'''backtest
start: 2020-02-27 00:00:00
end: 2020-02-27 00:00:00
period: 1d
exchanges: [{"eid":"Futures_OKCoin","currency":"ETH_USD","stocks":1.6}]
'''
#常规上下网格
import json
global_param={
'sell_id':0,
'buy_id':0,
'buy_amount':0,#当前多单数量
'sell_amount':0,#当前空单数量
'buy_profit':0,#多单利润
'sell_profit':0#空单利润
}
def open_order(price):
net_buy_count = global_param['buy_amount'] / net_amount
net_sell_count = global_param['sell_amount'] / net_amount
if(net_buy_count>= net_limit or net_sell_count>=net_limit):
Log("超过网格数量限制，不开仓！")
return
if(net_type == 1 or net_type == 2):#如果设置为开空或者多空双开
exchange.SetDirection("sell")#设置下单类型为做空
order_id = exchange.Sell(_N(price*(1+net_interval),2),net_amount)#以当前价格上限开空，合约数量为10张下单
global_param['sell_id'] = order_id
if(net_type == 0 or net_type == 2):#如果设置为开多或者多空双开
exchange.SetDirection("buy")#设置下单类型为做多
order_id = exchange.Buy(_N(price*(1-net_interval),2),net_amount)#以当前价格下限开多，合约数量为10张下单
global_param['buy_id'] = order_id
def cancel_order():
for order in _C(exchange.GetOrders):
_C(exchange.CancelOrder,int(order['Id']))
global_param['sell_id']=0
global_param['buy_id']=0
def judge_order_finish():
if(global_param['buy_id']!=0):
order = exchange.GetOrder(global_param['buy_id'])
if(order["Status"]==ORDER_STATE_CLOSED):
return True
else:
return False
if(global_param['sell_id']!=0):
order = exchange.GetOrder(global_param['sell_id'])
if(order["Status"]==ORDER_STATE_CLOSED):
return True
else:
return False
return True
def get_position():
global_param['sell_amount'] = 0
global_param['sell_profit'] = 0
global_param['buy_amount'] = 0
global_param['buy_profit'] = 0
positions= exchange.GetPosition()
for position in positions:
if(position['Type']==PD_SHORT): #空仓
global_param['sell_amount'] = position['Amount']#获取空单持仓
global_param['sell_profit'] = position['Profit']#获取空单盈利
elif(position['Type']==PD_LONG):
global_param['buy_amount'] = position['Amount']#获取多单持仓
global_param['buy_profit'] = position['Profit']#获取多单盈利
def check_stop(price):#止盈止损判断
total_profit = global_param['sell_profit'] + global_param['buy_profit']
if( total_profit>= stop_profit or total_profit<=-stop_loss):#如果获利达到止盈值或者亏损达到止损值 平仓
Log("止盈止损平仓，当前持仓总盈利",total_profit)
if(global_param['sell_amount']>0):
Log("sell_amount",global_param['sell_amount'])
exchange.SetDirection("closesell");#设置下单类型为平空
exchange.Buy(_N(price*1.005,2),global_param['sell_amount'])
if(global_param['buy_amount']>0):
Log("buy_amount",global_param['buy_amount'])
exchange.SetDirection("closebuy");#设置下单类型为平多
exchange.Sell(_N(price*0.995,2),global_param['buy_amount'])
def main():
exchange.SetContractType(contract_type)#设置合约
exchange.SetMarginLevel(margin_level)#杠杆比例
while True:
ticker = exchange.GetTicker()
price = ticker['Last']
get_position()
check_stop(price)
if(judge_order_finish()):
Log("当前价格为:",price)
cancel_order()#撤单
open_order(price)#下单
Sleep(1000)
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