
# 处理价格到了设定好的压力位，支撑位，平仓
if self.handleSupportAndPressurePrice(lastprice) == True:
return
if self.prepos == 0:
printlog("无仓位立刻开仓")
self.order()
else:
# 为了处理没有仓位，gap会等于当前价格的时候
if gap > 1000:
return
# 当前持有多仓
if self.prepos > 0:
self.handlehaveLong(gap)
# 当前持有空仓
elif self.prepos < 0:
self.handlehaveShort(gap)
# 平仓
def orderClose(self):
self.isInOrder = True
self.bc.orderClose()
self.cengshu = 0
self.mypos = 0
self.init_jiacanggap = 10
self.isPosChange = True
# 下单
def order(self):
self.isInOrder = True
printlog("self.cengshu = " + str(self.cengshu))
if self.prepos == 0:
self.bc.orderauto(1)
else:
self.bc.orderauto(abs(self.prepos) * 2)
self.cengshu = self.cengshu + 1
self.isPosChange = True
def isAfterOrderPosChange(self):
# printlog(" isAfterOrderPosChange 仓位改变，等待"+str(self.isPosChange)+"self.prepos = "+str(self.prepos))
if self.isPosChange == True:
p = self.bc.getpos()
if self.prepos == p:
self.retryposchangetimes = self.retryposchangetimes + 1
if self.retryposchangetimes >= 10:
self.retryposchangetimes = 0
self.isPosChange = False
return True
printlog(" 仓位改变，等待")
return False
else:
printlog(" 仓位改变完毕")
self.prepos = p
self.retryposchangetimes = 0
self.isPosChange = False
return True
else:
return True
def __init__(self):
self.isRun = False
def stopRun(sef):
print('...')
def startRun(self, settingidc):
if (self.isRun):
return
self.isRun = True
print('开始运行', settingidc)
# 下限价格
self.lowcontrolPriceline = float(settingidc["low"])
print("self.lowcontrolPriceline", self.lowcontrolPriceline)
# 上限价格
self.highcontrolPriceline = float(settingidc["high"])
print("self.highcontrolPriceline", self.highcontrolPriceline)
# 赚了多少点就卖
self.targetProfit = float(settingidc["targetProfit"])
print("self.targetProfit", self.targetProfit)
# 每次加仓的价格间隔
self.init_jiacanggap = float(settingidc["priceGap"])
print("self.init_jiacanggap", self.init_jiacanggap)
# 初始仓位
self.initorderPos = float(settingidc["initPos"])
print("self.initorderPos", self.initorderPos)
API_KEY = settingidc["API_KEY"]
print("API_KEY", API_KEY)
API_SECRET = settingidc["API_SECRET"]
print("API_SECRET", API_SECRET)
print("1")
self.n = 0
self.retryposchangetimes = 0
self.isInOrder = False
self.isPosChange = False
self.cengshu = 0
websocket.enableTrace(True)
print("2")
self.XBTH17 = Instrument(
symbol='XBTUSD',
# subscribes to all channels by default, here we
# limit to just these two
channels=['margin', 'instrument'],
# you must set your environment variables to authenticate
# see .env.example
shouldAuth=True)
print("3")
self.bc = bitmexclient(API_KEY, API_SECRET)
print("4")
pos = self.bc.getpos()
print("pos = ", pos)
self.prepos = pos
orderBook10 = self.XBTH17.get_table('instrument')
self.XBTH17.on('action', self.onMessage)
class BitmexWS:
def trigger(self):
self.isInOrder = False
def onMessage(self, message):
# print(message)
a1 = message["data"]
# print(a1)
# print(a1[0])
b = 'lastPrice' in a1[0]
c = 'timestamp' in a1[0]
if b and c:
lastprice = float(a1[0]['lastPrice'])
#print("lastprice = "+str(lastprice))
timestamp = a1[0]['timestamp']
# 同步状态
sendToAll({"lastprice": lastprice})
gap = lastprice - self.bc.avgPrice
if self.n % 10 == 0:
printlog("lastprice = " + str(lastprice) + "self.bc.pos:" +
str(self.prepos) + " gap = " + str(gap) +
" self.init_zhiying = " + str(self.targetProfit) +
" self.cengshu = " + str(self.cengshu))
self.n = self.n + 1
if lastprice < self.lowcontrolPriceline:
if self.bc.pos > 0 and self.cengshu >= 5:
# 关键点位上，持仓逆向，且层数过高，平仓避避风头
printlog("关键点位上，持仓逆向，且层数过高，平仓避避风头 self.bc.pos = " +
str(self.bc.pos) + " self.cengshu = " +
str(self.cengshu))
self.orderClose()
elif lastprice > self.highcontrolPriceline:
if self.bc.pos < 0 and self.cengshu >= 5:
printlog("关键点位上，持仓逆向，且层数过高，平仓避避风头 self.bc.pos = " +
str(self.bc.pos) + " self.cengshu = " +
str(self.cengshu))
self.orderClose()
isshouldgo = self.isAfterOrderPosChange()
if isshouldgo == False:
return
# 没有仓位，立刻开仓
print("prepos", self.prepos)
if self.prepos == 0:
printlog("无仓位立刻开仓")
self.order()
else:
if gap > 1000:
return
