Python单品种策略改造成多品种策略
2021/8/16 9:36:20
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'''backtest start: 2019-02-20 00:00:00 end: 2020-01-10 00:00:00 period: 1m exchanges: [{"eid":"OKEX","currency":"BTC_USDT"},{"eid":"OKEX","currency":"ETH_USDT","stocks":30},{"eid":"OKEX","currency":"LTC_USDT","stocks":100}] ''' import time import json params = { "arrBasePrice": [-1, -1, -1], # -1 "arrRatio": [0.05, 0.05, 0.05], # 0.05 "arrAcc": [], # _C(exchange.GetAccount) "arrLastCancelAll": [0, 0, 0], # 0 "arrMinStocks": [0.01, 0.01, 0.01], # 0.01 "arrPricePrecision": [2, 2, 2], # 2 "arrAmountPrecision": [3, 2, 2], # 2 "arrTick":[] } def CancelAll(e): while True : orders = _C(e.GetOrders) for i in range(len(orders)) : e.CancelOrder(orders[i]["Id"], orders[i]) if len(orders) == 0 : break Sleep(1000) def process(e, index): global params ticker = _C(e.GetTicker) params["arrTick"][index] = ticker if params["arrBasePrice"][index] == -1 : params["arrBasePrice"][index] = ticker.Last if ticker.Last - params["arrBasePrice"][index] > 0 and (ticker.Last - params["arrBasePrice"][index]) / params["arrBasePrice"][index] > params["arrRatio"][index]: params["arrAcc"][index] = _C(e.GetAccount) if params["arrAcc"][index].Balance * params["arrRatio"][index] / ticker.Last > params["arrMinStocks"][index]: e.Buy(ticker.Last, params["arrAcc"][index].Balance * params["arrRatio"][index] / ticker.Last) params["arrBasePrice"][index] = ticker.Last if ticker.Last - params["arrBasePrice"][index] < 0 and (params["arrBasePrice"][index] - ticker.Last) / params["arrBasePrice"][index] > params["arrRatio"][index]: params["arrAcc"][index] = _C(e.GetAccount) if params["arrAcc"][index].Stocks * params["arrRatio"][index] > params["arrMinStocks"][index]: e.Sell(ticker.Last, params["arrAcc"][index].Stocks * params["arrRatio"][index]) params["arrBasePrice"][index] = ticker.Last ts = time.time() if ts - params["arrLastCancelAll"][index] > 60 * 5 : CancelAll(e) params["arrLastCancelAll"][index] = ts def main(): global params for i in range(len(exchanges)) : params["arrAcc"].append(_C(exchanges[i].GetAccount)) params["arrTick"].append(_C(exchanges[i].GetTicker)) exchanges[i].SetPrecision(params["arrPricePrecision"][i], params["arrAmountPrecision"][i]) for key in params : if len(params[key]) < len(exchanges): raise "params error!" while True: tblAcc = { "type" : "table", "title": "account", "cols": ["账户信息"], "rows": [] } tblTick = { "type" : "table", "title": "ticker", "cols": ["行情信息"], "rows": [] } for i in range(len(exchanges)): process(exchanges[i], i) for i in range(len(exchanges)): tblAcc["rows"].append([json.dumps(params["arrAcc"][i])]) tblTick["rows"].append([json.dumps(params["arrTick"][i])]) LogStatus(_D(), "\n`" + json.dumps([tblAcc, tblTick]) + "`") Sleep(500)
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