import time
import requests
import math
# import pandas as pd
InitPrice = 0
updateProfitTime = 0
assets = {}
tradeInfo = {}
accountAssets = {}
runtimeData = {}
Funding = 0 #账户资金 为0的时候自动获取
symbol = ''
Version = '0.0.1'
SuccessColor = '#5cb85c' #成功颜色
DangerColor = '#ff0000' #危险颜色
WrningColor = '#f0ad4e' #警告颜色
assets['USDT'] = {'unrealised_profit':0,'margin':0,'margin_balance':0,'total_balance':0,'leverage':0,'update_time':0,'margin_ratio':0,'init_balance':0,'profit':0}
if IsVirtual():
Log('不能进行回测')
exit()
if exchange.GetName() != 'Futures_Binance':
Log('只支持币安期货交易所！')
exit()
def init():
initData()
CancelOrder()
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()
for i in range(len(exchangeInfo['symbols'])):
if exchangeInfo['symbols'][i]['symbol'] == symbol:
assets[symbol] = {'amount': 0,'hold_price': 0,'value': 0,'bid_price': 0,'ask_price': 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 CancelOrder():
exchange.SetContractType('swap')
#撤销所有未成交订单
orders = exchange.GetOrders()
for x in range(len(orders)):
if orders[x]['Info']['symbol'] == symbol :
exchange.CancelOrder(orders[x]['Id'])
def UpdateStatus():
global Funding,updateProfitTime
if Funding == 0 :
Funding = float(FirstAccount()['Info']['totalWalletBalance']) #获取初始资金
# totalProfit = assets['USDT']['total_balance'] - Funding #计算收益
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", "总收益", "预计年化", "预计月化", "平均日化"],
'rows': []
}
table = {
'type': 'table',
'title': '交易对信息',
'cols': ['编号', '[模式][倍数][持仓模式]', '币种信息', '开仓方向','初始价格', '开仓数量', '持仓价格', '当前价格', '强平价格', '持仓价值', '保证金', '未实现盈亏'],
'rows': []
}
profitColors = DangerColor
totalProfit = assets['USDT']['total_balance'] - Funding
runday = runtimeData['dayDiff']
if runday == 0:
runday = 1
if totalProfit > 0:
profitColors = SuccessColor
dayProfit = totalProfit / runday
#Log('dayProfit:',dayProfit,'Funding:',Funding)
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(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)
])
i = 1
for x in list(symbol.split(',')):
typestr = '多空持仓'
if type == 1:
typestr = '只持多仓'
if type == 2:
typestr = '只持空仓'
direction = '空仓'
margin = direction
if assets[x]['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'
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[x]['leverage'])+']'+'['+typestr+']',
x,
direction,
InitPrice,
assets[x]['amount'],
assets[x]['hold_price'],
assets[x]['price'],
assets[x]['liquidationPrice'],
float(assets[x]['amount']) * float(assets[x]['price']),
assets[x]['positionInitialMargin'],
assets[x]['unrealised_profit'],
]
table['rows'].append(infoList)
retData = runtimeData['str'] + '\n' + "最后更新: " + _D() + '\n' + 'Version:' + Version + '\n'
LogStatus(retData+ '`' + json.dumps(accountTable) + '`\n'+ '`' + json.dumps(table) + '`\n')
if int(time.time()*1000) - updateProfitTime > LogInterval * 1000:
balance = assets['USDT']['total_balance']
key = "initialAccount_" + exchange.GetLabel()
initialAccount = _G(key)
#Log('balance:',balance,'Funding:',Funding,'initialAccount:',initialAccount['Info']['totalWalletBalance'])
if Show:
balance = assets['USDT']['total_balance'] - Funding
LogProfit(_N(balance, 3))
updateProfitTime = int(time.time()*1000)
Profit = _N(balance,0)
def UpdateAccount():
# Log('UpdateAccount()')
global accountAssets
account = exchange.GetAccount()
position = exchange.GetPosition()
if account is None and position is None :
Log('更新账户超时！！！')
return
accountAssets = account['Info']['assets']
assets['USDT']['update_time'] = int(time.time()) * 1000 #秒转毫秒 同步更新账户时间
for i in range(len(account['Info']['positions'])) :
if account['Info']['positions'][i]['symbol'] == symbol :
#计算持仓保证金 初始保证金 + 维持保证金
assets[symbol]['margin'] = float(account['Info']['positions'][i]['initialMargin']) + float(account['Info']['positions'][i]['maintMargin'])
#未实现收益
assets[symbol]['unrealised_profit'] = float(account['Info']['positions'][i]['unrealizedProfit'])
assets[symbol]['positionInitialMargin'] = float(account['Info']['positions'][i]['positionInitialMargin'])
assets[symbol]['leverage'] = account['Info']['positions'][i]['leverage']
#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'])
ps = json.loads(exchange.GetRawJSON())
if len(ps) > 0 :
for x in range(len(ps)):
if ps[x]['symbol'] == symbol:
assets[symbol]['hold_price'] = float(ps[x]['entryPrice'])
assets[symbol]['amount'] = float(ps[x]['positionAmt'])
