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)
The InfiniteCan you explain in detail the logic of the next 250 or 251 lines of buy and sell prices, although the simple view is that the more positions the lower the buy price, but the internal logic is half the day.
Loyal to L.The 185 lines seem to be in error, and I don't understand Python very well. I changed it to res = requests.get (('https://fapi.binance.com/fapi/v1/ticker/price?symbol='+symbol).json))) and it works.
60keCan you add a free-to-play button, please?
ChaoZhangSupport, looks a bit like the official grid
evanError GetOrders: 400: {"code":-1021, "msg:"Timestamp for this request is outside of the recvWindow".}
qyf666I've run it through and found two problems. 1. When running an ETH contract, the strategy suggests that the price of the contract is too low to open a position when it is less than 1 ETH 2. When a Futures_Binance Futures OP4:400:{""ode"":-2019""msg"":""Margin is insufficient.""} error occurs, the strategy will hang an unlimited order every 0.03 seconds, and then the holding volume will change a lot in a moment.
XMaxZonePython low versions may not support f formatting
XMaxZoneYes, I think the same.
XMaxZonehttps://www.fmz.com/robot/367613 This is the address of the real disk test
XMaxZoneSince you don't have the pandas package installed on your server, please delete this line, used in the research environment, here you forgot to delete import pandas as pd
qyf666This replica hard drive is not working.
Error: Traceback (most recent call last): File "
XMaxZoneI've repaired and replicated the 0.0.2v version, but when I tested it, I used trx, without taking into account the big currency accuracy issues, and I'm happy to mention that there are problems.