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GridTraderNet.py
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GridTraderNet.py
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from ast import ExceptHandler
from datetime import datetime
from multiprocessing.spawn import get_preparation_data
from attr import has
import ccxt
import time
import configparser
import pytz
import math
import sys
import atexit
import json
'''
create_order 市价单,返回的数据结构
{
'info':
{
'clOrdId': 'e847386590ce4dBC66c0ed43a0db6c96',
'ordId': '424582917040529410',
'sCode': '0',
'sMsg': '',
'tag': ''
},
'id': '424582917040529410',
'clientOrderId': 'e847386590ce4dBC66c0ed43a0db6c96',
'timestamp': None, 'datetime': None,
'lastTradeTimestamp': None,
'symbol': 'ETH/USDT',
'type': 'market',
'timeInForce': None,
'postOnly': None,
'side': 'buy',
'price': None,
'stopPrice': None,
'average': None,
'cost': None,
'amount': None,
'filled': None,
'remaining': None,
'status': None,
'fee': None,
'trades': [],
'fees': []
}
'''
'''
create_order 挂单,返回的数据结构
{
'info':
{
'clOrdId': 'e847386590ce4dBC9f39db9c328e3101',
'ordId': '424562251906048002',
'sCode': '0',
'sMsg': '',
'tag': ''
},
'id': '424562251906048002',
'clientOrderId': 'e847386590ce4dBC9f39db9c328e3101',
'timestamp': None,
'datetime': None,
'lastTradeTimestamp': None,
'symbol': 'ETH/USDT',
'type': 'limit',
'timeInForce': None,
'postOnly': None,
'side': 'buy',
'price': None,
'stopPrice': None,
'average': None,
'cost': None,
'amount': None,
'filled': None,
'remaining': None,
'status': None,
'fee': None,
'trades': [],
'fees': []
}
'''
'''
fetch_order 市价买成交返回接口数据结构
{
'info':
{
'accFillSz': '0.001',
'avgPx': '2751.21',
'cTime': '1647500599770',
'category': 'normal',
'ccy': '',
'clOrdId': 'e847386590ce4dBC34e5fd928fb0b207',
'fee': '-0.000001',
'feeCcy': 'ETH',
'fillPx': '2751.21',
'fillSz': '0.001',
'fillTime': '1647500599775',
'instId': 'ETH-USDT',
'instType': 'SPOT',
'lever': '',
'ordId': '424583520932225029',
'ordType': 'market',
'pnl': '0',
'posSide': 'net',
'px': '',
'rebate': '0',
'rebateCcy': 'USDT',
'side': 'buy',
'slOrdPx': '',
'slTriggerPx': '',
'slTriggerPxType': '',
'source': '',
'state': 'filled',
'sz': '0.001',
'tag': '',
'tdMode': 'cash',
'tgtCcy': 'base_ccy',
'tpOrdPx': '',
'tpTriggerPx': '',
'tpTriggerPxType': '',
'tradeId': '188054733',
'uTime': '1647500599894'
},
'id': '424583520932225029',
'clientOrderId': 'e847386590ce4dBC34e5fd928fb0b207',
'timestamp': 1647500599770,
'datetime': '2022-03-17T07:03:19.770Z',
'lastTradeTimestamp': 1647500599775,
'symbol': 'ETH/USDT',
'type': 'market',
'timeInForce': 'IOC',
'postOnly': None,
'side': 'buy',
'price': 2751.21,
'stopPrice': None,
'average': 2751.21,
'cost': 2.75121,
'amount': 0.001,
'filled': 0.001,
'remaining': 0.0,
'status': 'closed',
'fee':
{
