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O Ghosts Trends está seguindo estratégias do banco de dados
Autora:
Pele velha, Data: 15 de maio de 2022 às 21:33:55
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#!/usr/bin/python
# -*- coding: utf-8 -*-
import time,datetime
import json
import math
import urllib.request
RECORDS = None
FLAGE = 0
#账户信息表格化，用于展示在状态信息上
def TableAccountService(account):
clos = [] #表头
clos.append("初始余额")
clos.append("钱包余额")
clos.append("保证金余额")
clos.append("可用余额")
clos.append("已用保证金")
clos.append("当前杠杆")
clos.append("总收益(收益率)")
initialTotalMarginBalance = "$" + str(_G("initialTotalMarginBalance")) #初始余额
totalWalletBalance = "$" + str(account.totalWalletBalance) #钱包余额
totalMarginBalance = "$" + str(account.totalMarginBalance) #保证金余额
availableBalance = "$" + str(account.availableBalance) #可用余额
totalPositionInitialMargin = account.totalPositionInitialMargin#持仓保证金
totalOpenOrderInitialMargin = account.totalOpenOrderInitialMargin#当前挂单保证金
#_C(FilterHandlService)
drawOut = _N(_G("drawOut"),2) #已划转资金
if account.totalMarginBalance==0 :
marginRate = "0"
lever = 0
Revenue = "$0"
else :
marginRate = (totalPositionInitialMargin+totalOpenOrderInitialMargin)/account.totalMarginBalance
marginRate = "("+str(_N(marginRate,2)) + ")"#保证金率
leverage = _G("leverage")#杠杆
lever = _N(totalPositionInitialMargin*leverage/account.totalMarginBalance,2)#当前杠杆
drawIn = _G("drawIn")
drawOut = _G("drawOut")
totalRevenue = account.totalMarginBalance-_G("initialTotalMarginBalance") + drawOut - drawIn#总收益
initialTotalMarginBalance = _G("initialTotalMarginBalance")
totalYield = 0
if initialTotalMarginBalance != 0:
totalYield = totalRevenue/initialTotalMarginBalance
totalYield = "(" + str(_N(totalYield,2)) + ")"#总收益率
Revenue = "$" + str(_N(totalRevenue,2)) + totalYield
#记录当前总收益
_G("totalRevenue",totalRevenue)
totalInitialMargin = "$" + str(_N(totalPositionInitialMargin+totalOpenOrderInitialMargin,2))#已用保证金
rows = [] #表内容
row =[]
row.append(initialTotalMarginBalance)
row.append(totalWalletBalance)
row.append(totalMarginBalance)
row.append(availableBalance)
row.append(totalInitialMargin+marginRate)
row.append(lever)
row.append(Revenue)
rows.append(row)
table = {
"type" : "table",
"title" : "账户信息",
"cols" : clos,
"rows" : rows
}
return table
#交易对表格化，用于展示在状态信息上
def TablePositionsService(positions):
clos = [] #表头
clos.append("币种")
clos.append("方向")
clos.append("数量")
clos.append("开仓价格")
clos.append("强平价格")
clos.append("现价")
clos.append("未实现盈亏")
rows = [] #表内容
for position in positions:
row = []
symbol = position.symbol
leverage = position.leverage
row.append(symbol + "[" + leverage + "X]")
positionAmt = position.positionAmt
if float(positionAmt)>0:
row.append("做多")
else:
row.append("做空")
row.append(math.fabs(float(positionAmt)))
row.append(position.entryPrice)
