元のコードは現貨版です:https://www.fmz.com/bbs-topic/4908
契約版として変更されました.
微信:himandy 微信:himandy
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'''backtest
start: 2021-05-01 00:00:00
end: 2021-05-29 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
'''
# 原版代码是现货版：
# https://www.fmz.com/bbs-topic/4908
# 现在改为合约版。
# ———— 韬奋量化（微信：himandy）
# 好的交易平台可以让你的策略扶摇直上九万里，通过链接注册可获得两个月VIP5的手续费率优惠：
# （现货：挂单0%，吃单0.07%。合约：挂单0%，吃单0.04%）
# https://www.kucoin.cc/ucenter/signup?rcode=1wxJ2fQ&lang=zh_CN&utmsource=VIP_TF
import time
basePrice = -1
ratio = 0.05
acc = _C(exchange.GetAccount)
pos = _C(exchange.GetPosition)
lastCancelAll = 0
minStocks = 0.01
def CancelAll():
while True :
orders = _C(exchange.GetOrders)
for i in range(len(orders)) :
exchange.CancelOrder(orders[i]["Id"], orders[i])
if len(orders) == 0 :
break
Sleep(1000)
def main():
global basePrice, acc, lastCancelAll, leverage, StopGain, StopLoss
#Log(StopLoss * -1)
exchange.SetContractType("swap")
exchange.SetMarginLevel(leverage)
exchange.SetPrecision(2, 3)
pos = _C(exchange.GetPosition)
while True:
ticker = _C(exchange.GetTicker)
if basePrice == -1 :
basePrice = ticker.Last
if ticker.Last - basePrice > 0 and (ticker.Last - basePrice) / basePrice > ratio :
acc = _C(exchange.GetAccount)
if acc.Balance * ratio * leverage / ticker.Last > minStocks and len(pos) == 0:
exchange.SetDirection("buy")
exchange.Buy(_N(ticker.Last, 2), _N(acc.Balance * ratio / ticker.Last, 3))
basePrice = ticker.Last
ts = time.time()
if ts - lastCancelAll > 60 * 5 :
CancelAll()
lastCancelAll = ts
pos = _C(exchange.GetPosition)
if ticker.Last - basePrice < 0 and (basePrice - ticker.Last) / basePrice > ratio :
acc = _C(exchange.GetAccount)
pos = _C(exchange.GetPosition)
if acc.Balance * ratio * leverage / ticker.Last > minStocks and len(pos) == 0:
exchange.SetDirection("sell")
exchange.Sell(_N(ticker.Last, 2), _N(acc.Balance * ratio / ticker.Last, 3))
basePrice = ticker.Last
ts = time.time()
if ts - lastCancelAll > 60 * 5 :
CancelAll()
lastCancelAll = ts
pos = _C(exchange.GetPosition)
if len(pos) == 1 :
#Log(pos)
if pos[0]["Profit"] / pos[0]["Margin"] > StopGain :
if pos[0]["Type"] == 0 :
exchange.SetDirection("closebuy")
exchange.Sell(-1, pos[0]["Amount"])
pos = _C(exchange.GetPosition)
elif pos[0]["Type"] == 1 :
exchange.SetDirection("closesell")
exchange.Buy(-1, pos[0]["Amount"])
pos = _C(exchange.GetPosition)
elif pos[0]["Profit"] / pos[0]["Margin"] < StopLoss * -1 :
if pos[0]["Type"] == 0 :
exchange.SetDirection("closebuy")
exchange.Sell(-1, pos[0]["Amount"])
pos = _C(exchange.GetPosition)
elif pos[0]["Type"] == 1 :
exchange.SetDirection("closesell")
exchange.Buy(-1, pos[0]["Amount"])
pos = _C(exchange.GetPosition)
LogStatus(_D(), "\n", "行情信息:", ticker, "\n", "账户信息:", acc)
if exchange.GetName() == "Futures_Binance" and IsVirtual() == false :
LogProfit(_N(float(acc["Info"]["totalWalletBalance"], 4)))
Sleep(500)
77924998外国語は外国語ではない.
努力して量化簡単です