কৌশলটি প্রথমবার চালু হলে প্রাথমিক মূল্য রেকর্ড করা হয়, তারপর এই বেসিক মূল্যের উপর অর্ডার করা হয়, বেসিক মূল্যের চেয়ে বড়টি খালি হয়ে যায়, বেসিক মূল্যের চেয়ে ছোটটি আরও বেশি করে, এবং এটি একটি নতুন কৌশল তৈরি করে। এটি একটি বেসিক সংস্করণ, অন্য কোন প্রয়োজন হলে আপনি নিজের মত করে পরিবর্তন করতে পারেন; অথবা আমার সাথে যোগাযোগ করুন।
# 刚开始学python，有不不合理的地方，见谅！！！
import time
import requests
import math
import pandas as pd
InitPrice = 0
updateProfitTime = 0
assets = {}
tradeInfo = {}
accountAssets = {}
runtimeData = {}
Funding = 0 #账户资金 为0的时候自动获取
symbol = ''
Version = '0.0.1'
SuccessColor = '#5cb85c' #成功颜色
DangerColor = '#ff0000' #危险颜色
WrningColor = '#f0ad4e' #警告颜色
assets['USDT'] = {'unrealised_profit':0,'margin':0,'margin_balance':0,'total_balance':0,'leverage':0,'update_time':0,'margin_ratio':0,'init_balance':0,'profit':0}
if IsVirtual():
Log('不能进行回测')
exit()
if exchange.GetName() != 'Futures_Binance':
Log('只支持币安期货交易所！')
exit()
def init():
initData()
CancelOrder()
exchangeInfo = requests.get('https://fapi.binance.com/fapi/v1/exchangeInfo').json()
if exchangeInfo is None:
Log('无法连接币安网络，需要海外托管者')
exit()
for i in range(len(exchangeInfo['symbols'])):
if exchangeInfo['symbols'][i]['symbol'] == symbol:
assets[symbol] = {'amount': 0,'hold_price': 0,'value': 0,'bid_price': 0,'ask_price': 0,'realised_profit': 0,'margin': 0,'unrealised_profit': 0,
'leverage': 20, 'positionInitialMargin': 0, 'liquidationPrice': 0 }
tradeInfo[symbol] = {'minQty': float(exchangeInfo['symbols'][i]['filters'][1]['minQty']) ,
'priceSize': int((math.log10(1.1/float(exchangeInfo['symbols'][i]['filters'][0]['tickSize'])))),'amountSize': int((math.log10(1.1/float(exchangeInfo['symbols'][i]['filters'][1]['stepSize']))))}
def CancelOrder():
exchange.SetContractType('swap')
#撤销所有未成交订单
orders = exchange.GetOrders()
for x in range(len(orders)):
if orders[x]['Info']['symbol'] == symbol :
exchange.CancelOrder(orders[x]['Id'])
def UpdateStatus():
global Funding,updateProfitTime
if Funding == 0 :
Funding = float(FirstAccount()['Info']['totalWalletBalance']) #获取初始资金
# totalProfit = assets['USDT']['total_balance'] - Funding #计算收益
accountTable = {
'type': "table",
'title': "盈利统计",
'cols': ["运行天数", "初始资金", "现有资金", "保证金余额", "已用保证金", "保证金比率", "总收益", "预计年化", "预计月化", "平均日化"],
'rows': []
}
table = {
'type': 'table',
'title': '交易对信息',
'cols': ['编号', '[模式][倍数]', '币种信息', '开仓方向', '开仓数量', '持仓价格', '当前价格', '强平价格', '持仓价值', '保证金', '未实现盈亏'],
'rows': []
}
profitColors = DangerColor
totalProfit = assets['USDT']['total_balance'] - Funding
runday = runtimeData['dayDiff']
if runday == 0:
runday = 1
if totalProfit > 0:
profitColors = SuccessColor
dayProfit = totalProfit / runday
dayRate = dayProfit / Funding * 100
accountTable['rows'].append([
runday,
'$' + str(_N(Funding, 2)),
'$' + str(assets['USDT']['total_balance']),
'$' + str(assets['USDT']['margin_balance']),
'$' + str(assets['USDT']['margin']),
str(_N(assets['USDT']['margin_ratio'], 2)) + '%',
str(_N(totalProfit / Funding * 100, 2)) + "% = $" + str(_N(totalProfit, 2)) + (profitColors),
str(_N(dayRate * 365, 2)) + "% = $" + str(_N(dayProfit * 365, 2)) + (profitColors),
str(_N(dayRate * 30, 2)) + "% = $" + str(_N(dayProfit * 30, 2)) + (profitColors),