# 当前持有多仓
if self.prepos > 0:
# 大于止盈点数，平仓
if gap > self.zhiying():
printlog("持有多仓，超过盈利点数，平仓:" + str(gap))
self.orderClose()
# 处理多单亏损
else:
# 如果亏损超过初始设定，则加多仓
if gap < -self.init_jiacanggap:
printlog("持有多仓，亏损超过设定点数，加仓: " + str(gap))
self.order()
else:
pass
#print("持有多仓，不触发平仓和加仓 gap = "+str(gap))
# 当前持有空仓
elif self.prepos < 0:
# 价格下跌到空仓开仓价格100点，止盈
if gap < -self.zhiying():
printlog("持有空仓，超过盈利点数，平仓:" + str(gap))
self.orderClose()
# 处理空单亏损
else:
# 价格上升到空仓开仓价格超过初始设定，则加空仓
if gap > self.init_jiacanggap:
printlog("持有空仓，亏损超过设定点数，加仓" + str(gap))
self.order()
else:
pass
#print("持有空仓，不触发平仓和加仓 gap = " + str(gap))
def orderClose(self):
self.isInOrder = True
self.bc.orderClose()
self.cengshu = 0
self.mypos = 0
self.init_jiacanggap = 10
self.isPosChange = True
def order(self):
self.isInOrder = True
printlog("self.cengshu = " + str(self.cengshu))
if self.prepos == 0:
self.bc.orderauto(1)
else:
self.bc.orderauto(abs(self.prepos) * 2)
# if self.bc.pos>self.mypos*3:
# self.bc.orderauto(self.mypos * 2)
# else:
#
# #self.bc.orderauto(self.mypos*2)
# self.mypos = self.mypos + self.mypos * 2
self.cengshu = self.cengshu + 1
if self.cengshu == 1:
self.targetProfit = 10
self.init_jiacanggap = 10
elif self.cengshu == 2:
self.targetProfit = 15
self.init_jiacanggap = 15
elif self.cengshu == 3:
self.targetProfit = 50
self.init_jiacanggap = 70
elif self.cengshu == 4:
self.targetProfit = 50
self.init_jiacanggap = 70
elif self.cengshu == 5:
self.targetProfit = 50
self.init_jiacanggap = 70
elif self.cengshu == 6:
self.targetProfit = 50
self.init_jiacanggap = 70
elif self.cengshu == 7:
self.targetProfit = 50
self.init_jiacanggap = 70
elif self.cengshu == 8:
self.targetProfit = 50
self.init_jiacanggap = 70
elif self.cengshu == 9:
self.targetProfit = 20
self.init_jiacanggap = 160
elif self.cengshu == 10:
self.targetProfit = 20
self.init_jiacanggap = 160
elif self.cengshu == 11:
self.targetProfit = 20
self.init_jiacanggap = 160
elif self.cengshu == 12:
self.targetProfit = 20
self.init_jiacanggap = 160
self.isPosChange = True
def isAfterOrderPosChange(self):
# printlog(" isAfterOrderPosChange 仓位改变，等待"+str(self.isPosChange)+"self.prepos = "+str(self.prepos))
if self.isPosChange == True:
p = self.bc.getpos()
if self.prepos == p:
self.retryposchangetimes = self.retryposchangetimes + 1
if self.retryposchangetimes >= 10:
self.retryposchangetimes = 0
self.isPosChange = False
return True
printlog(" 仓位改变，等待")
return False
else:
printlog(" 仓位改变完毕")
self.prepos = p
self.retryposchangetimes = 0
self.isPosChange = False
return True
else:
return True
def zhiying(self):
return self.targetProfit
def __init__(self):
self.isRun = False
def run(self, settingidc):
if (self.isRun):
return
self.isRun = True
print('开始运行', settingidc)
# 下限价格
self.lowcontrolPriceline = settingidc["low"]
print("self.lowcontrolPriceline", self.lowcontrolPriceline)
# 上限价格
self.highcontrolPriceline = settingidc["high"]
print("self.highcontrolPriceline", self.highcontrolPriceline)
# 赚了多少点就卖
self.targetProfit = settingidc["targetProfit"]
print("self.targetProfit", self.targetProfit)
# 每次加仓的价格间隔
self.init_jiacanggap = settingidc["priceGap"]
print("self.init_jiacanggap", self.init_jiacanggap)
# 初始仓位
self.initorderPos = settingidc["initPos"]
print("self.initorderPos", self.initorderPos)
API_KEY = settingidc["API_KEY"]
print("API_KEY", API_KEY)
API_SECRET = settingidc["API_SECRET"]
print("API_SECRET", API_SECRET)
print("1")
self.n = 0
self.retryposchangetimes = 0
self.isInOrder = False
self.isPosChange = False
self.cengshu = 0
websocket.enableTrace(True)
print("2")
self.XBTH17 = Instrument(
symbol='XBTUSD',
# subscribes to all channels by default, here we
# limit to just these two
channels=['margin', 'instrument'],
# you must set your environment variables to authenticate
# see .env.example
shouldAuth=True)
print("3")
self.bc = bitmexclient(API_KEY, API_SECRET)
print("4")
pos = self.bc.getpos()
print("pos = ", pos)
self.prepos = pos
orderBook10 = self.XBTH17.get_table('instrument')
self.XBTH17.on('action', self.onMessage)