Strategi keseimbangan indeks spot v1.1 ((Sudah berjalan selama beberapa waktu, sekarang diduga ada bug, karena tidak berfungsi, harus diubah))

Penulis:GCC, Tanggal: 2021-11-11
Tag:

Strategi keseimbangan indeks versi python



import json
import time
import requests
import math

account = 0  
updateProfitTime = 0 
tradeInfo = {} 
accountAssets = {}
ticker = {}
runtimeData = {}
Funding = 0

sbs = list(symbols.split(','))
pcts = list(percent.split(','))
for i in range(len(pcts)):
    pcts[i] = float(pcts[i])

p_dic = {
            'ETH':[2,4], 'BTC':[2,5], 'XRP':[4,0], 'TRX':[5,1], 'LTC':[1,3], 'BNB':[1,3]
         }    #价格、数量精度,按需求添加


SuccessColor = '#5cb85c' #成功颜色
DangerColor = '#ff0000' #危险颜色
WrningColor = '#f0ad4e' #警告颜色

if IsVirtual():
    Log('不能进行回测')
    exit()

if exchange.GetName() != 'Binance':
    Log('只支持币安现货交易所!')
    exit()

def init():
    exchangeInfo = requests.get('https://api.binance.com/api/v1/exchangeInfo').json()
    if exchangeInfo is None:
        Log('无法链接币安网络,需要海外托管者!!!')
        exit()
    for x in range(len(exchangeInfo['symbols'])):
        for symbol in sbs:
            if exchangeInfo['symbols'][x]['symbol'] == symbol+'USDT':
                tradeInfo[symbol] = {'minQty': float(exchangeInfo['symbols'][x]['filters'][2]['minQty']) ,
                'priceSize': int((math.log10(1.1/float(exchangeInfo['symbols'][x]['filters'][0]['tickSize'])))),'amountSize': int((math.log10(1.1/float(exchangeInfo['symbols'][x]['filters'][2]['stepSize']))))}
    # Log('tradeInfo:',tradeInfo)

def UpdateAccount():
    global accountAssets,Funding,account
    acc = exchange.GetAccount()

    if acc is None:
        Log('更新账户超时!!!')
        return

    if _G('Funding') is None:
        Funding = acc['Balance']
        Log('Funding:',Funding)
        _G('Funding',Funding)
    else:
        Funding = _G('Funding')
    if init_fund >0:
        Funding = init_fund
    

    for x in range(len(acc['Info']['balances'])):
        for symbol in sbs:
            # Log(account['Info']['balances'])
            if acc['Info']['balances'][x]['asset'] == symbol:
                accountAssets[symbol] = acc['Info']['balances'][x]
                accountAssets[symbol]['amount'] = float(accountAssets[symbol]['free']) + float(accountAssets[symbol]['locked'])
            if acc['Info']['balances'][x]['asset'] == 'USDT':
                # Log('USDT:',acc['Info']['balances'][x])
                account = float(acc['Info']['balances'][x]['free']) + float(acc['Info']['balances'][x]['locked'])

    # Log('accountAssets:',accountAssets)

def UpdateTick():
    global ticker,account
    try:
        res = requests.get('https://api.binance.com/api/v3/ticker/bookTicker').json()
    except:
        Log('更新行情超时')
        return
    for x in range(len(res)):
        for symbol in sbs:
            if res[x]['symbol'] == symbol + 'USDT':
                # Log('res[x]:',res[x])
                ticker[symbol] = res[x]
                ticker[symbol]['price'] = (float(ticker[symbol]['askPrice']) + float(ticker[symbol]['bidPrice'])) / 2
                ticker[symbol]['value'] = accountAssets[symbol]['amount'] * ticker[symbol]['price']
    # Log('ticker:',ticker)
    # account = 0
    for symbol in sbs:
        account += _N(ticker[symbol]['value'],4)

