Python 双平台对冲策略
'''backtest
start: 2019-09-08 00:00:00
end: 2019-10-07 00:00:00
period: 1h
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"},{"eid":"Binance","currency":"BTC_USDT"}]
'''
import time
import json
def cancelAll():
ret = False
for e in exchanges:
while True:
n = 0
for order in _C(e.GetOrders):
ret = True
e.CancelOrder(order.Id)
n+=1
if n == 0:
break
return ret
def main():
global MinSpreadA, MinSpreadB
SetErrorFilter("canceled")
if len(exchanges) != 2:
raise Exception("只支持两个交易所对冲")
LogReset()
LogProfitReset()
cancelAll()
initStocks = 0.0
initBalance = 0.0
minAmount = 0.1
lastTradeTime = 0
lastTradeErrExchange = ''
accountsCache = []
hedgeNum = [0, 0]
names = []
baseCurrency = exchange.GetCurrency()
for e in exchanges:
if e.GetCurrency().replace('USDT', 'USD') != baseCurrency.replace('USDT', 'USD'):
raise Exception("必须是同样的货币才可以对冲 " + baseCurrency)
names.append(e.GetName())
account = _C(e.GetAccount)
accountsCache.append(account)
initStocks += account.Stocks
initBalance += account.Balance
minAmount = 0.01 if baseCurrency == "BTC" else 0.1
Log("总钱:", _N(initBalance), "总币", _N(initStocks), 'Python:', __import__('sys').version)
while True:
if not accountsCache:
accountsCache = [_C(e.GetAccount) for e in exchanges]
Sleep(LoopInterval)
cmd = GetCommand()
if cmd:
Log("CMD", cmd)
arr = cmd.split(':')
if arr[0] == 'A->B':
MinSpreadA = float(arr[1])
elif arr[0] == 'B->A':
MinSpreadB = float(arr[1])
depthA = exchanges[0].GetDepth()
if not depthA:
continue
depthB = exchanges[1].GetDepth()
if not depthB:
continue
if lastTradeTime > 0 and time.time() - lastTradeTime > BalanceTime:
needUpdate = cancelAll()
if not needUpdate:
for account in accountsCache:
if account.FrozenBalance >= 0.1 or account.FrozenStocks > 0.001:
needUpdate = True
break
if needUpdate:
accountsCache = [_C(e.GetAccount) for e in exchanges]
nowStocks = 0.0
nowBalance = 0.0
for account in accountsCache:
nowStocks += account.Stocks
nowBalance += account.Balance
diff = _N(nowStocks - initStocks, 5)
isReverse = None
if abs(diff) < minAmount:
LogProfit(_N(nowBalance-initBalance, 3), "总钱:", _N(nowBalance), "总币", _N(nowStocks), "币差:", diff)
lastTradeTime = 0
elif diff > minAmount:
isReverse = depthA.Bids[0].Price < depthB.Bids[0].Price
elif -diff > minAmount:
isReverse = depthA.Asks[0].Price > depthB.Asks[0].Price
if isReverse is not None:
depths = [depthA, depthB]
opAmount = None
for pos in ([1, 0] if isReverse else [0, 1]):
if diff >= minAmount:
opAmount = min(diff, accountsCache[pos].Stocks, depths[pos].Bids[0].Amount + depths[pos].Bids[1].Amount)
diff -= opAmount
if opAmount >= minAmount:
exchanges[pos].Sell(depths[pos].Bids[1].Price, opAmount)
elif -diff >= minAmount:
opAmount = min(-diff, _N(accountsCache[pos].Balance / depths[pos].Asks[1].Price, 3), depths[pos].Asks[0].Amount + depths[pos].Asks[1].Amount)
diff += opAmount
if opAmount >= minAmount:
exchanges[pos].Buy(depths[pos].Asks[1].Price, opAmount)
if opAmount is not None:
lastTradeTime = time.time()
accountsCache = []
continue
# end of balanceAccount
diffA = _N(depthA.Bids[0].Price - depthB.Asks[0].Price, 3)
diffB = _N(depthB.Bids[0].Price - depthA.Asks[0].Price, 3)
LogStatus('`' + json.dumps({'type': 'table', 'title': '运行信息', 'cols': ['名称', '钱', '冻结的钱', '币', '冻结的币', '买一', '卖一', '阀值', '差价', '次数'], 'rows': [[names[0], accountsCache[0].Balance, accountsCache[0].FrozenBalance, accountsCache[0].Stocks, accountsCache[0].FrozenStocks, depthA.Bids[0].Price, depthA.Asks[0].Price, MinSpreadA, diffA, hedgeNum[0]], [names[1], accountsCache[1].Balance, accountsCache[1].FrozenBalance, accountsCache[1].Stocks, accountsCache[1].FrozenStocks, depthB.Bids[0].Price, depthB.Asks[0].Price, MinSpreadB, diffB, hedgeNum[0]]]}) + '`')
HPos = 0
if diffA >= MinSpreadA:
orderH = depthA.Bids[0]
orderL = depthB.Asks[0]
exchangeH = exchanges[0]
exchangeL = exchanges[1]
accountH = accountsCache[0]
accountL = accountsCache[1]
elif diffB >= MinSpreadB:
HPos = 1
orderH = depthB.Bids[0]
orderL = depthA.Asks[0]
exchangeH = exchanges[1]
exchangeL = exchanges[0]
accountH = accountsCache[1]
accountL = accountsCache[0]
else:
continue
opPrice = _N((orderH.Price + orderL.Price) / 2.0, 2)
opAmount = min(MaxAmount, orderH.Amount, orderL.Amount, accountH.Stocks, _N(accountL.Balance / opPrice, 3))
if opAmount >= minAmount:
tasks = [[exchangeH.Sell, "H"], [exchangeL.Buy, "L"]]
if lastTradeErrExchange == "L":
tasks.reverse()
lastTradeErrExchange = ""
for task in tasks:
if task[0](opPrice, opAmount) is None:
lastTradeErrExchange = task[1]
break
lastTradeTime = time.time()
accountsCache = []
hedgeNum[HPos] += 1
THPC yes
THPC nice
rty233 e.IO("websocket") 梦总 这句是什么意思 api文档里面没有啊