Embora oBinance.comA plataforma de negociação de moedas é uma plataforma de negociação de moedas, que não foi estabelecida há muito tempo, devido à sua excelente tecnologia, a API é estável e eficiente, o limite de freqüência de solicitação também é relaxado, e há muitas moedas e transações ativas, que já é a plataforma preferida para negociação spot.
Se você quiser operar 150 moedas ao mesmo tempo, é obviamente inapropriado usar o protocolo REST para obter a cotação do mercado.Binance.comPercebe o problema da estratégia multi-variedade para obter a cotação de mercado e fornece uma interface de cotação de mercado agregada.
Quando se utiliza directamente esta interface REST (/api/v1/ticker/24hr), é necessário ter em conta que o seu peso é de 40, o que significa que um acesso é equivalente a 40 vezes de acesso ordinário, mesmo que se aceda a esta interface uma vez em 5 ou 6 segundos, também é possível ultrapassar o limite.
Portanto, precisamos acessar a versão websocket desta interface, mas esteja ciente de que, devido à enorme quantidade de dados, os dados são fixados apenas por 1s para empurrar os dados com mudanças no mercado. Para algumas moedas impopulares que não foram negociadas por alguns minutos, pode não ser empurrada por um longo tempo. Os tempos de empurrão fixos não são adequados para estratégias de alta frequência, mas são suficientes para estratégias gerais de várias moedas. O código específico é o seguinte:
function main() {
var client = Dial("wss://stream.binance.com:9443/ws/!ticker@arr");
while (true){
var data = client.read();
var msg = JSON.parse(data);
updateTicker(msg);//The updateTicker function handles market quotes and transactions, which will be introduced below.
}
}
A Binance tem muitas restrições sobre negociação, valor mínimo de transação, volume mínimo de transação, precisão de preço e precisão de volume de transação.
Defined global variables:
var totalbtc = 0;//Total value, not necessarily btc
var baseCoin = ['BTC', 'ETH', 'BNB', 'USDT'][baseCoin_select];//Base currency selection baseCoin_select is a parameter of the drop-down box
var exceptList = Except_list_string.split(',');//Excluded currency, Except_list_string is the strategy parameter
//K line cycle selects PERIOD_M1, PERIOD_M5 is FMZ default global variable
var period = [PERIOD_M1, PERIOD_M5, PERIOD_M15, PERIOD_M30, PERIOD_H1, PERIOD_H1, PERIOD_D1][period_select]
var periodSecond = [60, 300, 900, 1800, 3600, 3600*24][period_select]//The number of seconds corresponding to each cycle
var lastPeriodTime = 0;//The most recent cycle time, used to update the K line
var updateProfitTime = 0//Recently updated earnings time to update revenue
var buyList = []//buying order list
var sellList = []//selling order list
var accountInfo = {};//Used to store transaction related data lists
O próximo passo é melhorar o conteúdo do accountInfo, e todo o conteúdo relacionado ao par de negociação é armazenado nele.
if (!_G('accountInfo')){//If accountInfo is not stored in the database, reacquire the data.
var exchangeInfo = JSON.parse(HttpQuery('https://api.binance.com/api/v1/exchangeInfo'));//Get transaction related data
var ticker = JSON.parse(HttpQuery('https://api.binance.com/api/v1/ticker/24hr'));//First use the rest protocol to get a full amount of ticker
var tradeSymbol = exchangeInfo.symbols.filter(function(x){return x.quoteAsset == baseCoin});//Filter the required trading pairs
accountInfo[baseCoin] = {free:0, frozen:0, last:1, value:0};//Base currency information
for (var i=0; i<tradeSymbol.length; i++){
var info = tradeSymbol[i];
if(exceptList.indexOf(info.symbol.slice(0,info.symbol.length-baseCoin.length)) >= 0){
continue;//Filter out the currencies that was kicked out
}
for (var j=0; j<ticker.length; j++){
var symbol = info.symbol.slice(0,info.symbol.length-baseCoin.length)//Currency name
if(ticker[j].symbol.slice(ticker[j].symbol.length-baseCoin.length) == baseCoin && ticker[j].symbol == info.symbol){
//The stored contents of the exchangeInfo and ticker
accountInfo[symbol] = {
last:parseFloat(ticker[j].lastPrice), free:0, frozen:0,
minQty:parseFloat(info.filters[2].minQty), minNotional:parseFloat(info.filters[3].minNotional)
tickerSize:parseFloat(info.filters[0].tickSize), stepSize:parseFloat(info.filters[2].stepSize),
ask:parseFloat(ticker[j].askPrice), bid:parseFloat(ticker[j].bidPrice), volume:parseFloat(ticker[j].quoteVolume),
lowPrice:parseFloat(ticker[j].lowPrice), highPrice:parseFloat(ticker[j].highPrice),
priceChangePercent:parseFloat(ticker[j].priceChangePercent),
sellPrice:0, buyPrice:0, state:0, value:0, records:null
}
break;
}
}
}
}else{
accountInfo = _G('accountInfo');
}
//Automatically save accountInfo to the database when exiting
function onexit(){
_G('accountInfo', accountInfo);
}
Atualizar a função de informação da conta sem atualizações em tempo real.
