191 lines
7.9 KiB
Markdown
191 lines
7.9 KiB
Markdown
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> Name
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暴雪网格-724小时交易机器人每日更新实盘效果
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> Author
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红色的雪
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|base_price|3|基础价格-中线价格|
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|sale_buy_diff|0.03|买卖差价，卖出的价格- 买入的价格|
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|two_distance|0.01|递增、递减的时候，每个格子的距离|
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|trade_amount|2|每次交易的数量|
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|sale_price_max|5|卖出的上限价格|
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|buy_price_min|true|买入的上限价格|
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> Source (python)
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``` python
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#!python2
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# -*- coding:utf-8 -*-
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'''
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主要是使用发明者量化API进行网格买卖，当前只支持单品网格买卖
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'''
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from time import sleep
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import datetime,copy
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sale_price_list = [] #卖出的价格列表
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buy_price_list = [] #买入的价格列表
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class fmz_market():
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def get_data_depth(self):
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data_depth = exchange.GetDepth()
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return data_depth
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#检查当前是否可以进行买卖操作
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def make_trade_check(self,symbol):
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trade_infor = {'price':0,'trade_type':''}
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#进行买卖列表判断，先更新交易记录列表
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trade_price_list = self.get_trade_price_list(symbol)
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sale_price_list = trade_price_list[0]
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buy_price_list = trade_price_list[1]
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#获取深度数据
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data_depth = self.get_data_depth()
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#买单列表：
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data_depth_bids = data_depth.Bids[0]
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#卖单列表：
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data_depth_asks = data_depth.Asks[0]
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#如果买入记录不为空
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sale_buy_diff_now = two_distance*len(sale_price_list) if len(sale_price_list) >0 else sale_buy_diff
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sale_buy_diff_sale = two_distance if len(sale_price_list) > 0 else sale_buy_diff
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# sale_price_last = float(sale_price_list[len(sale_price_list)-1]) if len(sale_price_list) >0 else base_price
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# buy_price_last = float(buy_price_list[len(buy_price_list)-1]) if len(buy_price_list) >0 else base_price
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sale_price_last = float(sale_price_list[0]) if len(sale_price_list) > 0 and float(sale_price_list[0]) > base_price else base_price
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buy_price_last = float(buy_price_list[0]) if len(buy_price_list) > 0 and float(buy_price_list[0]) < base_price else base_price
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#判断当前价格是否满足 卖出的价格请求
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if float(data_depth_bids.Price) - sale_price_last > sale_buy_diff_sale and float(data_depth_bids.Amount) > trade_amount * 1.5:
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Log("当前卖价：",str(data_depth_bids.Price),"订单中最高卖价：",str(sale_price_last),"生成卖单")
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trade_infor['price'] = float(data_depth_bids.Price)
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trade_infor['trade_type'] = 'sale'
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#判断当前价格是否满足 买入的价格请求
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if buy_price_last - float(data_depth_asks.Price) > sale_buy_diff_now and float(data_depth_bids.Amount) > trade_amount * 1.5:
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#Log("当前买价：", str(data_depth_asks.Price), "订单中最高买价：", str(sale_price_last),"生成买单")
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trade_infor['price'] = float(data_depth_bids.Price)
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trade_infor['trade_type'] = 'buy'
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#判断当前价格是否破格，破格则置空买卖信息
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if float(data_depth_bids.Price) - sale_price_max > 0 or buy_price_min - float(data_depth_asks.Price) > 0:
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trade_infor['price'] = 0
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trade_infor['trade_type'] = ''
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timestr = (datetime.datetime.now()).strftime('%Y-%m-%d %H:%M:%S')
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Log(trade_infor,"...time：",timestr)
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if trade_infor['price'] != 0:
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#Log(trade_infor,"...time：",timestr)
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pass
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return trade_infor
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#根据委托信息生成买卖价格列表
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def get_trade_price_list(self,symbol):
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sale_list = []
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buy_list = []
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#获取所有的交易记录，根据不同的类型 分配到 买卖列表中
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orders = exchange.GetOrders()
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for i in range(len(orders)):
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if orders[i].Type == 1:
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sale_price = float(orders[i].Price)
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sale_price_bak = copy.deepcopy(sale_price)
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sale_list.append(sale_price_bak)
