> 策略名称
三角套利-基础版
> 策略作者
红色的雪
> 源码 (python)
``` python
#!python2
# -*- coding:utf-8 -*-
from time import sleep
Q3 = 0.5
tax = 0.0015 #交易费率，0.15%
class fmz_market():
# 基础行情数据处理,根据传入的交易对，获取数据，返回行情dict
def basic_data_handle(self, pair):
pair_depth = {'sale_volume': 0, 'sale_price': 0, 'buy_volume': 0, 'buy_price': 0}
depth = exchanges[pair].GetDepth()
asks_infor = depth.Asks[0]
bids_infor = depth.Bids[0]
pair_depth['sale_volume'] = asks_infor.Amount
pair_depth['sale_price'] = asks_infor.Price
pair_depth['buy_volume'] = bids_infor.Amount
pair_depth['buy_price'] = bids_infor.Price
#Log(pair_depth)
return pair_depth
#进行参数计算
def profit_calculation(self):
profit_obtain = 0
#先获取行情数据
P1_depth = self.basic_data_handle(0)
P2_depth = self.basic_data_handle(1)
P3_depth = self.basic_data_handle(2)
#买一价格整理
p1_sale_price =float(P1_depth['sale_price'])
p1_buy_price = float(P1_depth['buy_price'])
p2_sale_price = float(P2_depth['sale_price'])
p2_buy_price = float(P2_depth['buy_price'])
p3_sale_price = float(P3_depth['sale_price'])
p3_buy_price = float(P3_depth['buy_price'])
#深度数据整理
p1_sale_volume = fl
