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505 lines
16 KiB
505 lines
16 KiB
# cd /www/server/mdserver-web && source bin/activate
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# python3 plugins/cryptocurrency_trade/ccxt/strategy/momentun_trade.py run
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# python3 plugins/cryptocurrency_trade/ccxt/strategy/momentun_trade.py long
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# 动量策略交易
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import ccxt
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import talib
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import sys
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import os
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import time
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import json
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import pandas as pd
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# import pandas_ta as ta
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from pprint import pprint
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import numpy as np
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sys.path.append(os.getcwd() + "/plugins/cryptocurrency_trade/strategy")
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import common
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sys.path.append(os.getcwd() + "/class/core")
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import mw
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exchange = common.initEx()
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exchange.load_markets()
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# 默认开仓数据
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# default_open_num = 70
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# default_sell_num = 0.003
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default_open = {
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'BTC/USDT': 30,
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'XRP/USDT': 30,
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}
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default_sell = {
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'BTC/USDT': 0.001,
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'XRP/USDT': 100,
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}
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# 做多开仓
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def onBuyOrderTry(symbol, stop_loss_price, profit=0.005, timeframe='15m'):
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# 信号只在一个周期内执行一次|start
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lock_file = common.getServerDir() + '/signal.json'
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if not os.path.exists(lock_file):
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mw.writeFile(lock_file, '{}')
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stype = symbol.replace('/', '_') + '_' + timeframe
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trigger_time = common.toUnixTimeSecond(timeframe)
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lock_data = json.loads(mw.readFile(lock_file))
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if stype in lock_data:
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diff_time = time.time() - lock_data[stype]['do_time']
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if diff_time >= trigger_time:
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lock_data[stype]['do_time'] = time.time()
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else:
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return False, 0, 0
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else:
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lock_data[stype] = {'do_time': time.time()}
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mw.writeFile(lock_file, json.dumps(lock_data))
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# 信号只在一个周期内执行一次|end
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common.writeLogEx('------做多----------------------------------', symbol)
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default_open_num = default_open[symbol]
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# 做多开仓 | 市价
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data = exchange.createMarketBuyOrder(
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symbol, default_open_num, {"tdMode": "cross"})
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common.writeLogEx('开仓数据:', symbol)
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common.writeLogEx(json.dumps(data), symbol)
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order_id = data['info']['ordId']
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order_data = exchange.fetchOrder(order_id, symbol)
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common.writeLogEx('订单数据:', symbol)
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common.writeLogEx(json.dumps(order_data), symbol)
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# 实际开场平均价
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open_price = order_data['info']['avgPx']
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# 修正小数点位数
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open_price = common.roundVal(open_price, stop_loss_price)
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common.writeLogEx('实际开仓价:' + str(open_price), symbol)
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# 做多-止损价大于开仓价,重设止损价
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if float(stop_loss_price) <= float(open_price):
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stop_loss_price = float(open_price) * float((1 - 0.003))
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# property_val = float(order_data['info']['accFillSz']) + float(order_data['info']['fee'])
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property_val = common.addition(order_data['info'][
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'accFillSz'], order_data['info']['fee'])
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property_val = float(property_val)
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# 可平仓的数量
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# property_val = common.roundValCeil(
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# property_val, order_data['info']['accFillSz'])
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common.writeLogEx('可平仓资产:' + str(property_val), symbol)
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# 止盈价
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diff = float(open_price) - float(stop_loss_price)
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closing_price = float(open_price) + (diff * 1.5)
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# closing_price = float(open_price) * float((1 + profit))
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# # 选择盈利多的
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# if closing_price_c > closing_price:
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# closing_price = closing_price_c
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closing_price = common.roundVal(closing_price, open_price)
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stop_loss_price = common.roundVal(stop_loss_price, open_price)
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common.writeLogEx('止盈价:' + str(closing_price), symbol)
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common.writeLogEx('止损价:' + str(stop_loss_price), symbol)
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# 设置 - 止损价/止盈价
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sl_exchange_params = {
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'ccy': "USDT",
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'reduceOnly': True,
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'tdMode': "cross",
