基于Python实现的简单网格策略交易源码+使用说明.zip

#!/usr/bin/env python3 # -*- coding: utf-8 -*- import json import logging import time from concurrent.futures import ThreadPoolExecutor, wait, ALL_COMPLETED from decimal import Decimal from kucoin.client import Trade from kucoin.client import Market def log_setting(): logging.basicConfig(filename='log.log', format='%(asctime)s - %(levelname)s - %(module)s - %(lineno)d: %(message)s', datefmt='%Y-%m-%d %H:%M:%S %p', level=logging.INFO) class Grid(object): def __init__(self): # read configuration from json file with open('config.json', 'r') as file: config = json.load(file) self.api_key = config['api_key'] self.api_secret = config['api_secret'] self.api_passphrase = config['api_passphrase'] self.sandbox = config['is_sandbox'] self.symbol = config['symbol'] self.leverage = config['leverage'] self.size = config['size'] self.depth = config['depth'] self.market = Market(self.api_key, self.api_secret, self.api_passphrase, is_sandbox=self.sandbox) self.trade = Trade(self.api_key, self.api_secret, self.api_passphrase, is_sandbox=self.sandbox) self.tick_size = 0 self.best_ask = 0 self.best_bid = 0 self.diff = 0 self.max_ask = 0 self.max_bid = 0 self.precision = 0 self.ask_list = {} self.bid_list = {} def get_symbol(self): symbols = self.market.get_symbol_list() ks = {} for s in symbols: if s.get('symbol') and s.get('symbol') == self.symbol: ks = s if ks: self.tick_size = Decimal(ks['priceIncrement']) self.diff = Decimal(self.tick_size * self.depth) self.precision = int(1 / Decimal(ks['baseIncrement'])) logging.debug('tick_size = %s, precision = %s', self.tick_size, self.precision) def get_market_price(self): try: r = self.market.get_ticker(self.symbol) if 'bestAsk' in r.keys(): self.best_ask = Decimal(r['bestAsk']) self.max_ask = Decimal(self.best_ask + self.diff).quantize(Decimal("0.00")) else: return if 'bestBid' in r.keys(): self.best_bid = Decimal(r['bestBid']) self.max_bid = Decimal(self.best_bid - self.diff).quantize(Decimal("0.00")) else: return logging.debug('最新卖价格 = %s' % self.best_ask) logging.debug('最新买价格 = %s' % self.best_bid) except Exception as e: logging.error(e) time.sleep(5) def cancel_order(self, order_id, side): try: oi = self.trade.get_order_details(order_id) if oi['isActive']: self.trade.cancel_order(order_id) if side == 'sell': del self.ask_list[order_id] elif side == 'buy': del self.bid_list[order_id] except Exception as e: logging.error('该订单状态不可撤回 side = %s, order_id = %s' % (side, order_id)) logging.error(e) def ask_maker(self, p): try: price = int(p * 100) / 100 ask = self.trade.create_limit_order(self.symbol, 'sell', self.size, float(price)) logging.debug('当前盘口价格 = %s,在交易对 %s 以数量= %s,价格= %s,创建了卖单,卖单ID = %s' % (self.best_ask, self.symbol, self.size, float(price), ask['orderId'])) self.ask_list[ask['orderId']] = { 'price': p } except Exception as e: logging.error(e) def bid_maker(self, p): try: price = int(p * 100) / 100 bid = self.trade.create_limit_order(self.symbol, 'buy', self.size, float(price)) logging.debug('当前盘口价格 = %s,在交易对 %s 以数量= %s,价格= %s,创建了买单,卖单ID = %s' % (self.best_ask, self.symbol, self.size, float(price), bid['orderId'])) self.bid_list[bid['orderId']] = { 'price': p } except Exception as e: logging.error(e) if __name__ == '__main__': log_setting() grid = Grid() grid.get_symbol() executor = ThreadPoolExecutor(max_workers=5) all_task = [] while grid.tick_size > 0: grid.get_market_price() if grid.best_bid <= 0 or grid.best_ask <= 0: logging.error('best_bid or best_ask error') time.sleep(5) continue logging.info('len(grid.ask_list) = %s' % len(grid.ask_list)) logging.info('len(grid.bid_list) = %s' % len(grid.bid_list)) for k, v in (grid.ask_list.items()): if v['price'] < grid.best_ask or v['price'] >= grid.max_ask: task = executor.submit(grid.cancel_order, k, 'sell') all_task.append(task) wait(all_task, return_when=ALL_COMPLETED) all_task.clear() for k, v in (grid.bid_list.items()): if v['price'] > grid.best_bid or v['price'] <= grid.max_bid: task = executor.submit(grid.cancel_order, k, 'buy') all_task.append(task) wait(all_task, return_when=ALL_COMPLETED) all_task.clear() logging.info('len(grid.ask_list) = %s' % len(grid.ask_list)) logging.info('len(grid.bid_list) = %s' % len(grid.bid_list)) ask_price = grid.best_ask bid_price = grid.best_bid for i in range(0, grid.depth): ask_price = Decimal(grid.best_ask + grid.tick_size * Decimal(i)).quantize(Decimal("0.00")) flag = 0 for k, v in (grid.ask_list.items()): if ask_price == v['price']: flag = 1 if flag == 0: task = executor.submit(grid.ask_maker, ask_price) all_task.append(task) wait(all_task, return_when=ALL_COMPLETED) all_task.clear() for i in range(0, grid.depth): bid_price = Decimal(grid.best_bid - grid.tick_size * Decimal(i)).quantize(Decimal("0.00")) flag = 0 for k, v in (grid.bid_list.items()): if bid_price == v['price']: flag = 1 if flag == 0: task = executor.submit(grid.bid_maker, bid_price) all_task.append(task) wait(all_task, return_when=ALL_COMPLETED) all_task.clear() logging.info('len(grid.ask_list) = %s' % len(grid.ask_list)) logging.info('len(grid.bid_list) = %s' % len(grid.bid_list))