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.resolution = int(config['resolution'])
self.valve = float(config['valve'])
self.leverage = float(config['leverage'])
self.size = float(config['size'])
self.stopLossThreshold = float(config['stop_loss_threshold'])
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.slack = WebClient(config['slack_token'])
self.slack_channel = config['slack_channel']
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.ask_list = {}
self.bid_list = {}
class Hf(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_a = config['symbol_a']
self.symbol_b = config['symbol_b']
self.spread_mean = float(config['spread_mean'])
self.leverage = float(config['leverage'])
self.size = int(config['size'])
self.num_param = float(config['num_param'])
self.trade = Trade(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
self.market = Market(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
def get_symbol_price(self, symbol):
ticker = self.market.get_ticker(symbol)
return float(ticker['price'])
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_a = config['symbol_a']
self.symbol_b = config['symbol_b']
self.spread_mean = float(config['spread_mean'])
self.leverage = float(config['leverage'])
self.size = int(config['size'])
self.num_param = float(config['num_param'])
self.trade = Trade(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
self.market = Market(self.api_key,
self.api_secret,
self.api_passphrase,
is_sandbox=self.sandbox)
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.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)
class Shock(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.resolution = int(config['resolution'])
self.valve = float(config['valve'])
self.leverage = float(config['leverage'])
self.size = float(config['size'])
self.stopLossThreshold = float(config['stop_loss_threshold'])
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.slack = WebClient(config['slack_token'])
self.slack_channel = config['slack_channel']
def error(self, error, message):
message = message + ': ' + getattr(error, 'message', repr(error))
logging.error(message)
self.slack_message(message)
time.sleep(self.resolution)
def create_sell_limit_order(self, price):
try:
trade = shock.trade.create_limit_order(shock.symbol,
'sell',
self.leverage,
self.size,
price,
timeInForce='IOC')
except BaseException as e:
self.error(e, 'limit sell order execution failed!')
return None
if trade is not None and 'orderId' in trade:
self.slack_message('limit sell order executed: ' + 'order id = ' +
trade['orderId'])
return trade['orderId']
return None
def create_sell_market_order(self):
try:
trade = shock.trade.create_market_order(shock.symbol,
'sell',
self.leverage,
timeInForce='IOC',
size=self.size)
except BaseException as e:
self.error(e, 'market sell order execution failed!')
return None
if trade is not None and 'orderId' in trade:
self.slack_message('market sell order executed: ' + 'order id = ' +
trade['orderId'])
return trade['orderId']
return None
def create_buy_limit_order(self, price):
try:
trade = shock.trade.create_limit_order(shock.symbol,
'buy',
self.leverage,
self.size,
price,
timeInForce='IOC')
except BaseException as e:
self.error(e, 'limit buy order execution failed!')
return None
if trade is not None and 'orderId' in trade:
self.slack_message('limit buy order executed: ' + 'order id = ' +
trade['orderId'])
return trade['orderId']
return None
def create_buy_market_order(self):
try:
trade = shock.trade.create_market_order(shock.symbol,
'buy',
self.leverage,
timeInForce='IOC',
size=self.size)
except BaseException as e:
self.error(e, 'market buy order execution failed!')
return None
if trade is not None and 'orderId' in trade:
self.slack_message('market buy order executed: ' + 'order id = ' +
trade['orderId'])
return trade['orderId']
return None
def get_order_by_id(self, trade_order_id):
try:
trade = shock.trade.get_order_details(trade_order_id)
except BaseException as e:
self.error(e, 'order retrieval failed!')
return None
return trade
def get_position_details(self):
try:
details = self.trade.get_position_details(self.symbol)
except BaseException as e:
self.error(e, 'position detail retrieval failed!')
details = None
return details
def get_kline_data(self, kline_from, kline_to):
try:
kline_data = self.market.get_kline_data(self.symbol,
self.resolution,
kline_from, kline_to)
except BaseException as e:
self.error(e, 'kline retrieval failed!')
kline_data = None
return kline_data
def slack_message(self, message):
logging.info(message)
self.slack.chat_postMessage(channel=self.slack_channel, text=message)
@staticmethod
def is_three_line_strike(kline_data):
first_candle_low = kline_data[-4][3]
second_candle_low = kline_data[-3][3]
third_candle_low = kline_data[-2][3]
third_candle_high = kline_data[-2][2]
fourth_candle_low = kline_data[-1][3]
return fourth_candle_low < third_candle_low < second_candle_low < first_candle_low \
and now_price > third_candle_high
@staticmethod
def is_two_block_gapping(kline_data):
first_candle_high = kline_data[-4][2]
second_candle_high = kline_data[-3][2]
second_candle_low = kline_data[-3][3]
third_candle_low = kline_data[-2][3]
third_candle_high = kline_data[-2][2]
fourth_candle_low = kline_data[-1][3]
gap_met = second_candle_low - third_candle_high > second_candle_low * .02
return first_candle_high > second_candle_high and third_candle_high < second_candle_low \
and gap_met and fourth_candle_low < third_candle_low
@staticmethod
def is_three_black_crows(kline_data):
first_candle_high = kline_data[-5][2]
second_candle_high = kline_data[-4][2]
second_candle_low = kline_data[-4][3]
third_candle_low = kline_data[-3][3]
third_candle_high = kline_data[-3][2]
fourth_candle_low = kline_data[-2][3]
fifth_candle_low = kline_data[-1][3]
return first_candle_high < second_candle_high < third_candle_high \
and second_candle_low > third_candle_low > fourth_candle_low > fifth_candle_low
@staticmethod
def is_evening_star(kline_data, kline_high_track):
first_candle_high = kline_data[-3][2]
second_candle_high = kline_data[-2][2]
second_candle_low = kline_data[-2][3]
third_candle_low = kline_data[-1][3]
third_candle_high = kline_data[-1][2]
return kline_high_track < first_candle_high < second_candle_high \
and second_candle_high - second_candle_low <= second_candle_high * .015 \
and third_candle_high - third_candle_low >= third_candle_high * .03
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.ask_list = {}
self.bid_list = {}
def get_symbol(self):
try:
symbol = self.market.get_contract_detail(self.symbol)
self.tick_size = Decimal(symbol['tickSize']).quantize(
Decimal("0.00"))
self.diff = Decimal(self.tick_size * self.depth).quantize(
Decimal("0.00"))
logging.info('tick_size = %s' % self.tick_size)
except Exception as e:
logging.error(e)
return
def get_market_price(self):
try:
m = self.market.get_ticker(self.symbol)
self.best_ask = Decimal(m['bestAskPrice'])
self.max_ask = Decimal(self.best_ask + self.diff).quantize(
Decimal("0.00"))
self.best_bid = Decimal(m['bestBidPrice'])
self.max_bid = Decimal(self.best_bid - self.diff).quantize(
Decimal("0.00"))
logging.debug('best_ask = %s' % self.best_ask)
logging.debug('best_bid = %s' % self.best_bid)
except Exception as e:
logging.error(e)
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.leverage, self.size,
float(price))
logging.debug('当前盘口价格 = %s,在合约 %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.leverage, self.size,
float(price))
logging.debug('当前盘口价格 = %s,在合约 %s 以数量= %s,价格= %s,创建了买单,卖单ID = %s' %
(self.best_bid, self.symbol, self.size, float(price),
bid['orderId']))
self.bid_list[bid['orderId']] = {'price': p}
except Exception as e:
logging.error(e)