Strategi perdagangan grid dasar
Saat ini, ini bukan versi terbaik, saya sendiri saat ini menjalankan versi websocket dari Binance. Jika ada yang membutuhkan, saya akan mengubah versi websocket dari Binance menjadi versi yang cocok untuk dioperasikan oleh penemu.
'''backtest
start: 2021-08-01 00:00:00
end: 2021-09-01 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Binance","currency":"BTC_USDT","balance":1000000,"stocks":0,"fee":[0.06,0.075]}]
args: [["lower_price",30000],["upper_price",50000],["grid_num",200],["trading_per_grid",0.1]]
'''
grid = dict()
interval = 0
class GridItem:
def __init__(self, order_id, status, price):
self.order_id = order_id
self.status = status # -1：此点为空白点; -2：此点未下过单
self.side = 0 # 1：买入；2：卖出；0：未知
self.price = price
def create_grid(ticker_price):
global grid
global interval
exchange.SetCurrency(trading_pair)
exchange.SetPrecision(price_precision, amount_precision)
interval = _N((upper_price - lower_price) / grid_num, price_precision)
grid[lower_price] = GridItem(-1, -2, lower_price)
grid[upper_price] = GridItem(-1, -2, upper_price)
for i in range(1, grid_num):
price = lower_price + interval * i
grid[price] = GridItem(-1, -2, price)
buy_stocks = (grid_num - int((ticker_price - lower_price) / interval) - 1) * trading_per_grid
buy_2_sell(buy_stocks)
def buy_2_sell(buy_stocks):
while True:
account = exchange.GetAccount()
stocks = _N(account['Stocks'], amount_precision)
if stocks < buy_stocks:
depth = exchange.GetDepth()
price = depth['Asks'][0]['Price']
vol = _N(price * trading_per_grid, price_precision)
min_vol = 1.0 / (10 ** price_precision)
exchange.Buy(-1, vol if vol > min_vol else min_vol)
else:
break
Sleep(1000)
def set_blank(price):
grid[price].order_id = -1
grid[price].status = -1
grid[price].side = 0
def update_order():
last_blank_price = -1
close_price_list = set()
for grid_item in grid.values():
if grid_item.status == -1:
last_blank_price = grid_item.price
elif grid_item.status == -2:
close_price_list.add(grid_item.price)
else:
order = exchange.GetOrder(grid_item.order_id)
grid_item.status = order["Status"]
if grid_item.status == 1:
close_price_list.add(grid_item.price)
return close_price_list, last_blank_price
def remove_blank(close_price_list, last_blank_price):
if last_blank_price != -1:
close_price_list.discard(last_blank_price)
def set_left_blank(close_price_list, left_side_grid, last_blank_price):
set_blank(left_side_grid)
close_price_list.discard(left_side_grid)
if last_blank_price != -1:
close_price_list.add(last_blank_price)
def set_right_blank(close_price_list, right_side_grid, last_blank_price):
set_blank(right_side_grid)
close_price_list.discard(right_side_grid)
if last_blank_price != -1:
close_price_list.add(last_blank_price)
def trace():
close_price_list, last_blank_price = update_order()
has_buy_order = False
for price in close_price_list:
if grid[price].side == 1:
has_buy_order = True
break
if has_buy_order:
ticker_price = min(close_price_list) - interval / 2.0
else:
ticker = exchange.GetTicker()
ticker_price = ticker['Last']
if not grid:
create_grid(ticker_price)
left_side_grid = int((ticker_price - lower_price) / interval) * interval + lower_price
right_side_grid = left_side_grid + interval
# 设置空白点
# 当前价格左侧未成交，当前价格右侧未成交，不存在
# 当前价格左侧空白点，当前价格右侧空白点，不存在
# 左侧和右侧任何一个为空白点，不需要更新空白点
if left_side_grid >= upper_price or right_side_grid <= lower_price:
# 在区间外，不需要空白点
remove_blank(close_price_list, last_blank_price)
elif grid[left_side_grid].status == 0 and grid[right_side_grid].status == 1:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
elif grid[left_side_grid].status == 1 and grid[right_side_grid].status == 0:
set_left_blank(close_price_list, left_side_grid, last_blank_price)
elif grid[left_side_grid].status == 1 and grid[right_side_grid].status == 1:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
elif grid[left_side_grid].status == -2 and grid[right_side_grid].status == -2:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
# 重新下单
for price in close_price_list:
if price <= ticker_price:
order_id = exchange.Buy(price, trading_per_grid)
side = 1
else:
buy_2_sell(trading_per_grid)
order_id = exchange.Sell(price, trading_per_grid)
side = 2
if order_id:
grid[price].order_id = order_id
grid[price].status = 0
grid[price].side = side
def main():
while True:
trace()
Sleep(1000)
Mimpi adalah angka delapan digit.Teman, bagaimana ini tidak bisa bekerja? Ada kesalahan.
Tangtang2020Apakah ini bisa disesuaikan?
SissiFeng。。。ZeroDivisionError: float division by zero Jika kita mengatur grid menjadi 6 bisa, tapi mengapa 20 selalu menunjukkan kesalahan?
xh5888Apakah ini bisa digunakan di bursa okex?
xl9211Jika Anda memiliki masalah setelah menggunakannya, Anda dapat memberikan umpan balik kepada saya di bawah ini.
SissiFengBisa.