status = order_info['status']
order_type = int(order_info['type'])
ret = okFuture.future_ticker(coin.name + "_usd", time_type)['ticker']
buy_price = ret['buy'] + 0.001
sell_price = ret['sell'] - 0.001
if status == 2:
print("order %s 已完全成交" % str(old_order_id))
del_list.append(old_order_id)
if order_type == 3:
order_id = buyin_less_price(okFuture, coin.name, time_type, sell_price)
if order_id:
order_id_queue.append(order_id)
print("挂单开空, order_id: %s, 价格: %.3f" % (str(order_id), sell_price))
less = 1
elif order_type == 4:
order_id = buyin_more_price(okFuture, coin.name, time_type, buy_price)
if order_id:
order_id_queue.append(order_id)
print("挂单开多, order_id: %s, 价格: %.3f" % (str(order_id), buy_price))
more = 1
elif status == -1:
del_list.append(old_order_id)
elif int(ts) > int(order_info['create_date'] / 1000) + 10:
okFuture.future_cancel(coin.name + "_usd", time_type, old_order_id)
if order_type == 1:
order_id = buyin_more_price(okFuture, coin.name, time_type, buy_price)
if order_id:
order_id_queue.append(order_id)
elif order_type == 2:
order_id = buyin_less_price(okFuture, coin.name, time_type, sell_price)
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)
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