def timeseries2seqs(data, timestamps, length=3, T=48):
raw_ts = copy(timestamps)
if type(timestamps[0]) != pd.Timestamp:
timestamps = string2timestamp(timestamps, T=T)
offset = pd.DateOffset(minutes=24 * 60 // T)
breakpoints = [0]
for i in range(1, len(timestamps)):
if timestamps[i - 1] + offset != timestamps[i]:
print(timestamps[i - 1], timestamps[i], raw_ts[i - 1], raw_ts[i])
breakpoints.append(i)
breakpoints.append(len(timestamps))
X = []
Y = []
for b in range(1, len(breakpoints)):
print('breakpoints: ', breakpoints[b - 1], breakpoints[b])
idx = range(breakpoints[b - 1], breakpoints[b])
for i in range(len(idx) - length):
x = np.vstack(data[idx[i:i + length]])
y = data[idx[i + length]]
X.append(x)
Y.append(y)
X = np.asarray(X)
Y = np.asarray(Y)
print("X shape: ", X.shape, "Y shape:", Y.shape)
return X, Y
def __init__(self, data, timestamps, T=48, CheckComplete=True):
super(STMatrix, self).__init__()
assert len(data) == len(timestamps)
self.data = data
self.timestamps = timestamps
self.T = T
self.pd_timestamps = string2timestamp(timestamps, self.T)
if CheckComplete:
self.check_complete()
self.make_index()
def timeseries2seqs_peroid_trend(data,
timestamps,
length=3,
T=48,
peroid=pd.DateOffset(days=7),
peroid_len=2):
raw_ts = copy(timestamps)
if type(timestamps[0]) != pd.Timestamp:
timestamps = string2timestamp(timestamps, T=T)
# timestamps index
timestamp_idx = dict()
for i, t in enumerate(timestamps):
timestamp_idx[t] = i
offset = pd.DateOffset(minutes=24 * 60 // T)
breakpoints = [0]
for i in range(1, len(timestamps)):
if timestamps[i - 1] + offset != timestamps[i]:
print(timestamps[i - 1], timestamps[i], raw_ts[i - 1], raw_ts[i])
breakpoints.append(i)
breakpoints.append(len(timestamps))
X = []
Y = []
for b in range(1, len(breakpoints)):
print('breakpoints: ', breakpoints[b - 1], breakpoints[b])
idx = range(breakpoints[b - 1], breakpoints[b])
for i in range(len(idx) - length):
# period
target_timestamp = timestamps[i + length]
legal_idx = []
for pi in range(1, 1 + peroid_len):
if target_timestamp - peroid * pi not in timestamp_idx:
break
legal_idx.append(timestamp_idx[target_timestamp - peroid * pi])
# print("len: ", len(legal_idx), peroid_len)
if len(legal_idx) != peroid_len:
continue
legal_idx += idx[i:i + length]
# trend
x = np.vstack(data[legal_idx])
y = data[idx[i + length]]
X.append(x)
Y.append(y)
X = np.asarray(X)
Y = np.asarray(Y)
print("X shape: ", X.shape, "Y shape:", Y.shape)
return X, Y
def delete_overdue_order(self, latest_deal_price):
now_ts = int(time.time())
self.timeLog('Start to delete pending orders..., %s' %
timestamp2string(now_ts))
orders_list = self.spotAPI.get_orders_list('open', instrument_id)
self.timeLog('before delete, pending orders num: %d' %
len(orders_list))
for order in orders_list[0]:
o_price = float(order['price'])
o_time = string2timestamp(order['timestamp'])
if o_time < now_ts - 60 or o_price < latest_deal_price * 0.995 or o_price or o_price > 1.005 * latest_deal_price:
order_id = order['order_id']
self.revoke_order(order_id, now_ts)
self.timeLog('Finish delete pending orders')
order_info = spotAPI.get_order_info(
old_order_id, instrument_id)
except Exception as e:
print(repr(e))
traceback.print_exc()
del_list.append(old_order_id)
continue
print('order_id: %s, order_info: %s' %
(old_order_id, order_info))
# 完全成交的订单或已经撤单的订单
status = order_info['status']
side = order_info['side']
print('now timestamp: %d, order created time: %d' %
(int(ts),
string2timestamp(order_info['created_at']) + 8 * 3600))
if status == 'filled':
print("order %s 已完全成交" % str(old_order_id))
del_list.append(old_order_id)
if side == 'buy':
more = 1
elif side == 'sell':
more = 0
elif status == 'cancelled':
del_list.append(old_order_id)
elif int(ts) - (string2timestamp(order_info['created_at']) +
8 * 3600) >= 3:
print('撤单重挂')
try:
status = order_info['status']
ret = spotAPI.get_specific_ticker(instrument_id)
buy_price = float(ret['best_bid']) + 0.0001
sell_price = float(ret['best_ask']) - 0.0001
if status == 'filled':
print("order %s 已完全成交" % str(old_order_id))
del_list.append(old_order_id)
side = order_info['side']
if side == 'buy':
more = 1
elif side == 'sell':
more = 0
elif status == 'cancelled':
del_list.append(old_order_id)
elif int(ts) > string2timestamp(
order_info['timestamp']) + 10 + 8 * 3600:
spotAPI.revoke_order(instrument_id, old_order_id)
for del_id in del_list:
order_id_queue.remove(del_id)
del_list = []
time.sleep(1)
if int(ts) - last_minute_ts > 10:
last_minute_ts = int(ts)
if more == 1:
print("持有做多单")
else:
print("未持有单")
print("calculating macd...")
try:
# 完全成交的订单或已经撤单的订单
status = order_info['status']
side = order_info['side']
if status == 'filled':
print("order %s 已完全成交" % str(old_order_id))
del_list.append(old_order_id)
if side == 'buy':
more = 1
elif side == 'sell':
more = 0
elif status == 'part_filled':
if side == 'buy':
more = 1
elif status == 'cancelled':
del_list.append(old_order_id)
elif int(ts) - (string2timestamp(order_info['timestamp']) +
8 * 3600) >= 3:
print(
'撤单重挂，ts：%s, 真实时间：%s' %
(timestamp2string(ts), timestamp2string(time.time())))
try:
print(
'撤单结果: %s' %
spotAPI.revoke_order(instrument_id, old_order_id))
except Exception as e:
print(repr(e))
traceback.print_exc()
del_list.append(old_order_id)
continue
ret = spotAPI.get_specific_ticker(instrument_id)
print('当前行情: %s' % ret)