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'slOrdPx': "-1",
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'slTriggerPx': stop_loss_price,
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}
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# 止损条件单
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common.writeLogEx('止损参数:' + json.dumps([symbol, 'limit', 'sell',
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property_val, stop_loss_price, sl_exchange_params]), symbol)
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sl_cond_data = exchange.create_order(
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symbol, 'limit', 'sell', property_val, stop_loss_price, sl_exchange_params)
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common.writeLogEx('止损价数据:', symbol)
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common.writeLogEx(json.dumps(sl_cond_data), symbol)
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# 止赢条件单
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tp_exchange_params = {
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'ccy': "USDT",
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'reduceOnly': True,
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'tdMode': "cross",
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'tpOrdPx': "-1",
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'tpTriggerPx': closing_price,
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}
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common.writeLogEx('止盈参数:' + json.dumps([symbol, 'limit', 'sell',
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property_val, closing_price, tp_exchange_params]), symbol)
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tp_cond_data = exchange.create_order(
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symbol, 'limit', 'sell', property_val, closing_price, tp_exchange_params)
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common.writeLogEx('止盈数据:', symbol)
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common.writeLogEx(json.dumps(tp_cond_data), symbol)
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common.writeLogEx('------做多 end----------------------------------', symbol)
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return True, open_price, closing_price
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def onBuyOrder(symbol, stop_loss_price, profit=0.005, timeframe='15m'):
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# 做多开仓
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# profit 百分比
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try:
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return onBuyOrderTry(symbol, stop_loss_price, profit, timeframe)
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except Exception as e:
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common.writeLogErrorEx(mw.getTracebackInfo(), symbol)
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return False, 0, 0
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def onSellOrderTry(symbol, stop_loss_price, profit=0.005, timeframe='15m'):
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# 信号只在一个周期内执行一次|start
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lock_file = common.getServerDir() + '/signal.json'
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if not os.path.exists(lock_file):
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mw.writeFile(lock_file, '{}')
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stype = symbol.replace('/', '_') + '_' + timeframe
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trigger_time = common.toUnixTimeSecond(timeframe)
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lock_data = json.loads(mw.readFile(lock_file))
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if stype in lock_data:
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diff_time = time.time() - lock_data[stype]['do_time']
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if diff_time >= trigger_time:
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lock_data[stype]['do_time'] = time.time()
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else:
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return False, 0, 0
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else:
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lock_data[stype] = {'do_time': time.time()}
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mw.writeFile(lock_file, json.dumps(lock_data))
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# 信号只在一个周期内执行一次|end
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common.writeLogEx('------做空----------------------------------', symbol)
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# 计算借币卖币多多少,以USDT为基准
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# sell_num = float(default_open_num) / float(stop_loss_price)
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# sell_num = round(sell_num, 8)
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# sell_num = default_sell_num
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sell_num = default_sell[symbol]
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# 做空开仓 | 市价
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data = exchange.createMarketSellOrder(
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symbol, sell_num, {"tdMode": "cross", 'ccy': "USDT"})
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common.writeLogEx('开仓数据:', symbol)
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common.writeLogEx(json.dumps(data), symbol)
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order_id = data['info']['ordId']
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order_data = exchange.fetchOrder(order_id, symbol)
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common.writeLogEx('订单数据:', symbol)
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common.writeLogEx(json.dumps(order_data), symbol)
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# 实际开场平均价
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open_price = order_data['info']['avgPx']
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# 修正
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open_price = common.roundVal(open_price, stop_loss_price)
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common.writeLogEx('实际开仓价:' + str(open_price), symbol)
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common.writeLogEx('可平仓资产:' + str(sell_num), symbol)
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# 做空-止损价小于开仓价,重设止损价
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if float(stop_loss_price) <= float(open_price):
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stop_loss_price = float(open_price) * float((1 + 0.003))
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# 止盈价
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diff = float(stop_loss_price) - float(open_price)
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closing_price = float(open_price) - (diff * 1.5)
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# closing_price = float(open_price) * float((1 - profit))
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# 选择盈利多的
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# if closing_price_c < closing_price:
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# closing_price = closing_price_c
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closing_price = common.roundVal(closing_price, open_price)
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stop_loss_price = common.roundVal(stop_loss_price, open_price)
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common.writeLogEx('止盈价:' + str(closing_price), symbol)
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common.writeLogEx('止损价:' + str(stop_loss_price), symbol)
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# 设置 - 止损价
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sl_exchange_params = {
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'ccy': "USDT",