'cost': 1e-06,
'currency': 'ETH'
},
'trades': [],
'fees':
[{
'cost': 1e-06,
'currency': 'ETH'
}]
}
'''
'''
fetch_order接口 市价卖成交返回的数据结构
{
'info':
{
'accFillSz': '0.001',
'avgPx': '2751.04',
'cTime': '1647500622423',
'category': 'normal',
'ccy': '',
'clOrdId': 'e847386590ce4dBC7bd612cb9a889592',
'fee': '-0.00275104',
'feeCcy': 'USDT',
'fillPx': '2751.04',
'fillSz': '0.001',
'fillTime': '1647500622427',
'instId': 'ETH-USDT',
'instType': 'SPOT',
'lever': '',
'ordId': '424583615945793536',
'ordType': 'market',
'pnl': '0',
'posSide': 'net',
'px': '',
'rebate': '0',
'rebateCcy': 'ETH',
'side': 'sell',
'slOrdPx': '',
'slTriggerPx': '',
'slTriggerPxType': '',
'source': '',
'state': 'filled',
'sz': '0.001',
'tag': '',
'tdMode': 'cash',
'tgtCcy': 'base_ccy',
'tpOrdPx': '',
'tpTriggerPx': '',
'tpTriggerPxType': '',
'tradeId': '188054782',
'uTime': '1647500622505'
},
'id': '424583615945793536',
'clientOrderId': 'e847386590ce4dBC7bd612cb9a889592',
'timestamp': 1647500622423,
'datetime': '2022-03-17T07:03:42.423Z',
'lastTradeTimestamp': 1647500622427,
'symbol': 'ETH/USDT',
'type': 'market',
'timeInForce': 'IOC',
'postOnly': None,
'side': 'sell',
'price': 2751.04,
'stopPrice': None,
'average': 2751.04,
'cost': 2.75104,
'amount': 0.001,
'filled': 0.001,
'remaining': 0.0,
'status': 'closed',
'fee':
{
'cost': 0.00275104,
'currency': 'USDT'
},
'trades': [],
'fees': [
{
'cost': 0.00275104,
'currency': 'USDT'
}]
}
'''
'''
fetch_order 挂单买成交返回接口数据结构
{
'info':
{
'accFillSz': '0.001',
'avgPx': '2755.6',
'cTime': '1647503577459',
'category': 'normal',
'ccy': '',
'clOrdId': 'e847386590ce4dBC4124dc38296f8b85',
'fee': '-0.0000008',
'feeCcy': 'ETH',
'fillPx': '2755.6',
'fillSz': '0.001',
'fillTime': '1647503627732',
'instId': 'ETH-USDT',
'instType': 'SPOT',
'lever': '',
'ordId': '424596010265108482',
'ordType': 'limit',
'pnl': '0',
'posSide': 'net',
'px': '2755.6',
'rebate': '0',
'rebateCcy': 'USDT',
'side': 'buy',
'slOrdPx': '',
'slTriggerPx': '',
'slTriggerPxType': '',
'source': '',
'state': 'filled',
'sz': '0.001',
'tag': '',
'tdMode': 'cash',
'tgtCcy': '',
'tpOrdPx': '',
'tpTriggerPx': '',
'tpTriggerPxType': '',
'tradeId': '188061634',
'uTime': '1647503627735'
},
'id': '424596010265108482',
'clientOrderId': 'e847386590ce4dBC4124dc38296f8b85',
'timestamp': 1647503577459,
'datetime': '2022-03-17T07:52:57.459Z',
'lastTradeTimestamp': 1647503627732,
'symbol': 'ETH/USDT',
'type': 'limit',
'timeInForce': None,
'postOnly': None,
'side': 'buy',
'price': 2755.6,
'stopPrice': None,
'average': 2755.6,
'cost': 2.7556,
'amount': 0.001,
'filled': 0.001,
'remaining': 0.0,
'status': 'closed',
'fee':
{
'cost': 8e-07,
'currency': 'ETH'
},
'trades': [],
'fees':
[{
'cost': 8e-07,
'currency': 'ETH'
}]
}
'''
'''
fetch_order挂单卖成交数据结构
{
'info':
{
'accFillSz': '0.001',
'avgPx': '2807',
