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BTCUSDT量化交易执行体.md

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Name

BTCUSDT量化交易执行体

Author

zomo

Strategy Description

https://github.com/Find-Dream/BTCUSDT

目前仅支持欧易API接口，BTCUSDT永续合约交易，量化交易追求的是稳定收益，所以请勿设置高杠杆，建议杠杆倍数在5倍及以下。

  • Windows版本为界面版，下载后首先通过set_api配置交易所API，然后再运行btcusdt程序开始自动交易即可；
  • Python源代码界面版可运行在任意桌面版的操作系统上，只要安装并配置好Python环境即可，推荐使用Python3.7.7版本，需要安装requests库，使用方法与Windows版本为界面版类似；
  • Python源代码命令行版可运行在任意操作系统上，只要安装并配置好Python环境即可，推荐使用Python3.7.7版本，需要安装requests库，通过手动修改okex_api.json文件配置交易所API，在CentOS下通过以下命令可以使执行体在后台自动执行：
nohup python3 start.py &

通过以下命令终止进程，停止交易：

ps -aux | grep start.py
kill -9 获取到的进程号

API注意事项：

  • 如果你不是运行在固定IP的云主机上的话，请不要设置绑定IP，否则无法使用；
  • 为了你的账号安全申请API时，请勾选只读和交易权限，请勿勾选提现权限；
  • okex_api.json中的flag为交易盘选项，0为真实盘，1为模拟盘；

常见问题

开始交易后卡住不动
  • API设置不正确，请检查API是否配置正确，真实盘和模拟盘的API是不同的，需要分别设置；
  • 国内网络无法访问交易所，请使用境外云主机运行执行体，推荐使用香港云主机；
  • 请勿在国内使用翻墙软件开启执行体，由于兼容性的问题，使用翻墙软件很大概率会无法运行；

Source (python)

from okex.trade import trade,pos_info,acc_info,select_last
import okex.api as api
import okex.Trade_api as Trade
import time
import json
from okex.log import log

# 策略源码完整版下载地址 https://github.com/Find-Dream/BTCUSDT

def main():
    nowtime = time.time()
    st = time.localtime(nowtime)
    update = time.strftime('%Y-%m-%d',st)
    filenamedate = time.strftime('%Y%m%d',st)
    logfilename = 'mark_'+ str(filenamedate)

    log(logfilename,'========================【获取基础信息开始】========================')

    btcusdt_api_data = api.btcusdt_api()

    log(logfilename,'btcusdt_api_data：'+str(btcusdt_api_data))

    btcusdt_api = btcusdt_api_data['rule']
    log(logfilename,'btcusdt_api'+str(btcusdt_api))

    pos_api = btcusdt_api_data['pos']
    log(logfilename,'pos_api'+str(pos_api))

    pos_okex = {}
    acc_okex = {}
    try:
        acc_api = api.select_acc()
        log(logfilename,'读取本地保存的账户信息'+str(acc_api))
    except:
        acc_okex['lever'] = 1


    acc_info_data = acc_info()[0]['details']


    for i in acc_info_data:
        if i['ccy'] == 'USDT':
            acc_okex['ccy'] = i['cashBal']
            log(logfilename,'读取接口账户余额'+str(i['cashBal']))

    for i in pos_info():
        if i['mgnMode'] == 'cross' and i['posSide'] == 'long':
            pos_okex['long'] = i['pos']
            if i['pos'] != '0':
                acc_okex['lever'] = i['lever']
                log(logfilename,'读取接口long账户杠杆倍数：'+str(i['lever']))
            else:
                acc_okex['lever'] = acc_api['lever']
                log(logfilename,'读取本地long账户杠杆倍数：'+str(acc_api['lever']))
        elif i['mgnMode'] == 'cross' and i['posSide'] == 'short':
            pos_okex['short'] = i['pos']
            if i['pos'] != '0':
                acc_okex['lever'] = i['lever']
                log(logfilename,'读取接口short账户杠杆倍数：'+str(i['lever']))
            

    api.set_acc(json.dumps(acc_okex))
    log(logfilename,'写入本地账户信息：'+str(acc_okex))
    last = float(select_last())
    log(logfilename,'读取当前价格：'+str(last))

    max_sz = int(float(acc_okex['ccy']) * float(acc_okex['lever']) / last * 100)
    log(logfilename,'最大交易量：'+str(max_sz))

    sz_r = max_sz / 20
    log(logfilename,'交易量系数：'+str(sz_r))

    pos_api_id = int(btcusdt_api['id'])
    pos_api_posSide = btcusdt_api['posside']
    pos_api_side = btcusdt_api['side']
    pos_api_sz = int(int(btcusdt_api['sz']) * sz_r)
    pos_api_uptime = int(btcusdt_api['uptime'])
    pos_api_long = int(int(pos_api['long']) * sz_r)
    pos_api_short = int(int(pos_api['short']) * sz_r)

    log(logfilename,'pos_api_long：'+str(pos_api_long)+',pos_api_short:'+str(pos_api_short)+',pos_api_sz:'+str(pos_api_sz))
    log(logfilename,'本地仓位信息pos_okex：'+str(pos_okex))


    try:
        pos_log_done = int(api.pos_log_done())
    except:
        pos_log_done = api.pos_log_done()
    
    log(logfilename,'pos_log_done:'+str(pos_log_done))

