Implementation of the basic grid trading strategy
This isn't the best version at the moment, I'm currently running the websocket version of Binance. I'll change the websocket version of Binance to a version that works on the inventor if you need it.
'''backtest
start: 2021-08-01 00:00:00
end: 2021-09-01 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Binance","currency":"BTC_USDT","balance":1000000,"stocks":0,"fee":[0.06,0.075]}]
args: [["lower_price",30000],["upper_price",50000],["grid_num",200],["trading_per_grid",0.1]]
'''
grid = dict()
interval = 0
class GridItem:
def __init__(self, order_id, status, price):
self.order_id = order_id
self.status = status # -1：此点为空白点; -2：此点未下过单
self.side = 0 # 1：买入；2：卖出；0：未知
self.price = price
def create_grid(ticker_price):
global grid
global interval
exchange.SetCurrency(trading_pair)
exchange.SetPrecision(price_precision, amount_precision)
interval = _N((upper_price - lower_price) / grid_num, price_precision)
grid[lower_price] = GridItem(-1, -2, lower_price)
grid[upper_price] = GridItem(-1, -2, upper_price)
for i in range(1, grid_num):
price = lower_price + interval * i
grid[price] = GridItem(-1, -2, price)
buy_stocks = (grid_num - int((ticker_price - lower_price) / interval) - 1) * trading_per_grid
buy_2_sell(buy_stocks)
def buy_2_sell(buy_stocks):
while True:
account = exchange.GetAccount()
stocks = _N(account['Stocks'], amount_precision)
if stocks < buy_stocks:
depth = exchange.GetDepth()
price = depth['Asks'][0]['Price']
vol = _N(price * trading_per_grid, price_precision)
min_vol = 1.0 / (10 ** price_precision)
exchange.Buy(-1, vol if vol > min_vol else min_vol)
else:
break
Sleep(1000)
def set_blank(price):
grid[price].order_id = -1
grid[price].status = -1
grid[price].side = 0
def update_order():
last_blank_price = -1
close_price_list = set()
for grid_item in grid.values():
if grid_item.status == -1:
last_blank_price = grid_item.price
elif grid_item.status == -2:
close_price_list.add(grid_item.price)
else:
order = exchange.GetOrder(grid_item.order_id)
grid_item.status = order["Status"]
if grid_item.status == 1:
close_price_list.add(grid_item.price)
return close_price_list, last_blank_price
def remove_blank(close_price_list, last_blank_price):
if last_blank_price != -1:
close_price_list.discard(last_blank_price)
def set_left_blank(close_price_list, left_side_grid, last_blank_price):
set_blank(left_side_grid)
close_price_list.discard(left_side_grid)
if last_blank_price != -1:
close_price_list.add(last_blank_price)
def set_right_blank(close_price_list, right_side_grid, last_blank_price):
set_blank(right_side_grid)
close_price_list.discard(right_side_grid)
if last_blank_price != -1:
close_price_list.add(last_blank_price)
def trace():
close_price_list, last_blank_price = update_order()
has_buy_order = False
for price in close_price_list:
if grid[price].side == 1:
has_buy_order = True
break
if has_buy_order:
ticker_price = min(close_price_list) - interval / 2.0
else:
ticker = exchange.GetTicker()
ticker_price = ticker['Last']
if not grid:
create_grid(ticker_price)
left_side_grid = int((ticker_price - lower_price) / interval) * interval + lower_price
right_side_grid = left_side_grid + interval
# 设置空白点
# 当前价格左侧未成交，当前价格右侧未成交，不存在
# 当前价格左侧空白点，当前价格右侧空白点，不存在
# 左侧和右侧任何一个为空白点，不需要更新空白点
if left_side_grid >= upper_price or right_side_grid <= lower_price:
# 在区间外，不需要空白点
remove_blank(close_price_list, last_blank_price)
elif grid[left_side_grid].status == 0 and grid[right_side_grid].status == 1:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
elif grid[left_side_grid].status == 1 and grid[right_side_grid].status == 0:
set_left_blank(close_price_list, left_side_grid, last_blank_price)
elif grid[left_side_grid].status == 1 and grid[right_side_grid].status == 1:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
elif grid[left_side_grid].status == -2 and grid[right_side_grid].status == -2:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
# 重新下单
for price in close_price_list:
if price <= ticker_price:
order_id = exchange.Buy(price, trading_per_grid)
side = 1
else:
buy_2_sell(trading_per_grid)
order_id = exchange.Sell(price, trading_per_grid)
side = 2
if order_id:
grid[price].order_id = order_id
grid[price].status = 0
grid[price].side = side
def main():
while True:
trace()
Sleep(1000)
Dreams are worth eight figures.Dude, how can this not work?
tangtang2020Can this be customized?
SissiFengZeroDivisionError: float division by zero If the grid is set to 6, why is it wrong to set it to 20?
xh5888Can this be used on the okex exchange?
xl9211If you have any questions after using it, please give me your feedback below.
SissiFengYes, you can.