'cTime': '1647523075618',
'category': 'normal',
'ccy': '',
'clOrdId': 'e847386590ce4dBC229012716888d9d5',
'fee': '-0.0022456',
'feeCcy': 'USDT',
'fillPx': '2807',
'fillSz': '0.001',
'fillTime': '1647523080488',
'instId': 'ETH-USDT',
'instType': 'SPOT',
'lever': '',
'ordId': '424677791471394819',
'ordType': 'limit',
'pnl': '0',
'posSide': 'net',
'px': '2807',
'rebate': '0',
'rebateCcy': 'ETH',
'side': 'sell',
'slOrdPx': '',
'slTriggerPx': '',
'slTriggerPxType': '',
'source': '',
'state': 'filled',
'sz': '0.001',
'tag': '',
'tdMode': 'cash',
'tgtCcy': '',
'tpOrdPx': '',
'tpTriggerPx': '',
'tpTriggerPxType': '',
'tradeId': '188116930',
'uTime': '1647523080491'
},
'id': '424677791471394819',
'clientOrderId': 'e847386590ce4dBC229012716888d9d5',
'timestamp': 1647523075618,
'datetime': '2022-03-17T13:17:55.618Z',
'lastTradeTimestamp': 1647523080488,
'symbol': 'ETH/USDT',
'type': 'limit',
'timeInForce': None,
'postOnly': None,
'side': 'sell',
'price': 2807.0,
'stopPrice': None,
'average': 2807.0,
'cost': 2.807,
'amount': 0.001,
'filled': 0.001,
'remaining': 0.0,
'status': 'closed',
'fee':
{
'cost': 0.0022456,
'currency': 'USDT'
},
'trades': [],
'fees':
[{
'cost': 0.0022456,
'currency': 'USDT'
}]
}
'''
'''
cancel_order接口返回的数据
{
'info': {
'clOrdId': 'e847386590ce4dBC9f39db9c328e3101',
'ordId': '424562251906048002',
'sCode': '0',
'sMsg': ''
},
'id': '424562251906048002',
'clientOrderId': 'e847386590ce4dBC9f39db9c328e3101',
'timestamp': None,
'datetime': None,
'lastTradeTimestamp': None,
'symbol': 'ETH/USDT',
'type': None,
'timeInForce': None,
'postOnly': None,
'side': None,
'price': None,
'stopPrice': None,
'average': None,
'cost': None,
'amount': None,
'filled': None,
'remaining': None,
'status': None,
'fee': None,
'trades': [],
'fees': []
}
'''
'''
fetch_order_fee
{
'info':
{
'category': '1',
'delivery': '',
'exercise': '',
'instType': 'SPOT',
'isSpecial': '0',
'level': 'Lv1',
'maker': '-0.0008',
'taker': '-0.001',
'ts': '1647523654444'
},
'symbol': 'ETH/USDT',
'maker': -0.0008,
'taker': -0.001
}
'''
'''#tick的数据结构
{'symbol': 'ETH/USDT', 'timestamp': 1647441423571, 'datetime': '2022-03-16T14:37:03.571Z', 'high': 2734.0,
'low': 2554.55, 'bid': 2704.2, 'bidVolume': 0.680553, 'ask': 2704.21, 'askVolume': 4.899036, 'vwap': 2652.2203429610645,
'open': 2559.34, 'close': 2703.33, 'last': 2703.33, 'previousClose': None, 'change': 143.99,
'percentage': 5.626059843553416, 'average': 2631.335, 'baseVolume': 143915.815408, 'quoteVolume': 381696453.298927,
'info': {'instType': 'SPOT', 'instId': 'ETH-USDT', 'last': '2703.33', 'lastSz': '0.016102', 'askPx': '2704.21',
'askSz': '4.899036', 'bidPx': '2704.2', 'bidSz': '0.680553', 'open24h': '2559.34', 'high24h': '2734',
'low24h': '2554.55', 'volCcy24h': '381696453.298927', 'vol24h': '143915.815408', 'ts': '1647441423571',
