Theo yêu cầu của một người bạn, thay đổi thành nhiều phiên bản (đối tượng hoặc tham số thống nhất, nếu có nhu cầu của các loại tiền tệ khác nhau, xin vui lòng thay đổi)
'''backtest
start: 2022-03-28 00:00:00
end: 2022-03-28 23:59:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Binance","currency":"BTC_USDT","stocks":0,"fee":[0,0]},{"eid":"Binance","currency":"ETH_USDT"}]
mode: 1
args: [["BurstThresholdPct",0.00127],["MinStock",0.001]]
'''
import time
class LeeksReaper():
def __init__(self,exchange): #创建构造函数LeeksReaper #构造一个空的对象
self.numTick = 0
self.lastTradeId = 0
self.vol = 0
self.askPrice = 0
self.bidPrice = 0
self.orderBook = {}
self.prices = []
self.tradeOrderId = 0
self.p = 0.5
self.account = None
self.preCalc = 0
self.preNet = 0
self.sgnum = 0
# self.cny = 0
# self.btc = 0
self.exchange = exchange
#以上都是self对象的属性
#创建一个方法
def updateTrades(self):
trades = _C(self.exchange.GetTrades) #创建一个变量trades用来接收_C函数返回的值，传入的参数为：exchange.GetTrades
if (len(self.prices)== 0): #如果self.prices的长度等于0
while (len(trades) == 0): #如果trades等于0时执行下方的语句
trades = _C(self.exchange.GetTrades) #通过数组拼接的方法把_C函数返回的值与trades进行拼接，传入的参数为：exchange.GetTrades
for i in range(15): #循环，结束条件为i=15，每次循环i都自加1
self.prices.append(trades[-1].Price)#每次循环都把trades数组的最后一个值赋值给self对象的prices数组上，共循环15次
tradesvol = 0
for trade in trades:
if ((trade.Id > self.lastTradeId) or (trade.Id == 0 and trade.Time > self.lastTradeId)):
#等号右边是一个三目运算，如果trade.Id=0就返回trade.Time，否则就返回trade.Id, self.lastTradeId。并进行比较返回最大的值，最后把返回的最大值赋给self.lastTradeId
temp = trade.Time if trade.Id == 0 else trade.Id
self.lastTradeId = max(temp, self.lastTradeId)
tradesvol = tradesvol + trade.Amount
#self.vol的值等于他自己乘以0.7加上这段时间的交易量*0.3
self.vol = 0.7 * self.vol + 0.3 * tradesvol
#self对象的一个方法
def updateOrderBook(self):
# 创建一个变量orderBook用来接收_C函数返回的值，传入的参数为：exchange.GetDepth
orderBook = _C(self.exchange.GetDepth)
self.orderBook = orderBook #self.orderBook 的值等于orderBook
if (len(orderBook.Bids)< 3 or len(orderBook.Asks) < 3):#前半段是判断orderBook.Bids的长度是否小于3，后半段是判断orderBook.Asks的长度是否小于3，如果两边都小于3就执行下方的语句
#返回undefined
return
#self.bidPrice的值等于orderBook.Bids数组的第一个值乘以0.618加上orderBook.Asks数组的第一个值乘以0.382加上0.01
self.bidPrice = orderBook.Bids[0].Price * 0.618 + orderBook.Asks[0].Price * 0.382 + 0.01
#同上
self.askPrice = orderBook.Bids[0].Price * 0.382 + orderBook.Asks[0].Price * 0.618 - 0.01
#删除price数组的第一个值，并返回第一个值
del(self.prices[0])
#prices数组向后添加值，值为函数_N的返回值
self.prices.append(_N((orderBook.Bids[0].Price + orderBook.Asks[0].Price) * 0.35 +
(orderBook.Bids[1].Price + orderBook.Asks[1].Price) * 0.1 +
(orderBook.Bids[2].Price + orderBook.Asks[2].Price) * 0.05))
#self对象的一个方法
def balanceAccount(self):