def UpdateStatus():
    global updateProfitTime
    accountTable = {
        'type': "table",
        'title': "盈利统计",
        'cols': ["运行天数", "初始资金", "现有资金", "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', '币种信息', '占比%', '开仓数量',  '当前价格', '持仓价值'],
        'rows': []
    }
    totalProfit = account - Funding
    profitColors = DangerColor
    runday = runtimeData['dayDiff']
    if runday == 0:
        runday = 1
    if totalProfit > 0:
        profitColors = SuccessColor
    dayProfit = totalProfit / runday   #平均日收益
    dayRate = totalProfit / Funding * 100
    accountTable['rows'].append([
    runday,
    Funding,
    account,
    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 symbol in sbs:
        table['rows'].append([
        i,
        symbol,
        str(_N(ticker[symbol]['value'] / account * 100, 4 )),
        str(_N(accountAssets[symbol]['amount'],tradeInfo[symbol]['amountSize'])),
        str(_N(ticker[symbol]['price'],tradeInfo[symbol]['priceSize'])),
        str(_N(ticker[symbol]['value'],4))
        ])
        i += 1

    retData = runtimeData['str'] + '\n' + "最后更新: " + _D() + '\n' + '本策略改编自XMaxZone大佬的现货平衡策略-0.0.1v,原策略地址:https://www.fmz.com/strategy/322357' + '\n'
    LogStatus(retData+ '`' + json.dumps(accountTable) + '`\n'+ '`' + json.dumps(table) + '`\n')

    if int(time.time()*1000) - updateProfitTime > LogInterval * 1000:
        balance = account - Funding
        LogProfit(_N(balance, 3))
        updateProfitTime = int(time.time()*1000)

def Process():
    # Log('实时资金:',account)
    for i in range(len(sbs)):
        pct = float(ticker[sbs[i]]['value']) / float(account)
        # Log(symbol,'amount:',amount,1 / len(sbs))
        if pct > (pcts[i] + delta):
            # Log('SELL',pct)
            amount = _N( ( (pct-pcts[i] ) * account / float(ticker[sbs[i]]['price'])),tradeInfo[sbs[i]]['amountSize'])
            if amount >= tradeInfo[sbs[i]]['minQty'] and float(amount)*float(ticker[sbs[i]]['value']) > 10:
                Log(sbs[i] ,'Funding:',Funding,'value:',ticker[sbs[i]]['value'])
                # Trade(sbs[i],'SELL',_N(float(ticker[sbs[i]]['askPrice']), int(tradeInfo[sbs[i]]['priceSize'])),  amount)
                exchange.SetCurrency(sbs[i]+'_USDT')
                exchange.SetPrecision(p_dic[sbs[i]][0], p_dic[sbs[i]][1])
                exchange.Sell(float(ticker[sbs[i]]['bidPrice'])*(1-slip), amount)
        if pct < (pcts[i] - delta):
            # Log('Buy', pct)
            amount = _N( ( (pcts[i]-pct ) * account / float(ticker[sbs[i]]['price'])),tradeInfo[sbs[i]]['amountSize'])
            if amount >= tradeInfo[sbs[i]]['minQty'] and float(amount)*float(ticker[sbs[i]]['value']) > 10:
                Log(sbs[i] ,'Funding:',Funding,'value:',ticker[sbs[i]]['value'])
                # Trade(sbs[i],'BUY',_N(float(ticker[sbs[i]]['bidPrice']), tradeInfo[sbs[i]]['priceSize']),  amount)
                exchange.SetCurrency(sbs[i]+'_USDT')
                exchange.SetPrecision(p_dic[sbs[i]][0], p_dic[sbs[i]][1])
                exchange.Buy(float(ticker[sbs[i]]['bidPrice'])*(1+slip), amount)

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 main():
    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()
        #休眠时间
        Sleep(Interval * 1000)


Lebih banyak

Makebit-ManagerApakah strategi ini bisa digunakan secara langsung atau apakah ini adalah strategi yang digunakan oleh Bitcoin Native Balance Grid yang ditampilkan di layar nyata?

GCCSaya telah menjalankan ini untuk sementara waktu, tapi sekarang tampaknya ada bug.