自用做市策略备份
不能直接用，需配合自己的keygen模块生成私钥
import requests
import json
import time
import logging
from tenacity import *
from keygen import *
TELEGRAM = False
if len(sys.argv) > 1:
if sys.argv[1] == 'telegram':
TELEGRAM = True
if TELEGRAM:
from telegram_bot import *
else:
def sendBotMessage(msg):
print ('telegram:', msg)
logger.debug('telegram: %s', msg)
def getNewMessage():
return ''
global LOGGING_LEVEL
#LOGGING_LEVEL = logging.DEBUG
LOGGING_LEVEL = logging.INFO
baseurl = 'https://api.basefex.com'
slidePrice = 1
minDiff = 10 #最小做市差价
minAmount = 30 #最小下单量
balancePosition = 200 #仓位为多少时考虑平衡减仓或市价减仓
balanceDiff = 12 #差价为多少时考虑平衡减仓
immediateBalanceDiff = 50 #差价为多少时市价减仓
liquidatePriceAlertLow = 4000 #强平危险区下限
liquidatePriceAlertHigh = 20000 #强平危险区上限
lastBuyPrice = 0
lastSellPrice = 0
lastBuyAmount = 0
lastSellAmount = 0
currentBalance = 0
currentPosition = []
initBalance = 0
tradeList = []
totalBuyAmount = 0
totalBuyPosition = 0
totalSellAmount = 0
totalSellPosition = 0
totalBuyCount = 0
totalSellCount = 0
@retry(stop=(stop_after_delay(10) | stop_after_attempt(5)) , wait=wait_fixed(2))
def safeRequest(url, hed):
response = requests.get(url, headers=hed)
return response
@retry(stop=(stop_after_delay(10) | stop_after_attempt(5)) , wait=wait_fixed(2))
def safeRequestPost(url, hed, payload):
response = requests.post(url, headers=hed, json=payload)
return response
@retry(stop=(stop_after_delay(10) | stop_after_attempt(5)) , wait=wait_fixed(2))
def safeRequestDelete(url, hed):
response = requests.delete(url, headers=hed)
return response
def getAccountInfo():
uri = '/accounts'
auth_token = generate_token(key_id, private_key, "GET", 1584014794, uri)
hed = {'authorization': 'Bearer ' + auth_token}
response = safeRequest(baseurl+uri, hed)
return response.json()
def updateAccount():
global currentBalance
global currentPosition
accountInfo = getAccountInfo()[0]
currentBalance = accountInfo['cash']['balances']
for position in accountInfo['positions']:
if position['symbol'] == 'BTCUSD':
currentPosition = position
break
print('CURRENT POSITION: ', currentPosition['entryPrice'], currentPosition['size'])
print('CURRENT BALANCE: ', currentBalance, 'PROFIT: ', currentBalance - initBalance)
logger.info('CURRENT BALANCE: %s | POSITION %s@%s', currentBalance, currentPosition['size'], currentPosition['entryPrice'])
logger.info('PROFIT: %s', currentBalance - initBalance)
return accountInfo
def getTradeList(limit):
uri = '/trades'
query = '?limit=' + str(limit)
auth_token = generate_token(key_id, private_key, "GET", 1584014794, uri, query)
hed = {'authorization': 'Bearer ' + auth_token}
response = safeRequest(baseurl+uri+query, hed)
return response.json()
def getCurrentBestPrices():
uri = '/depth@BTCUSD/snapshot'
auth_token = generate_token(key_id, private_key, "GET", 1584014794, uri)
hed = {'authorization': 'Bearer ' + auth_token}
response = safeRequest(baseurl+uri, hed)
return response.json()['bestPrices']
def placeOrder(price, amount, side):
if amount == 0:
print ("amount is zero return")
return
payload = {'price': price, 'size': amount, 'type': 'LIMIT', 'side': side, 'symbol': 'BTCUSD'}
print (payload)
uri = '/orders'
auth_token = generate_token(key_id, private_key, "POST", 1584014794, "/orders", "", json.dumps(payload))
hed = {'authorization': 'Bearer ' + auth_token, 'Content-Type': 'application/json'}