function updateAccount(){
account = exchange.GetAccount();
if (!account){
Log('time out');
return;//Returning directly here is to save time, and the account information acquisition is not affected in time.
}
for (var i=0; i<account.Info.balances.length; i++){
var symbol = account.Info.balances[i].asset
//Are stored in accountInfo
if (symbol in accountInfo){
accountInfo[symbol].free = parseFloat(account.Info.balances[i].free);
accountInfo[symbol].frozen = parseFloat(account.Info.balances[i].locked);
accountInfo[symbol].value = (accountInfo[symbol].free + accountInfo[symbol].frozen)*accountInfo[symbol].last
}
}
}
//Update the current account total value in the selected base currency
function updateTotalBTC(){
var btc = 0;
for (var symbol in accountInfo){
btc += accountInfo[symbol].value
totalbtc = btc;
}
}
Update the K line, the initial update can use the GetRecords function in stages, and the later update uses push data synthesis.
function initRecords(){
for (var symbol in accountInfo){
if(symbol == baseCoin){continue}
if(!accountInfo[symbol].records){
var currency = symbol + '_' + baseCoin;
//Switch trading pair
exchange.IO("currency", currency)
accountInfo[symbol].records = exchange.GetRecords(period)
Log('Update', currency, 'K line', accountInfo[symbol].records[accountInfo[symbol].records.length-1])
Sleep(250)//Update four per second, no limit will be reached
}
//Recent K-line time
lastPeriodTime = Math.max(accountInfo[symbol].records[accountInfo[symbol].records.length-1].Time/1000, lastPeriodTime)
}
}
//Update K line based on push ticker data
function updateRecords(msgTime){
//If the current time is greater than the last updated cycle, it indicates that a new K line needs to be generated.
if(parseFloat(msgTime)/1000 - lastPeriodTime > periodSecond){
for (var symbol in accountInfo){
if(symbol != baseCoin){
//If the K line missing of a trading pair is too much, it will be re-acquired once, it may be that the transaction is not active, ticker did not push
if(parseFloat(msgTime)/1000 - accountInfo[symbol].records[accountInfo[symbol].records.length-1].Time/1000 > 1.5*periodSecond){
var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency)
var records = exchange.GetRecords(period)
if(records){
accountInfo[symbol].records = exchange.GetRecords(period)
}
Log(symbol, 'K line is missing, regain')
}else{
//Push a new K line
accountInfo[symbol].records.push({"Time":parseInt(lastPeriodTime + periodSecond)*1000, "Open":accountInfo[symbol].last, "High":accountInfo[symbol].last,
"Low":accountInfo[symbol].last, "Close":accountInfo[symbol].last, "Volume":0})
}
}
}
lastPeriodTime = lastPeriodTime + periodSecond
Log(parseFloat(msgTime)/1000, 'Adding K line')
}else{
//If it is in the current K line cycle, update the current K line
for (var symbol in accountInfo){
if(symbol != baseCoin){
var length = accountInfo[symbol].records.length
accountInfo[symbol].records[length-1].Close = accountInfo[symbol].last
accountInfo[symbol].records[length-1].Volume += accountInfo[symbol].volume
if(accountInfo[symbol].last > accountInfo[symbol].records[length-1].High){
accountInfo[symbol].records[length-1].High = accountInfo[symbol].last
}
else if(accountInfo[symbol].last < accountInfo[symbol].records[length-1].Low){
accountInfo[symbol].records[length-1].Low = accountInfo[symbol].last
}
}
}
}
}
//Cancel current trading pair orders
function CancelPendingOrders() {
var orders = _C(exchange.GetOrders);
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);
}
}
//Cancel all trading pair orders
function cancellAll(){
try{
var openOrders = exchange.IO('api', 'GET', '/api/v3/openOrders');
for (var i=0; i<openOrders.length; i++){
var order = openOrders[i];
var currency = order.symbol.slice(0,order.symbol.length-baseCoin.length) + '_' + baseCoin;
exchange.IO("currency", currency);
exchange.CancelOrder(order.orderId);
}
}
catch(err){
Log('Cancel order failed');
}
for (var symbol in accountInfo){
accountInfo[symbol].state = 0;
accountInfo[symbol].buyprice = 0;
accountInfo[symbol].sellPrice = 0;
}
}
//Placing the buying long order
function toBuy(){
//The currencies you need to buy are stored in the buyList
if (buyList.length == 0){
return;
}
for (var i=0; i<buyList.length; i++){
var symbol = buyList[i];
//Slippage is the "selling price 1" plus minimum trading unit, may not be completely executed immediately, you can modify it yourself
var buyPrice = accountInfo[symbol].ask + accountInfo[symbol].tickerSize;
buyPrice = _N(buyPrice, parseInt((Math.log10(1.1/accountInfo[symbol].tickerSize))));//Meet price accuracy
var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency);//Switch trading pair
//If you have placed an order and the price is same as this one, do not operate.
