应某位坛友请求，改成了多品种版（参数还是统一的参数，若有各币种不同参数的需求，请自己改）
'''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.1 多币种对速度影响挺大，高频速度要求高
轻轻的云 超赞！！！！ 甭说别的，就这么多注释，就超赞！！！辛苦了[抱拳]！！！