#刚学python，希望指正！共同学习！
import time
import requests
import math
Alpha = 0.001 #指数移动平均的Alpha参数，设置的越大，基准价格跟踪越敏感，最终持仓也会越低，降低了杠杆，但会降低收益，具体需要根据回测结果自己权衡
Update_base_price_time_interval = 60 #多久更新一次基准价格, 单位秒，和Alpha参数相关,Alpha 设置的越小，这个间隔也可以设置的更小
#Stop_loss设置为0.8表示当资金达到低于初始资金的80%时，止损，清空所有仓位，停止策略。
#随着策略运行，Stop_loss可以设置大于1（重启生效），比如从1000赚到1500，Stop_loss设置为1.3，则回撤到1300元止损。不想止损可以把这个参数设置的很小。
#风险是大家都用这种止损会形成踩踏，加大亏损。
#初始资金在状态栏的init_balance字段，注意提现等操作会影响，别不小心止损了。
#如果还是怕黑天鹅事件，比如某个币归0等，可以手动提现出来。
Stop_loss = 0.8
Max_diff = 0.03 #当偏差diff大于0.4时，不继续加空仓, 自行设置
Min_diff = -0.03 #当diff小于-0.3时，不继续加多仓, 自行设置
Version = '0.1.3'
Show = false #默认为false累计收益显示是账户余额,改为true累计收益显示为收益,如果之前是显示的账户余额,你使用LogProfitReset()来清空图表
Funding = 0 #账户初始金额,为0的时候,自动获取,非0为自定义
success = '#5cb85c' #成功颜色
danger = '#ff0000' #危险颜色
warning = '#f0ad4e' #警告颜色
RunTime = {} #运行时间
SelfFee = 0.04 #https:#www.binance.com/cn/fee/futureFee
TotalLong = 0
TotalShort = 0
UpProfit = 0
accountAssets = [] #保存资产
WinRateData = {} #保存所有币种的胜率及开仓次数
if IsVirtual():
Log('不能回测，回测参考 https://www.fmz.com/digest-topic/5294 ')
exit()
if exchange.GetName() != 'Futures_Binance':
Log('只支持币安期货交易所，和现货交易所不同，需要单独添加，名称为Futures_Binance')
exit()
trade_symbols = Trade_symbols.split(',')
symbols = trade_symbols + ['BTC']
index = 1 #指数
update_profit_time = 0
update_base_price_time = int(time.time()*1000)
assets = {}
init_prices = {}
trade_info = {}
def init():
InitRateData()
exchange_info = requests.get('https://fapi.binance.com/fapi/v1/exchangeInfo').json()
if exchange_info is None:
Log('无法连接币安网络，需要海外托管者')
exit()
for i in range(len(exchange_info['symbols'])):
if exchange_info['symbols'][i]['baseAsset'] in symbols:
assets[exchange_info['symbols'][i]['baseAsset']] = {'amount': 0,'hold_price': 0,'value': 0,'bid_price': 0,'ask_price': 0,'btc_price': 0, 'btc_change': 1,'btc_diff': 0,'realised_profit': 0,'margin': 0,'unrealised_profit': 0,'leverage': 20, 'positionInitialMargin': 0, 'liquidationPrice': 0 }
trade_info[exchange_info['symbols'][i]['baseAsset']] = {'minQty': float(exchange_info['symbols'][i]['filters'][1]['minQty']) , 'priceSize': int((math.log10(1.1/float(exchange_info['symbols'][i]['filters'][0]['tickSize'])))),'amountSize': int((math.log10(1.1/float(exchange_info['symbols'][i]['filters'][1]['stepSize']))))}
assets['USDT'] = {
'unrealised_profit': 0,
'margin': 0,
'margin_balance': 0,
'total_balance': 0,
'leverage': 0,
'update_time': 0,
'margin_ratio': 0,
'init_balance': 0,
'stop_balance': 0,
'short_value': 0,
'long_value': 0,
'profit': 0
}
def updateAccount() : #更新账户和持仓
global accountAssets
account = exchange.GetAccount()
pos = exchange.GetPosition()
if account is None or pos is None:
Log('update account time out')
return
accountAssets = account['Info']['assets']
assets['USDT']['update_time'] = int(time.time()*1000)
for i in range(len(trade_symbols)):
assets[trade_symbols[i]]['margin'] = 0
assets[trade_symbols[i]]['unrealised_profit'] = 0
assets[trade_symbols[i]]['hold_price'] = 0
assets[trade_symbols[i]]['amount'] = 0
for j in range(len(account['Info']['positions'])):
if account['Info']['positions'][j]['positionSide'] == 'BOTH':
pair = account['Info']['positions'][j]['symbol']
coin = pair[0:len(pair)-4]
if coin not in trade_symbols:
continue
