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- WR vượt qua Martin
WR vượt qua Martin
Tác giả:
Hổ định lượng, Ngày: 2021-07-24 16:00:00
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'''backtest
start: 2021-03-19 05:00:00
end: 2021-03-21 00:00:00
period: 15m
basePeriod: 15m
exchanges: [{"eid":"Futures_HuobiDM","currency":"BTC_USD"},{"eid":"Futures_HuobiDM","currency":"ETH_USD","stocks":300},{"eid":"Futures_HuobiDM","currency":"EOS_USD","stocks":5000}]
args: [["openConMode",null]]
'''
#!/usr/bin/env python3
# -*- coding: utf-8 -*-
import json
import time
import talib
import math
import urllib.request
ChartCfg = {
'__isStock': True,
'title': {
'text': 'WR'
},
'yAxis': [{
'title': {'text': 'WR'},
'style': {'color': '#4572A7'},
'opposite': False #右边轴
}],
'series': [{
'type': 'line',
'id': 'wr',
'name': 'wr',
'data': []
}]
}
def MyLog(str1,ktime,price=''):
if (_G('str')!=str1 or _G('ktime')!=ktime) and not (_G('str2')==str1 and ktime==_G('ktime2')) :
_G('str2',_G('str'))
_G('ktime2',_G('ktime'))
_G('str',str1)
_G('ktime',ktime)
Log(str1+str(price))
def moveStocks(_moveStocks):
global todayProfit
if exchanges[0].GetName().find('Binance')>=0:#Futures_Binance 只有币本位有交割且共用资金 2-U本位向现货 4-币本位向现货 返回tranId
if exchanges[0].GetCurrency().find('USDT')>=0:
movecurrency = 'USDT'
mtype = 2
else:#币本位
movecurrency = 'BTC'
mtype = 4
timestamp = Unix()*1000
params = "type="+str(mtype)+"&asset="+movecurrency+"&amount="+str(_moveStocks)+"×tamp="+str(timestamp)
exchanges[0].SetBase('https://api.binance.com')
moveid = exchange.IO("api", "POST", "/sapi/v1/futures/transfer", params)
exchanges[0].SetBase('https://fapi.binance.com')
if moveid is not None:
Log('资金转出成功',moveid)
_G('moveStocks',_G('moveStocks')+_moveStocks)
todayProfit["initStocks"] = todayProfit["initStocks"] - _moveStocks
_G('todayProfit',todayProfit)
else:
Log('资金转出失败')
else:
Log('暂不支持该交易所转移')
def cancelOD(i):
orders = _C(exchanges[i].GetOrders)
for order in orders:
exchanges[i].CancelOrder(order.Id)
Sleep(100)
def coverAll(i):
position = _C(exchanges[i].GetPosition)
cancelOD(i)
Sleep(200)
for j in range(len(position)):
pamount = position[j]["Amount"] #-position[0]["FrozenAmount"]
if position[j]["Type"]==0: #持多单
Deal(-1 , pamount, "closebuy", exchanges[i].GetCurrency()+'手动市价清仓',i)
elif position[j]["Type"]==1: #持空单
Deal(-1 , pamount, "closesell", exchanges[i].GetCurrency()+'手动市价清仓',i)
def getOpenPrice(position):
if hasattr(position[0],'Info') and hasattr(position[0].Info,'cost_open'):#huobi
return position[0].Info.cost_open
elif hasattr(position[0],'Info') and hasattr(position[0].Info,'avg_cost'):#ok
return position[0].Info.avg_cost
elif hasattr(position[0],'Info') and hasattr(position[0].Info,'entryPrice'):#binance
return position[0].Info.entryPrice
else:
return position[0]["Price"]
def UpdateAccout():
accout = _C(exchanges[0].GetAccount)
acc1 = accout.FrozenBalance #其它币的冻结余额 是否共用?
acc2 = accout.Balance
_G("ableAccount", acc2)#当前可用U
_G("allAccount",acc1+acc2+GetMargin()) #没计算浮盈
if acc2<1:
Log("账户保证金余额不足")
Sleep(8000)
def GetMargin():
allMargin = 0
for i in range(len(exchanges)):
allMargin += _G("margin")[i]
return _N(allMargin,2)
def GetHighest(records,i,period):
high = 0
for i in range(i-period+1,i+1):
if records[i].High > high:
high = records[i].High
return high
def GetLowest(records,i,period):
low = 1000000
for i in range(i-period+1,i+1):
if records[i].Low < low:
low = records[i].Low
return low
def SetType(type):
if type==0:
_G("contractType","swap")
elif type==1:
_G("contractType","this_week")
elif type==2:
_G("contractType","next_week")
elif type==3:
_G("contractType","quarter")
elif type==4:
_G("contractType","next_quarter")
def Deal(price, num, btype, beizhu='',i=0 ):
Sleep(50)
#if beizhu!='':
# Log(beizhu)
exchanges[i].SetDirection(btype)
if btype=="closebuy" or btype=="sell" :
exchanges[i].Sell(price , num, beizhu)
#Log('开空',price)
else:
exchanges[i].Buy(price , num, beizhu)
#Log('开多',price)
def myProfit():
LogProfit( _G("allAccount")-_G("initStocks") )
def initData():
SetErrorFilter("502:|503:|tcp|character|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF|No need to change|reused")
global allCoinData
Log("正在初始化...")
