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- 指数对冲（修罗场） 0.0.1
指数对冲（修罗场） 0.0.1
Author:
XMaxZone, Date: 2021-10-08 18:45:43
Tags:
import time
import requests
import math
import pandas as pd
Alpha = 0.001 #指数移动平均的MA参数，设置的越大基准价格跟踪越敏感，最终持仓也会越低降低了杠杆，但会降低收益，具体根据自己需求权衡
UpdateBasePriceInterval = 60 #多久更新一次基准价格，单位位秒，跟Alpha相关，Alpha设置的越小，这个间隔也可以设置的更小
StopLossRate = 0.8 #表示当资金达到初始资金的80%时触发止损，停止策略，可以随着策略的盈利，动态设置止损位置
MaxDiff = 0.5 #当偏差diff大于这个值时停止加仓
MinDiff = -0.5 #当StopLossRate偏差Diff小于这个值时停止加仓
Version = '0.0.1'
Show = True #默认false 显示账户余额，true显示累计收益
Funding = 0 #账户资金，为0的时候自动获取，非0的时候自行设置
SuccessColor = '#5cb85c' #成功颜色
DangerColor = '#ff0000' #危险颜色
WrningColor = '#f0ad4e' #警告颜色
SelfFee = 0.04 #手续费率 https:#www.binance.com/cn/fee/futureFee
TotalLong = 0 #做多总价值
TotalShort = 0 #做空总价值
Profit = 0 #收益
Account = {} #保存账户信息
WinRateData = {} # 存储胜率信息
assets = {}
tradeInfo = {}
accountAssets = {}
runtimeData = {}
if IsVirtual():
Log('不能进行回测')
exit()
tradeSymbols = list(TradeSymbols.replace(' ','').split(','))
Index = 1 #指数
UpdateBasePriceTime = 0
InitPrice = {}
updateProfitTime = 0
#
assets['USDT'] = {'unrealised_profit':0,'margin':0,'margin_balance':0,'total_balance':0,'leverage':0,'update_time':0,'margin_ratio':0,'init_balance':0,'stop_balance':0,'short_value':0,'long_value':0,'profit':0}
if exchange.GetName() != 'Futures_Binance':
Log('只支持币安期货交易所！')
exit()
def init():
InitRateData()
exchangeInfo = requests.get('https://fapi.binance.com/fapi/v1/exchangeInfo').json()
if exchangeInfo is None:
Log('无法连接币安网络，需要海外托管者')
exit()
#Log(exchangeInfo)
for i in range(len(exchangeInfo['symbols'])):
if len(exchangeInfo['symbols'][i]['symbol'].split('_')) > 1 :continue
sp = exchangeInfo['symbols'][i]['symbol'].split('_')[0]
symbol = sp.replace('USDT','')
#Log(sp)
BUSD = sp[-4:len(sp)]
if 'BUSD' != BUSD or symbol not in exchangeInfo['symbols'][i]['symbol']: #排除BUSD交易对
if symbol in tradeSymbols:
assets[symbol] = {'amount': 0,'hold_price': 0,'value': 0,'bid_price': 0,'ask_price': 0,'btc_price': 0, 'btc_change': 1,'btc_diff': 0,
'realised_profit': 0,'margin': 0,'unrealised_profit': 0,'leverage': 20, 'positionInitialMargin': 0, 'liquidationPrice': 0 }
tradeInfo[symbol] = {'minQty': float(exchangeInfo['symbols'][i]['filters'][1]['minQty']) ,
'priceSize': int((math.log10(1.1/float(exchangeInfo['symbols'][i]['filters'][0]['tickSize'])))),'amountSize': int((math.log10(1.1/float(exchangeInfo['symbols'][i]['filters'][1]['stepSize']))))}
def UpdateAccount():
global accountAssets ,StopLoss
#判断当前是模拟交易还是实盘交易
if MockTrading:
Log('模拟交易更新账户')
else:
#Log('实盘交易更新账户')
account = exchange.GetAccount()
ps = exchange.GetPosition()
if account is None:
Log('更新账户超时！')
return
accountAssets = account['Info']['assets']
assets['USDT']['update_time'] = int(time.time() * 1000)
#Log(account['Info']['positions'])
for i in range(len(account['Info']['positions'])):