assets[coin]['margin'] = float(account['Info']['positions'][j]['initialMargin']) + float(account['Info']['positions'][j]['maintMargin'])
assets[coin]['unrealised_profit'] = float(account['Info']['positions'][j]['unrealizedProfit'])
assets[coin]['positionInitialMargin'] = float(account['Info']['positions'][j]['positionInitialMargin'])
assets[coin]['leverage'] = account['Info']['positions'][j]['leverage']
assets['USDT']['margin'] = _N(float(account['Info']['totalInitialMargin']) + float(account['Info']['totalMaintMargin']), 2)
assets['USDT']['margin_balance'] = _N(float(account['Info']['totalMarginBalance']), 2)
assets['USDT']['total_balance'] = _N(float(account['Info']['totalWalletBalance']), 2)
if assets['USDT']['init_balance'] == 0:
if _G('init_balance'):
assets['USDT']['init_balance'] = _N(_G('init_balance'), 2)
else:
assets['USDT']['init_balance'] = assets['USDT']['total_balance']
_G('init_balance', assets['USDT']['init_balance'])
assets['USDT']['profit'] = _N(assets['USDT']['margin_balance'] - assets['USDT']['init_balance'], 2)
assets['USDT']['stop_balance'] = _N(Stop_loss * assets['USDT']['init_balance'], 2)
assets['USDT']['total_balance'] = _N(float(account['Info']['totalWalletBalance']), 2)
assets['USDT']['unrealised_profit'] = _N(float(account['Info']['totalUnrealizedProfit']), 2)
assets['USDT']['leverage'] = _N(assets['USDT']['margin'] / assets['USDT']['total_balance'], 2)
assets['USDT']['margin_ratio'] = float(account['Info']['totalMaintMargin']) / float(account['Info']['totalMarginBalance']) * 100
pos = json.loads(exchange.GetRawJSON())
if len(pos) > 0:
for k in range(len(pos)):
pair = pos[k]['symbol']
coin = pair[0:len(pair)-4]
if coin not in trade_symbols:
continue
if pos[k]['positionSide'] != 'BOTH':
continue
assets[coin]['hold_price'] = float(pos[k]['entryPrice'])
assets[coin]['amount'] = float(pos[k]['positionAmt'])
assets[coin]['unrealised_profit'] = float(pos[k]['unRealizedProfit'])
assets[coin]['liquidationPrice'] = float(pos[k]['liquidationPrice'])
assets[coin]['marginType'] = pos[k]['marginType']
def updateIndex(): #更新指数
global update_base_price_time,index,init_prices,Reset
if _G('init_prices') is None or Reset:
Reset = False
for i in range(len(trade_symbols)):
init_prices[trade_symbols[i]] = (assets[trade_symbols[i]]['ask_price'] + assets[trade_symbols[i]]['bid_price']) / (assets['BTC']['ask_price'] + assets['BTC']['bid_price'])
Log('保存启动时的价格')
_G('init_prices', init_prices)
_G("StartTime", None) #重置开始时间
_G("initialAccount_" + exchange.GetLabel(), None) #重置开始资金
_G('tradeNumber', 0) #重置交易次数
_G('tradeVolume', 0) #重置交易量
_G('buyNumber', 0) #重置做多次数
_G('sellNumber', 0) #重置做空次数
_G('totalProfit', 0) #重置打印次数
_G('profitNumber', 0) #重置盈利次数
else:
init_prices = _G('init_prices')
if (int(time.time()*1000) - update_base_price_time > Update_base_price_time_interval * 1000):
update_base_price_time = int(time.time()*1000)
for i in range(len(trade_symbols)): #更新初始价格
init_prices[trade_symbols[i]] = init_prices[trade_symbols[i]] * (1 - Alpha) + Alpha * (assets[trade_symbols[i]]['ask_price'] + assets[trade_symbols[i]]['bid_price']) / (assets['BTC']['ask_price'] + assets['BTC']['bid_price'])
_G('init_prices', init_prices)
temp = 0
for i in range(len(trade_symbols)):
