Stratégie de couverture bi-plateforme Python
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
quant_lxdComment vous faire des amis?
Je suis un petit garçon.Les disques virtuels doivent supporter le traitement des erreurs.
Je vous en prie.Pourriez-vous ajouter des annotations pour faciliter l'apprentissage et l'échange?
perséeS'il vous plaît ne pas utiliser cette tactique sur le disque réel. Je suis un nouveau programmeur, juste pour l'apprentissage de l'échange, demandez des conseils.
perséeBon! Je vais ajouter des commentaires lentement, merci pour votre attention, et nous allons progresser ensemble.