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arbitragerobot.py
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from fcoin import Fcoin
from fcoin_websocket.fcoin_client import fcoin_client
from auth import api_key, api_secret
from config import second
import os
import time
import math
import logging
import pandas as pd
import balance
# symbol = symbols[0] + symbols[1]
symbol_pairs = ['ethusdt', 'ftusdt', 'fteth']
symbols = ['eth', 'usdt', 'ft']
ethamount = 0.01
difference = 1.0018
def lprint(msg, level=logging.INFO):
print(msg)
logging.log(level, msg)
class ArbitrageRobot(object):
"""docstring for Robot"""
def __init__(self):
self.fcoin = Fcoin(api_key, api_secret)
self.price_decimals = {}
self.amount_decimals = {}
self.tickers = {}
# 截取指定小数位数
def trunc(self, f, n):
# return round(f, n)
return math.floor(f*10**n)/10**n
def ticker_handler(self, message):
# print(message)
if 'ticker' in message:
symbol = message['type'].split('.')[1]
self.tickers[symbol] = message['ticker']
logging.debug("ticker: {}".format(message['ticker']))
else :
logging.debug("ticker message: {}".format(message))
def symbols_action(self):
all_symbols = self.fcoin.get_symbols()
for symbol in symbol_pairs:
for info in all_symbols:
if symbol == info['name']:
self.price_decimals[symbol] = int(info['price_decimal'])
self.amount_decimals[symbol] = int(info['amount_decimal'])
break
logging.info("price_decimals: {}".format(self.price_decimals))
# 买操作
def buy_action(self, this_symbol, this_price, this_amount, should_repeat=0):
this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount, self.amount_decimals[this_symbol])
# ticker = self.tickers[this_symbol]
# print('准备买入', this_price, ticker)
buy_result = self.fcoin.buy(this_symbol, this_price, this_amount)
# print('buy_result is', buy_result)
buy_order_id = buy_result['data']
if buy_order_id:
lprint("买单 {} 价格成功委托, 订单ID {}".format(this_price, buy_order_id))
return buy_order_id
# 卖操作
def sell_action(self, this_symbol, this_price, this_amount):
this_price = self.trunc(this_price, self.price_decimals[this_symbol])
this_amount = self.trunc(this_amount, self.amount_decimals[this_symbol])
# ticker = self.tickers[this_symbol]
# print('准备卖出', this_price, ticker)
sell_result = self.fcoin.sell(this_symbol, this_price, this_amount)
# print('sell_result is: ', sell_result)
sell_order_id = sell_result['data']
if sell_order_id:
lprint("卖单 {} 价格成功委托, 订单ID {}".format(this_price, sell_order_id))
return sell_order_id
def strategy(self, type, pricedf, amount):
print('使用套利策略')
if type == 1:
usdtamount = amount*pricedf["ethusdt"]
ftamount = usdtamount/pricedf["ftusdt"]
self.sell_action("fteth", pricedf["fteth"], ftamount)
self.buy_action("ftusdt", pricedf["ftusdt"], ftamount)
self.sell_action("ethusdt", pricedf["ethusdt"], amount)
elif type == 2:
ftamount = amount/pricedf["fteth"]
self.buy_action("ethusdt", pricedf["ethusdt"], amount)
self.sell_action("ftusdt", pricedf["ftusdt"], ftamount)
self.buy_action("fteth", pricedf["fteth"], ftamount)
def trade(self):
"""套利策略，寻找一个三元pair，看是不是满足套利规则。
ETH/USDT, FT/ETH, FT/USDT
ethusdt买一价 * fteth买一价 / ftusdt卖一价, 如果大于1很多，就存在套利空间
操作流程：usdt买ft，卖ft换回eth，卖eth换回usdt
ftusdt买一价 / fteth卖一价 / ethusdt卖一价, 如果大于1很多，就存在套利空间
操作流程为：usdt买eth，eht买ft，卖ft换回usdt
买一下标为2， 卖一下标为4"""
time.sleep(second)
if len(self.tickers) == len(symbol_pairs):
info_df = pd.DataFrame(self.tickers).T
# 买一卖一的均价
info_df["price"] = (info_df[2]+info_df[4])/2
taoli1 = info_df.price["ethusdt"] * \
info_df.price["fteth"] / info_df.price["ftusdt"]
taoli2 = info_df.price["ftusdt"] / \
info_df.price["fteth"] / info_df.price["ethusdt"]
# print(taoli1, taoli2)
# 从eth开始交易
if taoli1 > difference:
self.strategy(1, info_df.price, ethamount)
lprint("满足套利条件1 套利值为{:.4}‰".format(taoli1*1000-1000))
lprint("ethusdt卖价：{} ftusdt买价：{} fteth卖价：{}".format(
info_df.price["ethusdt"], info_df.price["ftusdt"], info_df.price["fteth"]))
elif taoli2 > difference:
self.strategy(2, info_df.price, ethamount)
lprint("满足套利条件2 套利值比为{:.4}‰".format(taoli2*1000-1000))
lprint("fteth买价：{} ftusdt卖价：{} ethusdt买价：{}".format(
info_df.price["fteth"], info_df.price["ftusdt"], info_df.price["ethusdt"]))
else:
lprint('差价太小，本次无法套利 方式一{} 方式二{}'.format(taoli1, taoli2), logging.DEBUG)
def run(self):
self.client = fcoin_client()
self.client.start()
self.client.subscribe_tickers(symbol_pairs, self.ticker_handler)
self.symbols_action()
# self.get_balance_action(symbols)
balance.balance()
while True:
self.trade()
if __name__ == '__main__':
try:
logging.basicConfig(filename='arbitragerobot1.log', level=logging.INFO,
format='%(asctime)s %(levelname)s %(message)s', datefmt='%m/%d/%Y %H:%M:%S')
logging.warning("套利成功！")
lprint("每单金额{}eth，最小利差{:.2}‰".format(ethamount, (difference-1)*1000))
robot = ArbitrageRobot()
robot.run()
except KeyboardInterrupt:
os._exit(1)