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 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)
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, buy_sell_ratio, \
deque_5m, ind_3s, ind_10s, ind_1min, ind_5m, write_lines, last_minute_ts, last_second_ts, order_id_queue, now_time
jmessage = json.loads(message)
ts = time.time()
now_time = timestamp2string(ts)
for each_message in jmessage:
for jdata in each_message['data']:
latest_price = float(jdata[1])
exe_second(ts)
exe_minute(ts)
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)
# 单边上涨行情持有做多单，达到卖出条件
if more == 1:
if price_1m_change <= -0.2 or price_5m_change <= 0:
if sell_more_batch(coin.name, time_type, latest_price):
more = 0
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
# 单边下跌行情持有做空单，达到卖出条件
elif less == 1:
if price_1m_change >= 0.2 or price_5m_change >= 0:
if sell_less_batch(coin.name, time_type, latest_price):
less = 0
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
# 单边上涨行情
if price_1m_change >= incr_1m_rate and price_5m_change >= incr_5m_rate:
# 撤单开空、平多单
cancel_uncompleted_order(coin.name, time_type, 2)
cancel_uncompleted_order(coin.name, time_type, 3)
# 撤单平空单
cancel_uncompleted_order(coin.name, time_type, 4)
# 空单全部卖出
if sell_less_batch(coin.name, time_type, latest_price):
thread.start_new_thread(ensure_sell_less, (
coin.name,
time_type,
))
# 做多买入
if buyin_more(coin.name, time_type, latest_price):
more = 1
thread.start_new_thread(
ensure_buyin_more,
(coin.name, time_type, latest_price))
# 单边下跌行情
elif price_1m_change < -incr_1m_rate and price_5m_change < -incr_5m_rate:
# 撤单开多，平空单
cancel_uncompleted_order(coin.name, time_type, 1)
cancel_uncompleted_order(coin.name, time_type, 4)
# 撤单平多单
cancel_uncompleted_order(coin.name, time_type, 3)
# 多单全部卖出
if sell_more_batch(coin.name, time_type, latest_price):
thread.start_new_thread(ensure_sell_more, (
coin.name,
time_type,
))
# 做空买入
if buyin_less(coin.name, time_type, latest_price):
less = 1
thread.start_new_thread(
ensure_buyin_less,
(coin.name, time_type, latest_price))
if -0.05 < price_1m_change < 0.05 and -0.02 < price_10s_change < 0.02 and ind_1min.vol < 6000 and ind_10s.vol < 1000:
more_order_id, less_order_id = buyin_moreandless(
coin.name, time_type, latest_price, 20, buy_sell_ratio)
if more_order_id:
order_id_queue.append(more_order_id)
print('more order_id: %s' % more_order_id)
if less_order_id:
order_id_queue.append(less_order_id)
print('less order_id: %s' % less_order_id)
def exe_minute(ts):
global last_minute_ts, buy_sell_ratio
if int(ts) - int(last_minute_ts) >= 60:
last_minute_ts = int(ts)
ret = okFuture.future_orderinfo(coin.name + "_usd", time_type, -1, 1,
None, None)
for each_order in json.loads(ret)["orders"]:
if each_order['price'] > latest_price * 1.005 or each_order[
'price'] < latest_price * 0.995:
okFuture.future_cancel(coin.name + "_usd", time_type,
each_order['order_id'])
ret = json.loads(
okFuture.future_position_4fix("etc_usd", "quarter", "1"))
print(ret)
if len(ret["holding"]) > 0:
buy_amount = ret["holding"][0]["buy_amount"]
sell_amount = ret["holding"][0]["sell_amount"]
if buy_amount > 0:
buy_sell_ratio = buy_amount / (buy_amount + sell_amount)
more_profit_ratio = float(
ret["holding"][0]["buy_profit_lossratio"])
buy_available = ret["holding"][0]["buy_available"]
print("多仓盈亏: %.2f%%, 多仓可平仓数量: %d" %
(more_profit_ratio, buy_available))
if more_profit_ratio < -20:
cancel_uncompleted_order(coin.name, time_type, 3)
thread.start_new_thread(ensure_sell_more,
(coin.name, time_type))
real_profit = float(buy_amount * more_profit_ratio / 20)
info = "多仓止损，亏损: %.4fETC" % real_profit
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
print(info)
elif more_profit_ratio > 3:
cancel_uncompleted_order(coin.name, time_type, 3)
pend_order_price(coin.name, time_type, 3, buy_amount,
latest_price)
elif buy_available > 0:
buy_price_avg = ret["holding"][0]["buy_price_avg"] * 1.001
pend_order_price(coin.name, time_type, 3, buy_available,
buy_price_avg)
if sell_amount > 0:
buy_sell_ratio = buy_amount / (buy_amount + sell_amount)
less_profit_ratio = float(
ret["holding"][0]["sell_profit_lossratio"])
sell_available = ret["holding"][0]["sell_available"]
print("空仓盈亏: %.2f%%, 空仓可平仓数量: %d" %
(less_profit_ratio, sell_available))
if less_profit_ratio < -20:
cancel_uncompleted_order(coin.name, time_type, 4)
thread.start_new_thread(ensure_sell_less,
(coin.name, time_type))
real_profit = float(sell_amount * less_profit_ratio / 20)
info = "空仓止损，亏损: %.4fETC" % real_profit
with codecs.open(file_transaction, 'a+', 'utf-8') as f:
f.writelines(info + '\n')
print(info)
if less_profit_ratio > 3:
cancel_uncompleted_order(coin.name, time_type, 3)
pend_order_price(coin.name, time_type, 3, buy_amount,
latest_price)
if sell_available > 0:
sell_price_avg = ret["holding"][0]["sell_price_avg"] * 0.999
pend_order_price(coin.name, time_type, 4, sell_available,
sell_price_avg)
print("持仓多空比: %.2f" % buy_sell_ratio)
else:
print("确认未持仓")