row.append(position.liquidationPrice)
row.append(position.markPrice)
row.append(position.unRealizedProfit)
rows.append(row)
table = {
"type" : "table",
"title" : "交易对信息",
"cols" : clos,
"rows" : rows
}
return table
#跟新状态信息
def UpdateLogStatusService():
account = ext.GetAccountDao()
positions = ext.GetPositionsDao()
LogStatus("`" + json.dumps(TableAccountService(account)) + "`\n" + "`" + json.dumps(TablePositionsService(positions)) + "`")
#根据当前价格和下单价值换算成合约数
def GetAmountByOrderValueService(price):
ext.GetNumByAmountService()
num = _G("num")
orderValue = _G("orderValue")
leverage = _G("leverage")
account = ext.GetAccountDao()
totalMarginBalance = account.totalMarginBalance
orderValue = orderValue*totalMarginBalance*leverage*0.99/100
amount = orderValue/price
if orderValue < 5:
amount = 5/price + 1
amount = _N(amount,num)
if price*amount > orderValue:
amount = orderValue*0.99/price
amount = _N(amount,num)
exchange.SetMarginLevel(leverage)
return amount
#平仓
def ClearanceService():
positions = ext.GetPositionsDao()
for position in positions:
positionAmt = position.positionAmt
amt = math.fabs(float(positionAmt))
totalRevenue = _G("totalRevenue")
ticker = ext.GetTickerDao(0)
price = ticker.last
symbol = position.symbol
symbol = symbol.replace("USDT","_USDT")
if float(positionAmt)>0:
#持多仓，--卖出平仓
ext.CreateOrderDao2(amt,3,"{}币种平多单的当前成交价格：{}".format(symbol,price))
LogProfit(_N(totalRevenue,2))
else:
#持空仓，--买入平仓
ext.CreateOrderDao2(amt,1,"{}币种平空单的当前成交价格：{}".format(symbol,price))
LogProfit(_N(totalRevenue,2))
#获取合约数位数
def GetNumByAmountService():
ext.GetNumByAmountDao()
#计算出交易对最小下单量
def GetMinOrderCountService():
minCount = 1
num = _G("num")
if num != 0:
minCount = 1/(10**num)
return minCount
#获取标志
def GetStopService():
return ext.GetStopDao()
#获取交易对信息
def GetPositionsService():
return ext.GetPositionsDao()
#获取tick价格
def GetPriceService(i):
ticker = ext.GetTickerDao(i)
price = ticker.last
return price
#选出涨跌幅最大的币种
def GetSymbolService():
global RECORDS
#第一次获取所有币种的record数据，缓存起来
R = _G("RECORDS")
r = RECORDS
if r is None:
if R is None:
SetSymbolsRecordsService()
else:
RECORDS = R
return
#定期获取其中一个币种的最新record数据，和缓存数据比较，如果一样则，将数据更新标识记录为0并跳过
#如果不同，则更新缓存中所有币种的record数据,并将数据更新标识记录为1
isUpdate = UpdateRecordService()
if isUpdate:
return
#计算所有币种涨跌幅的绝对值，选出数值最大的币种
#根据选出来的币种的最新价格和bfCount的k线开盘价对比，判断出下单方向并记录起来
GetMaxSymbolService()
_G("RECORDS",RECORDS)
#下单信号
def FirstSignalService():
global FLAGE
symbolRecord = _G("symbolRecord")
#检测是否已经筛选出币种，如果没有则跳出
if symbolRecord is None:
return
#检测数据更新标识是否为1，如果不是则跳出
isUpdate = _G("isUpdate")
if isUpdate == 0:
return
symbol = symbolRecord["symbol"]
#检测当前是否有持仓
positions = ext.GetPositionsDao()
if len(positions) == 0:
#如果没有则用筛选出的币种进行下单
ext.SetCurrencyDao(symbol,0)
leverage = _G("leverage")
exchange.SetMarginLevel(leverage)
