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: breaktemplate: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6