'sodUtc0': '2618.06', 'sodUtc8': '2572.4'}}
'''
'''
book的数据结构
{'symbol': 'ETH/USDT',
'bids': [[2703.52, 38.400992], [2703.44, 0.5], [2703.34, 1.059], [2703.31, 0.45], [2703.26, 0.08],
[2703.19, 0.196868], [2703.06, 0.759998], [2703.05, 1.57285], [2703.0, 0.02], [2702.86, 0.140151], [2702.85, 0.073929],
[2702.84, 0.530684], [2702.83, 1.57285], [2702.81, 0.369868], [2702.8, 7.998], [2702.62, 25.098004], [2702.61, 0.001],
[2702.6, 0.02], [2702.5, 2.981411], [2702.45, 0.030063]],
'asks': [[2703.53, 8.585444], [2703.55, 0.102], [2703.59, 0.015], [2703.6, 0.02], [2703.64, 0.8], [2703.79, 0.005],
[2703.8, 0.02], [2704.0, 0.346528], [2704.08, 0.097794], [2704.2, 0.02], [2704.31, 0.00101], [2704.4, 0.044062],
[2704.41, 1.447598], [2704.53, 0.050822], [2704.54, 0.770617], [2704.59, 0.073969], [2704.6, 8.695778], [2704.62, 2.961],
[2704.79, 0.08], [2704.8, 0.02]],
'timestamp': 1647441477510, 'datetime': '2022-03-16T14:37:57.510Z', 'nonce': None}
'''
#手续费扣除: 买扣币,卖扣u
'''
fetch_open_orders
[
{
'info':
{
'accFillSz': '0',
'avgPx': '',
'cTime': '1647966732153',
'category': 'normal',
'ccy': '',
'clOrdId': '',
'fee': '0',
'feeCcy': 'NEAR',
'fillPx': '',
'fillSz': '0',
'fillTime': '',
'instId': 'NEAR-USDT',
'instType': 'SPOT',
'lever': '',
'ordId': '426538621850771459',
'ordType': 'limit',
'pnl': '0',
'posSide': 'net',
'px': '11.229',
'rebate': '0',
'rebateCcy': 'USDT',
'side': 'buy',
'slOrdPx': '',
'slTriggerPx': '',
'slTriggerPxType': '',
'source': '',
'state': 'live',
'sz': '0.5',
'tag': '',
'tdMode': 'cash',
'tgtCcy': '',
'tpOrdPx': '',
'tpTriggerPx': '',
'tpTriggerPxType': '',
'tradeId': '',
'uTime': '1647966732153'
},
'id': '426538621850771459',
'clientOrderId': None,
'timestamp': 1647966732153,
'datetime': '2022-03-22T16:32:12.153Z',
'lastTradeTimestamp': None,
'symbol': 'NEAR/USDT',
'type': 'limit',
'timeInForce': None,
'postOnly': None, 'side':
'buy',
'price': 11.229,
'stopPrice': None,
'average': None,
'cost': 0.0,
'amount': 0.5,
'filled': 0.0,
'remaining': 0.5,
'status': 'open',
'fee': {
'cost': 0.0,
'currency': 'NEAR'
},
'trades': [],
'fees': [
{
'cost': 0.0,
'currency': 'NEAR'
}]
},
{
'info':
{
'accFillSz': '0',
'avgPx': '',
'cTime': '1647966823939',
'category': 'normal',
'ccy': '',
'clOrdId': '',
'fee': '0',
'feeCcy': 'NEAR',
'fillPx': '',
'fillSz': '0',
'fillTime': '',
'instId': 'NEAR-USDT',
'instType': 'SPOT',
'lever': '',
'ordId': '426539006829158404',
'ordType': 'limit',
'pnl': '0',
'posSide': 'net',
'px': '11.229',
'rebate': '0',
'rebateCcy': 'USDT',
'side': 'buy',
'slOrdPx': '',
'slTriggerPx': '',
'slTriggerPxType': '',
'source': '',
'state': 'live',
'sz': '0.5',
'tag': '',
'tdMode': 'cash',
'tgtCcy': '',
'tpOrdPx': '',
'tpTriggerPx': '',
'tpTriggerPxType': '',
'tradeId': '',
'uTime': '1647966823939'
},
