Используется в качестве плагина для готовых заказов и может использоваться в торговом терминале.
Автоматический инструмент, поддерживаемый по умолчанию Deribit, вставляет в контракт по умолчанию название контракта, ожидаемую разницу.
Если вы хотите поддержать другие биржи, вам, возможно, придется немного поменять себя.
def main():
exchange.SetContractType(ContractSwap)
TickerSwap = exchange.GetTicker()
TickerSwap['BuyAmount'] = TickerSwap['Info']['result']['best_bid_amount']
TickerSwap['SellAmount'] = TickerSwap['Info']['result']['best_ask_amount']
exchange.SetContractType(ContractFuture)
TickerFuture = exchange.GetTicker()
TickerFuture['BuyAmount'] = TickerFuture['Info']['result']['best_bid_amount']
TickerFuture['SellAmount'] = TickerFuture['Info']['result']['best_ask_amount']
Diff = _N(TickerFuture['Buy'] - TickerSwap['Sell'],2)
Msg = ''
Msg += str(ContractSwap) +' '+ str(TickerSwap['Sell']) +' '+ str(TickerSwap['SellAmount'])+ '\n'
Msg += str(ContractFuture) +' '+ str(TickerFuture['Buy']) +' '+ str(TickerFuture['BuyAmount']) + '\n'
Msg += '差价: ' + str(Diff) + '\n'
if Diff <= DiffMin:
return '差价为 ' + str(_N(Diff,2)) + ' 小于设定价差 '+str(DiffMin)+'，不下单' + '\n\n附加信息\n' +Msg
if TickerFuture['BuyAmount'] < Amount or TickerFuture['SellAmount'] < Amount:
return '某方向挂单量小于设定下单量 '+str(Amount)+'，不下单' + '\n\n附加信息\n' +Msg
if not RealTrade:
return '非真实交易' + '\n' + Msg
exchange.SetContractType(ContractSwap)
exchange.SetDirection("buy")
BuyOrderId = exchange.Buy(TickerSwap['Sell'] + 0.2, Amount)
exchange.SetContractType(ContractFuture)
exchange.SetDirection("sell")
SellOrderId = exchange.Sell(TickerFuture['Buy'] - 0.2, Amount)
BuyOrder = exchange.GetOrder(BuyOrderId)
SellOrder = exchange.GetOrder(SellOrderId)
TradeMsg = '交易完成\n'
TradeMsg += '买单 ' + str(BuyOrder['ContractType']) + ' ' + str(BuyOrder['Price']) + ' ' + str(BuyOrder['DealAmount']) + '/' + str(BuyOrder['Amount']) + '\n'
TradeMsg += '卖单 ' + str(SellOrder['ContractType']) + ' ' + str(SellOrder['Price']) + ' ' + str(SellOrder['DealAmount']) + '/' + str(SellOrder['Amount']) + '\n'
TradeMsg += '\n\n附加信息\n' +Msg
return TradeMsg