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- 三角套利-基础版
三角套利-基础版
Author:
红色的雪, Date: 2019-06-06 17:38:26
Tags:
HedgePythontriangular
#!python2
# -*- coding:utf-8 -*-
from time import sleep
Q3 = 0.5
tax = 0.0015 #交易费率，0.15%
class fmz_market():
# 基础行情数据处理,根据传入的交易对，获取数据，返回行情dict
def basic_data_handle(self, pair):
pair_depth = {'sale_volume': 0, 'sale_price': 0, 'buy_volume': 0, 'buy_price': 0}
depth = exchanges[pair].GetDepth()
asks_infor = depth.Asks[0]
bids_infor = depth.Bids[0]
pair_depth['sale_volume'] = asks_infor.Amount
pair_depth['sale_price'] = asks_infor.Price
pair_depth['buy_volume'] = bids_infor.Amount
pair_depth['buy_price'] = bids_infor.Price
#Log(pair_depth)
return pair_depth
#进行参数计算
def profit_calculation(self):
profit_obtain = 0
#先获取行情数据
P1_depth = self.basic_data_handle(0)
P2_depth = self.basic_data_handle(1)
P3_depth = self.basic_data_handle(2)
#买一价格整理
p1_sale_price =float(P1_depth['sale_price'])
p1_buy_price = float(P1_depth['buy_price'])
p2_sale_price = float(P2_depth['sale_price'])
p2_buy_price = float(P2_depth['buy_price'])
p3_sale_price = float(P3_depth['sale_price'])
p3_buy_price = float(P3_depth['buy_price'])
#深度数据整理
p1_sale_volume = float(P1_depth['sale_volume'])
p1_buy_volume = float(P1_depth['buy_volume'])
p2_sale_volume = float(P2_depth['sale_volume'])
p2_buy_volume = float(P2_depth['buy_volume'])
p3_sale_volume = float(P3_depth['sale_volume'])
p3_buy_volume = float(P3_depth['buy_volume'])
# 进行数据分析，正向交易费率，P1:EOS_USDT,P2:BTC_USDT,P3:EOS_ETH,卖出EOS，买入BTC，买入EOS（卖，买，买）
if p1_buy_price / p2_sale_price > p3_sale_price:
#总的手续费计算
tax_account = (p1_buy_price + p3_sale_price*p2_sale_price + p3_sale_price*p2_sale_price) * Q3 * tax
#总的获利计算
profit_sum = (p1_buy_price / p2_sale_price - p3_sale_price) * Q3 * p2_buy_price
Log('P1;',p1_buy_price,',P2:',p2_sale_price,',P3:',p3_sale_price,',tax_account:',tax_account,',profit_sum:',profit_sum)
#如果总的获利 < 手续费，则直接退出
if profit_sum < tax_account:
return 0
p1_accout_receive = p1_buy_price * Q3 * (1 - tax) #卖出EOS得到usdt，同时减去税
p3_accout_used = p3_sale_price * Q3 * (1 + tax) #计算买入Q3 EOS的时候,需要的BTC
p2_accout_used = p2_sale_price * p3_accout_used * (1 + tax) #计算买入的BTC 需要耗费的USDT数量
#获利总量计算
profit_obtain = p1_accout_receive - p2_accout_used #卖EOS得到的usdt - 买入同样数量的EOS需要的USDT
return profit_obtain
# 进行数据分析，逆向交易费率，P1:EOS_USDT,P2:BTC_USDT,P3:EOS_BTC,卖出EOS->BTC，卖出BTC，买入EOS（卖，卖，买）
if p1_buy_price / p2_sale_price < p3_sale_price:
# 总的手续费计算
tax_account = (p3_buy_price * p2_buy_price + p3_buy_price * p2_buy_price + p1_sale_price) * Q3 * tax
# 总的获利计算
profit_sum = (p3_sale_price - p1_buy_price / p2_sale_price) * Q3 * p2_buy_price
Log('P1;', p1_buy_price, ',P2:', p2_sale_price, ',P3:', p3_sale_price, ',tax_account:', tax_account, ',profit_sum:', profit_sum)
# 如果总的获利 < 手续费，则直接退出
if profit_sum < tax_account:
return 0
p3_accout_receive = p3_buy_price * Q3 * (1 - tax) # 卖出EOS得到BTC，同时减去税
p1_accout_used = p1_sale_price * Q3 * (1 + tax) # 计算买入Q3 EOS的时候,需要的USDT
p2_accout_receive = p2_buy_price * p3_accout_receive * (1 - tax) # 计算卖出的BTC 得到的USDT数量
# 获利总量计算
profit_obtain = p2_accout_receive - p1_accout_used #卖出的BTC得到的usdt - 买入EOS锁需要消耗的usdt
return profit_obtain
return 0
#循环计算
def profit_calculation_cycle(self):
usdt_remain = 0
for i in range(10000):
profit_obtain = self.profit_calculation()
usdt_remain = usdt_remain + profit_obtain
if profit_obtain > 0:
Log(u'EOS:',Q3,u'.....USDT:',usdt_remain)
def main():
Log(exchange.GetAccount())
Log("测试")
fmz_market_instances = fmz_market()
fmz_market_instances.profit_calculation_cycle()
# fmz_market_instances.basic_data_handle(0)
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6