response = safeRequestPost(baseurl+uri, hed, payload)
# 如果下单失败，报错返回
if (str(response) != '<Response [200]>'):
print (str(response))
logger.error('PLACE ORDER ERROR: %s', str(response))
sendBotMessage('PLACE ORDER ERROR: ' + str(response))
return
# 下单成功，记录相关信息
if side == 'BUY':
global lastBuyPrice
global lastBuyAmount
lastBuyPrice = price
lastBuyAmount = amount
elif side == 'SELL':
global lastSellPrice
global lastSellAmount
lastSellPrice = price
lastSellAmount = amount
else:
logger.error('ERROR： unexpected side')
sendBotMessage('ERROR： unexpected side')
return response.json()
def cancelOrder(id):
uri = '/orders/'+id
auth_token = generate_token(key_id, private_key, "DELETE", 1584014794, uri)
hed = {'authorization': 'Bearer ' + auth_token}
response = safeRequestDelete(baseurl+uri, hed)
return response
def getOpeningOrderCount():
uri = '/orders/opening/count'
query = '?symbol=BTCUSD'
auth_token = generate_token(key_id, private_key, "GET", 1584014794, uri, query)
hed = {'authorization': 'Bearer ' + auth_token}
response = safeRequest(baseurl+uri+query, hed)
return response.json()
def getOpeningOrderList():
uri = '/orders/opening'
query = '?symbol=BTCUSD'
auth_token = generate_token(key_id, private_key, "GET", 1584014794, uri, query)
hed = {'authorization': 'Bearer ' + auth_token}
response = safeRequest(baseurl+uri+query, hed)
return response.json()
def getOrderList():
uri = '/orders'
query = '?symbol=BTCUSD'
auth_token = generate_token(key_id, private_key, "GET", 1584014794, uri, query)
hed = {'authorization': 'Bearer ' + auth_token}
response = safeRequest(baseurl+uri+query, hed)
return response.json()
def cancelPendingOrders():
orderList = getOpeningOrderList()
if len(orderList) <= 0:
return
for order in orderList:
print('canceled:',order['id'])
cancelOrder(order['id'])
return
def cancelPendingBuyOrders():
orderList = getOpeningOrderList()
if len(orderList) <= 0:
return
for order in orderList:
if order['side'] == 'BUY':
cancelOrder(order['id'])
return
def cancelPendingSellOrders():
orderList = getOpeningOrderList()
if len(orderList) <= 0:
return
for order in orderList:
if order['side'] == 'SELL':
cancelOrder(order['id'])
return
def setLogger(loggerName):
logger = logging.getLogger(loggerName)
global LOGGING_LEVEL
logger.setLevel(LOGGING_LEVEL)
fileHandler = logging.FileHandler(loggerName+'.log', mode='a')
formatter = logging.Formatter('%(asctime)s - %(message)s')
fileHandler.setFormatter(formatter)
logger.addHandler(fileHandler)
return logger
def onTick():
#初始化状态及 确认价位
global lastBuyPrice, lastSellPrice, lastBuyAmount, lastSellAmount
cancelBuyOrder = False
cancelSellOrder = False
result = getCurrentBestPrices()
bestAsk = result['ask']
bestBid = result['bid']
print('bestBid',bestBid,'bestAsk',bestAsk)
logger.info('bestBid: %s|bestAsk: %s',bestBid,bestAsk)
logger.info('LastBuy %s@%s | LastSell %s@%s', lastBuyAmount,lastBuyPrice,lastSellAmount,lastSellPrice)
buyPrice = bestBid + slidePrice
sellPrice = bestAsk - slidePrice
#确认仓位
global currentPosition
buyAmountAdjust = 0
sellAmountAdjust = 0
#####平衡模块####
#是否满足市价平仓条件，满足直接尝试平仓并返回
#平仓条件：仓位大于balancePosition, 价差大于immediateBalanceDiff
#买单方向
if (currentPosition['size'] > balancePosition):
if bestBid - currentPosition['entryPrice'] > immediateBalanceDiff:
cancelPendingOrders()
placeOrder(bestBid, abs(currentPosition['size']), 'SELL')
print('immediateBalance', currentPosition)
