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mains.py
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#!/usr/bin/env python
# -*- coding: utf-8 -*-
import configparser
import glob
import time
import pandas as pd
import talib
from HuobiDMService import HuobiDM
from pprint import pprint
import logging
import csv
import os
LOG_FORMAT = "%(asctime)s - %(levelname)s - %(message)s"
DATE_FORMAT = "%m/%d/%Y %H:%M:%S %p"
import logging,sys
filelog = True
path = r'../log.txt'
logger = logging.getLogger('log')
logger.setLevel(logging.DEBUG)
# 调用模块时,如果错误引用，比如多次调用，每次会添加Handler，造成重复日志，这边每次都移除掉所有的handler，后面在重新添加，可以解决这类问题
while logger.hasHandlers():
for i in logger.handlers:
logger.removeHandler(i)
# file log
formatter = logging.Formatter('%(asctime)s - %(levelname)s - %(message)s')
if filelog:
fh = logging.FileHandler(path,encoding='utf-8')
logger.setLevel(logging.DEBUG)
fh.setFormatter(formatter)
logger.addHandler(fh)
# console log
formatter = logging.Formatter('%(message)s')
ch = logging.StreamHandler(sys.stdout)
ch.setLevel(logging.DEBUG)
ch.setFormatter(formatter)
logger.addHandler(ch)
#logging.basicConfig(filename='my%s.log' % time.time(), level=logging.DEBUG,format=LOG_FORMAT, datefmt=DATE_FORMAT)
# 从配置文件中获取初始化参数
__iniFilePath = glob.glob("../config.ini")
print(__iniFilePath)
cfg = configparser.ConfigParser()
cfg.read(__iniFilePath, encoding='utf-8')
accessKey = cfg.get('ws', 'accessKey') # 账号
secretKey = cfg.get('ws', 'secretKey') # 密码
_type = cfg.get('ws', 'type') # 合约或？
size = cfg.get('ws', 'size') # 长度
period = cfg.get('ws', 'period') # 时间长度
symbol = cfg.get('ws', 'symbol') # 合约种类：BTC等
symbol_type = cfg.get('ws', 'symbol_type') # 合约种类：BTC等
protocol = cfg.get('ws', 'protocol') # 链接前缀:HTTPS或者sockets
volume = cfg.get('ws', 'volume') # 合约张数
lever_rate = cfg.get('ws', 'lever_rate') # 最前五
contract_type = cfg.get('ws', 'contract_type') # 当前合约时间：this_week,this_year等
MTimePeriod = cfg.get('ws', 'MTimePeriod') # MA线参数
TTimePeriod = cfg.get('ws', 'TTimePeriod') # EMA线参数
LogCsvFile = cfg.get('ws', 'LogCsvFile') # EMA线参数
_host = cfg.get('ws', '_host') # 服务器地址
url = protocol + _host
csv_file = cfg.get('ws', 'LogCsvFile') # 程序交易日志csv地址
headers = ['contract_code', 'lever_rate', 'created_at', 'direction', 'offset', 'order_price_type',
'volume', 'price', 'trade_volume', 'trade_avg_price', 'profit', 'fee', 'status'] # 交易数据表头
# 合约 杠杆 委托时间 交易 类型 委托类型 委托量(张) 委托价(USD) 成交量(张) 成交均价(USD) 收益均价(BTC) 手续费(BTC) 状态
if not os.path.isfile('../%s.csv'%(LogCsvFile)):
with open('../%s.csv'%(LogCsvFile), 'w', newline='') as f: # newline=" "是为了避免写入之后有空行
ff = csv.writer(f)
ff.writerow(headers)
f.close()
trading_interval = 2
BTC_Trade = False # 判断交易是否成功
Already_Judged = False # 判断是否交易完成和撤销失败订单
Braiding = False
trade_time = None
trade_number = None
trade_volume = None
trade_sell_time = None
trade_sell_number = None
trade_sell_volume = None
BuyOpen = None
price =''
direction = None
offset = None
order_price_type = None