assets[trade_symbols[i]]['btc_price'] = (assets[trade_symbols[i]]['ask_price'] + assets[trade_symbols[i]]['bid_price']) / (assets['BTC']['ask_price'] + assets['BTC']['bid_price'])
if trade_symbols[i] not in init_prices:
Log('添加新的币种', trade_symbols[i])
init_prices[trade_symbols[i]] = assets[trade_symbols[i]]['btc_price']
_G('init_prices', init_prices)
assets[trade_symbols[i]]['btc_change'] = _N(assets[trade_symbols[i]]['btc_price'] / init_prices[trade_symbols[i]], 4)
temp += assets[trade_symbols[i]]['btc_change']
index = _N(temp / len(trade_symbols), 4)
def updateTick() : #更新行情
try:
ticker = requests.get('https://fapi.binance.com/fapi/v1/ticker/bookTicker').json()
except Exception as e:
Log('get ticker time out:',e)
return
assets['USDT']['short_value'] = 0
assets['USDT']['long_value'] = 0
for i in range(len(ticker)):
pair = ticker[i]['symbol']
coin = pair[0:len(pair)-4]
if coin not in symbols:
continue
assets[coin]['ask_price'] = float(ticker[i]['askPrice'])
assets[coin]['bid_price'] = float(ticker[i]['bidPrice'])
assets[coin]['ask_value'] = _N(assets[coin]['amount'] * assets[coin]['ask_price'], 2)
assets[coin]['bid_value'] = _N(assets[coin]['amount'] * assets[coin]['bid_price'], 2)
if coin not in trade_symbols:
continue
if assets[coin]['amount'] < 0 :
assets['USDT']['short_value'] += abs((assets[coin]['ask_value'] + assets[coin]['bid_value']) / 2)
else:
assets['USDT']['long_value'] += abs((assets[coin]['ask_value'] + assets[coin]['bid_value']) / 2)
assets['USDT']['short_value'] = _N(assets['USDT']['short_value'], 0)
assets['USDT']['long_value'] = _N(assets['USDT']['long_value'], 0)
updateIndex()
for i in range(len(trade_symbols)):
assets[trade_symbols[i]]['btc_diff'] = _N(assets[trade_symbols[i]]['btc_change'] - index, 4)
def trade(symbol, dirction, value) : #交易
if (int(time.time()*1000) - assets['USDT']['update_time'] > 10 * 1000):
Log('更新账户延时，不交易')
else:
price = assets[symbol]['bid_price'] if dirction == 'sell' else assets[symbol]['ask_price']
amount = _N(min(value, Ice_value) / price, trade_info[symbol]['amountSize'])
if amount < trade_info[symbol]['minQty']:
Log(symbol, '合约价值偏离或冰山委托订单的大小设置过小，达不到最小成交, 至少需要: ', _N(trade_info[symbol]['minQty'] * price, 0) + 1)
else:
exchange.IO("currency", symbol + '_' + 'USDT')
exchange.SetContractType('swap')
exchange.SetDirection(dirction)
#f = 'Buy' if dirction == 'buy' else 'Sell'
place_order = getattr(exchange,'Buy' if dirction == 'buy' else 'Sell')
id = place_order(price, amount, symbol)
if id:
exchange.CancelOrder(id) #订单会立即撤销
tradingCounter('tradeVolume', price * amount) #保存交易量
tradingCounter('tradeNumber', 1) #保存交易次数
WinRateData[symbol]['tradeNumber'] += 1
if dirction == 'buy':
tradingCounter('buyNumber', 1)
WinRateData[symbol].buyNumber += 1
else:
tradingCounter('sellNumber', 1)
WinRateData[symbol].sellNumber += 1
_G("WinRateData", WinRateData) #保存各币种的交易数据
return id
def InitRateData():
global WinRateData
if Reset :
_G("WinRateData", None)
if _G("WinRateData"):
WinRateData = _G("WinRateData")
for i in range(len(symbols)):
if symbols[i] not in WinRateData:
WinRateData[symbols[i]] = {'totalProfit': 0, 'profitNumber': 0,'tradeNumber': 0,'buyNumber': 0, 'sellNumber': 0}
#统计次数 #盈利次数 #交易次数 #做多次数 #做空次数
_G("WinRateData", WinRateData)
def RunCommand():
str_cmd = GetCommand()
if str_cmd:
arrCmd = str_cmd.split(':')