str(_N(dayRate, 2)) + "% = $" + str(_N(dayProfit, 2)) + (profitColors)
])
i = 1
for x in list(symbol.split(',')):
direction = '空仓'
margin = direction
if assets[x]['amount'] != 0:
direction = '做多' + SuccessColor if assets[symbol]['amount'] > 0 else '做空' + DangerColor
margin = '全仓' if assets[symbol]['marginType'] == 'cross' else '逐仓'
unrealised_profit_color = '#000000'
if assets[symbol]['unrealised_profit'] > 0:
unrealised_profit_color = SuccessColor
if assets[symbol]['unrealised_profit'] < 0:
unrealised_profit_color = DangerColor
infoList = [
i,
'['+margin+']'+'['+str(assets[x]['leverage'])+']',
x,
direction,
assets[x]['amount'],
assets[x]['hold_price'],
assets[x]['price'],
assets[x]['liquidationPrice'],
float(assets[x]['amount']) * float(assets[x]['price']),
assets[x]['positionInitialMargin'],
assets[x]['unrealised_profit'],
]
table['rows'].append(infoList)
retData = runtimeData['str'] + '\n' + "最后更新: " + _D() + '\n' + 'Version:' + Version + '\n'
LogStatus(retData+ '`' + json.dumps(accountTable) + '`\n'+ '`' + json.dumps(table) + '`\n')
if int(time.time()*1000) - updateProfitTime > LogInterval * 1000:
balance = assets['USDT']['total_balance']
key = "initialAccount_" + exchange.GetLabel()
initialAccount = _G(key)
#Log('balance:',balance,'Funding:',Funding,'initialAccount:',initialAccount['Info']['totalWalletBalance'])
if Show:
balance = assets['USDT']['total_balance'] - Funding
LogProfit(_N(balance, 3))
updateProfitTime = int(time.time()*1000)
Profit = _N(balance,0)
def UpdateAccount():
# Log('UpdateAccount()')
global accountAssets
account = exchange.GetAccount()
position = exchange.GetPosition()
if account is None and position is None :
Log('更新账户超时！！！')
return
accountAssets = account['Info']['assets']
assets['USDT']['update_time'] = int(time.time()) * 1000 #秒转毫秒 同步更新账户时间
for i in range(len(account['Info']['positions'])) :
if account['Info']['positions'][i]['symbol'] == symbol :
#计算持仓保证金 初始保证金 + 维持保证金
assets[symbol]['margin'] = float(account['Info']['positions'][i]['initialMargin']) + float(account['Info']['positions'][i]['maintMargin'])
#未实现收益
assets[symbol]['unrealised_profit'] = float(account['Info']['positions'][i]['unrealizedProfit'])
assets[symbol]['positionInitialMargin'] = float(account['Info']['positions'][i]['positionInitialMargin'])
assets[symbol]['leverage'] = account['Info']['positions'][i]['leverage']
#计算持仓保证金总额
assets['USDT']['margin'] = float(account['Info']['totalInitialMargin']) + float(account['Info']['totalMaintMargin'])
assets['USDT']['margin_balance'] = float(account['Info']['totalMarginBalance'])
assets['USDT']['total_balance'] = float(account['Info']['totalWalletBalance'])
ps = json.loads(exchange.GetRawJSON())
if len(ps) > 0 :
for x in range(len(ps)):
if ps[x]['symbol'] == symbol:
assets[symbol]['hold_price'] = float(ps[x]['entryPrice'])
assets[symbol]['amount'] = float(ps[x]['positionAmt'])
assets[symbol]['unrealised_profit'] = float(ps[x]['unRealizedProfit'])
assets[symbol]['liquidationPrice'] = float(ps[x]['liquidationPrice'])
assets[symbol]['marginType'] = ps[x]['marginType']
def UpdateTick():
global InitPrice
try:
res = requests.get(f'https://fapi.binance.com/fapi/v1/ticker/price?symbol={symbol}').json()
except:
Log('get ticker time out !')