assets[symbol]['unrealised_profit'] = float(ps[x]['unRealizedProfit'])
assets[symbol]['liquidationPrice'] = float(ps[x]['liquidationPrice'])
assets[symbol]['marginType'] = ps[x]['marginType']
def UpdateTick():
global InitPrice
res = _C(exchange.GetTicker)
if res is None:
Log("行情更新异常！！！")
if target:
InitPrice = target_price
_G('InitPrice',InitPrice)
else:
if _G('InitPrice') is None :
InitPrice = res.Last
_G('InitPrice',InitPrice)
else:
InitPrice = _G('InitPrice')
assets[symbol]['price'] = res.Last
def Trade(direction,price,amount):
if amount < 0:
amount = -amount
Log('amount:',amount,'minQty:',tradeInfo[symbol]['minQty'])
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:
para = ''
url = '/fapi/v1/order'
para += 'symbol='+ symbol
para += '&side='+ direction
para += '&type=LIMIT&timeInForce=GTC'
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)
def batch(buy_price,sell_price):
exchange.SetContractType('swap')
#撤销所有未成交订单
orders = exchange.GetOrders()
if len(orders) < 2 :
return True
return False
def Process():
amount = (1 - float(assets[symbol]['price']) / float(InitPrice)) / float(pct) * float(value) / float(assets[symbol]['price'])
if abs(amount - assets[symbol]['amount']) > _N(value / float(assets[symbol]['price']), tradeInfo[symbol]['amountSize']):
if amount > 0:
if assets[symbol]['amount'] < amount:
CancelOrder()
Trade('BUY', round(float(assets[symbol]['price']), tradeInfo[symbol]['priceSize']), round(amount - float(assets[symbol]['amount']),tradeInfo[symbol]['amountSize']))
if assets[symbol]['amount'] > amount:
CancelOrder()
Trade('SELL', round(float(assets[symbol]['price']), tradeInfo[symbol]['priceSize']), round(amount - float(assets[symbol]['amount']),tradeInfo[symbol]['amountSize']))
if amount < 0:
if assets[symbol]['amount'] < amount:
CancelOrder()
Trade('BUY', round(float(assets[symbol]['price']), tradeInfo[symbol]['priceSize']), round(amount - float(assets[symbol]['amount']),tradeInfo[symbol]['amountSize']))
if assets[symbol]['amount'] > amount:
CancelOrder()
Trade('SELL', round(float(assets[symbol]['price']), tradeInfo[symbol]['priceSize']), round(amount - float(assets[symbol]['amount']),tradeInfo[symbol]['amountSize']))
buy_price = (value / pct - value) / ((value / pct) / float(InitPrice) + assets[symbol]['amount'])
sell_price = (value / pct + value) / ((value / pct) / float(InitPrice) + assets[symbol]['amount'])
if float(buy_price) > float(assets[symbol]['price']) or float(sell_price) < float(assets[symbol]['price']) or batch(buy_price,sell_price):
CancelOrder()
Trade('BUY', _N(buy_price, tradeInfo[symbol]['priceSize']), _N(value / buy_price, tradeInfo[symbol]['amountSize']))
Trade('SELL', _N(sell_price, tradeInfo[symbol]['priceSize']), (_N(value / sell_price, tradeInfo[symbol]['amountSize'])))
def FirstAccount():
key = "initialAccount_" + exchange.GetLabel()
initialAccount = _G(key)
if initialAccount is None:
initialAccount = exchange.GetAccount()
_G(key, initialAccount)
return initialAccount
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 initData():
global symbol
if _G('symbol') is None:
symbol = exchange.GetCurrency().replace('_','')
_G('symbol',symbol)
Log('初始化币种：',symbol)
else:
symbol = _G('symbol')
Log('交易币种：',symbol)
def main():
exchange.SetContractType('swap')
exchange.SetMarginLevel(10)
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()
#策略主逻辑
Process()
#更新图表
UpdateStatus()
Sleep(1000 * Interval)
無極 大佬能不能详细说明下250、251行买价和卖价的逻辑，虽然简单看就是仓位越多买单价越低，但内在逻辑看了半天实在是没搞懂
忠^L 185行貌似有错误，不太懂PYTHON ， 我改成 res = requests.get('https://fapi.binance.com/fapi/v1/ticker/price?symbol='+symbol).json() 就能跑了
60ke 楼主，可以增加一个自由选择多空的按钮嘛
ChaoZhang 支持,看起来和官方的网格有点像
evan 错误 GetOrders: 400: {"code":-1021,"msg":"Timestamp for this request is outside of the recvWindow."}
qyf666 实盘跑了一下发现有2个问题 1.跑ETH合约的时候，当开仓低于1个ETH的时候，策略提示合约价格过小无法开仓 2.出现Futures_Binance Futures OP4:400:{""ode"":-2019""msg"":""Margin is insufficient.""}错误的时候，策略会每0.03秒一次无限挂单，然后持仓量一会儿就变的好多
XMaxZone Python低版本可能不支持f格式化
XMaxZone 是的 思路是一样的
XMaxZone https://www.fmz.com/robot/367613 这个是实盘测试地址
XMaxZone 因为你服务器上没有安装 pandas 包，把这行删了吧，研究环境用到的，在这里忘了删掉 import pandas as pd
qyf666 这个复制实盘不能运行了 错误: Traceback (most recent call last): File "<string>", line 999, in __init_ctx__ File "<string>", line 5, in <module> ModuleNotFoundError: No module named 'pandas'
XMaxZone 已经修复了，再复制下0.0.2v版本，当时测试得时候用的是trx，没考虑到大币种精度问题，有问题欢迎提出来