class KuaiqiBroker:
"""KuaiqiBroker"""
name = 'kuaiqi'
start_time = datetime(2016, 1, 1, 0)
# min_value = 10
# kl_bt_accuracy = kl.KLINE_INTERVAL_1MINUTE
max_count_of_single_download_kl = 10000
kline_data_type = kl.KLINE_DATA_TYPE_LIST
kline_key_open_time = kl.KLINE_KEY_OPEN_TIME
kline_key_close_time = kl.KLINE_KEY_CLOSE_TIME
kline_key_open = kl.KLINE_KEY_OPEN
kline_key_close = kl.KLINE_KEY_CLOSE
kline_key_high = kl.KLINE_KEY_HIGH
kline_key_low = kl.KLINE_KEY_LOW
kline_key_volume = kl.KLINE_KEY_VOLUME
kline_column_names = [
kline_key_open_time, kline_key_open, kline_key_high, kline_key_low,
kline_key_close, kline_key_volume, kline_key_close_time
]
kline_idx_open_time = kl.get_kline_index(kl.KLINE_KEY_OPEN_TIME,
kline_column_names)
kline_idx_close_time = kl.get_kline_index(kl.KLINE_KEY_CLOSE_TIME,
kline_column_names)
kline_idx_open = kl.get_kline_index(kl.KLINE_KEY_OPEN, kline_column_names)
kline_idx_close = kl.get_kline_index(kl.KLINE_KEY_CLOSE,
kline_column_names)
kline_idx_high = kl.get_kline_index(kl.KLINE_KEY_HIGH, kline_column_names)
kline_idx_low = kl.get_kline_index(kl.KLINE_KEY_LOW, kline_column_names)
kline_idx_volume = kl.get_kline_index(kl.KLINE_KEY_VOLUME,
kline_column_names)
def __init__(self, debug=False):
return
def connect(self):
# self.__client = Client(api_key, secret_key)
return
# def __get_coinkey(self, coin):
# """转换binance格式的coin"""
# return coin.upper()
# def __trans_symbol(self, symbol):
# """转换为binance格式的symbol"""
# target_coin, base_coin = xq.get_symbol_coins(symbol)
# return '%s%s' % (self.__get_coinkey(target_coin), self.__get_coinkey(base_coin))
# def __trans_side(self, direction, action):
# """转换为binance格式的side"""
# if direction == bl.DIRECTION_LONG:
# if action == bl.OPEN_POSITION:
# return SIDE_BUY
# elif action == bl.CLOSE_POSITION:
# return SIDE_SELL
# elif direction == bl.DIRECTION_SHORT:
# if action == bl.OPEN_POSITION:
# return SIDE_SELL
# elif action == bl.CLOSE_POSITION:
# return SIDE_BUY
# return None
# def __trans_type(self, type):
# """转换为binance格式的type"""
# if type == xq.ORDER_TYPE_LIMIT:
# return ORDER_TYPE_LIMIT
# elif type == xq.ORDER_TYPE_MARKET:
# return ORDER_TYPE_MARKET
# else:
# return None
def __trans_interval(self, interval):
if interval == kl.KLINE_INTERVAL_1MINUTE:
return KLINE_INTERVAL_1MINUTE
elif interval == kl.KLINE_INTERVAL_3MINUTE:
return KLINE_INTERVAL_3MINUTE
elif interval == kl.KLINE_INTERVAL_5MINUTE:
return KLINE_INTERVAL_5MINUTE
elif interval == kl.KLINE_INTERVAL_15MINUTE:
return KLINE_INTERVAL_15MINUTE
elif interval == kl.KLINE_INTERVAL_30MINUTE:
return KLINE_INTERVAL_30MINUTE
elif interval == kl.KLINE_INTERVAL_1HOUR:
return KLINE_INTERVAL_1HOUR
elif interval == kl.KLINE_INTERVAL_2HOUR:
return KLINE_INTERVAL_2HOUR
elif interval == kl.KLINE_INTERVAL_4HOUR:
return KLINE_INTERVAL_4HOUR
elif interval == kl.KLINE_INTERVAL_6HOUR:
return KLINE_INTERVAL_6HOUR
elif interval == kl.KLINE_INTERVAL_8HOUR:
return KLINE_INTERVAL_8HOUR
elif interval == kl.KLINE_INTERVAL_12HOUR:
return KLINE_INTERVAL_12HOUR
elif interval == kl.KLINE_INTERVAL_1DAY:
return KLINE_INTERVAL_1DAY
elif interval == kl.KLINE_INTERVAL_3DAY:
return KLINE_INTERVAL_3DAY
elif interval == kl.KLINE_INTERVAL_1WEEK:
return KLINE_INTERVAL_1WEEK
elif interval == kl.KLINE_INTERVAL_1MONTH:
return KLINE_INTERVAL_1MONTH
else:
return None
def __get_klines(self, symbol, interval, size, since):
"""获取k线"""
# if since is None:
# klines = self.__client.get_klines(symbol=symbol, interval=interval, limit=size)
# else:
# klines = self.__client.get_klines(symbol=symbol, interval=interval, limit=size, startTime=since)
interval_ms = kl.get_interval_timedelta(
interval).total_seconds() * 1000
data_fileName = data_dir + "/" + symbol + "_" + interval + ".csv"
klines = []
with open(data_fileName, "rt") as data_file:
data_line = next(data_file)
while True:
try:
data_line = next(data_file)
data_values = data_line.split(",")
open_time = int(
(int(data_values[1]) / (1000 * 1000 * 1000)) * 1000)
if open_time < since:
continue
close_time = open_time + interval_ms - 1
klines.append([
open_time,
float(data_values[2]),
float(data_values[3]),
float(data_values[4]),
float(data_values[5]),
int(data_values[6]), close_time
])
if len(klines) == size:
break
except StopIteration:
break
return klines
def get_klines(self, symbol, interval, size=300, since=None):
return self.__get_klines(symbol, self.__trans_interval(interval), size,
since)
def get_klines_1day(self, symbol, size=300, since=None):
"""获取日k线"""
return self.__get_klines(symbol, KLINE_INTERVAL_1DAY, size, since)
def get_klines_1min(self, symbol, size=300, since=None):
"""获取分钟k线"""
return self.__get_klines(symbol, KLINE_INTERVAL_1MINUTE, size, since)
def get_account(self):
"""获取账户信息"""
# account = self.__client.get_account()
# nb = []
# balances = account['balances']
# for item in balances:
# if float(item['free'])==0 and float(item['locked'])==0:
# continue
# nb.append(item)
# account['balances'] = nb
# return account
return
def get_all_balances(self):
"""获取余额"""
# balances = []
# account = self.get_account()
# for item in account['balances']:
# balance = xq.create_balance(item['asset'], item['free'], item['locked'])
# balances.append(balance)
# return balances
return
def get_balances(self, *coins):
"""获取余额"""
# coin_balances = []
# account = self.__client.get_account()
# balances = account['balances']
# for coin in coins:
# coinKey = self.__get_coinkey(coin)
# for item in balances:
# if coinKey == item['asset']:
# balance = xq.create_balance(coin, item['free'], item['locked'])
# coin_balances.append(balance)
# break
# if len(coin_balances) <= 0:
# return
# elif len(coin_balances) == 1:
# return coin_balances[0]
# else:
# return tuple(coin_balances)
return
def order_status_is_close(self, symbol, order_id):
# """查询委托状态"""
# exchange_symbol = self.__trans_symbol(symbol)
# order = self.__client.get_order(symbol=exchange_symbol, orderId=order_id)
# if order['status'] in [ORDER_STATUS_FILLED, ORDER_STATUS_CANCELED, ORDER_STATUS_REJECTED, ORDER_STATUS_EXPIRED]:
# return True
# return False
return
def get_trades(self, symbol):
"""获取成交"""
# exchange_symbol = self.__trans_symbol(symbol)
# trades = self.__client.get_my_trades(symbol=exchange_symbol)
# return trades
return
def get_deals(self,