if (accountInfo[symbol].state && accountInfo[symbol].bid == accountInfo[symbol].buyprice){
continue;
}else{
//Order placed first will be cancelled first
if (accountInfo[symbol].state == 1){
CancelPendingOrders();
accountInfo[symbol].state = 0;
accountInfo[symbol].buyprice = 0;
}
var amount = (accountInfo[symbol].free + accountInfo[symbol].frozen)*buyPrice; //Value of existing currency
var needBuyBTC = HoldAmount - amount;//HoldAmount is a global parameter, which require value of the hold
var buyAmount = needBuyBTC/buyPrice;
buyAmount = _N(scale*buyAmount, parseInt((Math.log10(1.1/accountInfo[symbol].stepSize))));//Order quantity accuracy
//Meet minimum transaction volume and minimum transaction value requirements
if (buyAmount > accountInfo[symbol].minQty && buyPrice*buyAmount > accountInfo[symbol].minNotional){
if (accountInfo[baseCoin].free < buyPrice*buyAmount){return;}//Have enough base currency to buy
var id = exchange.Buy(buyPrice, buyAmount, currency);//Final order
if(id){
accountInfo[symbol].buyprice = buyPrice;
accountInfo[symbol].state = 1;
}
}
}
//If the buying orders are too much, it need a pause, Binance allows 10 orders every 1s maximum
if(buyList.length > 5){
Sleep(200)
}
}
}
//Placing the selling orders principles are similar to the buying orders
function toSell(){
if (sellList.length == 0){
return;
}
for (var i=0; i<sellList.length; i++){
var currency = symbol + '_' + baseCoin;
exchange.IO("currency", currency);
var sellPrice = accountInfo[symbol].bid - accountInfo[symbol].tickerSize;
sellPrice = _N(sellPrice, parseInt((Math.log10(1.1/accountInfo[symbol].tickerSize))));
if (accountInfo[symbol].state == 1 && accountInfo[symbol].bid != accountInfo[symbol].buyprice){
CancelPendingOrders();
accountInfo[symbol].state = 0;
accountInfo[symbol].sellPrice = 0;
}
var sellAmount = accountInfo[symbol].free;
sellAmount = _N(Math.min(scale*sellAmount,accountInfo[symbol].free), parseInt((Math.log10(1.1/accountInfo[symbol].stepSize))));
if (sellAmount > accountInfo[symbol].minQty && sellPrice*sellAmount > accountInfo[symbol].minNotional){
var id = exchange.Sell(sellPrice, sellAmount, currency);
if(id){
accountInfo[symbol].state = 1;
accountInfo[symbol].sellPrice = sellPrice;
}
}
if(sellList.length > 5){
Sleep(200)
}
}
}
A negociação é muito simples, basta empurrar a moeda da compra e venda para a buyList e sellList.
function checkTrade(){
buyList = []
sellList = []
for(var symbol in accountInfo){
if(symbol == baseCoin){
continue
}
var length = accountInfo[symbol].records.length
//Simple moving average, this is a simple demonstration example, don't use it at the real market.
var fast = TA.MA(accountInfo[symbol].records, FastPeriod)[length-1]
var slow = TA.MA(accountInfo[symbol].records, SlowPeriod)[length-1]
if(accountInfo[symbol].value > 2*accountInfo[symbol].minNotional && fast < 0.99*slow){
sellList.push(symbol)
}
//HoldAmount strategy parameter
if(accountInfo[symbol].value < 0.9*HoldAmount && fast > 1.01*slow){
buyList.push(symbol)
}
}
}
Como exibir tantas moedas de negociação também é um problema. Felizmente, a Plataforma Quantitativa FMZ fornece uma tabela completa de funções. Também pode ser classificada por número, o que é simples e conveniente.