symbol = account['Info']['positions'][i]['symbol']
if len(symbol.split('_')) > 1: continue #过滤掉 例：symbol:ETHUSDT_211231 合约
sp = symbol.split('_')[0]
#排除掉BUSD交易对 和不在交易列表的交易对
coin = sp.replace('USDT','')
BUSD = sp[-4:len(sp)]
if 'BUSD' == BUSD or coin not in tradeSymbols: continue
#筛选单向持仓币种
if account['Info']['positions'][i]['positionSide'] == 'BOTH':
# if coin == 'ETH':
# Log(coin,account['Info']['positions'][i])
#Log('symbol:',symbol)
assets[coin]['margin'] = float(account['Info']['positions'][i]['initialMargin']) + float(account['Info']['positions'][i]['maintMargin'])
assets[coin]['unrealised_profit'] = float(account['Info']['positions'][i]['unrealizedProfit'])
assets[coin]['positionInitialMargin'] = float(account['Info']['positions'][i]['positionInitialMargin'])
assets[coin]['leverage'] = account['Info']['positions'][i]['leverage']
#Log(assets)
#计算持仓保证金总额
assets['USDT']['margin'] = float(account['Info']['totalInitialMargin']) + float(account['Info']['totalMaintMargin'])
assets['USDT']['margin_balance'] = float(account['Info']['totalMarginBalance'])
assets['USDT']['total_balance'] = float(account['Info']['totalWalletBalance'])
if assets['USDT']['init_balance'] == 0:
if _G('init_balance'):
assets['USDT']['init_balance'] = _N(_G('init_balance'),2)
else:
assets['USDT']['init_balance'] = assets['USDT']['total_balance']
_G('init_balance',assets['USDT']['init_balance'])
#计算收益
assets['USDT']['profit'] = _N(float(assets['USDT']['margin_balance']) - float(assets['USDT']['init_balance']),2)
#计算止损位置
assets['USDT']['stop_balance'] = _N(StopLossRate * assets['USDT']['init_balance'], 2)
#计算未实现收益
assets['USDT']['unrealised_profit'] = _N(float(account['Info']['totalUnrealizedProfit']),2)
#计算杠杆
assets['USDT']['leverage'] = _N(assets['USDT']['margin'] / float(assets['USDT']['total_balance']))
#计算保证金率
assets['USDT']['margin_ratio'] = _N(float(account['Info']['totalMaintMargin']) / float(account['Info']['totalMarginBalance'])) * 100
exchange.SetContractType('swap')
ps = json.loads(exchange.GetRawJSON())
# 更新持仓
#Log('position:',ps)
if len(ps) > 0:
j = 1
for i in range(len(ps)):
#Log(ps[i])
if len(ps[i]['symbol'].split('_')) > 1: continue #过滤掉 例：symbol:ETHUSDT_211231 合约
sp = ps[i]['symbol'].split('_')[0]
BUSD = sp[-4:len(sp)]
symbol = sp.replace('USDT','')
if 'BUSD' == BUSD or symbol not in tradeSymbols : continue
if ps[i]['positionSide'] != 'BOTH': continue
assets[symbol]['hold_price'] = float(ps[i]['entryPrice'])
assets[symbol]['amount'] = float(ps[i]['positionAmt'])
assets[symbol]['unrealised_profit'] = float(ps[i]['unRealizedProfit'])
assets[symbol]['liquidationPrice'] = float(ps[i]['liquidationPrice'])
assets[symbol]['marginType'] = ps[i]['marginType']
#Log(j,assets[symbol])
#j+=1
#Log('实盘账户更新完毕！')
def UpdateTick():
try:
ticker = requests.get('https://fapi.binance.com/fapi/v1/ticker/bookTicker').json()
except Exception as e:
Log('get ticker time out !')
