पायथन द्वि-प्लेटफ़ॉर्म हेजिंग रणनीति
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_lxdकैसे आप एक दोस्त के रूप में जोड़ें?
भगवान का लड़कावास्तविक डिस्क के लिए, त्रुटि दर को जोड़ना आवश्यक है।
डॉ. लियूक्या यह आसान सीखने और संवाद करने के लिए टिप्पणी के साथ है?
पर्सियसकृपया इस रणनीति का उपयोग वास्तविक डिस्क पर न करें! मैं एक प्रोग्रामर हूं, केवल सीखने के लिए, कृपया मार्गदर्शन करें!
पर्सियसअच्छा! मैं धीरे-धीरे टिप्पणियों को जोड़ूंगा, आपके ध्यान के लिए धन्यवाद, हम एक साथ प्रगति करेंगे।