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'reduceOnly': True,
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'tdMode': "cross",
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'slOrdPx': "-1",
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'slTriggerPx': stop_loss_price,
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}
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sl_amount = common.multiply(stop_loss_price, sell_num)
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# 解决平仓时,未全部平仓
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sl_amount = common.addition(sl_amount, 0.1)
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common.writeLogEx('止损总价值:' + str(sl_amount), symbol)
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common.writeLogEx('止损参数:' + json.dumps([symbol, 'limit', 'buy', float(
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sl_amount), stop_loss_price, sl_exchange_params]), symbol)
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sl_cond_data = exchange.create_order(
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symbol, 'limit', 'buy', float(sl_amount), stop_loss_price, sl_exchange_params)
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common.writeLogEx('止损价数据:', symbol)
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common.writeLogEx(json.dumps(sl_cond_data), symbol)
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tp_exchange_params = {
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'ccy': "USDT",
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'reduceOnly': True,
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'tdMode': "cross",
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'tpOrdPx': "-1",
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'tpTriggerPx': closing_price,
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}
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# 设置 -止盈价
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# tp_amount = closing_price * sell_num
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tp_amount = common.multiply(closing_price, sell_num)
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# 解决平仓时,未全部平仓
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tp_amount = common.addition(tp_amount, 0.1)
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common.writeLogEx('止盈总价值:' + str(tp_amount), symbol)
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common.writeLogEx('止盈参数:' + json.dumps([symbol, 'limit', 'buy', float(
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tp_amount), closing_price, tp_exchange_params]), symbol)
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tp_cond_data = exchange.create_order(
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symbol, 'limit', 'buy', float(tp_amount), closing_price, tp_exchange_params)
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common.writeLogEx('止盈价数据:', symbol)
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common.writeLogEx(json.dumps(tp_cond_data), symbol)
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common.writeLogEx('------做空 end----------------------------------', symbol)
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return True, open_price, closing_price
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def onSellOrder(symbol, stop_loss_price, profit=0.005, timeframe='15m'):
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# 做空开仓
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# profit 百分比
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try:
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return onSellOrderTry(symbol, stop_loss_price, profit, timeframe)
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except Exception as e:
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common.writeLogErrorEx(mw.getTracebackInfo(), symbol)
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return False, 0, 0
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def getOnlineData(symbol, input_tf="15m", limit=230):
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bars = exchange.fetch_ohlcv(symbol, timeframe=input_tf, limit=limit)
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df = pd.DataFrame(bars[:], columns=['timestamp',
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'open', 'high', 'low', 'close', 'volume'])
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df['dt'] = pd.to_datetime(df['timestamp'], unit='ms')
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df.set_index('dt', inplace=True)
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df.index = df.index.tz_localize('UTC').tz_convert('Asia/Shanghai')
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return df
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def isKdj(last, last_pre):
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# 判断是否是金叉
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if (float(last_pre['macd']) < 0) and (float(last['macd']) > 0):
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return True
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return False
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def isDeadFork(last, last_pre):
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# 判断是否是死叉
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if (float(last_pre['macd']) > 0) and (float(last['macd']) < 0):
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return True
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return False
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def getMACD(df, lenght=-60):
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if len(df['close'].values) < 100:
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return False, None
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close_p = df['close'].values
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df['dif'], df['dea'], df['macd'] = talib.MACD(close_p,
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fastperiod=12,
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slowperiod=26,
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signalperiod=9)
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return df[lenght:]
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def getTarget(df):
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close = df['close'].values
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df['ema'] = talib.EMA(np.array(close), timeperiod=10)
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df['ema_200'] = talib.EMA(np.array(close), timeperiod=200)
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df['ma'] = talib.MA(close, timeperiod=10)
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df['rsi'] = talib.RSI(close, timeperiod=14)
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return df
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# 多头信号
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def isBuyCrondSignal(last):
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if last['ema'] > last['ma'] and (last['rsi'] > 50 and last['rsi'] < 70) and last['low'] >= last['ma'] and last['close'] > last['open']:
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return True
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return False
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def isBuyFristSignal(data):
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data = data.sort_values(by=['timestamp'], ascending=False)
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# print(data)
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data_len = len(data)
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signal_num = 0
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first_data = data.iloc[1]
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# print(1, first_data['close'], first_data['ema'])
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is_buy_signal = isBuyCrondSignal(first_data)
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for x in range(2, data_len):
