インデックスバランス戦略 Python版
import json
import time
import requests
import math
account = 0
updateProfitTime = 0
tradeInfo = {}
accountAssets = {}
ticker = {}
runtimeData = {}
Funding = 0
sbs = list(symbols.split(','))
pcts = list(percent.split(','))
for i in range(len(pcts)):
pcts[i] = float(pcts[i])
p_dic = {
'ETH':[2,4], 'BTC':[2,5], 'XRP':[4,0], 'TRX':[5,1], 'LTC':[1,3], 'BNB':[1,3]
} #价格、数量精度，按需求添加
SuccessColor = '#5cb85c' #成功颜色
DangerColor = '#ff0000' #危险颜色
WrningColor = '#f0ad4e' #警告颜色
if IsVirtual():
Log('不能进行回测')
exit()
if exchange.GetName() != 'Binance':
Log('只支持币安现货交易所！')
exit()
def init():
exchangeInfo = requests.get('https://api.binance.com/api/v1/exchangeInfo').json()
if exchangeInfo is None:
Log('无法链接币安网络，需要海外托管者！！！')
exit()
for x in range(len(exchangeInfo['symbols'])):
for symbol in sbs:
if exchangeInfo['symbols'][x]['symbol'] == symbol+'USDT':
tradeInfo[symbol] = {'minQty': float(exchangeInfo['symbols'][x]['filters'][2]['minQty']) ,
'priceSize': int((math.log10(1.1/float(exchangeInfo['symbols'][x]['filters'][0]['tickSize'])))),'amountSize': int((math.log10(1.1/float(exchangeInfo['symbols'][x]['filters'][2]['stepSize']))))}
# Log('tradeInfo:',tradeInfo)
def UpdateAccount():
global accountAssets,Funding,account
acc = exchange.GetAccount()
if acc is None:
Log('更新账户超时！！！')
return
if _G('Funding') is None:
Funding = acc['Balance']
Log('Funding:',Funding)
_G('Funding',Funding)
else:
Funding = _G('Funding')
if init_fund >0:
Funding = init_fund
for x in range(len(acc['Info']['balances'])):
for symbol in sbs:
# Log(account['Info']['balances'])
if acc['Info']['balances'][x]['asset'] == symbol:
accountAssets[symbol] = acc['Info']['balances'][x]
accountAssets[symbol]['amount'] = float(accountAssets[symbol]['free']) + float(accountAssets[symbol]['locked'])
if acc['Info']['balances'][x]['asset'] == 'USDT':
# Log('USDT:',acc['Info']['balances'][x])
account = float(acc['Info']['balances'][x]['free']) + float(acc['Info']['balances'][x]['locked'])
# Log('accountAssets:',accountAssets)
def UpdateTick():
global ticker,account
try:
res = requests.get('https://api.binance.com/api/v3/ticker/bookTicker').json()
except:
Log('更新行情超时')
return
for x in range(len(res)):
for symbol in sbs:
if res[x]['symbol'] == symbol + 'USDT':
# Log('res[x]:',res[x])
ticker[symbol] = res[x]
ticker[symbol]['price'] = (float(ticker[symbol]['askPrice']) + float(ticker[symbol]['bidPrice'])) / 2
ticker[symbol]['value'] = accountAssets[symbol]['amount'] * ticker[symbol]['price']
# Log('ticker:',ticker)
# account = 0
for symbol in sbs:
account += _N(ticker[symbol]['value'],4)
def UpdateStatus():
global updateProfitTime
accountTable = {
'type': "table",
'title': "盈利统计",
'cols': ["运行天数", "初始资金", "现有资金", "总收益", "预计年化", "预计月化", "平均日化"],
'rows': []
}
table = {
'type': 'table',
'title': '交易对信息',
'cols': ['编号', '币种信息', '占比%', '开仓数量', '当前价格', '持仓价值'],
'rows': []
}
totalProfit = account - Funding
profitColors = DangerColor
runday = runtimeData['dayDiff']
if runday == 0:
runday = 1
if totalProfit > 0:
profitColors = SuccessColor
dayProfit = totalProfit / runday #平均日收益