# 订单报价类型 "limit":限价 "opponent":对手价 "post_only":只做maker单,post only下单只受用户持仓数量限制,
# optimal_5：最优5档、optimal_10：最优10档、optimal_20：最优20档，ioc:IOC订单，fok：FOK订单
sell_BuyOpen = False
sell_direction = None
sell_offset = None
sell_order_price_type = None
MA_EMA = None
Already_SELL_Judged = False
time1=0
dm = HuobiDM(url, accessKey, secretKey)
while 1:
time6 = time.clock()
print(time6-time1)
if time6-time1<=30:
time.sleep(30-(time6-time1))
time1 = time.clock() # 获取时间0x01
try:
Klines = dm.get_contract_kline(symbol=symbol, period=period, size=size) # 获取k线
logger.info(u' 获取K线数据：%s ' % str(time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(Klines['ts'] / 1000))))
except:
continue
kl = []
time2 = time.clock() # 获取时间0x02
# 处理数据改为pd格式
for kline in Klines['data']:
kl.append([kline['id'], kline['high'], kline['low'], kline['open'], kline['vol'], kline['close'],
kline['amount']])
data_df = pd.DataFrame(kl, columns=['id', 'high', 'low', 'open', 'vol', 'close', 'amount'])
time3 = time.clock() # 获取时间0x03
Klines.clear()
MA = talib.MA(data_df['close'], timeperiod=int(MTimePeriod), matype=0) # 获取MA线值
EEMA = talib.EMA(data_df['close'], timeperiod=int(TTimePeriod)) # 获取EMA线值
time4 = time.clock() # 获取时间0x04
logger.info("时间间隔：%s%s%s"%(str(time2 - time1), str(time3 - time2),str( time4 - time3)))
logger.info("MA值：%s，时间戳：%s"%(str(MA[len(MA) - 1]),1))
logger.info("EMA：%s"% str(EEMA[len(EEMA) - 1]))
# 如果该程序未下单，继续进行判断MA与EMA，是否合适开单。如果已经下单，需要判断，是否已经交易，和五分钟后取消订单情况。
print(BTC_Trade)
print("MA值：%s"%str(MA[len(MA) - 1]),"EMA：%s"% str(EEMA[len(EEMA) - 1]))
del data_df
if not BTC_Trade:
if not Braiding:
if MA[len(MA) - 1] > EEMA[len(EEMA) - 1]: # 此时判断是否合适买入
BuyOpen = False # 等待买入BuySell(买空)
direction = 'sell'
offset = 'open'
price = MA[len(MA) - 1]
order_price_type = 'opponent'
sell_direction = 'buy'
sell_offset = 'close'
sell_order_price_type = 'optimal_5'
logger.info("# 此时判断是否合适买入:%s%s"%(BuyOpen,"买空"))
print("# 此时判断是否合适买入:",BuyOpen,"买空")
else:
BuyOpen = True # 等待买入BuySell(买多)
direction = 'buy'
offset = 'open'
price = MA[len(MA) - 1]
order_price_type = 'opponent'
sell_direction = 'sell'
sell_offset = 'close'
sell_order_price_type = 'optimal_5'
logger.info("# 此时判断是否合适买入:%s%s"%(BuyOpen,"买多"))
print("# 此时判断是否合适买入:",BuyOpen, "买多")
Braiding = True
if BuyOpen:
MA_EMA = MA[len(MA) - 1] > EEMA[len(EEMA) - 1]
else:
MA_EMA = MA[len(MA) - 1] <= EEMA[len(EEMA) - 1]
logger.info('BuyOpen%s%s%s'%(BuyOpen,'购买时机：', MA_EMA))
print('BuyOpen', BuyOpen,'购买时机：', MA_EMA)
if MA_EMA:
# 建立订单 价格：MA[int(size) - 1]
print(symbol_type,contract_type,int(volume),direction,offset,lever_rate,order_price_type)
Order = dm.send_contract_order(symbol=symbol_type, contract_type=contract_type, contract_code='',
client_order_id='', price=price,
volume=int(volume),
direction=direction,
offset=offset, lever_rate=lever_rate, order_price_type=order_price_type)
# 打印订单信息
logger.info("下单返回信息：", Order)
pprint(Order)
# 判断订单是否成功
if Order['status'] == 'error':
logger.error("下单失败：%s"% Order['err_msg'])
print(Order['err_msg'])
break
elif Order['status'] == 'ok':
BTC_Trade = True
Already_Judged = True
trade_time = time.time()
print(Order['data'])