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tmp = data.iloc[x]
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# print(data.iloc[x])
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# print(x, tmp['close'], tmp['ema'])
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if isBuyCrondSignal(tmp):
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signal_num = + 1
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# print('signal_num:', signal_num)
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if (tmp['ema'] < tmp['ma']):
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break
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if str(tmp['ema']) == 'nan':
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break
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print("is_buy_signal:", is_buy_signal, 'signal_num:', signal_num)
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if is_buy_signal and signal_num == 0:
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return True
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return False
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# 空头信号
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def isSellCrondSignal(last):
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if last['ema'] < last['ma'] and (last['rsi'] > 30 and last['rsi'] < 50) and last['high'] <= last['ema'] and last['close'] < last['open']:
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return True
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return False
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def isSellFristSignal(data):
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data = data.sort_values(by=['timestamp'], ascending=False)
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# print(data)
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data_len = len(data)
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signal_num = 0
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first_data = data.iloc[1]
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# print(1, first_data['close'], first_data['ema'])
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is_sell_signal = isSellCrondSignal(first_data)
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for x in range(2, data_len):
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tmp = data.iloc[x]
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# print(data.iloc[x])
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# print(x, tmp['close'], tmp['ema'])
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if isSellCrondSignal(tmp):
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signal_num = + 1
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# print('signal_num:', signal_num)
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if (tmp['ema'] < tmp['ma']):
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break
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if str(tmp['ema']) == 'nan':
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break
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print("is_sell_signal:", is_sell_signal, 'signal_num:', signal_num)
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if is_sell_signal and signal_num == 0:
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return True
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return False
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def monentunTrade(data, tag, timeframe):
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data = getTarget(data)
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# print(data)
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key_data = data.tail(3)
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print(key_data)
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last_pre = key_data.iloc[0]
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last = key_data.iloc[1]
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obj = common.MsgTpl()
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symbol = tag.upper() + '/USDT'
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obj.setName(symbol)
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obj.setStrategyName("动量交易策略")
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obj.setTimeFrame(timeframe)
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obj.setOpenTime(last['timestamp'] / 1000)
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# 买入信号，并且收盘价要大于200 ema
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if isBuyFristSignal(data) and last['close'] > last['ema_200']:
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obj.setStrategicDt('buy')
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# 做多止损点
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stop_loss_price = last['ma']
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stop_loss_price = common.roundVal(stop_loss_price, last['open'])
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buy_status, open_price, closing_price = onBuyOrder(
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symbol, stop_loss_price, 0.005, timeframe)
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if buy_status:
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# 做多止损点
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obj.setStopLossPrice(str(stop_loss_price))
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obj.setOpenPrice(str(open_price))
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obj.setClosingPrice(str(closing_price))
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obj.setContent("动量交易策略做多!")
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msg = obj.toText()
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print(msg)
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common.notifyMsg(msg, timeframe, tag)
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common.writeLog(msg)
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# 卖出信号，并且收盘价要小于200 ema
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# if isSellFristSignal(data) and last['close'] < last['ema_200']:
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# obj.setStrategicDt('sell')
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# stop_loss_price = last['ma']
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# stop_loss_price = common.roundVal(stop_loss_price, last['open'])
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# sell_status, open_price, closing_price = onSellOrder(
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# symbol, stop_loss_price, 0.005, timeframe)
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# if sell_status:
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# obj.setStopLossPrice(str(stop_loss_price))
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# obj.setOpenPrice(str(open_price))
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# obj.setClosingPrice(str(closing_price))
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# obj.setStrategicDt('sell')
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# obj.setContent("动量交易策略作空!")
|
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# msg = obj.toText()
|
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# print(msg)
|
|
# common.notifyMsg(msg, timeframe, tag)
|
|
# common.writeLog(msg)
|
|
|
|
|
|
def mainProcess(tag, timeframe='15m'):
|
|
symbol = tag.upper() + '/USDT'
|
|
data = getOnlineData(symbol, timeframe)
|
|
|
|
monentunTrade(data, tag, timeframe)
|
|
|
|
|
|
def foreachList():
|
|
tag_list = ['btc', 'xrp']
|
|
for tag in tag_list:
|
|
mainProcess(tag, '15m')
|
|
time.sleep(1)
|
|
|
|
|
|
def longRun():
|
|
while True:
|
|
foreachList()
|
|
time.sleep(1)
|
|
|
|
|
|
def debug():
|
|
while True:
|
|
mainProcess('btc', '5m')
|
|
time.sleep(1)
|
|
|
|
|
|
if __name__ == "__main__":
|
|
func = sys.argv[1]
|
|
if func == 'long':
|
|
longRun()
|
|
elif func == 'run':
|
|
debug()
|
|
else:
|
|
print('error')
|
|
|