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if orders[i].Type == 0:
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buy_price = float(orders[i].Price)
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buy_price_bak = copy.deepcopy(buy_price)
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buy_list.append(buy_price_bak)
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#判断为0的数组进处理
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if len(sale_list) == 0:
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for i in range(len(buy_list)):
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sale_list.append(float('%.6f' % (buy_list[i] + sale_buy_diff)))
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if len(buy_list) == 0:
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for i in range(len(sale_list)):
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buy_list.append(float('%.6f' % (sale_list[i] - sale_buy_diff)))
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trade_price_list = [sale_list,buy_list]
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return trade_price_list
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#网格交易入口：
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def grid_trade_start(self,symbol):
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#进行状态获取，上涨/下跌
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# trend_status = self.kline_trend_check(symbol)
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#获取可否进行交易
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trade_infor = self.make_trade_check(symbol)
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#进行判断是否交易，判断是否可以卖出
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# if trend_status == 'is_up' and trade_infor['price'] > 0 and trade_infor['trade_type'] == 'sale':
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if trade_infor['price'] > 0 and trade_infor['trade_type'] == 'sale':
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buy_price = float('%.6f' % (trade_infor['price'] - sale_buy_diff))
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#调用下单功能,先调用卖，再调用买
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order_id = exchange.Sell(trade_infor['price'], trade_amount)
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#Log('order_id:',order_id)
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#检查下单是否成功，不成功，则直接返回
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if order_id is None:
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Log("下单失败，等待600s继续.........")
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sleep(600)
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return 0
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#检查主交易是否成功：判断卖单单是否交易成功,交易成功则进行买单下单
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for i in range(100):
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sale_orders = exchange.GetOrder(order_id)
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#Log('sale_orders:',sale_orders)
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if sale_orders.Status == 1:
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#如果卖单已成交，则进行买单提交
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exchange.Buy(buy_price, trade_amount)
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return 0
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sleep(10)
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#如果循环1000次还未成交，则取消订单
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exchange.CancelOrder(order_id)
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# 进行判断是否交易，判断是否可以买入
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if trade_infor['price'] > 0 and trade_infor['trade_type'] == 'buy':
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sale_price = float('%.6f' % (trade_infor['price'] + sale_buy_diff))
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# 调用下单功能，先调用买入，再调用卖出
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order_id = exchange.Buy(trade_infor['price'], trade_amount)
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# 检查下单是否成功，不成功，则直接返回
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if order_id is None:
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#Log("下单失败，等待600s继续.........")
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sleep(600)
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return 0
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# 检查主交易是否成功：判断买单是否交易成功,交易成功则进行卖单下单
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for i in range(100):
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buy_orders = exchange.GetOrder(order_id)
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if buy_orders.Status == 1:
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# 如果买单已成交，则进行卖单提交
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exchange.Sell(sale_price, trade_amount)
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return 0
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sleep(10)
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# 如果循环1000次还未成交，则取消订单
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exchange.CancelOrder(order_id)
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#进行循环调用
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def grid_trade_cycle(self,symbol):
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cycle_num = 0
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while(True):
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timestr = (datetime.datetime.now()).strftime('%H%M%S')
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self.grid_trade_start(symbol)
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sleep(10)
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cycle_num = cycle_num + 1
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if cycle_num % 100 == 0:
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account_infor = exchange.GetAccount()
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Log("当前用户的账号信息：%s,....当前已循环检查次数：%s"%(account_infor,str(cycle_num)))
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def main():
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Log(exchange.GetAccount())
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Log("测试")
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fmz_market_instances = fmz_market()
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fmz_market_instances.grid_trade_cycle(100)
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#order_id = exchange.Sell(10000,1)
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```
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> Detail
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https://www.fmz.com/strategy/175807
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> Last Modified
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2020-03-12 13:53:43
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