class Avg(object):
def __init__(self):
# read configuration from json file
with open('config.json', 'r') as file:
config = json.load(file)
self.api_key = config['api_key']
self.api_secret = config['api_secret']
self.api_passphrase = config['api_passphrase']
self.sandbox = config['is_sandbox']
self.symbol = config['symbol']
self.min_param = float(config['min_param'])
self.price_param = float(config['price_param'])
self.market = Market(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
self.user = User(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
self.trade = Trade(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
self.symbol_trade = self.symbol + '-USDT'
def get_symbol_precision(self):
s = self.market.get_symbol_list()
sd = {}
for item in s:
if item.get('symbol') and item.get('symbol') == self.symbol_trade:
sd = item
return int(1 / Decimal(sd['baseMinSize']))
def returnIncrementSize(symbol):
'''
:param symbol: a trading pair ('BTC-USDT',...)
:return: The increment of the order size.
'''
liste = Market.get_symbol_list()
element = list(filter(lambda item: item['symbol'] == symbol, liste))
return Decimal(element[0]['baseIncrement'])
def returnBaseMin(symbol):
'''
:param symbol: a trading pair ('BTC-USDT',...)
:return: The minimum order quantity required to place an order
'''
liste = Market.get_symbol_list()
element = list(filter(lambda item: item['symbol'] == symbol, liste))
return element[0]['baseMinSize']
class Grid(object):
def __init__(self):
# read configuration from json file
with open('config.json', 'r') as file:
config = json.load(file)
self.api_key = config['api_key']
self.api_secret = config['api_secret']
self.api_passphrase = config['api_passphrase']
self.sandbox = config['is_sandbox']
self.symbol = config['symbol']
self.leverage = config['leverage']
self.size = config['size']
self.depth = config['depth']
self.market = Market(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
self.trade = Trade(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
self.tick_size = 0
self.best_ask = 0
self.best_bid = 0
self.diff = 0
self.max_ask = 0
self.max_bid = 0
self.precision = 0
self.ask_list = {}
self.bid_list = {}
def get_symbol(self):
symbols = self.market.get_symbol_list()
ks = {}
for s in symbols:
if s.get('symbol') and s.get('symbol') == self.symbol:
ks = s
if ks:
self.tick_size = Decimal(ks['priceIncrement'])
self.diff = Decimal(self.tick_size * self.depth)
self.precision = int(1 / Decimal(ks['baseIncrement']))
logging.debug('tick_size = %s, precision = %s', self.tick_size,
self.precision)
def get_market_price(self):
try:
r = self.market.get_ticker(self.symbol)
if 'bestAsk' in r.keys():
self.best_ask = Decimal(r['bestAsk'])
self.max_ask = Decimal(self.best_ask + self.diff).quantize(
Decimal("0.00"))
else:
return
if 'bestBid' in r.keys():
self.best_bid = Decimal(r['bestBid'])
self.max_bid = Decimal(self.best_bid - self.diff).quantize(
Decimal("0.00"))
else:
return
logging.debug('最新卖价格 = %s' % self.best_ask)
logging.debug('最新买价格 = %s' % self.best_bid)
except Exception as e:
logging.error(e)
time.sleep(5)
def cancel_order(self, order_id, side):
try:
oi = self.trade.get_order_details(order_id)
if oi['isActive']:
self.trade.cancel_order(order_id)
if side == 'sell':
del self.ask_list[order_id]
elif side == 'buy':
del self.bid_list[order_id]
except Exception as e:
logging.error('该订单状态不可撤回 side = %s, order_id = %s' %
(side, order_id))
logging.error(e)
def ask_maker(self, p):
try:
price = int(p * 100) / 100
ask = self.trade.create_limit_order(self.symbol, 'sell', self.size,
float(price))
logging.debug(
'当前盘口价格 = %s,在交易对 %s 以数量= %s,价格= %s,创建了卖单,卖单ID = %s' %
(self.best_ask, self.symbol, self.size, float(price),
ask['orderId']))
self.ask_list[ask['orderId']] = {'price': p}
except Exception as e:
logging.error(e)
def bid_maker(self, p):
try:
price = int(p * 100) / 100
bid = self.trade.create_limit_order(self.symbol, 'buy', self.size,
float(price))
logging.debug(
'当前盘口价格 = %s,在交易对 %s 以数量= %s,价格= %s,创建了买单,卖单ID = %s' %
(self.best_ask, self.symbol, self.size, float(price),
bid['orderId']))
self.bid_list[bid['orderId']] = {'price': p}
except Exception as e:
logging.error(e)