Стратегия хеджирования для двух платформ 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_lxdКак добавить вас в число своих друзей?
Милый мальчик.В этом случае мы можем использовать только то, что есть.
Доктор ЛиуМожно ли добавлять комментарии, чтобы облегчить обучение и общение?
ПерсийПожалуйста, не используйте эту тактику на реальном компьютере. Я новичок в программировании, только для обмена, чтобы научиться, пожалуйста, просите руководства!
ПерсийХорошо! Я постепенно добавляю комментарии, спасибо за внимание, обменяемся мнениями и продвигаемся вперед.