def hedge_order(self, hedge_amount, hedge_price):
# hedge sell in binance
can_sell_max = self.hedge_broker.zrx_available
sell_amount_limit = self.cal_hedge_amount_min(hedge_price)
if can_sell_max < hedge_amount:
# post email
if can_sell_max < sell_amount_limit:
logging.error(
'liquid_zrx======>hedge_order failed, because can_sell_max: %s < %s'
% (can_sell_max, sell_amount_limit))
raise Exception(
'liquid_zrx======>hedge_order failed, because can_sell_max: %s < %s'
% (can_sell_max, sell_amount_limit))
sell_amount = can_sell_max
else:
sell_amount = hedge_amount
sell_price = hedge_price
hedge_index = 0
while True:
try:
order_id = self.hedge_broker.sell_limit_c(amount=sell_amount,
price=sell_price)
except Exception as e:
logging.error(
'liquid_zrx======>hedge sell order failed when sell_limit_c, error=%s'
% e)
raise Exception(
'liquid_zrx======>hedge sell order failed when sell_limit_c, error=%s'
% e)
deal_amount, avg_price = self.get_deal_amount(
self.hedge_market, order_id)
self.local_order['hedge_amount'] += deal_amount
logging.info(
"liquid_zrx======>hedge sell %s, order_id=%s, amount=%s, price=%s, deal_amount=%s"
% (hedge_index, order_id, sell_amount, avg_price, deal_amount))
diff_amount = round(sell_amount - deal_amount, 8)
sell_amount_limit = self.cal_hedge_amount_min(sell_price)
if diff_amount < sell_amount_limit:
hedge_amount_current = self.local_order['hedge_amount']
hedge_amount_target = self.local_order['deal_amount']
logging.info(
'liquid_zrx======>hedge sell order success, target=%s, current=%s'
% (hedge_amount_target, hedge_amount_current))
email_box.send_mail(
'liquid_zrx======>hedge sell order success, target=%s, current=%s'
% (hedge_amount_target, hedge_amount_current))
break
time.sleep(config.INTERVAL_API)
ticker = self.get_latest_ticker(self.hedge_market)
sell_amount = diff_amount
sell_price = ticker['bid']
hedge_index += 1
def hedge_order_buy(self, amount, price):
"""confirm hedge order all executed"""
buy_price = price
buy_amount_target = amount
hedge_index = 0
hedge_total_amount = 0
while True:
can_buy_max = self.hedge_broker.btc_available / buy_price
if can_buy_max < buy_amount_target:
if can_buy_max < self.LIQUID_HEDGE_MIN_AMOUNT:
logging.error(
'Liquid_BCH======>hedge buy order failed, because can_buy_max: %s < %s'
% (can_buy_max, self.LIQUID_HEDGE_MIN_AMOUNT))
raise Exception(
'hedge buy order failed, because can_buy_max: %s < %s'
% (can_buy_max, self.LIQUID_HEDGE_MIN_AMOUNT))
buy_amount = can_buy_max
else:
buy_amount = buy_amount_target
# sell_limit_c confirm sell_limit success, order_id must exist
try:
order_id = self.brokers[self.hedge_market].buy_limit_c(
amount=buy_amount, price=buy_price)
except Exception as e:
logging.error(
'Liquid_BCH======>hedge buy order failed when buy_limit_c, error=%s'
% e)
raise Exception(
'hedge buy order failed when buy_limit_c, error=%s' % e)
time.sleep(config.INTERVAL_API)
deal_amount, avg_price = self.get_deal_amount(
self.hedge_market, order_id)
hedge_total_amount += deal_amount
logging.info(
"Liquid_BCH======>hedge buy %s, order_id=%s, amount=%s, price=%s, deal_amount=%s"
% (hedge_index, order_id, buy_amount, avg_price, deal_amount))
diff_amount = round(buy_amount - deal_amount, 8)
if diff_amount < self.LIQUID_HEDGE_MIN_AMOUNT:
logging.info(
'Liquid_BCH======>hedge buy order success, target=%s, total=%s, left=%s'
% (amount, hedge_total_amount, diff_amount))
email_box.send_mail(
'hedge buy order success, target=%s, total=%s, left=%s' %
(amount, hedge_total_amount, diff_amount))
break
time.sleep(config.INTERVAL_API)
ticker = self.get_latest_ticker(self.hedge_market)
buy_amount_target = diff_amount
buy_price = ticker['ask']
hedge_index += 1
def hedge_order_sell(self, amount, price):
