暴雪网格-724小时交易机器人每日更新实盘效果.md

Name

暴雪网格-724小时交易机器人每日更新实盘效果

Author

红色的雪

Strategy Arguments

Argument	Default	Description
base_price	3	基础价格-中线价格
sale_buy_diff	0.03	买卖差价，卖出的价格- 买入的价格
two_distance	0.01	递增、递减的时候，每个格子的距离
trade_amount	2	每次交易的数量
sale_price_max	5	卖出的上限价格
buy_price_min	true	买入的上限价格

Source (python)

#!python2
# -*- coding:utf-8 -*-
'''
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
'''
from time import sleep
import datetime,copy

sale_price_list = [] #卖出的价格列表
buy_price_list = []  #买入的价格列表

class fmz_market():
    def get_data_depth(self):
        data_depth = exchange.GetDepth()
        return data_depth



    #检查当前是否可以进行买卖操作
    def make_trade_check(self,symbol):
        trade_infor = {'price':0,'trade_type':''}
        #进行买卖列表判断，先更新交易记录列表
        trade_price_list = self.get_trade_price_list(symbol)
        sale_price_list = trade_price_list[0]
        buy_price_list = trade_price_list[1]
        #获取深度数据
        data_depth = self.get_data_depth()
        #买单列表：
        data_depth_bids = data_depth.Bids[0]
        #卖单列表：
        data_depth_asks = data_depth.Asks[0]
        #如果买入记录不为空
        sale_buy_diff_now = two_distance*len(sale_price_list) if len(sale_price_list) >0 else sale_buy_diff
        sale_buy_diff_sale = two_distance if len(sale_price_list) > 0 else sale_buy_diff
        # sale_price_last = float(sale_price_list[len(sale_price_list)-1]) if len(sale_price_list) >0 else base_price
        # buy_price_last = float(buy_price_list[len(buy_price_list)-1]) if len(buy_price_list) >0 else base_price
        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
        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
        #判断当前价格是否满足 卖出的价格请求
        if float(data_depth_bids.Price) - sale_price_last > sale_buy_diff_sale and float(data_depth_bids.Amount) > trade_amount * 1.5:
            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")
            trade_infor['price'] = float(data_depth_bids.Price)
            trade_infor['trade_type'] = 'sale'
        #判断当前价格是否满足 买入的价格请求
        if  buy_price_last - float(data_depth_asks.Price) > sale_buy_diff_now and float(data_depth_bids.Amount) > trade_amount * 1.5:
            #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")
            trade_infor['price'] = float(data_depth_bids.Price)
            trade_infor['trade_type'] = 'buy'
        #判断当前价格是否破格，破格则置空买卖信息
        if float(data_depth_bids.Price) - sale_price_max > 0 or buy_price_min - float(data_depth_asks.Price) > 0:
            trade_infor['price'] = 0
            trade_infor['trade_type'] = ''
        timestr = (datetime.datetime.now()).strftime('%Y-%m-%d %H:%M:%S')
        Log(trade_infor,"...time：",timestr)
        if trade_infor['price'] != 0:
            #Log(trade_infor,"...time：",timestr)
            pass
        return trade_infor

    #根据委托信息生成买卖价格列表
    def get_trade_price_list(self,symbol):
        sale_list = []
        buy_list = []
        #获取所有的交易记录，根据不同的类型 分配到 买卖列表中
        orders = exchange.GetOrders()
        for i in range(len(orders)):
            if orders[i].Type == 1:
                sale_price = float(orders[i].Price)
                sale_price_bak = copy.deepcopy(sale_price)
                sale_list.append(sale_price_bak)
            if orders[i].Type == 0:
                buy_price = float(orders[i].Price)
                buy_price_bak = copy.deepcopy(buy_price)
                buy_list.append(buy_price_bak)
        #判断为0的数组进处理
        if len(sale_list) == 0:
            for i in range(len(buy_list)):
                sale_list.append(float('%.6f' % (buy_list[i] + sale_buy_diff)))
        if len(buy_list) == 0:
            for i in range(len(sale_list)):
                buy_list.append(float('%.6f' % (sale_list[i] - sale_buy_diff)))
        trade_price_list = [sale_list,buy_list]
        return trade_price_list

    #网格交易入口：
    def grid_trade_start(self,symbol):
        #进行状态获取，上涨/下跌
        # trend_status = self.kline_trend_check(symbol)
        
        #获取可否进行交易
        trade_infor = self.make_trade_check(symbol)
        #进行判断是否交易，判断是否可以卖出
        # if trend_status == 'is_up' and trade_infor['price'] > 0 and trade_infor['trade_type'] == 'sale':
        if trade_infor['price'] > 0 and trade_infor['trade_type'] == 'sale':
            buy_price = float('%.6f' % (trade_infor['price'] - sale_buy_diff))
            #调用下单功能,先调用卖，再调用买
            order_id = exchange.Sell(trade_infor['price'], trade_amount)
            #Log('order_id:',order_id)
            #检查下单是否成功，不成功，则直接返回
            if order_id is None:
                Log("下单失败，等待600s继续.........")
                sleep(600)
                return 0
            #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
            for i in range(100):
                sale_orders = exchange.GetOrder(order_id)
                #Log('sale_orders:',sale_orders)
                if sale_orders.Status == 1:
                    #如果卖单已成交，则进行买单提交
                    exchange.Buy(buy_price, trade_amount)
                    return 0
                sleep(10)
            #如果循环1000次还未成交，则取消订单
            exchange.CancelOrder(order_id)
        # 进行判断是否交易，判断是否可以买入
        if trade_infor['price'] > 0 and trade_infor['trade_type'] == 'buy':
            sale_price = float('%.6f' % (trade_infor['price'] + sale_buy_diff))
            # 调用下单功能，先调用买入，再调用卖出
            order_id = exchange.Buy(trade_infor['price'], trade_amount)
            # 检查下单是否成功，不成功，则直接返回
            if order_id is None:
                #Log("下单失败，等待600s继续.........")
                sleep(600)
                return 0
            # 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
            for i in range(100):
                buy_orders = exchange.GetOrder(order_id)
                if buy_orders.Status == 1:
                    # 如果买单已成交，则进行卖单提交
                    exchange.Sell(sale_price, trade_amount)
                    return 0
                sleep(10)
            # 如果循环1000次还未成交，则取消订单
            exchange.CancelOrder(order_id)

    #进行循环调用
    def grid_trade_cycle(self,symbol):
        cycle_num = 0
        while(True):
            timestr = (datetime.datetime.now()).strftime('%H%M%S')
            self.grid_trade_start(symbol)
            sleep(10)
            cycle_num = cycle_num + 1
            if cycle_num % 100 == 0:
                account_infor = exchange.GetAccount()
                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)))

def main():
    Log(exchange.GetAccount())
    Log("测试")
    fmz_market_instances = fmz_market()
    fmz_market_instances.grid_trade_cycle(100)
    #order_id = exchange.Sell(10000,1)

Detail

https://www.fmz.com/strategy/175807

Last Modified

2020-03-12 13:53:43