from binance import BinanceFutureHttp, OrderStatus, OrderType, OrderSide from utils import config from utils import round_to import logging from datetime import datetime class BinanceFutureTrader(object): def __init__(self): self.http_client = BinanceFutureHttp(api_key=config.api_key, secret=config.api_secret, proxy_host=config.proxy_host, proxy_port=config.proxy_port) self.buy_orders = [] # 买单. buy orders self.sell_orders = [] # 卖单. sell orders def get_bid_ask_price(self): ticker = self.http_client.get_ticker(config.symbol) bid_price = 0 ask_price = 0 if ticker: bid_price = float(ticker.get('bidPrice', 0)) ask_price = float(ticker.get('askPrice', 0)) return bid_price, ask_price def get_latest_price(self): #获取最新价格 ticker = self.http_client.get_latest_price(config.symbol) price = 0 if ticker: price = float(ticker.get('price', 0)) return price def grid_trader(self): """ 执行核心逻辑，网格交易的逻辑. the grid trading logic :return: """ bid_price, ask_price = self.get_bid_ask_price() print(f"bid_price: {bid_price}, ask_price: {ask_price}, time: {datetime.now()}") quantity = round_to(float(config.quantity), float(config.min_qty)) self.buy_orders.sort(key=lambda x: float(x['price']), reverse=True) # 最高价到最低价. self.sell_orders.sort(key=lambda x: float(x['price']), reverse=True) # 最高价到最低价. buy_delete_orders = [] # 需要删除买单 sell_delete_orders = [] # 需要删除的卖单 # 买单逻辑,检查成交的情况. for buy_order in self.buy_orders: check_order = self.http_client.get_order(buy_order.get('symbol', config.symbol),client_order_id=buy_order.get('clientOrderId')) if check_order: if check_order.get('status') == OrderStatus.CANCELED.value: buy_delete_orders.append(buy_order) print(f"buy order status was canceled: {check_order.get('status')}, time: {datetime.now()}") elif check_order.get('status') == OrderStatus.FILLED.value: # 买单成交，挂卖单. print(f"买单成交了, 时间: {datetime.now()}") logging.info(f"买单成交时间: {datetime.now()}, 价格: {check_order.get('price')}, 数量: {check_order.get('origQty')}") sell_price = round_to(float(check_order.get("price")) * (1 + float(config.gap_percent)), float(config.min_price)) if 0 < sell_price < ask_price: # 防止价格 sell_price = round_to(ask_price, float(config.min_price)) new_sell_order = self.http_client.place_order(symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=sell_price) if new_sell_order: print(f"买单成交，下了对应价格的卖单: {new_sell_order}, 时间: {datetime.now()}") buy_delete_orders.append(buy_order) self.sell_orders.append(new_sell_order) buy_price = round_to(float(check_order.get("price")) * (1 - float(config.gap_percent)), config.min_price) if buy_price > bid_price > 0: buy_price = round_to(buy_price, float(config.min_price)) new_buy_order = self.http_client.place_order(symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=buy_price) if new_buy_order: print(f"买单成交，下了更低价的买单: {new_buy_order}, 时间: {datetime.now()}") self.buy_orders.append(new_buy_order) elif check_order.get('status') == OrderStatus.NEW.value: print(f"buy order status is: New , 时间: {datetime.now()}") else: print(f"buy order status is not above options: {check_order.get('status')}, 时间: {datetime.now()}") # 过期或者拒绝的订单删除掉. for delete_order in buy_delete_orders: self.buy_orders.remove(delete_order) # 卖单逻辑, 检查卖单成交情况. for sell_order in self.sell_orders: check_order = self.http_client.get_order(sell_order.get('symbol', config.symbol), client_order_id=sell_order.get('clientOrderId')) if check_order: if check_order.get('status') == OrderStatus.CANCELED.value: sell_delete_orders.append(sell_order) print(f"sell order status was canceled: {check_order.get('status')}, 时间: {datetime.now()}") elif check_order.get('status') == OrderStatus.FILLED.value: print(f"卖单成交了, 时间: {datetime.now()}") logging.info( f"卖单成交时间: {datetime.now()}, 价格: {check_order.get('price')}, 数量: {check_order.get('origQty')}") # 卖单成交，先下买单. buy_price = round_to(float(check_order.get("price")) * (1 - float(config.gap_percent)), float(config.min_price)) if