"""confirm hedge order all executed"""
hedge_index = 0
hedge_total_amount = 0
can_sell_max = self.hedge_broker.zrx_available
if can_sell_max < amount:
# post email
if can_sell_max < self.LIQUID_HEDGE_MIN_AMOUNT:
logging.error(
'Liquid_ZRX======>hedge sell order failed, because can_sell_max: %s < %s'
% (can_sell_max, self.LIQUID_HEDGE_MIN_AMOUNT))
raise Exception(
'hedge sell order failed, because can_sell_max: %s < %s' %
(can_sell_max, self.LIQUID_HEDGE_MIN_AMOUNT))
sell_amount = can_sell_max
else:
sell_amount = amount
sell_price = price
while True:
# sell_limit_c confirm sell_limit success, order_id must exist
try:
order_id = self.brokers[self.hedge_market].sell_limit_c(
amount=sell_amount, price=sell_price)
except Exception as e:
logging.error(
'Liquid_ZRX======>hedge sell order failed when sell_limit_c, error=%s'
% e)
raise Exception(
'hedge sell order failed when sell_limit_c, error=%s' % e)
time.sleep(config.INTERVAL_API)
deal_amount, avg_price = self.get_deal_amount(
self.hedge_market, order_id)
hedge_total_amount += deal_amount
logging.info(
"Liquid_ZRX======>hedge sell %s, order_id=%s, amount=%s, price=%s, deal_amount=%s"
% (hedge_index, order_id, sell_amount, avg_price, deal_amount))
diff_amount = round(sell_amount - deal_amount, 8)
if diff_amount < self.LIQUID_HEDGE_MIN_AMOUNT:
logging.info(
'Liquid_ZRX======>hedge sell order success, target=%s, total=%s, left=%s'
% (amount, hedge_total_amount, diff_amount))
email_box.send_mail(
'hedge sell order success, target=%s, total=%s, left=%s' %
(amount, hedge_total_amount, diff_amount))
break
time.sleep(config.INTERVAL_API)
ticker = self.get_latest_ticker(self.hedge_market)
sell_amount = diff_amount
sell_price = ticker['bid']
hedge_index += 1
def place_order(self, buy_price, buy_amount):
eth_num = self.mm_broker.eth_available
can_buy_max = eth_num / buy_price
buy_amount = min(buy_amount, can_buy_max)
if buy_amount < self.min_amount_trade:
logging.error(
'liquid_zrx======>buy failed because %s < %s, maybe bfx eth is not enough'
% (eth_num, self.min_amount_trade))
raise Exception(
'liquid_zrx======>buy failed because %s < %s, maybe bfx eth is not enough'
% (eth_num, self.min_amount_trade))
try:
order_id = self.mm_broker.buy_limit_c(price=buy_price,
amount=buy_amount)
except Exception as e:
logging.error(
"liquid_zrx======>place_order failed, exception: %s" % e)
email_box.send_mail(
"liquid_zrx======>place_order failed, exception: %s" % e)
return
if not order_id:
logging.error(
'liquid_zrx======>place_order failed, because order_id is none,that must not happen'
)
raise Exception(
'liquid_zrx======>place_order failed, because order_id is none,that must not happen'
)
self.local_order = {
'order_id': order_id,
'price': buy_price,
'amount': buy_amount,
'deal_amount': 0,
'hedge_amount': 0,
'type': 'buy',
'status': constant.ORDER_STATE_PENDING,
'time': time.time()
}
logging.info('liquid_zrx======>place_order success, order_id: %s' %
order_id)
def run_loop(self):
if len(self.markets) == 0:
print('empty markets')
return
if len(self.observers) == 0:
print('empty observers')
return
#
signal.signal(signal.SIGINT, sigint_handler)
# 以下那句在windows python2.4不通过,但在freebsd下通过
signal.signal(signal.SIGHUP, sigint_handler)
signal.signal(signal.SIGTERM, sigint_handler)
while True:
try:
self.update_balance()
self.update_other()
time.sleep(config.INTERVAL_API)
self.depths = self.update_depths()
self.tick()
except Exception as ex:
logging.warn("datafeed exception:%s" % ex)
traceback.print_exc()
self.terminate()
email_box.send_mail("datafeed exception:%s" % ex)
return
if is_sigint_up:
# 中断时需要处理的代码
logging.info("APP Exit")
self.terminate()
break
sys.stdout.write(".\n\n")
sys.stdout.flush()
time.sleep(config.INTERVAL_MARKET)