function updateStatus(msgTime){
//The specific data to be displayed can be defined by itself.
var table = {type: 'table', title: 'Position information',
cols: ['Currency', 'Bid', 'Ask','Last', 'Lowest price','Highest price','Price Amplitude','Volume','buying price','Selling price', 'frozen','Available','Present value'],
rows: []};
for (var symbol in accountInfo){
if(symbol == baseCoin){
var infoList = [symbol,0, 0, 1,0, 0, 0,0, 0, 0, 0, _N(accountInfo[symbol].frozen,4),_N(accountInfo[symbol].free,4), _N(accountInfo[symbol].value,5)];
}else{
var infoList = [symbol,accountInfo[symbol].bid, accountInfo[symbol].ask, accountInfo[symbol].last,
accountInfo[symbol].lowPrice, accountInfo[symbol].highPrice, accountInfo[symbol].priceChangePercent,
_N(accountInfo[symbol].volume,2), accountInfo[symbol].buyPrice, accountInfo[symbol].sellPrice,
_N(accountInfo[symbol].frozen,4),_N(accountInfo[symbol].free,4), _N(accountInfo[symbol].value,5)];
}
table.rows.push(infoList);
}
var logString = _D() + ' Net value:' + _N(totalbtc,6) + (typeof(msgTime) == 'number' ? (', Latest market time: ' + _D(msgTime)) : '') + '\n';
logString += 'The currency to be bought：' + buyList.join(',') + ' \n';
logString += 'The currency to be sold：' + sellList.join(',') + ' \n';
logString += 'Currently available'+ baseCoin + '：' + _N(accountInfo[baseCoin].free,6) + ',frozen：' + _N(accountInfo[baseCoin].frozen,6) + '\n';
LogStatus(logString + '`' + JSON.stringify(table) + '`');//Update to robot interface
}
//Every time pushes the ticker, it is updated because of the event-driven, transactional and various update logic.
function updateTicker(msg){
var ticker = msg;
var msgTime = 0;
for (var i=0; i<ticker.length; i++){
msgTime = Math.max(msgTime, ticker[i].E);
var symbol = ticker[i].s.slice(0,ticker[i].s.length-baseCoin.length)
if (ticker[i].s.slice(ticker[i].s.length-baseCoin.length) == baseCoin && parseFloat(ticker[i].c) && symbol in accountInfo){
accountInfo[symbol].last = parseFloat(ticker[i].c);
accountInfo[symbol].volume = _N(parseFloat(ticker[i].q),1);
accountInfo[symbol].lowPrice = parseFloat(ticker[i].l);
accountInfo[symbol].highPrice = parseFloat(ticker[i].h);
accountInfo[symbol].ask = parseFloat(ticker[i].a);
accountInfo[symbol].bid = parseFloat(ticker[i].b);
accountInfo[symbol].priceChangePercent = parseFloat(ticker[i].P);
accountInfo[symbol].value = (accountInfo[symbol].free + accountInfo[symbol].frozen)*accountInfo[symbol].last
}
}
if (Date.now() - updateProfitTime > LogProfitTime*1000){
updateAccount();
updateProfitTime = Date.now();//Reset revenue time
LogProfit(totalbtc);//Update revenue
}
updateRecords(msgTime)//Update K line
updateTotalBTC();//Update total market value
updateStatus(msgTime);//Update robot status
checkTrade()//Check which orders need to be placed
toBuy();//placing buying order
toSell();//placing selling order
}
function main() {
cancellAll();
initRecords()
updateAccount();
updateTotalBTC()
Log('Total transaction digital currency:', Object.keys(accountInfo).length-1);
updateStatus();
var client = Dial("wss://stream.binance.com:9443/ws/!ticker@arr");
while (true){
var data = client.read();
var msg = JSON.parse(data);
updateTicker(msg);
}
}
Este artigo mostra principalmente uma estrutura básica de negociação de várias moedas da Binance, que inclui principalmente como armazenar informações de negociação, como sintetizar K-line de acordo com ticker, como fazer uma ordem, como exibir gráficos de estratégia e ativar negociação com base em eventos de push de ticker. Há muitos lugares que podem ser alterados e personalizados. O conjunto é extraído da minha estratégia pessoal. Pode implicar um bug e é apenas para usuários que têm uma certa base de conhecimento.