side = symbolRecord["side"]
if side == 1:#做多
price = symbolRecord["close"]
amount = GetAmountByOrderValueService(price)
ext.CreateOrderDao2(amount,0,"{}币种下多单的当前成交价格：{}".format(symbol,price))
_G("initPrice",price)
_G("initSide",side)
else:#做空
price = symbolRecord["close"]
amount = GetAmountByOrderValueService(price)
ext.CreateOrderDao2(amount,2,"{}币种下空单的当前成交价格：{}".format(symbol,price))
_G("initPrice",price)
_G("initSide",side)
elif len(positions) == 1:
position = positions[0]
positionAmt = float(position.positionAmt)
nSymbol = position.symbol
nSymbol = nSymbol.replace("USDT","_USDT")
#判断筛选出来的币种和当前下单的币种是否一样
if symbol == nSymbol:
#判断当前币种是否有浮亏，如果有则清仓，并反向下单
isFlag = _G("isFlag")
if isFlag == 0:#使用反转信号,如果isFlag=0则不使用反转信号，则不处理当前的持仓
firstPrice = _G("initPrice")
side = _G("initSide")
price = symbolRecord["close"]
if side == 1 and price <= firstPrice:#换币后首次下单方向是多，但是当前价格低于首次下单价格（浮亏），所以需要反转下单
Log("换币后当前持仓方向是多，但是当前价格{}低于等于首次下单价格{}（浮亏），所以需要反转下单".format(price,firstPrice))
ClearanceService()
amount = GetAmountByOrderValueService(price)
if positionAmt > 0:#持有多单则清多单再下空单
ext.CreateOrderDao2(amount,2,"{}币种下空单的当前成交价格：{}".format(symbol,price))
else:
ext.CreateOrderDao2(amount,0,"{}币种下多单的当前成交价格：{}".format(symbol,price))
_G("initSide",0)
FLAGE = 0
elif side == 0 and price >= firstPrice:#换币后首次下单方向是空，但是当前价格高于首次下单价格（浮亏），所以需要反转下单
Log("换币后当前持仓方向是空，但是当前价格{}高于等于首次下单价格{}（浮亏），所以需要反转下单".format(price,firstPrice))
#清空仓，再下多单
ClearanceService()
amount = GetAmountByOrderValueService(price)
if positionAmt < 0:
ext.CreateOrderDao2(amount,0,"{}币种下多单的当前成交价格：{}".format(symbol,price))
else:
ext.CreateOrderDao2(amount,2,"{}币种下空单的当前成交价格：{}".format(symbol,price))
_G("initSide",1)
FLAGE = 0
else:
Log("当前价格{}，首次下单价格{}，不需要反转下单".format(price,firstPrice))
else:
Log("策略参数已屏蔽反转信号功能")
else:
#将当前持仓清仓，并更换为筛选出的币种进行下单
ClearanceService()
ext.SetCurrencyDao(symbol,0)
side = symbolRecord["side"]
if side == 1:#做多
ticker = ext.GetTickerDao(0)
price = ticker.last
amount = GetAmountByOrderValueService(price)
ext.CreateOrderDao2(amount,0,"{}币种下多单的当前成交价格：{}".format(symbol,price))
_G("initPrice",price)
_G("initSide",side)
FLAGE = 0
else:#做空
ticker = ext.GetTickerDao(0)
price = ticker.last
amount = GetAmountByOrderValueService(price)
ext.CreateOrderDao2(amount,2,"{}币种下空单的当前成交价格：{}".format(symbol,price))
_G("initPrice",price)
_G("initSide",side)
FLAGE = 0
#缓存record
def SetSymbolsRecordsService():
global RECORDS
symbols = _G("symbols")
recordss = {}
for symbol in symbols:
#Log("symbol:",symbol)
ext.SetCurrencyDao(symbol,1)
if RECORDS is None:
records = ext.GetRecordsDao(-1,1)
recordss[symbol] = records
else:
oldRecords = RECORDS[symbol]
_CDelay(250)
records = _C(CheckRecordService,oldRecords)
recordss[symbol] = records
RECORDS = recordss
#检查记录record数据是否更新
def CheckRecordService(oldRecords):