symbol,
start_time='',
end_time='',
from_id='',
limit=''):
"""获取成交"""
# exchange_symbol = self.__trans_symbol(symbol)
# trades = self.__client.get_my_trades(symbol=exchange_symbol)
# df = pd.DataFrame(trades)
# df[['price','qty']] = df[['price','qty']].apply(pd.to_numeric)
# df['value'] = df['price'] * df['qty']
# df_s = df.groupby('orderId')['qty', 'value'].sum()
# return df_s['qty'], df_s['value']
return
def send_order(self,
direction,
action,
type,
symbol,
price,
amount,
client_order_id=None):
"""提交委托"""
# exchange_symbol = self.__trans_symbol(symbol)
# binance_side = self.__trans_side(direction, action)
# if binance_side is None:
# return
# binance_type = self.__trans_type(type)
# if binance_type is None:
# return
# log.info('send order: pair(%s), side(%s), type(%s), price(%f), amount(%f)' % (exchange_symbol, binance_side, binance_type, price, amount))
# ret = self.__client.create_order(symbol=exchange_symbol, side=binance_side, type=binance_type,
# timeInForce=TIME_IN_FORCE_GTC, price=price, quantity=amount)
# log.debug(ret)
# try:
# if ret['orderId']:
# #if ret['fills']:
# # self.debug('Return buy order ID: %s' % ret['orderId'])
# return ret['orderId']
# else:
# # self.debug('Place order failed')
# return None
# except Exception:
# # self.debug('Error result: %s' % ret)
# return None
return
def get_open_orders(self, symbol):
"""获取挂单"""
# exchange_symbol = self.__trans_symbol(symbol)
# orders = self.__client.get_open_orders(symbol=exchange_symbol)
# return orders
return
def get_open_order_ids(self, symbol):
"""获取挂单id"""
# orders = self.get_open_orders(symbol)
# return [order["orderId"] for order in orders]
return
def cancel_order(self, symbol, order_id):
"""撤单"""
# exchange_symbol = self.__trans_symbol(symbol)
# self.__client.cancel_order(symbol=exchange_symbol, orderId=order_id)
return
def cancel_orders(self, symbol, order_ids):
# for order_id in order_ids:
# self.cancel_order(symbol, order_id)
return
def get_order_book(self, symbol, limit=100):
# """获取挂单列表"""
# exchange_symbol = self.__trans_symbol(symbol)
# books = self.__client.get_order_book(symbol=exchange_symbol, limit=limit)
# return books
return
class BinanceExchange(BinanceCommon):
"""BinanceExchange"""
name = 'binance'
start_time = datetime(2017, 8, 17, 8)
min_value = 10
kl_bt_accuracy = kl.KLINE_INTERVAL_1MINUTE
kline_data_type = kl.KLINE_DATA_TYPE_LIST
kline_key_open_time = kl.KLINE_KEY_OPEN_TIME
kline_key_close_time = kl.KLINE_KEY_CLOSE_TIME
kline_key_open = kl.KLINE_KEY_OPEN
kline_key_close = kl.KLINE_KEY_CLOSE
kline_key_high = kl.KLINE_KEY_HIGH
kline_key_low = kl.KLINE_KEY_LOW
kline_key_volume = kl.KLINE_KEY_VOLUME
kline_column_names = [kline_key_open_time, kline_key_open, kline_key_high, kline_key_low,
kline_key_close, kline_key_volume, kline_key_close_time,
'quote_asset_volume','number_of_trades','taker_buy_base_asset_volume','taker_buy_quote_asset_volume','ignore']
kline_idx_open_time = kl.get_kline_index(kl.KLINE_KEY_OPEN_TIME, kline_column_names)
kline_idx_close_time = kl.get_kline_index(kl.KLINE_KEY_CLOSE_TIME, kline_column_names)
kline_idx_open = kl.get_kline_index(kl.KLINE_KEY_OPEN, kline_column_names)