symbol = arrCmd[1]
amount = float(arrCmd[2])
if amount == 0:
Log('亲,你还记得大明湖畔的乔碧萝吗?' + danger)
else:
#f = 'Buy' if amount < 0 else 'Sell'
dirction = 'buy' if amount < 0 else 'sell'
exchange.IO("currency", symbol + '_' + 'USDT')
exchange.SetContractType('swap')
exchange.SetDirection(dirction)
place_order = getattr(exchange,'Buy' if dirction == 'buy' else 'Sell')
id = place_order(-1, abs(amount), symbol)
#exchange[f](-1, abs(amount), symbol)
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 RuningTime():
ret = {}
dateBegin = StartTime()
dateEnd = _D()
dateDiff = (time.mktime(time.strptime(dateEnd, '%Y-%m-%d %H:%M:%S')) - time.mktime(time.strptime(dateBegin, '%Y-%m-%d %H:%M:%S'))) * 1000
dayDiff = math.floor(dateDiff / (24 * 3600 * 1000))
leave1 = dateDiff % (24 * 3600 * 1000)
hours = math.floor(leave1 / (3600 * 1000))
leave2 = leave1 % (3600 * 1000)
minutes = math.floor(leave2 / (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 AppendedStatus():
global TotalLong , TotalShort,RunTime,Funding, accountAssets
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", "止损", "总收益", "预计年化", "预计月化", "平均日化"],
'rows': []
}
feeTable = {
'type': 'table',
'title': '交易统计',
'cols': ["策略指数", '交易次数', '做多次数', '做空次数', '预估胜率', '预估成交额', '预估手续费', "未实现盈利", '持仓总值', '做多总值', '做空总值'],
'rows': []
}
runday = RunTime['dayDiff']
if runday == 0:
runday = 1
if Funding == 0:
Funding = float(FirstAccount()['Info']['totalWalletBalance'])
profitColors = danger
totalProfit = assets['USDT']['total_balance'] - Funding #总盈利
if totalProfit > 0:
profitColors = success
dayProfit = totalProfit / runday #天盈利
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(assets['USDT']['stop_balance'], 2)) + danger,
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)) + "% = $" + str(_N(dayProfit, 2)) + (profitColors)
])
vloume = _G('tradeVolume') if _G('tradeVolume') is not None else 0
feeTable['rows'].append([
index, #指数
_G('tradeNumber') if _G('tradeNumber') is not None else 0, #交易次数
_G('buyNumber') if _G('buyNumber') is not None else 0, #做多次数
_G('sellNumber') if _G('sellNumber') is not None else 0, #做空次数
str(_N(_G('profitNumber') / _G('totalProfit') * 100, 2) if _G('totalProfit') > 0 else 0) + '%', #胜率
'$' + str(_N(vloume, 2)) + ' ≈ ฿' + str(_N(vloume / ((assets['BTC']['bid_price'] + assets['BTC']['ask_price']) / 2), 6)), #成交金额
'$' + str(_N(vloume * (SelfFee / 100), 4)), #手续费
'$' + str(_N(assets['USDT']['unrealised_profit'], 2)) + (success if assets['USDT']['unrealised_profit'] >= 0 else danger),
'$' + str(_N(TotalLong + abs(TotalShort), 2)), #持仓总价值
'$' + str(_N(TotalLong, 2)) + success, #做多总值
'$' + str(_N(abs(TotalShort), 2)) + danger, #做空总值
])
assetTable = {
'type': 'table',
'title': '账户资产信息',
'cols': ['编号', '资产名', '起始保证金', '维持保证金', '保证金余额', '最大可提款金额', '挂单起始保证金', '持仓起始保证金', '持仓未实现盈亏', '账户余额'],
'rows': []
}
for i in range(len(accountAssets)):
acc = accountAssets[i]
assetTable['rows'].append([
i + 1,
acc['asset'], acc['initialMargin'], acc['maintMargin'], acc['marginBalance'],
acc['maxWithdrawAmount'], acc['openOrderInitialMargin'], acc['positionInitialMargin'],
acc['unrealizedProfit'], acc['walletBalance']
])
indexTable = {
'type': 'table',
'title': '币指数信息',
'cols': ['编号', '币种信息', '当前价格', 'BTC计价', 'BTC计价变化(%)', '偏离平均', '交易次数', '做空次数', '做多次数', '预估胜率'],