oldTime = oldRecords[-1]["Time"]
records = ext.GetRecordsDao(-1,1)
newTime = records[-1]["Time"]
if oldTime == newTime:
#Sleep(100)
return False
else:
return records
#更新所有symbol的record
def UpdateRecordService():
global RECORDS
symbols = _G("symbols")
symbol = symbols[0]
ext.SetCurrencyDao(symbol,1)
newRecords = ext.GetRecordsDao(-1,1)
newTime = newRecords[-1]["Time"]
oldRecords = RECORDS[symbol]
oldTime = oldRecords[-1]["Time"]
if newTime == oldTime:
_G("isUpdate",0)
return True
else:
Sleep(500)
SetSymbolsRecordsService()
_G("isUpdate",1)
Log("行情数据已更新")
return False
#计算涨跌幅最大的币种
def GetMaxSymbolService():
symbols = _G("symbols")
bfCount = _G("bfCount") + 1
chgs = []
symbolList = []
tests = []
tests2 = []
for symbol in symbols:
records = RECORDS[symbol]
record = records[-1]
close = record["Open"]
bfRecord = []
if len(records) < bfCount:
bfRecord = records[-len(records)]
Log("{}数据过少{}".format(symbol,len(records)))
else:
bfRecord = records[-bfCount]
bfOpen = bfRecord["Open"]
chg = 0
if close >= bfOpen:
chg = (close - bfOpen)/bfOpen
else:
chg = (bfOpen - close)/bfOpen
chgs.append(chg)
symbolList.append(symbol)
tests.append([symbol,chg])
tests2.append([symbol,bfOpen,close])
Log(tests)
Log(tests2)
maxChg = max(chgs)
maxSymbol = symbolList[chgs.index(maxChg)]
maxRecords = RECORDS[maxSymbol]
maxRecord = maxRecords[-1]
maxClose = maxRecord["Open"]
maxBfRecord = maxRecords[-bfCount]
maxBfOpen = maxBfRecord["Open"]
maxSide = GetSideService(maxSymbol,maxClose,maxBfOpen)
symbolRecord = {}
symbolRecord["symbol"] = maxSymbol
symbolRecord["initPrice"] = maxBfOpen
#symbolRecord["firstPrice"] = price
symbolRecord["close"] = maxClose
symbolRecord["side"] = maxSide
symbolRecord["chg"] = maxChg
_G("symbolRecord",symbolRecord)
Log("新symbolRecord:",symbolRecord)
#Log("最大涨跌幅的币种是：{}，涨跌幅为：{}".format(maxSymbol,maxChg))
#计算下单方向
def GetSideService(maxSymbol,maxClose,maxBfOpen):
symbol = ext.GetCurrencyDao()
records = RECORDS[symbol]
price = records[-1]["Open"]
#检测当前是否有持仓
positions = ext.GetPositionsDao()
if len(positions) == 0:#没有持仓，则不使用继承模块
Log("首次下单，不使用继承模块")
_G("oldClose",maxClose)
_G("oldBfOpen",maxBfOpen)
if maxClose > maxBfOpen:
return 1 #做多方向
else:
return 0 #做空方向
else:
position = positions[0]
nSymbol = position.symbol
nSymbol = nSymbol.replace("USDT","_USDT")
initPrice = _G("initPrice")
if nSymbol == maxSymbol:#相同币种不需要换币
Log("筛选出来的币种和当前持仓的币种一样,不需要更换币种")
if price >= initPrice:
return 1 #做多方向
else:
return 0 #做空方向
#使用继承模块
Log("筛选出来的币种和当前持仓的币种不一样,需要更换币种，{}币种更换为{}币种".format(nSymbol,maxSymbol))
oldClose = _G("oldClose")
oldBfOpen =_G("oldBfOpen")
if (maxClose >= maxBfOpen and oldClose > oldBfOpen) or (maxClose <= maxBfOpen and oldClose < oldBfOpen):#继承上一个币的下单方向
_G("oldClose",maxClose)
_G("oldBfOpen",maxBfOpen)
Log("{}币种继承{}币种的下单方向".format(maxSymbol,nSymbol))
position = positions[0]