trade_number = Order['data']['order_id_str']
print(trade_number)
Order.clear()
else:
continue
else: # 判断是否需要平仓
if Already_Judged:
time5 = time.time() # 获取当前时间
# 如果时间差大于定额时间，
if time5 - trade_time >= trading_interval:
print(symbol,trade_number)
Order = dm.get_contract_order_info(symbol=symbol_type, order_id=trade_number)
logger.info("查询合约订单返回信息：%s"%Order)
pprint(Order)
# 判断订单是否成功
if Order['status'] == 'error':
logger.error("查询合约订单返回查询失败：%s"%Order['err_msg'])
print(Order['err_msg'])
continue
elif Order['status'] == 'ok':
data_btc = Order['data'][0]
head = [data_btc['contract_code'], data_btc['lever_rate'], data_btc['created_at'],
data_btc['direction'], data_btc['offset'], data_btc['order_price_type'],
data_btc['volume'], data_btc['price'], data_btc['trade_volume'],
data_btc['trade_avg_price'], data_btc['profit'], data_btc['fee'],
data_btc['status']] # 交易数据表头
trade_change_number = data_btc['trade_volume']
# 合约 杠杆 委托时间 交易 类型 委托类型 委托量(张) 委托价(USD) 成交量(张) 成交均价(USD)
# 收益均价(BTC) 手续费(BTC) 状态
with open('%s.csv'%(LogCsvFile), 'a', newline='') as f: # newline=" "是为了避免写入之后有空行
ff = csv.writer(f)
ff.writerow(head)
f.close()
# (1准备提交 2准备提交 3已提交 4部分成交 5部分成交已撤单 6全部成交 7已撤单 11撤单中)
print(data_btc['status'],type(data_btc['status']))
if data_btc['status'] != 6:
Order1 = dm.cancel_contract_order(symbol=symbol_type, order_id=trade_number)
if len(Order1['data']['errors']) > 0:
for order_error in Order1['data']['errors']:
logger.error("撤单失败：%s"%order_error)
print("撤单失败：", order_error)
continue
elif Order1['data']['successes'] == trade_number:
BTC_Trade = False
logger.error("撤单成功：%s"%trade_number)
print("撤单成功：", trade_number)
continue
elif data_btc['status']==4 or data_btc['status']==5or data_btc['status']==7:
Already_Judged = False
logger.error("下单成功全部成交：%s" % trade_number)
print("下单成功全部成交：", trade_number)
continue
elif data_btc['status'] == 6:
Already_Judged = False
logger.error("下单成功全部成交：%s"%trade_number)
print("下单成功全部成交：", trade_number)
continue
Order.clear()
else:
continue
else:
if Already_SELL_Judged:
time5 = time.time() # 获取当前时间
# 如果时间差大于定额时间，
if time5 - trade_time >= trading_interval:
Order = dm.get_contract_order_info(symbol=symbol_type, order_id=trade_sell_number)
logger.info("查询合约订单返回信息：%s"%Order)
# 判断订单是否成功
if Order['status'] == 'error':
logger.error("查询合约订单返回查询失败：%s"%Order['err_msg'])
print(Order['err_msg'])
continue
elif Order['status'] == 'ok':
data_btc = Order['data'][0]
head = [data_btc['contract_code'], data_btc['lever_rate'], data_btc['created_at'],
data_btc['direction'], data_btc['offset'], data_btc['order_price_type'],
data_btc['volume'], data_btc['price'], data_btc['trade_volume'],
data_btc['trade_avg_price'], data_btc['profit'], data_btc['fee'],
data_btc['status']] # 交易数据表头
trade_change_number = data_btc['trade_volume']
# 合约 杠杆 委托时间 交易 类型 委托类型 委托量(张) 委托价(USD) 成交量(张) 成交均价(USD)
# 收益均价(BTC) 手续费(BTC) 状态
print(head)
with open('%s.csv'%(LogCsvFile), 'a', newline='') as f: # newline=" "是为了避免写入之后有空行
ff = csv.writer(f)
ff.writerow(head)
f.close()
