策略名称
python版现货数字货币交易类库
策略作者
小小梦
策略描述
现货数字货币交易类库（python版）
策略参数
| 参数 | 默认值 | 描述 |
|---|---|---|
| OpMode | 0 | 下单方式: 吃单 |
| MaxSpace | 0.5 | 挂单失效距离 |
| SlidePrice | 0.1 | 下单滑动价 |
| MaxAmount | 0.8 | 开仓单次最大下单量 |
| RetryDelay | 500 | 失败重试毫秒 |
| MAType | 0 | 均线类型: TA.EMA |
| _GetMinStocks | 0.01 | 最小交易量 |
源码 (python)
import types # 导入类型模块
import time # 导入时间模块
import platform # 版本信息
versionMainValue = None
isFirstCheck = True
def typeOfstr(str):
if str == "list":
if versionMainValue == 2:
return types.ListType
elif versionMainValue == 3:
return list
elif str == "int":
if versionMainValue == 2:
return types.IntType
elif versionMainValue == 3:
return int
elif str == "float":
if versionMainValue == 2:
return types.FloatType
elif versionMainValue == 3:
return float
else:
Log("error , typeOfstr used false")
def CheckVersion():
global versionMainValue,isFirstCheck
platformInfo = platform.python_version()
if platformInfo[0] == '2':
Log("您使用的托管者 python编译环境的python版本是",platformInfo)
versionMainValue = 2
elif platformInfo[0] == '3':
Log("您使用的托管者 python编译环境的python版本是",platformInfo)
versionMainValue = 3
else:
Log("其它版本")
isFirstCheck = False
def CancelPendingOrders(e, orderType = "") : # 取消所有未完成挂单
while True: # 循环
orders = e.GetOrders()
LogStatus("orders:",orders,time.time()) # 测试
if(type(orders) != typeOfstr("list")):
Sleep(RetryDelay)
continue
processed = 0
for j in range(len(orders)):
if (type(orderType) == typeOfstr("int") and orders[j].Type != orderType):
continue
e.CancelOrder(orders[j].Id,orders[j])
processed += 1
if (j < (len(orders) - 1)):
Sleep(RetryDelay)
if(processed == 0):
break
def GetAccount(e, waitFrozen = False):
account = null
alreadyAlert = False
while True:
account = _C(e.GetAccount)
if(not waitFrozen or (account.FrozenStocks < _GetMinStocks and account.FrozenBalance < 0.01)):
break
if(not alreadyAlert):
alreadyAlert = True
Log("发现账户有冻结的钱或币",account)
Sleep(RetryDelay)
return account
def StripOrders(e,orderId = null):
order = null
while True:
dropped = 0
orders = _C(e.GetOrders)
for i in range(len(orders)):
if(orders[i].Id == orderId):
order = orders[i]
else:
extra = ""
if(orders[i].DealAmount > 0):
extra = "成交：" + str(orders[i].DealAmount)
else:
extra = "未成交"
e.CancelOrder(orders[i].Id,"买单" if orders[i].Type == ORDER_TYPE_BUY else "卖单",extra)
dropped += 1
if(dropped == 0):
break
Sleep(RetryDelay)
return order
def Trade(e,tradeType,tradeAmount,mode,slidePrice,maxAmount,maxSpace,retryDelay):
initAccount = GetAccount(e,True)
nowAccount = initAccount
orderId = null
prePrice = 0.0
dealAmount = 0.0
diffMoney = 0.0
isFirst = True
tradeFunc = e.Buy if tradeType == ORDER_TYPE_BUY else e.Sell
isBuy = (tradeType == ORDER_TYPE_BUY)
while True:
ticker = _C(e.GetTicker)
tradePrice = 0.0
if(isBuy):
tradePrice = _N((ticker.Sell if mode == 0 else ticker.Buy) + slidePrice,4)
else:
tradePrice = _N((ticker.Buy if mode == 0 else ticker.Sell) - slidePrice,4)
if(not orderId):
if(isFirst):
isFirst = False
else:
nowAccount = GetAccount(e,True)
doAmount = 0.0;