if exchanges[0].GetName().find('Binance')>=0:#Futures_Binance
getBinanceAllCoinData()
Sleep(3000)
Log("获取交易所信息结束")
else:
Log('暂不支持该交易所')
return
if _G("moveStocks") is None:
_G("moveStocks",0)
if _G("moveInStocks") is None:
_G("moveInStocks",0)
for i in range(len(exchanges)):#初始化 交易所
symbol = exchanges[i].GetCurrency().split('_')[0]
exchanges[i].SetContractType("swap")
exchanges[i].SetPrecision(allCoinData[symbol]['tick_size'], allCoinData[symbol]['size_increment'])
exchanges[i].SetMarginLevel(marginLevel)
timestamp = Unix()*1000
exchanges[i].IO("api", "POST", "/fapi/v1/positionSide/dual", "dualSidePosition=true×tamp="+str(timestamp))
def main():
global allCoinData, orderID
if _G("contractType") is None:
_G("contractType","swap")
global ChartCfg
preTime = 0
chart = Chart(ChartCfg)
chart.reset()
margin = [0 for i in range(len(exchanges)) ]
_G("margin",margin)
preTime = 0
bucTimes = [0 for i in range(len(exchanges)) ]
initData()
#LogProfitReset(1)
#暂未考虑仓位不足
while(true):
#Log('测试循环')
cmd = GetCommand()
if cmd:
if cmd == "清仓停机":
for i in range(len(exchanges)):
Sleep(100)
coverAll(i)
Sleep(1000)
return
if cmd.find('cover-')>=0:
arr = cmd.split("-")
coverAll(int(arr[1]))
Sleep(2000)
elif cmd == 'cancelOD':
cancelOD()
Sleep(1000)
tab1 = {
"type": "table",
"title": "账户信息",
"cols": ["初始资金", "当前资金" , "可用资金", "已移出资金", "总盈利率"],
"rows": []
}
tab2 = {
"type": "table",
"title": "持仓状态",
"cols": ["币种", "最新价","持仓数", "持仓均价", "浮动盈亏","操作"],
"rows": []
}
UpdateAccout()
if _G("initStocks") is None or _G("initStocks")<10 :
_G("initStocks", _G("allAccount"))
if autoMoveStocks>100 and _G('ableAccount')>autoMoveStocks :
Log('自动移出资金：100U#32CD32')
moveStocks(100)
continue
for i in range(len(exchanges)):
Sleep(100)
records = _C(exchanges[i].GetRecords,60 * period)
#wr_high = TA.Highest(records, WRperiod, 'High')
#wr_low = TA.Lowest(records, WRperiod, 'Low')
#wr = (records[-1].Close-wr_high)/(wr_high-wr_low)*100
position = _C(exchanges[i].GetPosition)
margin = _G("margin")
if len(position)>0:
oprice = float(getOpenPrice(position))
margin[i] = position[0]["Margin"]
floatProfit = float(position[0]["Profit"])
pamount = float(position[0]['Amount'])
#止损
if -1*floatProfit > oprice*pamount/marginLevel*zhis/100:
if position[0]['Type']==0:
Deal(-1, pamount, 'closebuy',exchanges[i].GetCurrency()+' 多单止损'+format(records[-1].Close,'.4f'),i)
else:
Deal(-1, pamount, 'closesell',exchanges[i].GetCurrency()+' 空单止损'+format(records[-1].Close,'.4f'),i)
Sleep(500)
myProfit()
bucTimes[i] += 1
if bucTimes[i]>maxBuc:
bucTimes[i] = maxBuc
#止盈
if floatProfit > oprice*pamount/marginLevel*zhiy/100:
if position[0]['Type']==0:
Deal(-1, pamount, 'closebuy',exchanges[i].GetCurrency()+' 多单止盈'+format(records[-1].Close,'.4f'),i)
else:
Deal(-1, pamount, 'closesell',exchanges[i].GetCurrency()+' 空单止盈'+format(records[-1].Close,'.4f'),i)
Sleep(500)
myProfit()
bucTimes[i] = 0
else:
oprice = 0
margin[i] = 0
floatProfit = ''
_G("margin", margin)
for k in range(50, len(records)):
wr_high1 = GetHighest(records,k, WRperiod)
wr_low1 = GetLowest(records,k, WRperiod)
wr1 = (records[k].Close-wr_high1)/(wr_high1-wr_low1)*100
if k==len(records)-1:
if wr1>-5:#开空
if len(position)==0 or (len(position)>0 and position[0]['Type']==0):#平多