sendBotMessage('IMMEDIATE BALANCE\n' + "Position: "+str(currentPosition['size'])+"@"+str(currentPosition['entryPrice'])+"\nBest Bid: " + str(bestBid))
sleep(3)
cancelPendingOrders()
updateAccount()
return
#卖单方向
elif ( currentPosition['size'] < -balancePosition):
if currentPosition['entryPrice'] - bestAsk > immediateBalanceDiff:
cancelPendingOrders()
placeOrder(bestAsk, abs(currentPosition['size']), 'BUY')
print('immediateBalance', currentPosition)
sendBotMessage('IMMEDIATE BALANCE\n' + "Position: "+str(currentPosition['size'])+"@"+str(currentPosition['entryPrice'])+"\nBest Ask: " + str(bestAsk))
sleep(3)
cancelPendingOrders()
updateAccount()
return
#不能市价平仓，调整买卖单数量偏向减仓
#买单方向
if (currentPosition['size'] > balancePosition):
if sellPrice - currentPosition['entryPrice'] > balanceDiff:
sellAmountAdjust = int(currentPosition['size']/10)
print('adjust buy/sell', buyAmountAdjust,sellAmountAdjust)
#卖单方向
elif ( currentPosition['size'] < -balancePosition):
if currentPosition['entryPrice'] - buyPrice >balanceDiff:
buyAmountAdjust = int(currentPosition['size'] / -10)
print('adjust buy/sell', buyAmountAdjust,sellAmountAdjust)
#确认是否进入强平危险区
#强制平衡时只能单方面下单
liquidatePrice = currentPosition['liquidatePrice']
if liquidatePrice > liquidatePriceAlertLow and currentPosition['size'] > balancePosition:
logger.info('Liquidate risk ONLY CAN SELL')
buyAmountAdjust = -minAmount
elif liquidatePrice < liquidatePriceAlertHigh and currentPosition['size'] < -balancePosition:
logger.info('Liquidate risk ONLY CAN BUY')
sellAmountAdjust = -minAmount
####平衡模块结束####
####做市下单模块####
#差价不满足条件，取消所有订单并返回
if sellPrice - buyPrice < minDiff:
cancelPendingOrders()
return
#确认上次的订单价格和现价差距，决定是否要调整买卖单
if (lastBuyPrice > 0) and (abs(buyPrice - lastBuyPrice) > slidePrice):
cancelBuyOrder = True
if (lastSellPrice > 0) and (abs(lastSellPrice - sellPrice) > slidePrice):
cancelSellOrder = True
#买单卖单均需调整，取消所有后调整
if cancelBuyOrder & cancelSellOrder:
logger.debug('CANCEL ALL')
cancelPendingOrders()
placeOrder(buyPrice, minAmount + buyAmountAdjust, 'BUY')
placeOrder(sellPrice, minAmount + sellAmountAdjust, 'SELL')
return
#按单数量分情况处理
openingOrderCount = getOpeningOrderCount()['count']
logger.debug('openingOrderCount %s', openingOrderCount)
#单数超过2不正常，退出
if openingOrderCount > 2:
print('openingOrderCount:',openingOrderCount,'error')
logger.error('ERROR openingOrderCount: %s', str(openingOrderCount))
sendBotMessage('ERROR openingOrderCount: ' + str(openingOrderCount))
exit()
#单数为2，旧单都在，看需要更新买还是卖
elif openingOrderCount == 2:
if cancelBuyOrder:
logger.debug('CANCEL BUY')
cancelPendingBuyOrders()
placeOrder(buyPrice, minAmount + buyAmountAdjust, 'BUY')
elif cancelSellOrder:
logger.debug('CANCEL SELL')
cancelPendingSellOrders()
placeOrder(sellPrice, minAmount + sellAmountAdjust, 'SELL')
else:
logger.debug('CANCEL NONE')
#单数为1，看具体生效的是买单还是卖单再更新
elif openingOrderCount == 1:
#看是买单还是卖单
orderList = getOpeningOrderList()
#更新的过程中有新单，跳过，重新check
if len(orderList) != 1:
logger.debug('openingOrderCount changed!! skip')
return
side = orderList[0]['side']
logger.info('only 1 order remain: %s', side)
#现在有效的是买单
if side == 'BUY':
#如果买单无效，那么更新买单
if cancelBuyOrder:
cancelPendingBuyOrders()
placeOrder(buyPrice, minAmount + buyAmountAdjust, 'BUY')
#卖单无论如何都要更新
placeOrder(sellPrice, minAmount + sellAmountAdjust, 'SELL')
#现在有效的是卖单
elif side == 'SELL':
