【转载】网格交易 python

• 平台：发明者量化
• 转载自：https://blog.csdn.net/qq_25863231/article/details/103976490

import json
# reference: https://blog.csdn.net/qq_25863231/article/details/103976490
# 参数
beginPrice = 5000 # 网格区间开始价格
endPrice = 8000 # 网格区间结束价格
distance = 20 # 每个网格节点的价格距离
pointProfit = 50 # 每个网格节点的利润差价
amount = 0.01 # 每个网格节点的挂单量
minBalance = 300 # 账户最小资金余额（买入时）

# 全局变量
arrNet = []
arrMsg = []
acc = None

def findOrder (orderId, NumOfTimes, ordersList = []) :
    for j in range(NumOfTimes) :
        orders = None
        if len(ordersList) == 0:
            orders = _C(exchange.GetOrders)
        else :
            orders = ordersList
        for i in range(len(orders)):
            if orderId == orders[i]["Id"]:
                return True
        Sleep(1000)
    return False

def cancelOrder (price, orderType) :
    orders = _C(exchange.GetOrders)
    for i in range(len(orders)) : 
        if price == orders[i]["Price"] and orderType == orders[i]["Type"]: 
            exchange.CancelOrder(orders[i]["Id"])
            Sleep(500)

def checkOpenOrders (orders, ticker) :
    global arrNet, arrMsg
    for i in range(len(arrNet)) : 
        if not findOrder(arrNet[i]["id"], 1, orders) and arrNet[i]["state"] == "pending" :
            orderId = exchange.Sell(arrNet[i]["coverPrice"], arrNet[i]["amount"])
            if orderId :
                arrNet[i]["state"] = "cover"
                arrNet[i]["id"] = orderId                
            else :
                # 撤销
                cancelOrder(arrNet[i]["coverPrice"], ORDER_TYPE_SELL)
                arrMsg.append("挂单失败!" + json.dumps(arrNet[i]) + ", time:" + _D())

def checkCoverOrders (orders, ticker) :
    global arrNet, arrMsg
    for i in range(len(arrNet)) : 
        if not findOrder(arrNet[i]["id"], 1, orders) and arrNet[i]["state"] == "cover" :
            arrNet[i]["id"] = -1
            arrNet[i]["state"] = "idle"
            Log(arrNet[i], "节点平仓，重置为空闲状态。", "#FF0000")


def onTick () :
    global arrNet, arrMsg, acc

    ticker = _C(exchange.GetTicker)
    for i in range(len(arrNet)):
        if i != len(arrNet) - 1 and arrNet[i]["state"] == "idle" and ticker.Sell > arrNet[i]["price"] and ticker.Sell < arrNet[i + 1]["price"]:
            acc = _C(exchange.GetAccount)
            if acc.Balance < minBalance :
                arrMsg.append("资金不足" + json.dumps(acc) + "！" + ", time:" + _D())
                break

            orderId = exchange.Buy(arrNet[i]["price"], arrNet[i]["amount"])
            if orderId : 
                arrNet[i]["state"] = "pending"
                arrNet[i]["id"] = orderId
            else :
                # 撤单
                cancelOrder(arrNet[i]["price"], ORDER_TYPE_BUY)
                arrMsg.append("挂单失败!" + json.dumps(arrNet[i]) + ", time:" + _D())
    Sleep(1000)
    orders = _C(exchange.GetOrders)
    checkOpenOrders(orders, ticker)
    Sleep(1000)
    orders = _C(exchange.GetOrders)
    checkCoverOrders(orders, ticker)

    tbl = {
    
    
        "type" : "table", 
        "title" : "网格状态",
        "cols" : ["节点索引", "详细信息"], 
        "rows" : [], 
    }    

    for i in range(len(arrNet)) : 
        tbl["rows"].append([i, json.dumps(arrNet[i])])

    errTbl = {
    
    
        "type" : "table", 
        "title" : "记录",
        "cols" : ["节点索引", "详细信息"], 
        "rows" : [], 
    }

    orderTbl = {
    
    
     	"type" : "table", 
        "title" : "orders",
        "cols" : ["节点索引", "详细信息"], 
        "rows" : [],    
    }

    while len(arrMsg) > 20 : 
        arrMsg.pop(0)

    for i in range(len(arrMsg)) : 
        errTbl["rows"].append([i, json.dumps(arrMsg[i])])    

    for i in range(len(orders)) : 
        orderTbl["rows"].append([i, json.dumps(orders[i])])

    LogStatus(_D(), "\n", acc, "\n", "arrMsg length:", len(arrMsg), "\n", "`" + json.dumps([tbl, errTbl, orderTbl]) + "`")


def main ():
    global arrNet
    for i in range(int((endPrice - beginPrice) / distance)):
        arrNet.append({
    
    
            "price" : beginPrice + i * distance,
            "amount" : amount,
            "state" : "idle",    # pending / cover / idle
            "coverPrice" : beginPrice + i * distance + pointProfit,
            "id" : -1,
        })
        
    while True:
        onTick()
        Sleep(500)