return
assets['USDT']['long_value'] = 0
assets['USDT']['short_value'] = 0
for i in range(len(ticker)):
sp = ticker[i]['symbol'].split('_')[0]
if len(ticker[i]['symbol'].split('_')) > 1: continue #过滤掉 例：symbol:ETHUSDT_211231 合约
BUSD = sp[-4:len(sp)]
symbol = sp.replace('USDT','')
if 'BUSD' == BUSD or symbol not in tradeSymbols: continue
# if symbol == 'BTCDOM':
# Log(symbol,ticker[i])
#Log(ticker[i])
assets[symbol]['ask_price'] = float(ticker[i]['askPrice'])
assets[symbol]['bid_price'] = float(ticker[i]['bidPrice'])
assets[symbol]['ask_value'] = _N(assets[symbol]['amount'] * assets[symbol]['ask_price'], 2)
assets[symbol]['bid_value'] = _N(assets[symbol]['amount'] * assets[symbol]['bid_price'], 2)
# if symbol == 'BTCDOM':
# Log(symbol,assets[symbol])
value = (assets[symbol]['ask_value'] + assets[symbol]['bid_value']) / 2
if value != 0:
if value > 0:
assets['USDT']['long_value'] += value
else:
assets['USDT']['short_value'] += value
# if assets[symbol]['amount'] < 0:
# assets['USDT']['short_value'] += abs((assets[symbol]['ask_value'] + assets[symbol]['bid_price']) / 2)
# else:
# assets['USDT']['long_value'] += abs((assets[symbol]['ask_value'] + assets[symbol]['bid_value']) / 2)
assets['USDT']['short_value'] = _N(assets['USDT']['short_value'], 2)
assets['USDT']['long_value'] = _N(assets['USDT']['long_value'], 2)
#Log('UpdateTick:',symbol,assets[symbol])
#更新指数
UpdateIndex()
for symbol in tradeSymbols:
assets[symbol]['btc_diff'] = _N((assets[symbol]['btc_change'] - Index), 4)
def UpdateIndex():
global UpdateBasePriceTime,InitPrice,Index,Reset
if MockTrading:
Log('模拟交易模式更新指数')
else:
#Log('实盘交易模式更新指数')
if _G('InitPrice') is None or Reset:
Reset = False
for symbol in tradeSymbols:
InitPrice[symbol] = (assets[symbol]['ask_price'] + assets[symbol]['bid_price']) / (assets['BTC']['ask_price'] + assets['BTC']['bid_price'])
Log('保存启动时的价格')
_G('InitPrice',InitPrice)
_G('StartTime',None)
_G('InitAccount_'+exchange.GetLabel(), None)
_G('tradeNumber', 0) #重置交易次数
_G('tradeVolume', 0) #重置交易量
_G('buyNumber', 0) #重置做多次数
_G('sellNumber', 0) #重置做空次数
_G('totalProfit', 0) #重置打印次数
_G('profitNumber', 0) #重置盈利次数
else:
InitPrice = _G('InitPrice')
if int(time.time()*1000) - UpdateBasePriceTime > UpdateBasePriceInterval:
UpdateBasePriceTime = int(time.time() * 1000)
for symbol in tradeSymbols:
if symbol not in InitPrice: continue
InitPrice[symbol] = InitPrice[symbol] * (1 - Alpha) + Alpha * (assets[symbol]['ask_price'] + assets[symbol]['bid_price']) / (assets['BTC']['ask_price'] + assets['BTC']['bid_price'])
_G('InitPrice',InitPrice)
temp = 0
for symbol in tradeSymbols:
assets[symbol]['btc_price'] = (assets[symbol]['ask_price'] + assets[symbol]['bid_price']) / (assets['BTC']['ask_price'] + assets['BTC']['bid_price'])
if symbol not in InitPrice:
Log('添加新的币种：',symbol)
InitPrice[symbol] = assets[symbol]['btc_price']
_G('InitPrice',InitPrice)
#Log(symbol,assets[symbol]['btc_price'],InitPrice[symbol])
assets[symbol]['btc_change'] = _N(assets[symbol]['btc_price'] / InitPrice[symbol], 4)
temp += assets[symbol]['btc_change']