'id': '426539006829158404',
'clientOrderId': None,
'timestamp': 1647966823939,
'datetime': '2022-03-22T16:33:43.939Z',
'lastTradeTimestamp': None,
'symbol': 'NEAR/USDT',
'type': 'limit',
'timeInForce': None,
'postOnly': None,
'side': 'buy',
'price': 11.229,
'stopPrice': None,
'average': None,
'cost': 0.0,
'amount': 0.5,
'filled': 0.0,
'remaining': 0.5,
'status': 'open',
'fee':
{
'cost': 0.0,
'currency': 'NEAR'
},
'trades': [],
'fees': [
{
'cost': 0.0,
'currency': 'NEAR'
}
]
}
]
'''
'''
order_list
委托表,按照价格排序
{
'price1':{
'id':'1',
'side':'buy',
'qty': 1.1
},
'price2':{
'id':'2',
'side':'sell',
'qty':1.2
}
}
'''
'''
grid_list
手数表,按照价格排序
[
{
'price':1
'buyqty':1,
'sellqty':0.8
},
{
'price':2
'buyqty':2,
'sellqty':0.8
}
]
'''
'''
grid_list2
网格表
{
'LowPrice':,
'UpPrice':,
'BuyQty':,
'SellQty':,
'Order':,
}
'''
class GridTraderNet():
def __init__(self):
self.start=True
self.side=['buy','sell']
self.type=['market','limit']
self.exchange_list=['okex','ftx']
self.has_qty=0
#[[每格价格,每格需要买的币,每格能卖的币]]
self.grid_list=[]
#委托表
self.order_dict={}
def __del__(self):
self.start=False
#挂单撤销
for _,value in self.order_dict.items():
id=value['id']
self.log(f'程序结束,将挂单{id}撤掉')
self.cancel_order(id,self.api_symbol)
del self.order_dict
def buy_trade(self,info):
fill=0.0
if info['fee']==None:
fill=info['filled']
else:
if info['fee']['cost'] !=None:
fill=float(info['filled']-float(info['fee']['cost']))
self.has_qty=self.has_qty+fill
id=info['id']
price=info['price']
self.log(f'网格挂单成交,委托号为:{id},方向为:{self.side[0]},成交手数(扣除手续费)为:{fill},委托价格为:{price},委托为:{info}')
def sell_trade(self,info):
fill=info['filled']
price=info['price']
self.has_qty=self.has_qty-fill
id=info['id']
self.log(f'网格挂单成交,委托号为:{id},方向为:{self.side[1]},成交手数为:{fill},委托价格为:{price},委托为:{info}')
@staticmethod
def grid_calc(data):
#登录
exchange={}
if(data['Exchange']=='okex'):
exchange=ccxt.okex({
'enableRateLimit': True,
'apiKey': data['ApiKey'],
'secret':data['Secret'],
'password':data['Password'],
})
elif data['Exchange'] =='ftx':
exchange=ccxt.ftx({
'enableRateLimit': True,
'apiKey': data['ApiKey'],
'secret':data['Secret'],
})
else:
ex_name=data['Exchange']
return False,f'选择的交易所{ex_name}不支持',{}
#检测交易所是否连接成功
grid_maker=0
grid_taker=0
try:
fee=exchange.fetch_trading_fee(data['Symbol'])
if data['Exchange']=='okex':
#限手续费,是扣币
grid_maker=abs(fee['maker'])
#市价手续费,是扣u
grid_taker=abs(fee['taker'])
elif data['Exchange']=='ftx':
grid_maker=0
grid_taker=0
except Exception as e:
strr= str(e)
return False,f'交易所连接失败:{strr}',{}
#计算数据
#计算出每格的毛利润,数据不变
up_bound=float(data['UpBound'])
low_bound=float(data['LowBound'])
grid_qty=int(data['GridQty'])
ammount=float(data['Amount'])
price_reserve=int(data['PriceReserve'])
ratio_per_grid=(up_bound/low_bound)**(1/grid_qty)-1
#计算出每格资金,数据不变
fund_per_grid=ammount/grid_qty
