Python版简单网格策略(教学)

Python版简单网格策略(教学)

Author: 小小梦, Date: 2020-01-04 11:12:15

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'''backtest

start: 2019-07-01 00:00:00

end: 2020-01-03 00:00:00

period: 1m

exchanges: [{"eid":"OKEX","currency":"BTC_USDT"}]

'''

import json

# 参数

beginPrice = 5000

endPrice = 8000

distance = 20

pointProfit = 50

amount = 0.01

minBalance = 300

# 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"], arrNet[i], ticker)

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"], arrNet[i], ticker)

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)

更多内容

18392409863 您好，这个策略可以写下每一步详细的注释嘛，因为是刚接触fmz，有些还是不咋看的懂，很懵逼。。。谢谢您了

FMZ_JH 最上面的网址就是策略讲解