A estratégia de hedge de duas plataformas do Python
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_lxdComo adicionar você como amigo?
Meu Deus, meu Deus.O disco físico tem que suportar o processamento de erros.
Dr. LiuPode-se adicionar notas para facilitar a aprendizagem e a comunicação?
PerseusPor favor, não use essa estratégia no disco real. Eu sou um programador novo, só para aprendizado de intercâmbio, por favor, dê uma orientação.
PerseusMuito bem! Vou adicionando comentários lentamente, obrigado pela atenção, vamos conversar e progredir juntos.