做市策略入门（2）.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 1、写盘口高频策略\n",
    "### 2、把对敲与盘口高频整合到一起"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 盘口高频为何能有盈利空间\n",
    "- 1、市场上有人急着买，有人急着卖，急着买的买的和急着卖的差价就可以被你吃到\n",
    "- 2、市场存在微小的价格波动，类似于网格吃波动可以吃到利润"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "ename": "NameError",
     "evalue": "name 'PERIOD_M5' is not defined",
     "output_type": "error",
     "traceback": [
      "\u001b[1;31m---------------------------------------------------------------------------\u001b[0m",
      "\u001b[1;31mNameError\u001b[0m                                 Traceback (most recent call last)",
      "\u001b[1;32m<ipython-input-2-1d3997de4987>\u001b[0m in \u001b[0;36m<module>\u001b[1;34m()\u001b[0m\n\u001b[1;32m----> 1\u001b[1;33m \u001b[1;32mclass\u001b[0m \u001b[0mmid_class\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m      2\u001b[0m     \u001b[1;32mdef\u001b[0m \u001b[0m__init__\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mthis_exchange\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m      3\u001b[0m         '''\n\u001b[0;32m      4\u001b[0m         \u001b[0m初始化数据填充交易所的信息\u001b[0m\u001b[0;31m，\u001b[0m\u001b[0m首次获取价格\u001b[0m\u001b[0;31m，\u001b[0m\u001b[0m首次获取account信息\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m      5\u001b[0m         \u001b[0m设定好密钥\u001b[0m\u001b[0;31m…\u001b[0m\u001b[0;31m…\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
      "\u001b[1;32m<ipython-input-2-1d3997de4987>\u001b[0m in \u001b[0;36mmid_class\u001b[1;34m()\u001b[0m\n\u001b[0;32m     85\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m     86\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m---> 87\u001b[1;33m     \u001b[1;32mdef\u001b[0m \u001b[0mget_ohlc_data\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mperiod\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mPERIOD_M5\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m     88\u001b[0m         '''\n\u001b[0;32m     89\u001b[0m         \u001b[0m获取K线信息\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
      "\u001b[1;31mNameError\u001b[0m: name 'PERIOD_M5' is not defined"
     ]
    }
   ],
   "source": [
    "class mid_class():\n",
    "    def __init__(self, this_exchange):\n",
    "        '''\n",
    "        初始化数据填充交易所的信息，首次获取价格，首次获取account信息\n",
    "        设定好密钥……\n",
    "        \n",
    "        Args:\n",
    "            this_exchange: FMZ的交易所结构\n",
    "        \n",
    "        '''\n",
    "        self.init_timestamp = time.time()\n",
    "        self.exchange = this_exchange\n",
    "        self.name = self.exchange.GetName()\n",
    "        self.jyd = self.exchange.GetCurrency()        \n",
    "    \n",
    "    def get_account(self):\n",
    "        '''\n",
    "        获取账户信息\n",
    "        \n",
    "        Returns:\n",
    "            获取信息成功返回True，获取信息失败返回False\n",
    "        '''\n",
    "        self.Balance = '---'\n",
    "        self.Amount = '---'\n",
    "        self.FrozenBalance = '---'\n",
    "        self.FrozenStocks = '---'\n",
    "        \n",
    "        try:\n",
    "            self.account = self.exchange.GetAccount()\n",
    "\n",
    "            self.Balance =  self.account['Balance']\n",
    "            self.Amount = self.account['Stocks']\n",
    "            self.FrozenBalance =  self.account['FrozenBalance']\n",
    "            self.FrozenStocks = self.account['FrozenStocks']\n",
    "            return True\n",
    "        except:\n",
    "            return False\n",
    "    \n",
    "    def get_ticker(self):\n",
    "        '''\n",
    "        获取市价信息\n",
    "        \n",
    "        Returns:\n",
    "            获取信息成功返回True，获取信息失败返回False\n",
    "        '''\n",
    "        self.high = '---'\n",
    "        self.low = '---'\n",
    "        self.Sell =  '---'\n",
    "        self.Buy =  '---'\n",
    "        self.last =  '---'\n",
    "        self.Volume = '---'\n",
    "        \n",
