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- Python版多品种追涨杀跌策略（教学）
Python版多品种追涨杀跌策略（教学）
Author:
发明者量化-小小梦, Date: 2020-01-20 15:17:35
Tags:
Portfolio
'''backtest
start: 2019-02-20 00:00:00
end: 2020-01-10 00:00:00
period: 1m
exchanges: [{"eid":"OKEX","currency":"BTC_USDT"},{"eid":"OKEX","currency":"ETH_USDT","stocks":30},{"eid":"OKEX","currency":"LTC_USDT","stocks":100}]
'''
import time
import json
params = {
"arrBasePrice": [-1, -1, -1], # -1
"arrRatio": [0.05, 0.05, 0.05], # 0.05
"arrAcc": [], # _C(exchange.GetAccount)
"arrLastCancelAll": [0, 0, 0], # 0
"arrMinStocks": [0.01, 0.01, 0.01], # 0.01
"arrPricePrecision": [2, 2, 2], # 2
"arrAmountPrecision": [3, 2, 2], # 2
"arrTick":[]
}
def CancelAll(e):
while True :
orders = _C(e.GetOrders)
for i in range(len(orders)) :
e.CancelOrder(orders[i]["Id"], orders[i])
if len(orders) == 0 :
break
Sleep(1000)
def process(e, index):
global params
ticker = _C(e.GetTicker)
params["arrTick"][index] = ticker
if params["arrBasePrice"][index] == -1 :
params["arrBasePrice"][index] = ticker.Last
if ticker.Last - params["arrBasePrice"][index] > 0 and (ticker.Last - params["arrBasePrice"][index]) / params["arrBasePrice"][index] > params["arrRatio"][index]:
params["arrAcc"][index] = _C(e.GetAccount)
if params["arrAcc"][index].Balance * params["arrRatio"][index] / ticker.Last > params["arrMinStocks"][index]:
e.Buy(ticker.Last, params["arrAcc"][index].Balance * params["arrRatio"][index] / ticker.Last)
params["arrBasePrice"][index] = ticker.Last
if ticker.Last - params["arrBasePrice"][index] < 0 and (params["arrBasePrice"][index] - ticker.Last) / params["arrBasePrice"][index] > params["arrRatio"][index]:
params["arrAcc"][index] = _C(e.GetAccount)
if params["arrAcc"][index].Stocks * params["arrRatio"][index] > params["arrMinStocks"][index]:
e.Sell(ticker.Last, params["arrAcc"][index].Stocks * params["arrRatio"][index])
params["arrBasePrice"][index] = ticker.Last
ts = time.time()
if ts - params["arrLastCancelAll"][index] > 60 * 5 :
CancelAll(e)
params["arrLastCancelAll"][index] = ts
def main():
global params
for i in range(len(exchanges)) :
params["arrAcc"].append(_C(exchanges[i].GetAccount))
params["arrTick"].append(_C(exchanges[i].GetTicker))
exchanges[i].SetPrecision(params["arrPricePrecision"][i], params["arrAmountPrecision"][i])
for key in params :
if len(params[key]) < len(exchanges):
raise "params error!"
while True:
tblAcc = {
"type" : "table",
"title": "account",
"cols": ["账户信息"],
"rows": []
}
tblTick = {
"type" : "table",
"title": "ticker",
"cols": ["行情信息"],
"rows": []
}
for i in range(len(exchanges)):
process(exchanges[i], i)
for i in range(len(exchanges)):
tblAcc["rows"].append([json.dumps(params["arrAcc"][i])])
tblTick["rows"].append([json.dumps(params["arrTick"][i])])
LogStatus(_D(), "\n`" + json.dumps([tblAcc, tblTick]) + "`")
Sleep(500)
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