'rows': []
}
for i in range(len(symbols)) :
price = _N((assets[symbols[i]]['ask_price'] + assets[symbols[i]]['bid_price']) / 2, trade_info[symbols[i]]['priceSize'])
if symbols[i] not in symbols:
indexTable['rows'].append([i + 1, symbols[i], price, assets[symbols[i]]['btc_price'], _N((1 - assets[symbols[i]]['btc_change']) * 100), assets[symbols[i]]['btc_diff']], 0, 0, 0, '0%')
else:
rateData = _G("WinRateData")
winRate = _N(rateData[symbols[i]]['profitNumber'] / rateData[symbols[i]]['totalProfit'] * 100, 2) if rateData[symbols[i]]['totalProfit'] > 0 else 0
indexTable['rows'].append([
(i + 1),
symbols[i] + warning,
price,
_N(assets[symbols[i]]['btc_price'], 6),
_N((1 - assets[symbols[i]]['btc_change']) * 100),
str(assets[symbols[i]]['btc_diff']) + (success if assets[symbols[i]]['btc_diff'] >= 0 else danger),
rateData[symbols[i]]['tradeNumber'],
rateData[symbols[i]]['sellNumber'],
rateData[symbols[i]]['buyNumber'],
(str(winRate) if rateData[symbols[i]]['profitNumber'] > 0 and rateData[symbols[i]]['totalProfit'] > 0 else '0') + '%' + (success if winRate >= 50 else danger), #胜率
])
retData = {}
retData['upTable'] = RunTime['str'] + '\n' + "最后更新: " + _D() + '\n' + 'Version:' + Version + '\n' + '`' + json.dumps([accountTable, assetTable]) + '`\n' + '`' + json.dumps(feeTable) + '`\n'
retData['indexTable'] = indexTable
return retData
def WinRate():
global WinRateData
for i in range(len(symbols)) :
unrealised = assets[symbols[i]]['unrealised_profit']
WinRateData[symbols[i]]['totalProfit'] += 1
if unrealised != 0:
if unrealised > 0:
WinRateData[symbols[i]]['profitNumber'] += 1
_G("WinRateData", WinRateData)
def tradingCounter(key, newValue):
value = _G(key)
if value is None:
_G(key, newValue)
else:
_G(key, value + newValue)
def updateStatus() : #状态栏信息
global TotalLong , TotalShort,Funding,update_profit_time,UpProfit
TotalLong = 0
TotalShort = 0
table = {
'type': 'table',
'title': '交易对信息',
'cols': ['编号', '[模式][倍数]', '币种信息', '开仓方向', '开仓数量', '持仓价格', '当前价格', '强平价格', '强平差价', '持仓价值', '保证金', '未实现盈亏', '投降'],
'rows': []
}
for i in range(len(symbols)):
direction = '空仓'
margin = direction
if assets[symbols[i]]['amount'] != 0:
direction = '做多' + success if assets[symbols[i]]['amount'] > 0 else '做空' + danger
margin = '全仓' if assets[symbols[i]]['marginType'] == 'cross' else '逐仓'
price = _N((assets[symbols[i]]['ask_price'] + assets[symbols[i]]['bid_price']) / 2, trade_info[symbols[i]]['priceSize'])
value = _N((assets[symbols[i]]['ask_value'] + assets[symbols[i]]['bid_value']) / 2, 2)
if value != 0:
if value > 0:
TotalLong += value
else:
TotalShort += value
# rateData = _G("WinRateData")
infoList = [
i + 1,
"[" + margin + "] [" + str(assets[symbols[i]]['leverage']) + 'x] ',
symbols[i],
direction,
abs(assets[symbols[i]]['amount']),
assets[symbols[i]]['hold_price'],
price,
assets[symbols[i]]['liquidationPrice'], #强平价格
'0' if assets[symbols[i]]['liquidationPrice'] == 0 else '$' + str(_N(assets[symbols[i]]['liquidationPrice'] - price, 5)) + ' ≈ ' + str(_N(assets[symbols[i]]['liquidationPrice'] / price * 100, 2)) + '%' + warning, #强平价格
abs(value),
_N(assets[symbols[i]]['positionInitialMargin'], 2),
# assets[symbols[i]]['btc_diff'],
str(_N(assets[symbols[i]]['unrealised_profit'], 3)) + (success if assets[symbols[i]]['unrealised_profit'] >= 0 else danger),
