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martin_long.py
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martin_long.py
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import pandas as pd
from datetime import timedelta, datetime
import random,sys,json
from broker import BROKER
import os
import time
from pprint import pprint
params = (
('margin', 10), #杠杆倍数
('gap_time', 5), #分成多少份
('kline_interval',60*60*1000), #ms级别K线时间戳
('long_win_ratio',0.01) #止盈比例
)
class PARAMS():
def __init__(self,params):
for item in params:
key = 'self.' + item[0]
value = item[1]
exec("%s = %f" % (key,value))
class MyStrategy():
def __init__(self,symbol):
self.params = PARAMS(params)
self.broker = BROKER(symbol)
self.symbol = symbol
# print('现金',self.broker.get_cash())
self.load_config()
def load_config(self):
#在这里创建变量,会自动保存到文件
self.start_cash = 0 #起始总资金
self.now_gap = 0 #现在已经用了多少份
self.long_order = {} #所有的多单{'gap_time':order}
self.long_stop_order = {} #最新的止盈单
self.dead_order = 0 #最新的止损订单
self.last_can_buy = 0 #最新一次可以购买的时间
self.last_buy_price = 0 #最后一次购买的价格
if os.path.exists("config.json"):
with open("config.json", "r") as f:
data = json.load(f)
for key, value in data.items():
setattr(self, key, value)
def save_to_json(self):
data = {}
#你不想保存到json的变量
ban_list = ['params','broker','cover']
for key, value in self.__dict__.items():
if not key.startswith("__"):
if key not in ban_list:
data[key] = value
with open("config.json", "w") as f:
json.dump(data, f)
def clear_order(self):
# 清除变量，更新资金
self.broker.cancel()
# 清除所有订单
self.long_order = {}
self.long_stop_order = {}
self.dead_order = 0
self.now_gap = 0
self.last_buy_price = 0
self.start_cash = self.broker.get_cash() * self.params.margin #更新总资金
def after_create_order(self,price):
self.now_gap += 1
self.last_buy_price = price
self.last_can_buy = time.time() * 1000 + self.params.kline_interval
print(f'更新下次可以购买时间，当前时间{time.time()},下次可以购买{self.last_can_buy}')
def next(self,trend):
close = self.broker.get_ticker()
long_pos = self.broker.get_position(side='long')
timestamp_ms = int(time.time() * 1000)
if long_pos == 0 :
self.clear_order()
# 限价开一份多单,千分之一滑点
size = self.start_cash / self.params.gap_time / close
print(f'起始创建订单，size:{size},star_cash:{self.start_cash}')
order = self.broker.buy(size,'long',close*1.001)
self.long_order[order['orderId']] = order
self.after_create_order(close*1.001)
if long_pos > 0:
for key in self.long_order.keys():
if self.long_stop_order.get(key) is None:
# 当前level没有止盈单
# 检测买单是否成交
r = self.broker.check_order(self.long_order[key]['orderId'])[0]
if r == 'FILLED':
# 成交了就更新买单信息
self.long_order[key] = self.broker.future.get_order(symbol=self.symbol,order_id=key)
price = float(self.long_order[key]['avgPrice']) * (1+self.params.long_win_ratio)
amount = float(self.long_order[key]['executedQty'])
print(f'创建止盈单,单号:{key},价格{price:.4f},数量{amount:.4f}')
self.long_stop_order[key] = self.broker.sell(amount, 'long',price = price)
# else:
# pprint(f'当前订单还没有成交,{self.long_order[key]}')
# 加仓逻辑
# print(self.now_gap,close < self.last_buy_price * (1-self.params.long_win_ratio),timestamp_ms > self.last_can_buy)
if self.now_gap < self.params.gap_time and close < self.last_buy_price * (1-self.params.long_win_ratio) and timestamp_ms > self.last_can_buy:
size = self.start_cash / self.params.gap_time / close
print(f'触发加仓，size:{size},当前时间:{timestamp_ms},上次购买{self.last_buy_price},当前是{self.now_gap}次')
order = self.broker.buy(size,'long',close*1.001)
self.long_order[order['orderId']] = order
self.after_create_order(close*1.001)
keys_to_remove = []
# 检测止盈单逻辑
for key,order in self.long_stop_order.items():
try:
r = self.broker.check_order(order['orderId'])[0]
if r == 'FILLED':
print(f'第{key}次加仓成功止盈')
keys_to_remove.append(key)
self.now_gap -= 1
# 为了庆祝，我们将时间回退，方便我们继续加仓
self.last_can_buy = time.time() * 1000 - self.params.kline_interval
#为了更快的复利，我们在这里更新下起始总资金
self.start_cash = self.broker.get_cash() / (self.params.gap_time - self.now_gap) * self.params.gap_time * self.params.margin
print(f'触发更新起始总资金，起始总资金为->{self.start_cash}')
except:
# 加仓可能会清除止盈订单
del self.long_stop_order[key]
for key in keys_to_remove:
print(f'这一次删除的订单{key}')
del self.long_stop_order[key]
del self.long_order[key]
buy_price = []
for key,order in self.long_order.items():
buy_price.append(float(order['price']))
if len(buy_price) != 0:
self.last_buy_price = min(buy_price)
# print(f'当前还有的订单列表：{buy_price},更新最后一次购买：{self.last_buy_price}')
# pprint(f'当前时间{timestamp_ms},当前仓位{long_pos}')
# pprint(self.long_order)
# pprint(self.long_stop_order)
self.save_to_json()