kline_idx_close = kl.get_kline_index(kl.KLINE_KEY_CLOSE, kline_column_names)
kline_idx_high = kl.get_kline_index(kl.KLINE_KEY_HIGH, kline_column_names)
kline_idx_low = kl.get_kline_index(kl.KLINE_KEY_LOW, kline_column_names)
kline_idx_volume = kl.get_kline_index(kl.KLINE_KEY_VOLUME, kline_column_names)
def __init__(self, debug=False):
return
def connect(self):
self.__client = Client(api_key, secret_key)
def __get_coinkey(self, coin):
"""转换binance格式的coin"""
return coin.upper()
def __trans_symbol(self, symbol):
"""转换为binance格式的symbol"""
target_coin, base_coin = xq.get_symbol_coins(symbol)
return '%s%s' % (self.__get_coinkey(target_coin), self.__get_coinkey(base_coin))
def __trans_type(self, type):
"""转换为binance格式的type"""
if type == xq.ORDER_TYPE_LIMIT:
return ORDER_TYPE_LIMIT
elif type == xq.ORDER_TYPE_MARKET:
return ORDER_TYPE_MARKET
else:
return None
def __trans_interval(self, interval):
if interval == kl.KLINE_INTERVAL_1MINUTE:
return KLINE_INTERVAL_1MINUTE
elif interval == kl.KLINE_INTERVAL_3MINUTE:
return KLINE_INTERVAL_3MINUTE
elif interval == kl.KLINE_INTERVAL_5MINUTE:
return KLINE_INTERVAL_5MINUTE
elif interval == kl.KLINE_INTERVAL_15MINUTE:
return KLINE_INTERVAL_15MINUTE
elif interval == kl.KLINE_INTERVAL_30MINUTE:
return KLINE_INTERVAL_30MINUTE
elif interval == kl.KLINE_INTERVAL_1HOUR:
return KLINE_INTERVAL_1HOUR
elif interval == kl.KLINE_INTERVAL_2HOUR:
return KLINE_INTERVAL_2HOUR
elif interval == kl.KLINE_INTERVAL_4HOUR:
return KLINE_INTERVAL_4HOUR
elif interval == kl.KLINE_INTERVAL_6HOUR:
return KLINE_INTERVAL_6HOUR
elif interval == kl.KLINE_INTERVAL_8HOUR:
return KLINE_INTERVAL_8HOUR
elif interval == kl.KLINE_INTERVAL_12HOUR:
return KLINE_INTERVAL_12HOUR
elif interval == kl.KLINE_INTERVAL_1DAY:
return KLINE_INTERVAL_1DAY
elif interval == kl.KLINE_INTERVAL_3DAY:
return KLINE_INTERVAL_3DAY
elif interval == kl.KLINE_INTERVAL_1WEEK:
return KLINE_INTERVAL_1WEEK
elif interval == kl.KLINE_INTERVAL_1MONTH:
return KLINE_INTERVAL_1MONTH
else:
return None
def __get_klines(self, symbol, interval, size, since):
"""获取k线"""
exchange_symbol = self.__trans_symbol(symbol)
if since is None:
klines = self.__client.get_klines(symbol=exchange_symbol, interval=interval, limit=size)
else:
klines = self.__client.get_klines(symbol=exchange_symbol, interval=interval, limit=size, startTime=since)
return klines
def get_klines(self, symbol, interval, size=300, since=None):
return self.__get_klines(symbol, self.__trans_interval(interval), size, since)
def get_klines_1day(self, symbol, size=300, since=None):
"""获取日k线"""
return self.__get_klines(symbol, KLINE_INTERVAL_1DAY, size, since)
def get_klines_1min(self, symbol, size=300, since=None):
"""获取分钟k线"""
return self.__get_klines(symbol, KLINE_INTERVAL_1MINUTE, size, since)
def get_account(self):
"""获取账户信息"""
account = self.__client.get_account()
nb = []
balances = account['balances']
for item in balances:
if float(item['free'])==0 and float(item['locked'])==0:
continue
nb.append(item)
account['balances'] = nb
return account
def get_all_balances(self):
"""获取余额"""
balances = []
account = self.get_account()