return
if target:
InitPrice = target_price
_G('InitPrice',InitPrice)
else:
if _G('InitPrice') is None :
InitPrice = res['price']
_G('InitPrice',InitPrice)
else:
InitPrice = _G('InitPrice')
assets[symbol]['price'] = res['price']
def Trade(direction,price,amount):
if amount < tradeInfo[symbol]['minQty']:
Log(symbol,'合约价值偏离或冰山委托设置的过小，达不到最小成交额，最小需要：', _N(tradeInfo[symbol]['minQty'] * price,4) + 1)
else:
para = ''
url = '/fapi/v1/order'
para += 'symbol='+ symbol
para += '&side='+ direction
para += '&type=LIMIT&timeInForce=GTC'
para += '&quantity='+ str(amount)
para += '&price='+ str(price)
para += "×tamp="+str(time.time() * 1000);
go = exchange.Go("IO", "api", "POST", url, para)
ret = go.wait()
if ret is not None:
logType = LOG_TYPE_SELL
if direction == 'BUY':
logType =LOG_TYPE_BUY
exchange.Log(logType,price,amount,symbol)
def batch(buy_price,sell_price):
exchange.SetContractType('swap')
#撤销所有未成交订单
orders = exchange.GetOrders()
if len(orders) < 2 :
return True
return False
def Process():
buy_price = (value / pct - value) / ((value / pct) / float(InitPrice) + assets[symbol]['amount'])
sell_price = (value / pct + value) / ((value / pct) / float(InitPrice) + assets[symbol]['amount'])
if float(buy_price) > float(assets[symbol]['price']) or float(sell_price) < float(assets[symbol]['price']) or batch(buy_price,sell_price):
CancelOrder()
Trade('BUY', _N(buy_price, 5), _N(value / buy_price, 0))
Trade('SELL', _N(sell_price, 5), _N(value / sell_price, 0))
def FirstAccount():
key = "initialAccount_" + exchange.GetLabel()
initialAccount = _G(key)
if initialAccount is None:
initialAccount = exchange.GetAccount()
_G(key, initialAccount)
return initialAccount
def StartTime():
StartTime = _G('StartTime')
if StartTime is None:
StartTime = _D()
_G('StartTime',StartTime)
return StartTime
def RunTime():
ret = {}
startTime = StartTime()
nowTime = _D()
dateDiff = (time.mktime(time.strptime(nowTime,'%Y-%m-%d %H:%M:%S')) - time.mktime(time.strptime(startTime,'%Y-%m-%d %H:%M:%S')) ) * 1000 #计算时间差
dayDiff = math.floor(dateDiff / (24 * 3600 * 1000))
lever1 = dateDiff % (24 * 3600 * 1000 )
hours = math.floor(lever1 / (3600 * 1000))
lever2 = lever1 % (3600 * 1000)
minutes = math.floor(lever2 / (60 * 1000))
ret['dayDiff'] = dayDiff
ret['hours'] = hours
ret['minutes'] = minutes
ret['str'] = '运行时间：' + str(dayDiff) + '天' + str(hours) + '小时' + str(minutes) + '分钟'
return ret
def initData():
global symbol
if _G('symbol') is None:
symbol = exchange.GetCurrency().replace('_','')
_G('symbol',symbol)
Log('初始化币种：',symbol)
else:
symbol = _G('symbol')
Log('交易币种：',symbol)
def main():
exchange.SetContractType('swap')
exchange.SetMarginLevel(10)
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|reused|Unknown")
global runtimeData
while True:
runtimeData = RunTime()
#更新账户和持仓
UpdateAccount()
#更新行情
UpdateTick()
#策略主逻辑
Process()
#更新图表
UpdateStatus()
Sleep(1000 * Interval)