参考大神策略灵感，请大家批评指正。
'''backtest
start: 2024-11-19 00:00:00
end: 2024-12-18 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"TRB_USDT"},{"eid":"OKX","currency":"TRB_USDT"}]
'''
import time
import json
# 全局变量定义
depthA = depthB = None
timeBegin = timeEnd = None
askPriceA = bidPriceA = askAmountA = bidAmountA = 0
askPriceB = bidPriceB = askAmountB = bidAmountB = 0
minAmount = 20 # 最小下单量
feeA = 0.0020 # Huobi 手续费
feeB = 0.0010 # Binance 手续费
fees = None
minProfit = 0.0002 # 最小利润
notDealAmountA = notDealAmountB = None
accountA = accountB = None
initAccountA = initAccountB = None
maxDeltaAmount = 100 # 最大可容忍币偏差
dealAmountA = 0
dealAmountB = 0
safeAmount = 800 # 安全最大成交量
profit = None
maxTime = 150 # 最大延迟过滤
accountBNB = None
reload = False
# 初始化函数
def init():
global fees, initAccountA, initAccountB, accountA, accountB
try:
fees = feeA + feeB
initAccountA = _G("initAccountA")
initAccountB = _G("initAccountB")
if initAccountA is None or initAccountB is None:
initAccountA = _C(exchanges[0].GetAccount)
initAccountB = _C(exchanges[1].GetAccount)
_G("initAccountA", initAccountA)
_G("initAccountB", initAccountB)
Log("账号初值初始化成功")
else:
Log("继承初值数据成功")
accountA = initAccountA
accountB = initAccountB
except Exception as e:
Log("初始化失败 请重启:", e)
# 规范化深度数据
def legalize_depth(depthA, depthB):
global askPriceA, bidPriceA, askAmountA, bidAmountA
global askPriceB, bidPriceB, askAmountB, bidAmountB
askPriceA = bidPriceA = askAmountA = bidAmountA = 0
askPriceB = bidPriceB = askAmountB = bidAmountB = 0
for ask in depthA[0]["Asks"]:
askPriceA = ask["Price"]
askAmountA += ask["Amount"]
if askAmountA >= minAmount:
break
for bid in depthA[0]["Bids"]:
bidPriceA = bid["Price"]
bidAmountA += bid["Amount"]
if bidAmountA >= minAmount:
break
for ask in depthB[0]["Asks"]:
askPriceB = ask["Price"]
askAmountB += ask["Amount"]
if askAmountB >= minAmount:
break
for bid in depthB[0]["Bids"]:
bidPriceB = bid["Price"]
bidAmountB += bid["Amount"]
if bidAmountB >= minAmount:
break
# 取消所有挂单
def cancel_all_orders():
global dealAmountA, dealAmountB
orders = _C(exchanges[0].GetOrders)
for order in orders:
exchanges[0].CancelOrder(order["Id"])
Log("成交:", order["DealAmount"], "未成交:", order["Amount"] - order["DealAmount"])
dealAmountA -= order["Amount"] - order["DealAmount"]
orders = _C(exchanges[1].GetOrders)
for order in orders:
exchanges[1].CancelOrder(order["Id"])
Log("成交:", order["DealAmount"], "未成交:", order["Amount"] - order["DealAmount"])
dealAmountB -= order["Amount"] - order["DealAmount"]
# 检查余额
def check_balance():
global accountA, accountB, dealAmountA, dealAmountB
cancel_all_orders()
deltaStocks = (initAccountA["Stocks"] + initAccountA["FrozenStocks"] + initAccountB["Stocks"] + initAccountB["FrozenStocks"]
- accountA["Stocks"] - accountA["FrozenStocks"] - accountB["Stocks"] - accountB["FrozenStocks"])
deltaStocks = round(deltaStocks, 0)
if deltaStocks < -maxDeltaAmount: # 仓位过重
if askPriceA > askPriceB and accountA["Stocks"] > -deltaStocks:
exchanges[0].Sell(askPriceA, -deltaStocks)
dealAmountA += -deltaStocks
else:
exchanges[1].Sell(askPriceB, -deltaStocks)
dealAmountB += -deltaStocks
return True
if deltaStocks > maxDeltaAmount: # 仓位过轻
if bidPriceA < bidPriceB and accountA["Balance"] * 0.999 / bidPriceA > deltaStocks:
exchanges[0].Buy(bidPriceA, deltaStocks)
dealAmountA += deltaStocks
else:
exchanges[1].Buy(bidPriceB, deltaStocks)
dealAmountB += deltaStocks
return True
return False
# 更新利润
def update_profit():
global profit
profit = (
accountA["Balance"] + accountB["Balance"] + accountA["FrozenBalance"] + accountB["FrozenBalance"]
+ (accountA["Stocks"] + accountA["FrozenStocks"] + accountB["Stocks"] + accountB["FrozenStocks"]