Index = _N(temp / len(tradeSymbols), 4)
#Log('最新指数：',Index)
#止损模块
def StopLoss():
if assets['USDT']['margin_balance'] < StopLossRate * assets['USDT']['init_balance'] and assets['USDT']['init_balance'] != 0:
Log('出发止损！ 当前资金：',assets['USDT']['margin_balance'],'初始资金：',assets['USDT']['init_balance'])
UpdateAccount()
UpdateTick()
Ice_value = 200 #止损的快一些，可修改
trading = False
for symbol in tradeSymbols:
if assets[symbol]['bid_price'] == 0 : continue
if assets[symbol]['bid_value'] >= tradeInfo[symbol]['minQty'] * assets[symbol]['bid_price']:
## TODO: 卖出止损
trading = True
pass
if assets[symbol]['ask_value'] <= tradeInfo[symbol]['minQty'] * assets[symbol]['ask_price']:
# TODO: 买入止损
trading = True
pass
Sleep(1000)
if not trading:
Log('止损结束，如果需要重新运行策略，请调低止损参数！')
exit()
else: # 不用止损
return None
def Trade(symbol,direction,value):
if int(time.time()) - assets['USDT']['update_time'] > 10 * 1000:
Log('更新账户延迟，不进行交易！！！')
else:
price = assets[symbol]['bid_price'] if direction =='SELL' else assets[symbol]['ask_price']
amount = _N(min(IceValue,value) / price,tradeInfo[symbol]['amountSize'])
if amount < tradeInfo[symbol]['minQty']:
Log(symbol,'合约价值偏离或冰山委托设置的过小，达不到最小成交额，最小需要：', _N(tradeInfo[symbol]['minQty'] * price,4) + 1)
else:
# exchange.SetCurrency(symbol+'_USDT')
# Log(direction)
# exchange.SetDirection(direction)
# f = 'Buy' if direction == 'Buy' else 'Sell'
# Log(f)
# place_order = getattr(exchange,direction) #获取交易对象
# id = place_order(price,amount,symbol)
para = ''
url = '/fapi/v1/order'
para += 'symbol='+ symbol + 'USDT'
para += '&side='+ direction
para += '&type=LIMIT&timeInForce=IOC'
para += '&quantity='+ str(amount)
para += '&price='+ str(price)
para += "×tamp="+str(time.time() * 1000);
go = exchange.Go("IO", "api", "POST", url, para)
ret = go.wait()
if ret is not None:
logType = LOG_TYPE_SELL
if direction == 'BUY':
logType =LOG_TYPE_BUY
exchange.Log(logType,price,amount,symbol)
TradingCounter('tradeVolume',amount * price)
TradingCounter('tradeNumber',1)
WinRateData[symbol]['tradeNumber'] += 1
if direction == 'Buy':
TradingCounter('buyNumber',1)
WinRateData[symbol]['buyNumber'] += 1
else:
TradingCounter('sellNumber',1)
WinRateData[symbol]['sellNumber'] += 1
_G('WinRateData',WinRateData)
return id
def FirstAccount():
key = "initialAccount_" + exchange.GetLabel()
initialAccount = _G(key)
if initialAccount is None:
initialAccount = exchange.GetAccount()
_G(key, initialAccount)
return initialAccount
def AppendedStatus():
global TotalLong,TotalShort,RunTime,Funding,Account
accountTable = {
'type': "table",
'title': "盈利统计",
'cols': ["运行天数", "初始资金", "现有资金", "保证金余额", "已用保证金", "保证金比率", "止损", "总收益", "预计年化", "预计月化", "平均日化"],
'rows': []
}
feeTable = {
'type': 'table',
'title': '交易统计',
'cols': ["策略指数", '交易次数', '做多次数', '做空次数', '预估胜率', '预估成交额', '预估手续费', "未实现盈利", '持仓总值', '做多总值', '做空总值'],
'rows': []
}
runday = runtimeData['dayDiff']
if runday == 0:
runday = 1
if Funding == 0:
Funding = float(FirstAccount()['Info']['totalWalletBalance'])
profitColors = DangerColor
totalProfit = assets['USDT']['total_balance'] - Funding