fund_per_grid=GridTraderNet.cut(fund_per_grid,price_reserve)
#计算出每格的纯利润,数据不变
net_profit=((1+grid_maker)**2)*(1+ratio_per_grid)-1
#创建网格
grid_list=GridTraderNet.create_grid_list(ratio_per_grid,grid_taker,fund_per_grid,data)
#print(str(grid_list))
#获取当前价
ticker={}
try:
ticker = exchange.fetch_ticker(data['Symbol'])
except:
return False,f'交易所连接失败,获取最新价格失败',{}
last=ticker['last']
if last<low_bound or last>up_bound:
return False,f'最新行情不在网格天地格价格区间之内,最新价格为{last}',{}
qty=0
cost_ammount=0
for i in grid_list:
grid=i
if grid['LowPrice']>last:
#网格的下沿价格大于当前价,表示此格需要买入
#需要买入的手数为每格相加
#需要花费的金额为每格金额相加
qty=qty+grid['BuyQty']
cost_ammount=cost_ammount+fund_per_grid
#剩余的金额=总金额-花费的金额
remaining=ammount-cost_ammount
#扣除手续费之后的净手数=手数*(1-市价手续费)
net_qty=qty*(1-grid_taker)
return True,'OK',dict([
('Id',''),
('Time',ticker['timestamp']),
('RatioPerGrid',ratio_per_grid),
('FundPerGrid',fund_per_grid),
('ProFitPerGrid',ratio_per_grid),
('NetProfitPerGrid',net_profit),
('LastPrice',ticker['last']),
('GridPriceList',GridTraderNet.get_grid(grid_list)),
('EntryQty',qty),
('NetEntryQty',net_qty),
('AmountSpent',ammount),
('RemainingAmount',remaining)
])
@staticmethod
def get_grid(grid_list):
grid_list_meta=[]
for item in grid_list:
grid_list_meta.append(dict([
('LowPrice',item['LowPrice']),
('UpPrice',item['UpPrice']),
('BuyQty',item['BuyQty']),
('SellQty',item['SellQty'])
]))
return grid_list_meta
def start(self):
#交易所连接
if self.api_exchange=='okex':
self.exchange=ccxt.okex({
'enableRateLimit': True,
'apiKey': self.api_apikey,
'secret':self.api_secret,
'password':self.api_passwd,
})
elif self.api_exchange =='ftx':
exchange=ccxt.ftx({
'enableRateLimit': True,
'apiKey': self.api_apikey,
'secret':self.api_secret,
})
#取得手续费
self.get_account_fee()
#每格利润
self.ratio_per_grid=(self.grid_upbound/self.grid_lowbound)**(1/self.grid_gridqty)-1
#计算出每格资金,数据不变
fund_per_grid=self.grid_ammount/self.grid_gridqty
fund_per_grid=GridTraderNet.cut(fund_per_grid,self.api_pricereserve)
#计算出每格的纯利润,数据不变
net_profit=((1+self.grid_maker)**2)*(1+self.ratio_per_grid)-1
#创建网格
self.grid_list=GridTraderNet.create_grid_list()
ticker={}
try:
ticker=self.exchange.fetch_ticker(self.api_symbol)
except Exception as e:
strr=str(e)
return False,'获取最新行情失败:{strr}'
#根据最新价计算要入场手数
last=ticker['last']
qty=self.calc_open_qty(last)
#进场
flag,errmsg=self.open_order(last,qty)
if flag == False:
return False,errmsg
#开启网格挂单
self.create_grid(last)
#开启网格监视器
self.order_monitor()
#根据最新价和网格计算出入场时需要买的手数
def calc_open_qty(self,last):
qty=0
for i in range(self.grid_list):
grid=self.grid_list[i]
if grid['LowPrice']>last:
#网格的下沿价格大于当前价,表示此格需要买入
#需要买入的手数为每格相加
#需要花费的金额为每格金额相加
qty=qty+grid['BuyQty']
return qty
#开启网格
#开仓
def open_order(self,last,qty):
#建仓进场
book=self.exchange.fetch_order_book(self.api_symbol)
max_price=last*(1+self.grid_slip)
