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双平台对冲 练习用 求交流求指点

Author: perseus, Date: 2017-09-02 15:14:53
Tags: Python Hedge

Python 双平台对冲策略


import time
import numpy as np

def reject_outliers(arr, m=2):
    final_list = [x for x in arr if (x > np.mean(arr) - 2 * np.std(arr))]
    final_list = [x for x in final_list if (x < np.mean(arr) + 2 * np.std(arr))]
    return final_list

def main():
    '''SetErrorFilter("canceled")'''
     
    LogReset()
    LogProfitReset()
    
    global sellTrue 
    global buyTrue 
    sellTrue = 0 
    buyTrue = 0
    initStocks = 0.0
    initBalance = 0.0
    lastTradeTime = 0
    lastTradeErrExchange = ''
    accountsCache = []
    depthCache=[]
    names = []
    buyPrice=0
    sellPrice=0
    dealtransactioned = False

    for e in exchanges:
        names.append(e.GetName())
        account = _C(e.GetAccount)
        initStocks += account.Stocks
        initBalance += account.Balance
        Log("Switch", e.GetLabel(), "To", e.IO("websocket"))
        
    Log("Total Currency:", _N(initBalance), "Total Asset", _N(initStocks), 'Python:', __import__('sys').version)
    while (True):
        LogStatus(_D())
        if not accountsCache:
            accountsCache = [_C(e.GetAccount) for e in exchanges]
        Sleep(LoopInterval)
        depthA = exchanges[0].GetDepth()
        depthCache.append(depthA)
        if not depthA:
            continue
        depthB = exchanges[1].GetDepth()
        depthCache.append(depthB)
        if not depthB:
            continue
        
                
        '''trade part'''
        
        diffA = _N(depthA.Bids[0].Price - depthB.Asks[0].Price, 3)
        diffB = _N(depthB.Bids[0].Price - depthA.Asks[0].Price, 3)
        LogStatus("A平台币",exchanges[0].GetAccount().Stocks,"A平台钱",exchanges[0].GetAccount().Balance,"B平台币",exchanges[1].GetAccount().Stocks,"B平台钱",exchanges[1].GetAccount().Balance)
        
        if diffA > 0:
            buytarget = depthB.Asks[0]
            opAmount=min(depthA.Bids[0].Amount,buytarget.Amount)
            buyAmount=min(opAmount,exchanges[1].GetAccount().Balance/buytarget.Price)
            sellAmount=min(buyAmount,exchanges[0].GetAccount().Stocks)
            
            if diffA > (buyAmount*depthB.Asks[0].Price*0.2/100+sellAmount*depthA.Bids[0].Price*0.2/100)*p:
                Log('buy from B sell at A')
                Log("A平台币",exchanges[0].GetAccount().Stocks,"A平台钱",exchanges[0].GetAccount().Balance,"B平台币",exchanges[1].GetAccount().Stocks,"B平台钱",exchanges[1].GetAccount().Balance)
                tradeAmount=min(buyAmount,sellAmount)     
                buyorder =exchanges[1].Buy(buytarget.Price,tradeAmount)
                sellorder = exchanges[0].Sell(depthA.Bids[0].Price,tradeAmount)
                canceller = 0
                    
                    
                while True:
             
                    
                    
                    if (exchanges[1].GetOrder(buyorder).Status == 2) and (exchanges[0].GetOrder(sellorder).Status == 2):
                        Log('deal transactioned')
                        buyPrice = exchanges[1].GetOrder(buyorder).Price
                        sellPrice = exchanges[0].GetOrder(sellorder).Price
                        LogProfit(exchanges[0].GetOrder(sellorder).Amount*exchanges[0].GetOrder(sellorder).Price-exchanges[1].GetOrder(buyorder).Amount*exchanges[1].GetOrder(buyorder).Price)
                        dealtransactioned = True
                        break
                    elif ((exchanges[1].GetOrder(buyorder).Status == 1) or (exchanges[0].GetOrder(sellorder).Status == 1)):
                        buyPrice = exchanges[1].GetOrder(buyorder).Price
                        sellPrice = exchanges[0].GetOrder(sellorder).Price
                        canceller += 1
                        dealtransactioned = True
                        Sleep(200)
                    elif ((exchanges[1].GetOrder(buyorder).Status == 0) and (exchanges[0].GetOrder(sellorder).Status == 0)):
                        Sleep(200)
                        canceller += 1
                    if canceller == 5:        
                        exchanges[1].CancelOrder(buyorder)
                        exchanges[0].CancelOrder(sellorder)
                        Log('deal cancelled')       
                        break    
                