# 创建一个变量account用来接收GetAccount函数返回的值
account = _C(self.exchange.GetAccount)
#判断account是否为空，是就返回undefined
if account is None:
return
#赋值
self.account = account
#获取当前时间的时间戳数据
now = time.time()
#判断self.orderBook.Bids的长度是否大于0和now - self.preCalc的值是否大于(CalcNetInterval * 1000)，如果都大于就执行下方语句
if (len(self.orderBook.Bids) > 0 and now - self.preCalc > (CalcNetInterval)):
#赋值
self.preCalc = now
#创建一个变量net用来接收_N函数的返回值
net = _N(account.Balance + account.FrozenBalance + self.orderBook.Bids[0].Price * (account.Stocks + account.FrozenStocks))
#判断net是否不等于self.preNet，如果是就执行下方语句
if (net != self.preNet):
#赋值
self.preNet = net
#调用函数LogProfit并传入net
LogProfit(net-10000)
#赋值
self.btc = account.Stocks
self.cny = account.Balance
self.p = self.btc * self.prices[-1] / (self.btc * self.prices[-1] + self.cny)
balanced = False
#判断self.p的值是否小于0.48
# Log(self.p)
if (self.p < 0.48):
#调用Log函数并传入参数"开始平衡", self.p
Log("开始平衡", self.p)
#self.cny =self.cny-300
self.cny -= 300
#判断self.orderBook.Bids的长度是否大于0，如果是就执行下方语句
if (len(self.orderBook.Bids) > 0):
#调用buy函数并传入相应的参数
self.exchange.Buy(self.orderBook.Bids[0].Price + 0.00, 0.001)
self.exchange.Buy(self.orderBook.Bids[0].Price + 0.01, 0.001)
self.exchange.Buy(self.orderBook.Bids[0].Price + 0.02, 0.001)
Log("持币数:",self.btc,"现金数:",self.cny)
#如果self.p大于0.52就执行下方语句
elif (self.p > 0.52):
#调用Log函数并传入参数"开始平衡", self.p
Log("开始平衡", self.p)
#self.btc=self.btc-0.03
self.btc -= 0.03
#判断self.orderBook.Bids的长度是否大于0，如果是就执行下方语句
if (len(self.orderBook.Asks) > 0):
#调用Sell函数并传入相应的参数
self.exchange.Sell(self.orderBook.Asks[0].Price - 0.00, 0.001)
self.exchange.Sell(self.orderBook.Asks[0].Price - 0.01, 0.001)
self.exchange.Sell(self.orderBook.Asks[0].Price - 0.02, 0.001)
Log("持币数:",self.btc,"现金数:",self.cny)
#调用函数Sleep并传入参数BalanceTimeout
Sleep(BalanceTimeout)
#创建标量order来接收GetOrders函数返回的值
orders = _C(self.exchange.GetOrders)
#判断orders是否为真
if (orders):
#遍历orders
Log(orders)
for i in range(len(orders)):
#判断orders的id是否不等于self.tradeOrderId
if (orders[i].Id != self.tradeOrderId):
#如果是就调用CancelOrder函数并传入参数orders[i].Id
Log(orders[i].Id)
self.exchange.CancelOrder(orders[i].Id)
#self的一个方法
def poll(self):
#self.numTick自加1
self.numTick +=1
#执行上方创建的三个方法updateTrades，updateOrderBook，updateOrderBook
self.updateTrades()
self.updateOrderBook()
self.balanceAccount()
#burstPrice的值等于self.prices数组的最后一个值乘以BurstThresholdPct
burstPrice = self.prices[-1] * BurstThresholdPct
#创建变量并赋值
bull = False
bear = False
tradeAmount = 0
#判断self.account是否为真
if (self.account):
#是真的话就调用LogStatus函数并传入相应的参数
Log(self.exchange.GetCurrency(),self.account, 'Tick:', self.numTick, ', lastPrice:', self.prices[-1], ', burstPrice: ', burstPrice,",收割机当前启动次数:",self.sgnum)