if(isBuy):
diffMoney = _N(initAccount.Balance - nowAccount.Balance,4)
dealAmount = _N(nowAccount.Stocks - initAccount.Stocks,4)
doAmount = min(maxAmount,tradeAmount - dealAmount,_N((nowAccount.Balance - 10) / tradePrice,4))
else:
diffMoney = _N(nowAccount.Balance - initAccount.Balance,4)
dealAmount = _N(initAccount.Stocks - nowAccount.Stocks,4)
doAmount = min(maxAmount,tradeAmount - dealAmount,nowAccount.Stocks)
if(doAmount < _GetMinStocks):
break
prePrice = tradePrice
orderId = tradeFunc(tradePrice,doAmount,ticker)
if(not orderId):
CancelPendingOrders(e,tradeType)
else:
if(mode == 0 or (abs(tradePrice - prePrice) > maxSpace)):
orderId = null
order = StripOrders(e,orderId)
if(not order):
orderId = null
Sleep(retryDelay)
if(dealAmount <= 0):
Log("交易失败--TradeType:","buy" if tradeType == ORDER_TYPE_BUY else "sell"," ,diffMoney:",diffMoney," ,dealAmount",dealAmount," ,doAmount",doAmount)
return null
ret = {'price': _N(diffMoney/dealAmount,4),'amount':dealAmount}
return ret
# 调用时 这样写 ret['price'] 、 ret['amount']
def _Buy(e = exchange,amount = 0):
if isFirstCheck:
CheckVersion()
if (type(e) == typeOfstr("int") or type(e) == typeOfstr("float")):
amount = e
e = exchange
return Trade(e,ORDER_TYPE_BUY,amount,OpMode,SlidePrice,MaxAmount,MaxSpace,RetryDelay)
def _Sell(e = exchange,amount = 0):
if isFirstCheck:
CheckVersion()
if (type(e) == typeOfstr("int") or type(e) == typeOfstr("float")):
amount = e
e = exchange
return Trade(e,ORDER_TYPE_SELL,amount,OpMode,SlidePrice,MaxAmount,MaxSpace,RetryDelay)
def _CancelPendingOrders(e = exchange,orderType = ""):
if isFirstCheck:
CheckVersion()
return CancelPendingOrders(e,orderType)
def _GetAccount(e = exchange):
if isFirstCheck:
CheckVersion()
return _C(e.GetAccount)
_MACalcMethod = [TA.EMA,TA.MA][MAType]
Interval = 200
def Cross(a,b):
if isFirstCheck:
CheckVersion()
crossNum = 0
arr1 = []
arr2 = []
if type(a) == typeOfstr("list") and type(b) == typeOfstr("list"):
arr1 = a
arr2 = b
else:
records = null
while True:
records = exchange.GetRecords()
if records and len(records) > a and len(records) > b:
break
Sleep(Interval)
arr1 = _MACalcMethod(records,a)
arr2 = _MACalcMethod(records,b)
if len(arr1) != len(arr2):
raise Exception("array length not equal")
for i in range(len(arr1) - 1,-1,-1):
if (type(arr1[i]) != typeOfstr("int") and type(arr1[i]) != typeOfstr("float")) or (type(arr2[i]) != typeOfstr("int") and type(arr2[i]) != typeOfstr("float")):
break
if arr1[i] < arr2[i] :
if crossNum > 0 :
break
crossNum -= 1
elif arr1[i] > arr2[i] :
if crossNum < 0 :
break
crossNum += 1
else:
break
return crossNum
# 导出函数
ext.Buy = _Buy
ext.Sell = _Sell
ext.CancelPendingOrders = _CancelPendingOrders
ext.GetAccount = _GetAccount
ext.Cross = Cross
# 测试
def main():
ret = ext.Buy(0.2)
exchange.Sell(4500,1)
Sleep(10 * 1000)
ext.CancelPendingOrders()
Log("ret:",ret)
avgprice = ret['price']
dealamount = ret['amount']
Log("avgprice:",avgprice," dealamount:",dealamount)策略出处
https://www.fmz.com/strategy/21104
更新时间
2017-10-20 18:02:17