for item in account['balances']:
balance = xq.create_balance(item['asset'], item['free'], item['locked'])
balances.append(balance)
return balances
def get_balances(self, *coins):
"""获取余额"""
coin_balances = []
account = self.__client.get_account()
balances = account['balances']
for coin in coins:
coinKey = self.__get_coinkey(coin)
for item in balances:
if coinKey == item['asset']:
balance = xq.create_balance(coin, item['free'], item['locked'])
coin_balances.append(balance)
break
if len(coin_balances) <= 0:
return
elif len(coin_balances) == 1:
return coin_balances[0]
else:
return tuple(coin_balances)
def order_status_is_close(self, symbol, order_id):
"""查询委托状态"""
exchange_symbol = self.__trans_symbol(symbol)
order = self.__client.get_order(symbol=exchange_symbol, orderId=order_id)
if order['status'] in [ORDER_STATUS_FILLED, ORDER_STATUS_CANCELED, ORDER_STATUS_REJECTED, ORDER_STATUS_EXPIRED]:
return True
return False
def get_trades(self, symbol):
"""获取成交"""
exchange_symbol = self.__trans_symbol(symbol)
trades = self.__client.get_my_trades(symbol=exchange_symbol)
return trades
def get_deals(self, symbol, start_time='', end_time='', from_id='', limit=''):
"""获取成交"""
exchange_symbol = self.__trans_symbol(symbol)
trades = self.__client.get_my_trades(symbol=exchange_symbol)
df = pd.DataFrame(trades)
df[['price','qty']] = df[['price','qty']].apply(pd.to_numeric)
df['value'] = df['price'] * df['qty']
df_s = df.groupby('orderId')['qty', 'value'].sum()
return df_s['qty'], df_s['value']
def send_order(self, direction, action, type, symbol, price, amount, client_order_id=None):
"""提交委托"""
exchange_symbol = self.__trans_symbol(symbol)
binance_side = self._trans_side(direction, action)
if binance_side is None:
return
binance_type = self.__trans_type(type)
if binance_type is None:
return
log.info('send order: pair(%s), side(%s), type(%s), price(%f), amount(%f)' % (exchange_symbol, binance_side, binance_type, price, amount))
ret = self.__client.create_order(symbol=exchange_symbol, side=binance_side, type=binance_type,
timeInForce=TIME_IN_FORCE_GTC, price=price, quantity=amount)
log.debug(ret)
try:
if ret['orderId']:
#if ret['fills']:
# self.debug('Return buy order ID: %s' % ret['orderId'])
return ret['orderId']
else:
# self.debug('Place order failed')
return None
except Exception:
# self.debug('Error result: %s' % ret)
return None
def get_open_orders(self, symbol):
"""获取挂单"""
exchange_symbol = self.__trans_symbol(symbol)
orders = self.__client.get_open_orders(symbol=exchange_symbol)
return orders
def get_open_order_ids(self, symbol):
"""获取挂单id"""
orders = self.get_open_orders(symbol)
return [order["orderId"] for order in orders]
def cancel_order(self, symbol, order_id):
"""撤单"""
exchange_symbol = self.__trans_symbol(symbol)
self.__client.cancel_order(symbol=exchange_symbol, orderId=order_id)
def cancel_orders(self, symbol, order_ids):
for order_id in order_ids:
self.cancel_order(symbol, order_id)
def get_order_book(self, symbol, limit=100):
"""获取挂单列表"""
exchange_symbol = self.__trans_symbol(symbol)
books = self.__client.get_order_book(symbol=exchange_symbol, limit=limit)
return books