#前半段是判断self.numTick的值是否大于2，如果是大于2就往执行||后面的语句，如果不是则判断&&运算符后面的语句，如果为fales直接返回fales,执行else的语句
if (self.numTick > 2 and ((self.prices[-1] - max(self.prices[-6:-1]) > burstPrice) or (self.prices[-1] - max(self.prices[-6:-2]) > burstPrice and self.prices[-1] > self.prices[-2]))):
#变量bull赋值为true,tradeAmount赋值为self.cnyv/self.bidPrice乘以0.99
bull = True
tradeAmount = self.cny / self.bidPrice * 0.99
#同上面if
elif (self.numTick > 2 and ((self.prices[-1] - min(self.prices[-6:-1]) < -burstPrice) or (self.prices[-1] - min(self.prices[-6:-2]) < -burstPrice and self.prices[-1] < self.prices[-2]))):
bear = True
#赋值
tradeAmount = self.btc
#判断self.vol是否小于BurstThresholdVol，如果是就执行if语句内的代码
if (self.vol < BurstThresholdVol):
tradeAmount *= self.vol / BurstThresholdVol
#判断self.numTick是否小于5，如果是就执行if语句内的代码
if (self.numTick < 5):
#tradeAmount=tradeAmount*0.8
tradeAmount *= 0.8
#判断self.numTick是否小于10
if (self.numTick < 10):
tradeAmount *= 0.8
#前半段是判断!bull和!bear哪一个为真，后半段是判断tradeAmount是否小于MinStock，当两边都为真时就执行if语句内的代码
if (((not bull) and (not bear)) or tradeAmount < MinStock):
return
#如果bull为真时就返回self.bidPrice的值，否则返回self.askPrice的值
tradePrice = self.bidPrice if bull else self.askPrice
#tradeAmount是否大于或者等于MinStock，如果时就进行循环while的语句
while (tradeAmount >= MinStock):
#当bull为真时返回Buy函数的返回值，否则返回Sell函数的返回值
orderId = self.exchange.Buy(self.bidPrice, tradeAmount) if bull else self.exchange.Sell(self.askPrice, tradeAmount)
self.sgnum+=1
Log("收割机第",self.sgnum,"次启动")
#调用Sleep函数传入参数400，0.4秒后执行
Sleep(400)
#判断orderId是否为true
if (orderId):
#赋值
self.tradeOrderId = orderId
#赋值
order = None
while (True):
#rder的值等于GetOrder函数的返回值
order = self.exchange.GetOrder(orderId)
#判断order是否为true
if (order):
#判断两边的值是否相等
if (order.Status == ORDER_STATE_PENDING):
#调用CancelOrder函数
self.exchange.CancelOrder(orderId)
#0.2秒后执行
Sleep(200)
else:
#跳出循环
break
#赋值
self.tradeOrderId = 0
tradeAmount -= order.DealAmount
tradeAmount *= 0.9
#判断两边是否相等
if (order.Status == ORDER_STATE_CANCELED):
#调用self的updateOrderBook方法
self.updateOrderBook()
#判断是否为true,如果时就进行循环
while (bull and self.bidPrice - tradePrice > 0.1):
#赋值
tradeAmount *= 0.99
tradePrice += 0.1
#判断是否为true,如果时就进行循环
while (bear and self.askPrice - tradePrice < -0.1):
tradeAmount *= 0.99
tradePrice -= 0.1
#赋值
self.numTick = 0
#函数main
def main():
#reaper 是构造函数的实例
reaperlist=[]
for coinexchange in exchanges:
reaper = LeeksReaper(coinexchange)
reaperlist.append(reaper)
reaper=None
while (True):
#通过实例调用poll方法
for coinreaper in reaperlist:
coinreaper.poll()
Sleep(TickInterval)
NO.1Các đồng tiền đa dạng có ảnh hưởng lớn đến tốc độ và yêu cầu tốc độ tần số cao.
Những đám mây nhẹĐúng vậy, tôi đã làm việc rất chăm chỉ để có thể làm được điều đó.