if totalProfit > 0:
profitColors = SuccessColor
dayProfit = totalProfit / runday
dayRate = dayProfit / Funding * 100
accountTable['rows'].append([
runday,
'$' + str(_N(Funding, 2)),
'$' + str(assets['USDT']['total_balance']),
'$' + str(assets['USDT']['margin_balance']),
'$' + str(assets['USDT']['margin']),
str(_N(assets['USDT']['margin_ratio'], 2)) + '%',
str(_N(assets['USDT']['stop_balance'], 2)) + DangerColor,
str(_N(totalProfit / Funding * 100, 2)) + "% = $" + str(_N(totalProfit, 2)) + (profitColors),
str(_N(dayRate * 365, 2)) + "% = $" + str(_N(dayProfit * 365, 2)) + (profitColors),
str(_N(dayRate * 30, 2)) + "% = $" + str(_N(dayProfit * 30, 2)) + (profitColors),
str(_N(dayRate, 2)) + "% = $" + str(_N(dayProfit, 2)) + (profitColors)
])
vloume = _G('tradeVolume') if _G('tradeVolume') is not None else 0
feeTable['rows'].append([
Index, #指数
_G('tradeNumber') if _G('tradeNumber') is not None else 0, #交易次数
_G('buyNumber') if _G('buyNumber') is not None else 0, #做多次数
_G('sellNumber') if _G('sellNumber') is not None else 0, #做空次数
str(_N(_G('profitNumber') / _G('totalProfit') * 100, 2) if _G('totalProfit') > 0 else 0) + '%', #胜率
'$' + str(_N(vloume, 2)) + ' ≈ ฿' + str(_N(vloume / ((assets['BTC']['bid_price'] + assets['BTC']['ask_price']) / 2), 6)), #成交金额
'$' + str(_N(vloume * (SelfFee / 100), 4)), #手续费
'$' + str(_N(assets['USDT']['unrealised_profit'], 2)) + (SuccessColor if assets['USDT']['unrealised_profit'] >= 0 else DangerColor),
'$' + str(_N(TotalLong + abs(TotalShort), 2)), #持仓总价值
'$' + str(_N(TotalLong, 2)) + SuccessColor, #做多总值
'$' + str(_N(abs(TotalShort), 2)) + DangerColor, #做空总值
])
assetTable = {
'type': 'table',
'title': '账户资产信息',
'cols': ['编号', '资产名', '起始保证金', '维持保证金', '保证金余额', '最大可提款金额', '挂单起始保证金', '持仓起始保证金', '持仓未实现盈亏', '账户余额'],
'rows': []
}
for i in range(len(accountAssets)):
acc = accountAssets[i]
assetTable['rows'].append([
i + 1,
acc['asset'], acc['initialMargin'], acc['maintMargin'], acc['marginBalance'],
acc['maxWithdrawAmount'], acc['openOrderInitialMargin'], acc['positionInitialMargin'],
acc['unrealizedProfit'], acc['walletBalance']
])
indexTable = {
'type': 'table',
'title': '币指数信息',
'cols': ['编号', '币种信息', '当前价格', 'BTC计价', 'BTC计价变化(%)', '偏离平均', '交易次数', '做空次数', '做多次数', '预估胜率'],
'rows': []
}
i = 0
for symbol in tradeSymbols :
price = _N((assets[symbol]['ask_price'] + assets[symbol]['bid_price']) / 2, tradeInfo[symbol]['priceSize'])
if symbol not in tradeSymbols:
indexTable['rows'].append([i + 1, symbol, price, assets[symbol]['btc_price'], _N((1 - assets[symbol]['btc_change']) * 100), assets[symbol]['btc_diff']], 0, 0, 0, '0%')
else:
i += 1
WinRateData = _G("WinRateData")
winRated = _N(WinRateData[symbol]['profitNumber'] / WinRateData[symbol]['totalProfit'] * 100, 2) if WinRateData[symbol]['totalProfit'] > 0 else 0
indexTable['rows'].append([
i,
symbol + WrningColor,
price,
_N(assets[symbol]['btc_price'], 6),
_N((1 - assets[symbol]['btc_change']) * 100),
str(assets[symbol]['btc_diff']) + (SuccessColor if assets[symbol]['btc_diff'] >= 0 else DangerColor),
