基本格子取引戦略の実現
このバージョンは,現在では最適ではありませんが,私は現在,BianonのWebSocket版を使っています. 開発者向けのバージョンに変更します. 開発者向けのバージョンに変更します.
'''backtest
start: 2021-08-01 00:00:00
end: 2021-09-01 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Binance","currency":"BTC_USDT","balance":1000000,"stocks":0,"fee":[0.06,0.075]}]
args: [["lower_price",30000],["upper_price",50000],["grid_num",200],["trading_per_grid",0.1]]
'''
grid = dict()
interval = 0
class GridItem:
def __init__(self, order_id, status, price):
self.order_id = order_id
self.status = status # -1：此点为空白点; -2：此点未下过单
self.side = 0 # 1：买入；2：卖出；0：未知
self.price = price
def create_grid(ticker_price):
global grid
global interval
exchange.SetCurrency(trading_pair)
exchange.SetPrecision(price_precision, amount_precision)
interval = _N((upper_price - lower_price) / grid_num, price_precision)
grid[lower_price] = GridItem(-1, -2, lower_price)
grid[upper_price] = GridItem(-1, -2, upper_price)
for i in range(1, grid_num):
price = lower_price + interval * i
grid[price] = GridItem(-1, -2, price)
buy_stocks = (grid_num - int((ticker_price - lower_price) / interval) - 1) * trading_per_grid
buy_2_sell(buy_stocks)
def buy_2_sell(buy_stocks):
while True:
account = exchange.GetAccount()
stocks = _N(account['Stocks'], amount_precision)
if stocks < buy_stocks:
depth = exchange.GetDepth()
price = depth['Asks'][0]['Price']
vol = _N(price * trading_per_grid, price_precision)
min_vol = 1.0 / (10 ** price_precision)
exchange.Buy(-1, vol if vol > min_vol else min_vol)
else:
break
Sleep(1000)
def set_blank(price):
grid[price].order_id = -1
grid[price].status = -1
grid[price].side = 0
def update_order():
last_blank_price = -1
close_price_list = set()
for grid_item in grid.values():
if grid_item.status == -1:
last_blank_price = grid_item.price
elif grid_item.status == -2:
close_price_list.add(grid_item.price)
else:
order = exchange.GetOrder(grid_item.order_id)
grid_item.status = order["Status"]
if grid_item.status == 1:
close_price_list.add(grid_item.price)
return close_price_list, last_blank_price
def remove_blank(close_price_list, last_blank_price):
if last_blank_price != -1:
close_price_list.discard(last_blank_price)
def set_left_blank(close_price_list, left_side_grid, last_blank_price):
set_blank(left_side_grid)
close_price_list.discard(left_side_grid)
if last_blank_price != -1:
close_price_list.add(last_blank_price)
def set_right_blank(close_price_list, right_side_grid, last_blank_price):
set_blank(right_side_grid)
close_price_list.discard(right_side_grid)
if last_blank_price != -1:
close_price_list.add(last_blank_price)
def trace():
close_price_list, last_blank_price = update_order()
has_buy_order = False
for price in close_price_list:
if grid[price].side == 1:
has_buy_order = True
break
if has_buy_order:
ticker_price = min(close_price_list) - interval / 2.0
else:
ticker = exchange.GetTicker()
ticker_price = ticker['Last']
if not grid:
create_grid(ticker_price)
left_side_grid = int((ticker_price - lower_price) / interval) * interval + lower_price
right_side_grid = left_side_grid + interval
# 设置空白点
# 当前价格左侧未成交，当前价格右侧未成交，不存在
# 当前价格左侧空白点，当前价格右侧空白点，不存在
# 左侧和右侧任何一个为空白点，不需要更新空白点
if left_side_grid >= upper_price or right_side_grid <= lower_price:
# 在区间外，不需要空白点
remove_blank(close_price_list, last_blank_price)
elif grid[left_side_grid].status == 0 and grid[right_side_grid].status == 1:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
elif grid[left_side_grid].status == 1 and grid[right_side_grid].status == 0:
set_left_blank(close_price_list, left_side_grid, last_blank_price)
elif grid[left_side_grid].status == 1 and grid[right_side_grid].status == 1:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
elif grid[left_side_grid].status == -2 and grid[right_side_grid].status == -2:
set_right_blank(close_price_list, right_side_grid, last_blank_price)
# 重新下单
for price in close_price_list:
if price <= ticker_price:
order_id = exchange.Buy(price, trading_per_grid)
side = 1
else:
buy_2_sell(trading_per_grid)
order_id = exchange.Sell(price, trading_per_grid)
side = 2
if order_id:
grid[price].order_id = order_id
grid[price].status = 0
grid[price].side = side
def main():
while True:
trace()
Sleep(1000)
夢は8桁の数字でお兄さん,どうしてうまくいかないの?
タンタン2020これはカスタマイズできますか?
シッシフェン〇○○ゼロディビジョンエラー: フローットディビジョン by zero 格子を6に設定するといいのですが,なぜ20に設定すると間違えるのでしょうか?
xh5888これはOKEXで使えますか?
xl9211ユーザーに質問がある場合は,以下のコメントでご相談ください.
シッシフェンありがとうございました.