    log(logfilename,'========================【获取基础信息结束】========================')
    log(logfilename,'========================【mark任务开始】========================')
    log(logfilename,'判断pos_log_done_id是否为int型:'+str(type(pos_log_done)))
    if isinstance(pos_log_done,int):
        log(logfilename,'pos_log_done_id为int型，判断pos_log_done_id与pos_log_id,pos_api_id:'+str(pos_api_id)+',pos_log_done:'+str(pos_log_done))
        if pos_api_id > pos_log_done:
            log(logfilename,'API的pos_log_id大于pos_log_done_id，判断API更新时间是否在10秒以内,nowtime:'+str(nowtime)+',pos_api_uptime:'+str(pos_api_uptime))
            if nowtime < (pos_api_uptime + 13):
                log(logfilename,'api更新时间在10秒内，判断api交易方向,pos_api_posSide'+str(pos_api_posSide)+',pos_api_side:'+str(pos_api_side))
                if pos_api_posSide == 'long' and pos_api_side == 'buy':
                    log(logfilename,'api交易方向：long-buy，判断当前持仓信息与api是否一致')
                    if int(pos_okex['long']) + int(pos_api_sz) == int(pos_api_long):
                        log(logfilename,'当前持仓信息与api一致，执行交易,当前持仓：'+str(pos_okex['long'])+',API持仓：'+str(pos_api_long)+',API交易数量：'+str(pos_api_sz))
                        trade_ok = trade(pos_api_side,pos_api_posSide,pos_api_sz,pos_api_id)
                        log(logfilename,'执行结果：'+str(trade_ok))
                    elif int(pos_okex['long']) + int(pos_api_sz) < int(pos_api_long):
                        log(logfilename,'当前持仓信息与api一致，执行交易,当前持仓：'+str(pos_okex['long'])+',API持仓：'+str(pos_api_long)+',API交易数量：'+str(pos_api_sz))
                        trade_ok = trade(pos_api_side,pos_api_posSide,pos_api_sz,pos_api_id)
                        log(logfilename,'执行结果：'+str(trade_ok))
                    else:
                        log(logfilename,'long仓信息不一致，请将long仓手动平仓后再进行自动交易,当前持仓：'+str(pos_okex['long'])+',API持仓：'+str(pos_api_long)+',API交易数量：'+str(pos_api_sz))

                elif pos_api_posSide == 'long' and pos_api_side == 'sell':
                    log(logfilename,'api交易方向：long-sell，判断是否符合平仓条件')
                    if int(pos_okex['long']) > 0:
                        log(logfilename,'符合平仓条件，当前持仓：'+str(pos_okex['long'])+',API持仓：'+str(pos_api_short)+',API交易数量：'+str(pos_api_sz))
                        trade_ok = trade(pos_api_side,pos_api_posSide,int(pos_okex['long']),pos_api_id)
                        log(logfilename,'执行结果：'+str(trade_ok))
                    else:
                        log(logfilename,'long仓信息不一致，请将long仓手动平仓后再进行自动交易,当前持仓：'+str(pos_okex['long'])+',API持仓：'+str(pos_api_short)+',API交易数量：'+str(pos_api_sz))

                elif pos_api_posSide == 'short' and pos_api_side == 'sell':
                    log(logfilename,'api交易方向：short-sell，判断当前持仓信息与api是否一致')
                    if int(pos_okex['short']) + int(pos_api_sz) == int(pos_api_short):
                        log(logfilename,'符合开仓条件，执行交易,当前持仓：'+str(pos_okex['short'])+',API持仓：'+str(pos_api_short)+',API交易数量：'+str(pos_api_sz))
                        trade_ok = trade(pos_api_side,pos_api_posSide,pos_api_sz,pos_api_id)
                        log(logfilename,'执行结果：'+str(trade_ok))
                    elif int(pos_okex['short']) + int(pos_api_sz) < int(pos_api_short):
                        log(logfilename,'符合开仓条件，执行交易,当前持仓：'+str(pos_okex['short'])+',API持仓：'+str(pos_api_short)+',API交易数量：'+str(pos_api_sz))
                        trade_ok = trade(pos_api_side,pos_api_posSide,pos_api_sz,pos_api_id)
                        log(logfilename,'执行结果：'+str(trade_ok))
                    else:
                        log(logfilename,'short仓信息不一致，请将short仓手动平仓后再进行自动交易,当前持仓：'+str(pos_okex['short'])+',API持仓：'+str(pos_api_short)+',API交易数量：'+str(pos_api_sz))

                elif pos_api_posSide == 'short' and pos_api_side == 'buy':
                    log(logfilename,'api交易方向：short-buy，判断是否符合平仓条件')
                    if int(pos_okex['short']) > 0:
                        log(logfilename,'符合平仓条件，当前持仓：'+str(pos_okex['short'])+',API持仓：'+str(pos_api_short)+',API交易数量：'+str(pos_api_sz))
                        trade_ok = trade(pos_api_side,pos_api_posSide,pos_okex['short'],pos_api_id)
                        log(logfilename,'执行结果：'+str(trade_ok))
                    else:
                        log(logfilename,'short仓信息不一致，请将short仓手动平仓后再进行自动交易,当前持仓：'+str(pos_okex['short'])+',API持仓：'+str(pos_api_short)+',API交易数量：'+str(pos_api_sz))
            else:
                log(logfilename,'api更新时间超过10秒内，已错过最佳交易时间,nowtime:'+str(nowtime)+',pos_api_uptime:'+str(pos_api_uptime))
        else:
            log(logfilename,'API的pos_log_id不大于pos_log_done_id，api无新数据，继续执行监控,pos_api_id:'+str(pos_api_id)+',pos_log_done:'+str(pos_log_done))
    else:
        log(logfilename,'pos_log_done_id不为int型')
        api.set_pos_log_done(pos_api_id)
    log(logfilename,'========================【mark任务结束】========================')

Detail

https://www.fmz.com/strategy/321120

Last Modified

2021-10-03 09:32:41