dayRate = totalProfit / Funding * 100
accountTable['rows'].append([
runday,
Funding,
account,
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)
])
i=1
for symbol in sbs:
table['rows'].append([
i,
symbol,
str(_N(ticker[symbol]['value'] / account * 100, 4 )),
str(_N(accountAssets[symbol]['amount'],tradeInfo[symbol]['amountSize'])),
str(_N(ticker[symbol]['price'],tradeInfo[symbol]['priceSize'])),
str(_N(ticker[symbol]['value'],4))
])
i += 1
retData = runtimeData['str'] + '\n' + "最后更新: " + _D() + '\n' + '本策略改编自XMaxZone大佬的现货平衡策略-0.0.1v，原策略地址：https://www.fmz.com/strategy/322357' + '\n'
LogStatus(retData+ '`' + json.dumps(accountTable) + '`\n'+ '`' + json.dumps(table) + '`\n')
if int(time.time()*1000) - updateProfitTime > LogInterval * 1000:
balance = account - Funding
LogProfit(_N(balance, 3))
updateProfitTime = int(time.time()*1000)
def Process():
# Log('实时资金：',account)
for i in range(len(sbs)):
pct = float(ticker[sbs[i]]['value']) / float(account)
# Log(symbol,'amount:',amount,1 / len(sbs))
if pct > (pcts[i] + delta):
# Log('SELL',pct)
amount = _N( ( (pct-pcts[i] ) * account / float(ticker[sbs[i]]['price'])),tradeInfo[sbs[i]]['amountSize'])
if amount >= tradeInfo[sbs[i]]['minQty'] and float(amount)*float(ticker[sbs[i]]['value']) > 10:
Log(sbs[i] ,'Funding:',Funding,'value:',ticker[sbs[i]]['value'])
# Trade(sbs[i],'SELL',_N(float(ticker[sbs[i]]['askPrice']), int(tradeInfo[sbs[i]]['priceSize'])), amount)
exchange.SetCurrency(sbs[i]+'_USDT')
exchange.SetPrecision(p_dic[sbs[i]][0], p_dic[sbs[i]][1])
exchange.Sell(float(ticker[sbs[i]]['bidPrice'])*(1-slip), amount)
if pct < (pcts[i] - delta):
# Log('Buy', pct)
amount = _N( ( (pcts[i]-pct ) * account / float(ticker[sbs[i]]['price'])),tradeInfo[sbs[i]]['amountSize'])
if amount >= tradeInfo[sbs[i]]['minQty'] and float(amount)*float(ticker[sbs[i]]['value']) > 10:
Log(sbs[i] ,'Funding:',Funding,'value:',ticker[sbs[i]]['value'])
# Trade(sbs[i],'BUY',_N(float(ticker[sbs[i]]['bidPrice']), tradeInfo[sbs[i]]['priceSize']), amount)
exchange.SetCurrency(sbs[i]+'_USDT')
exchange.SetPrecision(p_dic[sbs[i]][0], p_dic[sbs[i]][1])
exchange.Buy(float(ticker[sbs[i]]['bidPrice'])*(1+slip), amount)
def StartTime():
StartTime = _G('StartTime')
if StartTime is None:
StartTime = _D()
_G('StartTime',StartTime)
return StartTime
def RunTime():
ret = {}
startTime = StartTime()
nowTime = _D()
dateDiff = (time.mktime(time.strptime(nowTime,'%Y-%m-%d %H:%M:%S')) - time.mktime(time.strptime(startTime,'%Y-%m-%d %H:%M:%S')) ) * 1000 #计算时间差
dayDiff = math.floor(dateDiff / (24 * 3600 * 1000))
lever1 = dateDiff % (24 * 3600 * 1000 )
hours = math.floor(lever1 / (3600 * 1000))
lever2 = lever1 % (3600 * 1000)
minutes = math.floor(lever2 / (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 main():
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|reused|Unknown")
global runtimeData
while True:
runtimeData = RunTime()
#更新账户和持仓
UpdateAccount()
#更新行情
UpdateTick()
#策略主逻辑
Process()
#更新图表
UpdateStatus()
#休眠时间
Sleep(Interval * 1000)
makebit-Manager を使ってこの戦略は,実際に現場で示した Bitcoinの本位バランス格子で使えますか?
GCCこのアイデアは,私がしばらく走っていたものですが,今はバグがあるようです.