# (rateData[symbols[i]]['profit']Number > 0 and rateData[symbols[i]].totalProfit > 0 ? _N(rateData[symbols[i]]['profit']Number / rateData[symbols[i]].totalProfit * 100, 2) : '0') + '%', #胜率
{
'type': 'button',
'cmd': '说好的没有撤退可言呢？？?:' + symbols[i] + ':' + str(assets[symbols[i]]['amount']) + ':',
'name': symbols[i] + ' 投降'
}
]
table['rows'].append(infoList)
#del assets['USDT']['update_time'] #时间戳没什么用,不要了
logString = json.dumps(assets['USDT']) + '\n'
StatusData = AppendedStatus()
LogStatus(StatusData['upTable'] + '`' + json.dumps([table, StatusData['indexTable']]) + '`\n' + logString)
if int(time.time()*1000) - update_profit_time > Log_profit_interval * 1000:
balance = assets['USDT']['margin_balance']
if Show:
balance = assets['USDT']['margin_balance'] - Funding
LogProfit(_N(balance, 3), '&')
update_profit_time = int(time.time()*1000)
if UpProfit != 0 and (_N(balance, 0) != UpProfit): #第一次不计算,并且小数点面的不进行胜率计算
tradingCounter("totalProfit", 1) #统计打印次数, 胜率=盈利次数/打印次数*100
if _N(balance, 0) > UpProfit:
tradingCounter('profitNumber', 1) #盈利次数
WinRate()
UpProfit = _N(balance, 0)
def stopLoss() : #止损函数
while True:
if assets['USDT']['margin_balance'] < Stop_loss * assets['USDT']['init_balance'] and assets['USDT']['init_balance'] > 0:
Log('触发止损，当前资金：', assets['USDT']['margin_balance'], '初始资金：', assets['USDT']['init_balance'])
Ice_value = 200 #止损的快一些，可修改
updateAccount()
updateTick()
trading = False #是否正在交易
for i in range(len(trade_symbols)):
symbol = trade_symbols[i]
if assets[symbol]['ask_price'] == 0:
continue
if assets[symbol]['bid_value'] >= trade_info[symbol]['minQty'] * assets[symbol]['bid_price']:
trade(symbol, 'sell', assets[symbol]['bid_value'])
trading = True
if assets[symbol]['ask_value'] <= -trade_info[symbol]['minQty'] * assets[symbol]['ask_price']:
trade(symbol, 'buy', -assets[symbol]['ask_value'])
trading = True
Sleep(1000)
if not trading :
Log('止损结束,如果需要重新运行策略，需要调低止损')
exit()
else : #不用止损
return None
def onTick() : #策略逻辑部分
for i in range(len(trade_symbols)) :
symbol = trade_symbols[i]
if assets[symbol]['ask_price'] == 0:
continue
aim_value = -Trade_value * _N(assets[symbol]['btc_diff'] / 0.01, 3)
if aim_value - assets[symbol]['ask_value'] >= Adjust_value and assets[symbol]['btc_diff'] > Min_diff and assets['USDT']['long_value'] - assets['USDT']['short_value'] <= 1.1 * Trade_value:
Log('做多',symbol,' aim_value:',aim_value,' 偏离平均:',assets[symbol]['btc_diff'])
trade(symbol, 'buy', aim_value - assets[symbol]['ask_value'])
if aim_value - assets[symbol]['bid_value'] <= -Adjust_value and assets[symbol]['btc_diff'] < Max_diff and assets['USDT']['short_value'] - assets['USDT']['long_value'] <= 1.1 * Trade_value:
Log('做空',symbol,' aim_value:',aim_value,' 偏离平均:',assets[symbol]['btc_diff'])
trade(symbol, 'sell', -(aim_value - assets[symbol]['bid_value']))
def main():
global RunTime
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|reused|Unknown")
while True:
RunTime = RuningTime()
RunCommand() #捕获交互命令
updateAccount() #更新账户和持仓
updateTick() #行情
stopLoss() #止损
onTick() #策略逻辑部分
updateStatus() #输出状态栏信息
Sleep(Interval * 1000)
- ¿ Qué?¿Es una estrategia que requiere un modelo de tenencia bidireccional?
Zhiwei 1992¡Qué fuerte!