if len(position)>0:
Deal(-1, pamount, 'closebuy',exchanges[i].GetCurrency()+' 多单清仓'+format(records[-1].Close,'.4f'),i)
Sleep(500)
myProfit()
if floatProfit<0:
bucTimes[i] += 1
if bucTimes[i]>maxBuc:
bucTimes[i] = maxBuc
else:
bucTimes[i] = 0
symbol = exchanges[i].GetCurrency().split('_')[0]
famount = _N( baseAmount/records[-1].Close, allCoinData[symbol]['size_increment'] )
if famount==0:
Log(exchanges[i].GetCurrency(),'当前开仓U不足购买，请更换币种或加大开仓U')
continue
pamount = (baseAmount*(2**bucTimes[i]))/records[-1].Close
Log(exchanges[i].GetCurrency(),baseAmount,bucTimes[i],records[-1].Close)
Deal(-1, pamount, 'sell',exchanges[i].GetCurrency()+' 空单开仓'+format(records[-1].Close,'.4f')+' WR:'+str(wr1),i)
elif wr1<-95:#开多
if len(position)==0 or (len(position)>0 and position[0]['Type']==1):#平空
if len(position)>0:
Deal(-1, pamount, 'closesell',exchanges[i].GetCurrency()+' 空单清仓'+format(records[-1].Close,'.4f'),i)
Sleep(500)
myProfit()
if floatProfit<0:
bucTimes[i] += 1
if bucTimes[i]>maxBuc:
bucTimes[i] = maxBuc
else:
bucTimes[i] = 0
symbol = exchanges[i].GetCurrency().split('_')[0]
famount = _N( baseAmount/records[-1].Close, allCoinData[symbol]['size_increment'] )
if famount==0:
Log(exchanges[i].GetCurrency(),'当前开仓U不足购买，请更换币种或加大开仓U')
continue
pamount = (baseAmount*(2**bucTimes[i]))/records[-1].Close
Log(exchanges[i].GetCurrency(),baseAmount,bucTimes[i],records[-1].Close)
Deal(-1, pamount, 'buy',exchanges[i].GetCurrency()+' 多单开仓'+format(records[-1].Close,'.4f')+' WR:'+str(wr1),i)
#Log(wr1)
#画图
if i==0 and records[k]['Time'] == preTime:
chart.add(0, [records[k]['Time'], wr1], -1)
elif i==0 and records[k]['Time'] > preTime:
#Log('insert',records[k]['Time'],wr_high1,wr_low1,records[k].Close,wr1)
chart.add(0, [records[k]['Time'], wr1])
preTime = records[k]['Time']
#myProfit()
if len(position)>0 and position[0]['Type']==0:
pamount = '多：'+str(position[0]['Amount'])+str('#32CD32')
elif len(position)>0 and position[0]['Type']==1:
pamount = '空：'+str(position[0]['Amount'])+str('#BC1717')
else:
pamount = ''
if len(position)>0:
floatProfit = format( position[0]["Profit"],'.2f')
symbol = exchanges[i].GetCurrency().split('_')[0]
tab2["rows"].append([ exchanges[i].GetCurrency() , records[-1].Close \
, pamount, format(oprice,'.'+str(allCoinData[symbol]['tick_size'])+'f'), floatProfit \
, { "type": "button", "cmd": 'cover-'+str(i), "name": "清仓" } ])
#总盈利
allzhiy = float(_G('allAccount'))-float(_G('moveInStocks'))+float(_G('moveStocks'))-float(_G('initStocks'))
if _G('initStocks')==0:
allzhiyl=0
else:
allzhiyl = (float(_G('moveStocks'))+float(_G('allAccount'))-float(_G('moveInStocks'))-float(_G('initStocks')))/float(_G('initStocks'))*100
tab1["rows"].append([format(_G('initStocks'),'.1f')+'U', format(_G('allAccount'),'.1f')+'U', format(_G('ableAccount'),'.1f')+'U', format(_G('moveStocks'),'.1f')+'U' \
, format(allzhiyl,'.1f')+'%('+format(allzhiy,'.1f')+'U)'])
LogStatus( '`' +json.dumps(tab1) + "`\n" +"`" + json.dumps(tab2) + "`\n" )
Sleep(1000)
# 获取Binance永续合约所有币对消息
def getBinanceAllCoinData():
global allCoinData
tmp = dict()
data = getUrlData("http://fapi.binance.com/fapi/v1/exchangeInfo")
for item in data['symbols']:
# 需要USDT为衡量币对
if "USDT" in item["symbol"]:
size = item['filters'][1]['stepSize'] # DOGE 1.00000000 BTC 0.00000100
if float(size) == 1:
sizein = 0
elif len(size.split("."))>1:
sizein = str(size).split(".")[1].find('1')+1
else:
sizein = 0
tmp[item["baseAsset"]] = {
'tick_size': int(item['pricePrecision']), # 价格精度
'old_increment': item['filters'][1]['stepSize'],#最小购买值
'size_increment': sizein # 折算数量
}
allCoinData = tmp
# 通过url获取数据
def getUrlData(url):
response = urllib.request.urlopen(url)
html = response.read().decode('utf-8')#decode('utf-8') 解决:the JSON object must be str, not 'bytes'
try:
tmp = json.loads(html)
return json.loads(html)
except Exception as e:
Log('e:',e)
# 对合约进行止盈止损 cangType=0默认逐仓 =1全仓
def zhiyingzhisun(i, amount, directionStr, positionSide, zhiying, zhisun, cangType = 0):
return bianSwap(i, amount, directionStr, positionSide, zhiying, zhisun)
# 发送请求
def AsynIo(i, paramList):
if (len(paramList) == 3):
arrRoutine = exchanges[i].Go("IO", paramList[0], paramList[1], paramList[2])
elif (len(paramList) == 4):
arrRoutine = exchanges[i].Go("IO", paramList[0], paramList[1], paramList[2], paramList[3])
elif (len(paramList) == 5):
arrRoutine = exchanges[i].Go("IO", paramList[0], paramList[1], paramList[2], paramList[3], paramList[4])
data, ok = arrRoutine.wait()
Log(data)
return data
# 币安合约
def bianSwap(i, amount, directionStr, positionSide, zhiying, zhisun):
global orderID
instrument_id = exchanges[i].GetCurrency().replace('_',"")
# U本位或币本位，设置请求url
if instrument_id.find('USDT') >= 0 :
url = "/fapi/v1/order"
elif instrument_id.find('USD') >= 0 :
url = '/dapi/v1/order'
else:
return False
# 止损 side = SELL BUY
'''
timestamp = Unix()*1000
params = "symbol="+instrument_id+"&side="+str(directionStr)+"&positionSide="+positionSide+"&type=STOP_MARKET&stopPrice="+str(zhisun)+"&closePosition=true×tamp="+str(timestamp)
Log(params)
zhisunData = exchanges[i].IO("api", "POST", "/fapi/v1/order", params)
Log(zhisunData)
'''
zhisunData = AsynIo(i, ['api', 'POST', url , '', json.dumps({
"symbol": instrument_id,
"side": directionStr,
"positionSide":positionSide,
"type": "STOP_MARKET",
#"quantity": amount,
"closePosition":"true",
#"price": zhisun,
"stopPrice": zhisun,
"timestamp": str(int(round(time.time() * 1000)))
})])
if int(float(zhisunData['stopPrice'])) != int(float(zhisun)):
Log('止损价格不一样',float(zhisunData['stopPrice']),int(float(zhisunData['stopPrice'])), float(zhisun), int(float(zhisun)) )
return False
orderID[i][0] = zhisunData['orderId']
Log('设置'+exchanges[i].GetCurrency()+'止损，订单号：'+str(orderID[i][0]))
# 止盈
zhiyingData = AsynIo(i, ['api', 'POST', url , '', json.dumps({
"symbol": instrument_id,
"side": directionStr,
"positionSide":positionSide,
"type": "TAKE_PROFIT_MARKET",
#"quantity": amount,
"closePosition":"true",
#"price": zhiying,
"stopPrice": zhiying,
"timestamp": str(int(round(time.time() * 1000)))
})])
if int(float(zhiyingData['stopPrice'])) != int(zhiying):
Log('止盈价格不一样',float(zhiyingData['stopPrice']),int(float(zhiyingData['stopPrice'])), float(zhiying), int(float(zhiying)) )
return False
orderID[i][1] = zhiyingData['orderId']
Log('设置'+exchanges[i].GetCurrency()+'止盈，订单号：'+str(orderID[i][1]))
_G("orderID",orderID)
return True
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