WinRateData[symbol]['tradeNumber'],
WinRateData[symbol]['sellNumber'],
WinRateData[symbol]['buyNumber'],
(str(winRated) if WinRateData[symbol]['profitNumber'] > 0 and WinRateData[symbol]['totalProfit'] > 0 else '0') + '%' + (SuccessColor if winRated >= 50 else DangerColor), #胜率
])
retData = {}
#Log(runtimeData['str'])
#retData['upTable'] = runtimeData['str'] + '\n' + "最后更新: " + _D() + '\n' + 'Version:' + Version + '\n' + '`' + json.dumps([accountTable, assetTable]) + '`\n' + '`' + json.dumps(feeTable) + '`\n'
retData['upTable'] = runtimeData['str'] + '\n' + "最后更新: " + _D() + '\n' + 'Version:' + Version + '\n' + '`' + json.dumps([accountTable, assetTable]) + '`\n' + '`' + json.dumps(feeTable) + '`\n'
retData['indexTable'] = indexTable
return retData
def UpdateStatus():
global TotalLong,TotalShort,updateProfitTime,Funding,Profit
TotalLong = 0
TotalShort = 0
table = {
'type': 'table',
'title': '交易对信息',
'cols': ['编号', '[模式][倍数]', '币种信息', '开仓方向', '开仓数量', '持仓价格', '当前价格', '强平价格', '强平差价', '持仓价值', '保证金', '未实现盈亏', '投降'],
'rows': []
}
i = 0
for symbol in tradeSymbols:
i += 1
direction = '空仓'
margin = direction
if assets[symbol]['amount'] != 0:
direction = '做多' + SuccessColor if assets[symbol]['amount'] > 0 else '做空' + DangerColor
margin = '全仓' if assets[symbol]['marginType'] == 'cross' else '逐仓'
price = _N((assets[symbol]['ask_price'] + assets[symbol]['bid_price']) / 2 ,tradeInfo[symbol]['priceSize'])
value = _N((assets[symbol]['ask_value'] + assets[symbol]['bid_value'])/2 , 2)
if value != 0:
if value > 0:
TotalLong += value
else:
TotalShort += value
unrealised_profit_color = '#000000'
if assets[symbol]['unrealised_profit'] > 0:
unrealised_profit_color = SuccessColor
if assets[symbol]['unrealised_profit'] < 0:
unrealised_profit_color = DangerColor
infoList = [
i,
'['+ margin +']' +'[' + str(assets[symbol]['leverage']) +'X]',
symbol,
direction,
abs(assets[symbol]['amount']),
assets[symbol]['hold_price'],
price,
assets[symbol]['liquidationPrice'],
'0' if assets[symbol]['liquidationPrice'] == 0 else '$' + str(_N(assets[symbol]['liquidationPrice'] - price, 5)) + ' ≈ ' + str(_N(assets[symbol]['liquidationPrice'] / price * 100, 2)) + '%' + WrningColor, #强平价格
abs(value),
_N(assets[symbol]['positionInitialMargin'],2),
str(_N(assets[symbol]['unrealised_profit'], 3)) + unrealised_profit_color,
{
'type': 'button',
'cmd': '说好的没有撤退可言呢？？?:' + symbol + ':' + str(assets[symbol]['amount']) + ':',
'name': symbol + ' 投降'
}
]
table['rows'].append(infoList)
logString = json.dumps(assets['USDT'])
StatusData = AppendedStatus()
LogStatus(StatusData['upTable'] + '`' + json.dumps([table, StatusData['indexTable']]) + '`\n' + logString)
# LogStatus('`' + json.dumps([table, StatusData['indexTable']]) + '`\n' + logString)
if int(time.time()*1000) - updateProfitTime > LogInterval * 1000:
balance = assets['USDT']['total_balance']
if Show:
balance = assets['USDT']['total_balance'] - Funding
LogProfit(_N(balance, 3), '&')
updateProfitTime = int(time.time()*1000)
if Profit != 0 and (_N(balance, 0) != Profit): #第一次不计算,并且小数点面的不进行胜率计算