buy_price > bid_price > 0: buy_price = round_to(buy_price, float(config.min_price)) new_buy_order = self.http_client.place_order(symbol=config.symbol, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity, price=buy_price) if new_buy_order: print(f"卖单成交，下了对应价格的买单: {new_buy_order}, 时间: {datetime.now()}") sell_delete_orders.append(sell_order) self.buy_orders.append(new_buy_order) sell_price = round_to(float(check_order.get("price")) * (1 + float(config.gap_percent)), float(config.min_price)) if 0 < sell_price < ask_price: # 防止价格 sell_price = round_to(ask_price, float(config.min_price)) new_sell_order = self.http_client.place_order(symbol=config.symbol, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity, price=sell_price) if new_sell_order: print(f"卖单成交，下了更高价的卖单: {new_sell_order}, 时间: {datetime.now()}") self.sell_orders.append(new_sell_order) elif check_order.get('status') == OrderStatus.NEW.value: print(f"sell order status is: New, 时间: {datetime.now()}") else: print(f"sell order status is not in above options: {check_order.get('status')}, 时间: {datetime.now()}") # 过期或者拒绝的订单删除掉. for delete_order in sell_delete_orders: self.sell_orders.remove(delete_order) # 没有买单的时候. if len(self.buy_orders) <= 0: if bid_price > 0: price = round_to(bid_price * (1 - float(config.gap_percent)), float(config.min_price)) buy_order = self.http_client.place_order(symbol=config.symbol,order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=quantity,price=price) print(f'没有买单，根据盘口下买单: {buy_order}, 时间: {datetime.now()}') if buy_order: self.buy_orders.append(buy_order) else: self.buy_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_orders = [] for i in range(len(self.buy_orders) -1): order = self.buy_orders[i] next_order = self.buy_orders[i+1] if float(next_order['price'])/float(order['price']) - 1 < 0.001: print(f"买单之间价差太小，撤销订单：{next_order}, 时间: {datetime.now()}") cancel_order = self.http_client.cancel_order(next_order.get('symbol'), client_order_id=next_order.get('clientOrderId')) if cancel_order: delete_orders.append(next_order) for order in delete_orders: self.buy_orders.remove(order) if len(self.buy_orders) > int(config.max_orders): # 最多允许的挂单数量. # 订单数量比较多的时候. self.buy_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_order = self.buy_orders[0] print(f"订单太多了，撤销最低价的买单：{delete_order}, 时间: {datetime.now()}") order = self.http_client.cancel_order(delete_order.get('symbol'), client_order_id=delete_order.get('clientOrderId')) if order: self.buy_orders.remove(delete_order) # 没有卖单的时候. if len(self.sell_orders) <= 0: if ask_price > 0: price = round_to(ask_price * (1 + float(config.gap_percent)), float(config.min_price)) sell_order = self.http_client.place_order(symbol=config.symbol,order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=quantity,price=price) print(f'没有卖单，根据盘口下卖单:{sell_order} , 时间: {datetime.now()}') if sell_order: self.sell_orders.append(sell_order) else: self.sell_orders.sort(key=lambda x: float(x['price']), reverse=False) # 最低价到最高价 delete_orders = [] for i in range(len(self.sell_orders) - 1): order = self.sell_orders[i] next_order = self.sell_orders[i + 1] if float(next_order['price']) / float(order['price']) - 1 < 0.001: print(f"卖单之间价差太小，撤销订单:{next_order}, 时间: {datetime.now()}") cancel_order = self.http_client.cancel_order(next_order.get('symbol'), client_order_id=next_order.get('clientOrderId')) if cancel_order: delete_orders.append(next_order) for order in delete_orders: self.sell_orders.remove(order) if len(self.sell_orders) > int(config.max_orders): # 最多允许的挂单数量. # 订单数量比较多的时候. self.sell_orders.sort(key=lambda x: x['price'], reverse=True) # 最高价到最低价 delete_order = self.sell_orders[0] print(f"订单太多了，撤销最高价的卖单：{delete_order}, 时间:{datetime.now()}") order = self.http_client.cancel_order(delete_order.get('symbol'), client_order_id=delete_order.get('clientOrderId')) if order: self.sell_orders.remove(delete_order)