                    

        elif diffB > 0:
            
            opAmount=min(depthB.Bids[0].Amount,depthA.Asks[0].Amount)
            buyAmount=min(opAmount,exchanges[0].GetAccount().Balance/depthA.Asks[0].Price)
            sellAmount=min(buyAmount,exchanges[1].GetAccount().Stocks)
            canceller = 0
            if diffB > (buyAmount*depthA.Asks[0].Price*0.2/100+sellAmount*depthB.Bids[0].Price*0.2/100)*p:
                Log('buy from A sell at B')
                
                tradeAmount=min(buyAmount,sellAmount)
                buyorder=exchanges[0].Buy(depthA.Asks[0].Price,tradeAmount)
                sellorder=exchanges[1].Sell(depthB.Bids[0].Price,tradeAmount)
                canceller =0
                
                while True:
                       
                    if (exchanges[0].GetOrder(buyorder).Status == 2) and (exchanges[1].GetOrder(sellorder).Status == 2):
                        Log('deal transactioned')
                        buyPrice=exchanges[0].GetOrder(buyorder).Price
                        sellPrice=exchanges[1].GetOrder(sellorder).Price
                        LogProfit(exchanges[1].GetOrder(sellorder).Amount*exchanges[1].GetOrder(sellorder).Price-exchanges[0].GetOrder(buyorder).Amount*exchanges[0].GetOrder(buyorder).Price)
                        dealtransactioned = True
                        break
                    elif ((exchanges[0].GetOrder(buyorder).Status == 1) or (exchanges[1].GetOrder(sellorder).Status == 1)):
                        
                        buyPrice=exchanges[0].GetOrder(buyorder).Price
                        sellPrice=exchanges[1].GetOrder(sellorder).Price
                        canceller += 1
                        dealtransactioned = True
                        Sleep(200)
                    elif ((exchanges[0].GetOrder(buyorder).Status == 0) and (exchanges[1].GetOrder(sellorder).Status == 0)):
                        Sleep(200)
                        canceller += 1
                    if canceller == 5:        
                        exchanges[0].CancelOrder(buyorder)
                        exchanges[1].CancelOrder(sellorder)
                        Log('deal cancelled')       
                        break 
              
        '''balance part'''
        for i in [0,1]:
            if dealtransactioned:
                if(exchanges[i].GetAccount().Stocks > (initStocks/2)* q and exchanges[i].GetAccount().Balance < (initBalance/2)*q):           
                    sellwait = 1
                    Log('ready to sell')
                    loopbreaker = 0
                    while (sellwait):
                        
                        if (_N(depthCache[i].Bids[0].Price,3)> buyPrice*r):
                            sellwait = 0

                            break
                        else:
                            Sleep(1000)
                            Log('sellwait')
                            loopbreaker += 1
                        if loopbreaker == 600:
                            '''break'''
                        
                    

                    sellTrue = 1

                    while(sellTrue):
                        dealprice = depthCache[i].Bids[0].Price
                        Log('insufficient money, sell some')
                        idealamount = initBalance/8
                        availamount = exchanges[i].GetAccount().Stocks/2
                        dealamount = min(idealamount,availamount)
                        balancesell = exchanges[i].Sell(depthCache[i].Bids[0].Price, dealamount)
                        Sleep(200)
                        while( exchanges[i].GetOrder(balancesell).Status not in [1,2] ):
                            exchanges[i].CancelOrder(balancesell)
                            if( dealprice > buyPrice):
                                dealprice -= 1
                            balancesell = exchanges[i].Sell(dealprice,dealamount)
                            Sleep(200)
                        '''buyPrice=[]'''
                        Log("Sell Balance finished")
                        sellTrue=0


                if(exchanges[i].GetAccount().Balance > (initBalance/2)*q and exchanges[i].GetAccount().Stocks < (initStocks/2)*q):
                    buywait = 1
                    loopbreaker = 0
                    while (buywait):
                        
                        if(_N(depthCache[i].Asks[0].Price,3)< sellPrice*r):

                            buywait=0

                            break
                        else:
                            Sleep(1000)
                            Log(_N(depthCache[i].Asks[0].Price,3),sellPrice*r)
                            loopbreaker +=1
                        if loopbreaker == 600:
                            '''break
                        break'''
                            



                    buyTrue = 1
                    while(buyTrue):
                        Log('buyTrue started')
                        dealprice = depthCache[i].Asks[0].Price
                        Log('insufficient stocks, buy some')
                        idealamount = initStocks/8
                        availamount = exchanges[i].GetAccount().Balance/dealprice/2
                        dealamount = min(idealamount,availamount)
                        balancebuy = exchanges[i].Buy(dealprice,dealamount)
                        Sleep(200)
                        while(exchanges[i].GetOrder(balancebuy).Status not in [1,2]):

                            exchanges[i].CancelOrder(balancebuy)
                            if (dealprice < sellPrice):
                                dealprice += 1
                            balancebuy = exchanges[i].Buy(dealprice,dealamount)
                            Sleep(200)
                        '''sellPrice=[]'''
                        Log("Buy Balance finished")
                        buyTrue = 0
                        break
                else:         
                    continue
                break
            else:
                break
        



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