#计算出在滑点范围内的深度
qty_depth=0
for price_pair in book['asks']:
if(price_pair[0]<max_price):
qty_depth=qty_depth+price_pair[1]
if qty_depth > qty:
#深度足够
order,flag,errmsg=self.create_order(self.type[0],self.side[0],qty)
if order!=None:
self.log(f'深度足够,开市价进场,委托为:{order}')
while True:
order_ret,flag=self.check_order_finish(order['id'])
if order_ret!=None and flag==True:
return True,None
else:
id=order['id']
self.log(f'开仓单{id}未成交,{order_ret},{flag}')
time.sleep(1)
continue
else:
return False,f'开仓失败:{errmsg}'
else:
#深度不够,当前价挂单
self.log(f'深度不够,开限价进场')
order,flag,errmsg=self.create_order(self.type[1],self.side[0],qty,last)
if order!=None:
while True:
order,flag=self.check_order_finish(order['id'])
if order!=None and flag==True:
return True,None
else:
id=order['id']
self.log(f'开仓单{id}未成交,{order},{flag}')
time.sleep(1)
continue
return False,f'开仓失败:{errmsg}'
#网格挂单
def create_grid(self,last):
for item in self.grid_list:
if last >item['UpPrice']: #当前价比此网格的上沿价格高,以网格下沿价格挂买单,买入数量为网格买入数
order = self.create_order(self.type[1],self.side[0],item['BuyQty'],item['LowPrice'])
if order !=None:
item['Id']=order['id']
elif last <= item['LowPrice']: #当前价比此网格的下沿价低,以网格的上沿价格挂卖单,卖出数量为网格卖出数
order=self.create_order(self.type[1],self.side[1],item['SellQty'],item['UpPrice'])
if order !=None:
item['Id']=order['id']
#定时监控挂单数:
def order_monitor(self):
three_hours_num=int((60*60*3)/self.api_timeinterval)
while self.start:
#更新手续费,大概每隔三小时更新一次
if(++i >=three_hours_num):
i=0
self.get_account_fee()
#获取最新价
last=0.0
try:
last=self.exchange.fetch_ticker(self.api_symbol)['last']
except:
continue
#检查挂单
self.update_all_orders(last)
i=i+1
#价格已经到了止损线,止损退出
if last<self.grid_stop:
self.log(f'已向下突破止损线,{self.api_symbol}的当前价格为{last},止损价格为{self.grid_stop}')
self.stop_grid()
break
#检查账号所有挂单
def update_all_orders(self,last):
try:
order_list=self.exchange.fetch_open_orders(symbol=self.api_symbol)
for item in self.grid_list:
flag=GridTraderNet.check_order_isexist_by_id(item['Id'])
if flag == False: #挂单不在,需要重新挂单
if last >= item['UpPrice']: #此时最新价大于网格上沿价格,挂买单
order=self.create_order(self.type[1],self.side[0],item['BuyQty'],item['LowPrce'])
if order!=None:
item['Id']=order['id']
elif last < item['LowPrice']: #此时最新价小于网格下沿价格,挂卖单
order = self.create_order(self.type[1],self.side[1],item['SellQty'],item['UpPrice'])
if order != None:
item['Id']=order['id']
else: #找到了不做任何操作
continue
except Exception as e:
err_msg=self.err_paser(e)
self.log(f'批量查挂单失败,失败原因:{err_msg}')
#通过id查找挂单
@staticmethod
def check_order_isexist_by_id(order_list,id):
for item in order_list:
if item['id']==id:
return True
return False
def stop(self):
self.start=False
try:
order_list=self.exchange.fetch_open_orders(symbol=self.api_symbol)
for item in order_list:
self.cancel_order(item['id'])
return True,f'网格关闭'
finally:
return True,f'网格关闭'