- initAccountA["Stocks"] - initAccountA["FrozenStocks"] - initAccountB["Stocks"] - initAccountB["FrozenStocks"]) * askPriceA
- (initAccountA["Balance"] + initAccountA["FrozenBalance"] + initAccountB["Balance"] + initAccountB["FrozenBalance"]))
return profit
# 检查套利机会
def check_opportunity():
global dealAmountA, dealAmountB, accountA, accountB, diff_A, diff_B
diff_A = bidPriceB - askPriceA # A交易所买 -> B交易所卖
diff_B = bidPriceA - askPriceB # B交易所买 -> A交易所卖
if diff_A > 0 and diff_A > (minProfit + fees) * askPriceA:
maxBuyAmount = min(accountA["Balance"] / askPriceA * 0.98, askAmountA)
maxSellAmount = min(accountB["Stocks"], bidAmountB)
amount = min(maxBuyAmount, maxSellAmount, safeAmount)
amount = round(amount, 0)
if amount >= minAmount:
Log("huobi -> binance", amount)
exchanges[0].Buy(askPriceA, amount)
exchanges[1].Sell(bidPriceB, amount)
time.sleep(3)
dealAmountA += amount
dealAmountB += amount
accountA = _C(exchanges[0].GetAccount)
accountB = _C(exchanges[1].GetAccount)
Log("利润更新:", update_profit())
if diff_B > 0 and diff_B > (minProfit + fees) * askPriceB:
maxBuyAmount = min(accountB["Balance"] / askPriceB * 0.98, askAmountB)
maxSellAmount = min(accountA["Stocks"], bidAmountA)
amount = min(maxBuyAmount, maxSellAmount, safeAmount)
amount = round(amount, 0)
if amount >= minAmount:
Log("binance -> huobi", amount)
exchanges[1].Buy(askPriceB, amount)
exchanges[0].Sell(bidPriceA, amount)
time.sleep(3)
dealAmountA += amount
dealAmountB += amount
accountA = _C(exchanges[0].GetAccount)
accountB = _C(exchanges[1].GetAccount)
Log("利润更新:", update_profit())
def main():
global initAccountA, initAccountB
if reload == True:
initAccountA = _C(exchanges[0].GetAccount)
initAccountB = _C(exchanges[1].GetAccount)
_G("initAccountA", initAccountA)
_G("initAccountB", initAccountB)
init()
checkBalanceCount = 60
while True:
accountA = exchanges[0].GetAccount()
accountB = exchanges[1].GetAccount()
timeBegin = int(time.time() * 1000)
depthA = exchanges[0].Go("GetDepth")
depthB = exchanges[1].Go("GetDepth")
depthA = depthA.wait()
depthB = depthB.wait()
timeEnd = int(time.time() * 1000)
# 真实交易，去除205-208注释
#if timeEnd - timeBegin > maxTime:
# continue # 延迟超过 maxTime 毫秒就放弃当组数据
#if depthA is None or depthB is None or accountA is None or accountB is None:
# continue
legalize_depth(depthA, depthB)
if checkBalanceCount >= 60:
checkBalanceCount = 0
if check_balance():
continue
else:
checkBalanceCount += 1
check_opportunity()
# 数据可视化操作
table = {
'type': 'table',
'title': '持仓操作',
'cols': ['交易所', '初始余额', '初始币数', '当前余额', '当前币数', '成交量'],
'rows': [
['huobi', initAccountA.Balance + initAccountA.FrozenBalance, initAccountA.Stocks + initAccountA.FrozenStocks,
accountA.Balance + accountA.FrozenBalance, accountA.Stocks + accountA.FrozenStocks, dealAmountA],
['binance', initAccountB.Balance + initAccountB.FrozenBalance, initAccountB.Stocks + initAccountB.FrozenStocks,
accountB.Balance + accountB.FrozenBalance, accountB.Stocks + accountB.FrozenStocks, dealAmountB],
['合计', initAccountA.Balance + initAccountB.Balance, initAccountA.Stocks + initAccountB.Stocks,
accountA.Balance + accountA.FrozenBalance + accountB.Balance + accountB.FrozenBalance,
accountA.Stocks + accountA.FrozenStocks + accountB.Stocks + accountB.FrozenStocks, dealAmountA + dealAmountB],
['huobi盘口', askPriceA, askAmountA, bidPriceA, bidAmountA, ''],
['binance盘口', askPriceB, askAmountB, bidPriceB, bidAmountB, ''],
['收益:', str(_N(update_profit(), 8)) + '#FF0000', '', '', ''],
['收益率', str(_N(100 * profit / (initAccountA.Balance + initAccountA.FrozenBalance + initAccountB.Balance + initAccountB.FrozenBalance), 6)) + '%' + '#FF0000', '', '', '', ''],
['总延迟', timeEnd - timeBegin, '', '', '', ''],
['最后更新时间', _D(), '', '', '', ''],
]
}
LogStatus('`' + json.dumps(table) + '`')
time.sleep(10)