positionAmt = float(position.positionAmt)
if positionAmt < 0:
return 0
else:
return 1
else:#不用使用继承
Log("不使用继承模块")
_G("oldClose",maxClose)
_G("oldBfOpen",maxBfOpen)
if maxClose >= maxBfOpen:
return 1 #做多方向
else:
return 0 #做空方向
#清仓
def ClearAllService():
symbols = _G("symbols")
for symbol in symbols:
ext.SetCurrencyDao(symbol,0)
positions = ext.GetPositionsDao()
if len(positions) != 0:
Log("清理已有仓位")
ClearanceService()
#策略交互
def GetCommandService():
cmd = GetCommand()
if cmd:
arr = cmd.split(":")
if arr[0] == "一键清仓": #清空所有交易对持仓
ClearanceService()
Log("全部清仓")
elif arr[0] == "现货==》合约": #从现货账户划转USDT到合约账户
accountFunds = float(arr[1])
ret = ext.SetTransferDao(accountFunds,"MAIN_UMFUTURE","USDT")
if ret is None:
Log("现货==》合约,划转资金出错")
elif arr[0] == "合约==》现货": #从合约账户划转USDT到现货账户
accountFunds = float(arr[1])
ret = ext.SetTransferDao(accountFunds,"UMFUTURE_MAIN","USDT")
if ret is None:
Log("合约==》现货,划转资金出错")
drawOut = _G("drawOut")
_G("drawOut",accountFunds + drawOut)
#减仓信号
def StopSurplusService():
global FLAGE
if FLAGE == 1:
return
positions = ext.GetPositionsDao()
if len(positions) == 0:
return
position = positions[0]
positionAmt = float(position.positionAmt)
entryPrice = float(position.entryPrice)
ticker = ext.GetTickerDao(0)
price = ticker.last
stopSurplus = _G("stopSurplus")/100
stopSurplusCount = _G("stopSurplusCount")
stopSurplusCount = float(stopSurplusCount)/100
if positionAmt > 0:
if (price - entryPrice)/entryPrice < stopSurplus:
return
positionAmt = stopSurplusCount*positionAmt
num = _G("num")
positionAmt = _N(positionAmt,num)
Log("减多仓")
ext.CreateOrderDao2(positionAmt,3,"当前成交价格：{}".format(price))
totalRevenue = _G("totalRevenue")
LogProfit(_N(totalRevenue,2))
FLAGE = 1
else:
if (entryPrice - price)/entryPrice < stopSurplus:
return
positionAmt = -positionAmt
positionAmt = stopSurplusCount*positionAmt
num = _G("num")
positionAmt = _N(positionAmt,num)
Log("减空仓")
ext.CreateOrderDao2(positionAmt,1,"当前成交价格：{}".format(price))
totalRevenue = _G("totalRevenue")
LogProfit(_N(totalRevenue,2))
FLAGE = 1
#设置双向持仓
def SetDualService():
ext.SetDualDao()
ext.TableAccountService = TableAccountService
ext.TablePositionsService = TablePositionsService
ext.UpdateLogStatusService = UpdateLogStatusService
ext.ClearanceService = ClearanceService
ext.GetNumByAmountService = GetNumByAmountService
ext.GetAmountByOrderValueService = GetAmountByOrderValueService
ext.GetStopService = GetStopService
ext.GetPositionsService = GetPositionsService
ext.GetPriceService = GetPriceService
ext.GetSymbolService = GetSymbolService
ext.FirstSignalService = FirstSignalService
ext.GetCommandService = GetCommandService
ext.SetDualService = SetDualService
ext.GetSymbolService = GetSymbolService
ext.ClearAllService = ClearAllService
ext.StopSurplusService = StopSurplusService
Mais.