# (1准备提交 2准备提交 3已提交 4部分成交 5部分成交已撤单 6全部成交 7已撤单 11撤单中)
if data_btc['status'] == 6:
trading_interval = 1
BTC_Trade = False # 判断交易是否成功
Already_Judged = False # 判断是否交易完成和撤销失败订单
Braiding = False
trade_time = None
trade_number = None
trade_volume = None
trade_sell_time = None
trade_sell_number = None
trade_sell_volume = None
BuyOpen = None
direction = None
offset = None
order_price_type = None
# 订单报价类型 "limit":限价 "opponent":对手价 "post_only":只做maker单,post only下单只受用户持仓数量限制,
# optimal_5：最优5档、optimal_10：最优10档、optimal_20：最优20档，ioc:IOC订单，fok：FOK订单
sell_BuyOpen = False
sell_direction = None
sell_offset = None
sell_order_price_type = None
MA_EMA = None
Already_SELL_Judged = False
continue
else:
Order1 = dm.cancel_contract_order(symbol=symbol, order_id=trade_number)
if len(Order1['data']['errors']) > 0:
for order_error in Order1['data']['errors']:
logger.error("撤单失败：%s"%order_error)
print("撤单失败：", order_error)
continue
elif Order1['data']['successes'] == trade_number:
BTC_Trade = False
logger.error("撤单成功：%s"%trade_number)
print("撤单成功：", trade_number)
Order_sell = dm.send_contract_order(symbol=symbol_type, contract_type=contract_type,
contract_code='',
client_order_id='', price="",
volume=volume, direction=sell_direction,
offset=sell_offset,
lever_rate=lever_rate,
order_price_type=sell_order_price_type)
logger.info("下单返回信息：%s"%Order_sell)
continue
logger.info("如果时间差大于定额时间：%s"%(time5 - trade_time >= trading_interval))
Order.clear()
continue
else:
times = time5 - trade_time
logger.info("如果时间差大于定额时间：%s%s%s"%(times,trading_interval,time5 - trade_time >= trading_interval))
trading_interval = 1
BTC_Trade = False # 判断交易是否成功
Already_Judged = False # 判断是否交易完成和撤销失败订单
Braiding = False
trade_time = None
trade_number = None
trade_volume = None
trade_sell_time = None
trade_sell_number = None
trade_sell_volume = None
BuyOpen = None
direction = None
offset = None
order_price_type = None
# 订单报价类型 "limit":限价 "opponent":对手价 "post_only":只做maker单,post only下单只受用户持仓数量限制,
# optimal_5：最优5档、optimal_10：最优10档、optimal_20：最优20档，ioc:IOC订单，fok：FOK订单
sell_BuyOpen = False
sell_direction = None
sell_offset = None
sell_order_price_type = None
MA_EMA = None
Already_SELL_Judged = False
continue
# 判断是否穿线
if BuyOpen:
MA_EMA = MA[len(MA) - 1] <= EEMA[len(EEMA) - 1]
else:
MA_EMA = MA[len(MA) - 1] > EEMA[len(EEMA) - 1]
logger.info('BuyOpen%s%s%s' % (BuyOpen, '卖出时机：', MA_EMA))
print('BuyOpen', BuyOpen, '卖出时机：', MA_EMA)
if MA_EMA:
Order_sell = dm.send_contract_order(symbol=symbol_type, contract_type=contract_type,
contract_code='',
client_order_id='', price="",
volume=volume, direction=sell_direction, offset=sell_offset,
lever_rate=lever_rate, order_price_type=sell_order_price_type)
logger.info("下单返回信息：", Order_sell)
# 判断订单是否成功
if Order_sell['status'] == 'error':
logger.error("下单失败：%s"%Order_sell['err_msg'])
print(Order_sell['err_msg'])
continue
elif Order_sell['status'] == 'ok':
trade_sell_time = Order_sell['ts']
trade_sell_number = Order_sell['data']['order_id']
Already_SELL_Judged = True
logger.error("下单成功：%s"%Order_sell['status'])
Order_sell.clear()