#如果卖单无效，那么更新卖单
if cancelSellOrder:
cancelPendingSellOrders()
placeOrder(sellPrice, minAmount + sellAmountAdjust, 'SELL')
#买单无论如何都要更新
placeOrder(buyPrice, minAmount + buyAmountAdjust, 'BUY')
else:
print('unexpected side, exit')
exit()
#单数为0,无论如何都需要补单
elif openingOrderCount == 0:
placeOrder(buyPrice, minAmount + buyAmountAdjust, 'BUY')
placeOrder(sellPrice, minAmount + sellAmountAdjust, 'SELL')
####做市下单模块结束####
return
###### TEST AREA
#exit()
###### INIT ######
#SETUP LOGGER
logger = setLogger('merTradeLog')
#CANCEL ALL ORDER
cancelPendingOrders()
#GET ACCOUNT INFO
updateAccount()
accountInfo = getAccountInfo()[0]
initBalance = currentBalance
print('initBalance:', initBalance)
tradeList = getTradeList(1);
tickCount = 0
startTime = time.time()
while True:
#Telegram控制模块
message = getNewMessage()
if message == '!':
cancelPendingOrders()
updateAccount()
sendBotMessage('Balance: '+str(currentBalance)+"\nPosition: "+str(currentPosition['size'])+"@"+str(currentPosition['entryPrice'])+"\nLiquidatePrice: "+str(currentPosition['liquidatePrice']) +"\nProfit: " + str(currentBalance - initBalance))
sendBotMessage('STOP STRATEGY')
exit()
elif message == '1':
updateAccount()
sendBotMessage('Balance: '+str(currentBalance)+"\nPosition: "+str(currentPosition['size'])+"@"+str(currentPosition['entryPrice'])+"\nLiquidatePrice: "+str(currentPosition['liquidatePrice']) +"\nProfit: " + str(currentBalance - initBalance))
elif message == '2':
if totalBuyAmount != 0:
sendBotMessage('Buy position: ' + str(totalBuyAmount) + '@' + str(totalBuyPosition/totalBuyAmount))
if totalSellAmount != 0:
sendBotMessage('Sell position: ' + str(totalSellAmount) + '@' + str(totalSellPosition/totalSellAmount))
sendBotMessage('Buy/Sell Count: ' + str(totalBuyCount) +'/'+ str(totalSellCount));
else:
pass
#策略逻辑
onTick()
#检测账户信息
if tickCount % 15 == 0:
updateAccount()
if tickCount > 0:
print ('Tick time: ', str((time.time() - startTime)/tickCount))
#发送电报消息
if tickCount % 100 == 0:
sendBotMessage('Balance: '+str(currentBalance)+"\nPosition: "+str(currentPosition['size'])+"@"+str(currentPosition['entryPrice'])+"\nLiquidatePrice: "+str(currentPosition['liquidatePrice']) +"\nProfit: " + str(currentBalance - initBalance))
#检测交易信息
if tickCount % 15 == 0:
lastTradeList = getTradeList(40)
for index in range(0,len(lastTradeList) - 1):
if tradeList[0]['id'] == lastTradeList[index]['id']:
break
if index == 0:
pass
else:
# 有新交易记录
tradeList = lastTradeList[:index] + tradeList
for trade in lastTradeList[:index]:
logger.info('NEW TRADE: %s,%s,%s',trade['side'],trade['price'],trade['size'])
sendBotMessage('NEW TRADE - ' + str(trade['side']) + ' ' + str(trade['size']) + '@' + str(trade['price']))
if trade['side'] == 'BUY':
totalBuyCount += 1
totalBuyPosition += trade['price'] * trade['size']
totalBuyAmount += trade['size']
elif trade['side'] == 'SELL':
totalSellCount += 1
totalSellPosition += trade['price'] * trade['size']
totalSellAmount += trade['size']
if totalBuyAmount != 0:
print ('Buy position at', totalBuyPosition/totalBuyAmount, ' | ',totalBuyAmount)
if totalSellAmount !=0:
print ('Sell position at', totalSellPosition/totalSellAmount, ' | ',totalSellAmount)
print ('Buy|Sell Count: ', totalBuyCount,'|',totalSellCount)
logger.info('Buy|Sell Count: %s|%s',totalBuyCount,totalSellCount);
tickCount += 1
time.sleep(3)
火星量化 失效的，作者分享失效策略还是说明下已失效仅供参考。