TradingCounter("totalProfit", 1) #统计打印次数, 胜率=盈利次数/打印次数*100
if _N(balance, 0) > Profit:
TradingCounter('profitNumber', 1) #盈利次数
WinRate()
Profit = _N(balance,0)
# 策略主逻辑
def Process():
# UpdateTick()
for symbol in tradeSymbols:
if assets[symbol]['ask_price'] == 0 : continue
aim_value = -TradeValue * _N(assets[symbol]['btc_diff'] / 0.01 ,3) #计算偏离1%需要加的仓位
#偏移仓位 - 持有仓位 > 偏离加仓阈值 并且 diff > 预设最小加仓值 并且 多方仓位 - 空方仓位 小于等于 1.1倍的 偏离加仓 则进行开多仓
# if symbol == 'IOTA':
# Log(symbol,aim_value - assets[symbol]['ask_value'])
if (aim_value - assets[symbol]['ask_value']) >= DeviateValue and assets[symbol]['btc_diff'] > MinDiff :
Log('做多',symbol,' aim_value:',aim_value,' ask_value:',assets[symbol]['ask_value'],'amount:',(aim_value - assets[symbol]['ask_value']), ' 偏离平均:',assets[symbol]['btc_diff'])
Trade(symbol,'BUY',aim_value - assets[symbol]['ask_value'])
if (aim_value - assets[symbol]['bid_value']) <= -DeviateValue and assets[symbol]['btc_diff'] < MaxDiff:
Log('做空',symbol,' aim_value:',aim_value,' ask_value:',assets[symbol]['ask_value'],'amount:',(aim_value - assets[symbol]['bid_value']), ' 偏离平均:',assets[symbol]['btc_diff'])
Trade(symbol,'SELL',-(aim_value - assets[symbol]['bid_value']) )
# 保存交易量
def TradingCounter(key,newValue):
value = _G(key)
if value is None:
_G(key,newValue)
else:
_G(key,value + newValue)
def WinRate():
global WinRateData
for symbol in tradeSymbols:
unrealised = assets[symbol]['unrealised_profit']
WinRateData[symbol]['totalProfit'] += 1
if unrealised != 0:
if unrealised > 0:
WinRateData[symbol]['profitNumber'] += 1
_G("WinRateData", WinRateData)
#更新胜率信息
def InitRateData():
global WinRateData
if Reset:
_G('WinRateData',None)
if _G('WinRateData'):
WinRateData = _G('WinRateData')
for symbols in tradeSymbols:
if symbols not in WinRateData:
#统计次数 #盈利次数 #交易次数 #做多次数 #做空次数
WinRateData[symbols] = {'totalProfit': 0, 'profitNumber': 0,'tradeNumber': 0,'buyNumber': 0, 'sellNumber': 0}
_G('WinRateData',WinRateData)
#获取或创建策略第一次启动时间
def StartTime():
StartTime = _G('StartTime')
if StartTime is None:
StartTime = _D()
_G('StartTime',StartTime)
return StartTime
def RunTime():
ret = {}
startTime = StartTime()
nowTime = _D()
dateDiff = (time.mktime(time.strptime(nowTime,'%Y-%m-%d %H:%M:%S')) - time.mktime(time.strptime(startTime,'%Y-%m-%d %H:%M:%S')) ) * 1000 #计算时间差
dayDiff = math.floor(dateDiff / (24 * 3600 * 1000))
lever1 = dateDiff % (24 * 3600 * 1000 )
hours = math.floor(lever1 / (3600 * 1000))
lever2 = lever1 % (3600 * 1000)
minutes = math.floor(lever2 / (60 * 1000))
ret['dayDiff'] = dayDiff
ret['hours'] = hours
ret['minutes'] = minutes
ret['str'] = '运行时间：' + str(dayDiff) + '天' + str(hours) + '小时' + str(minutes) + '分钟'
return ret
def main():
exchange.SetContractType('swap')
exchange.SetMarginLevel(20)
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|reused|Unknown")
global runtimeData
while True:
runtimeData = RunTime()
#更新账户和持仓
UpdateAccount()
#更新行情
UpdateTick()
#止损模块
StopLoss()
#策略逻辑
Process()
#输出状态栏信息
UpdateStatus()
Sleep(Interval * 1000)
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