    "        try:\n",
    "            self.ticker = self.exchange.GetTicker()\n",
    "        \n",
    "            self.high = self.ticker['High']\n",
    "            self.low = self.ticker['Low']\n",
    "            self.Sell =  self.ticker['Sell']\n",
    "            self.Buy =  self.ticker['Buy']\n",
    "            self.last =  self.ticker['Last']\n",
    "            self.Volume = self.ticker['Volume']\n",
    "            return True\n",
    "        except:\n",
    "            return False\n",
    "        \n",
    "        \n",
    "    def get_depth(self):\n",
    "        '''\n",
    "        获取深度信息\n",
    "        \n",
    "        Returns:\n",
    "            获取信息成功返回True，获取信息失败返回False\n",
    "        '''\n",
    "        self.Ask = '---'\n",
    "        self.Bids = '---'\n",
    "        \n",
    "        try:\n",
    "            self.Depth = self.exchange.GetDepth()\n",
    "            self.Ask = self.Depth['Asks']\n",
    "            self.Bids = self.Depth ['Bids']\n",
    "            return True\n",
    "        except:\n",
    "            return False\n",
    "        \n",
    "        \n",
    "    \n",
    "    def get_ohlc_data(self, period = PERIOD_M5):\n",
    "        '''\n",
    "        获取K线信息\n",
    "        \n",
    "        Args:\n",
    "            period: K线周期，PERIOD_M1 指1分钟, PERIOD_M5 指5分钟, PERIOD_M15 指15分钟,\n",
    "            PERIOD_M30 指30分钟, PERIOD_H1 指1小时, PERIOD_D1 指一天。\n",
    "        '''\n",
    "        self.ohlc_data = exchange.GetRecords(period)\n",
    "        \n",
    "        \n",
    "    \n",
    "    def create_order(self, order_type, price, amount):\n",
    "        '''\n",
    "        post一个挂单信息\n",
    "        \n",
    "        Args:\n",
    "            order_type：挂单类型，'buy'指挂买单，'sell'指挂卖单\n",
    "            price：挂单价格\n",
    "            amount:挂单数量\n",
    "            \n",
    "        Returns:\n",
    "            挂单Id号，可用以取消挂单\n",
    "        '''\n",
    "        if order_type == 'buy':\n",
    "            try:\n",
    "                order_id = self.exchange.Buy( price, amount)\n",
    "            except:\n",
    "                return False\n",
    "            \n",
    "        elif order_type == 'sell':\n",
    "            try:\n",
    "                order_id = self.exchange.Sell( price, amount)\n",
    "            except:\n",
    "                return False\n",
    "        \n",
    "        return order_id\n",
    "    \n",
    "    def get_orders(self):\n",
    "        self.undo_ordes = self.exchange.GetOrders()\n",
    "        return self.undo_ordes\n",
    "    \n",
    "    def cancel_order(self, order_id):\n",
    "        '''\n",
    "        取消一个挂单信息\n",
    "        \n",
    "        Args:\n",
    "            order_id：希望取消的挂单ID号\n",
    "            \n",
    "        Returns:\n",
    "            取消挂单成功返回True，取消挂单失败返回False\n",
    "        '''\n",
    "        return self.exchange.CancelOrder(order_id)\n",
    "        \n",
    "    def refreash_data(self):\n",
    "        '''\n",
    "        刷新信息\n",
    "        \n",
    "        Returns:\n",
    "            刷新信息成功返回 'refreash_data_finish!' 否则返回相应刷新失败的信息提示\n",
    "        '''\n",
    "\n",
    "        if not self.get_account():\n",
    "            return 'false_get_account'\n",
    "        \n",
    "        if not self.get_ticker():\n",
    "            return 'false_get_ticker'\n",
    "        if not self.get_depth():\n",
    "            return 'false_get_depth'\n",
    "        try:\n",
    "            self.get_ohlc_data()\n",
    "        except:\n",
    "            return 'false_get_K_line_info'\n",
    "        \n",
    "        return 'refreash_data_finish!'\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "class zuoshi():\n",
    "    def __init__(self, mid_class, amount_N, price_N):\n",
    "        self.jys = mid_class\n",
    "        self.done_amount = {'pan_kou':0, 'dui_qiao':0}\n",
    "        self.init_time = time.time()\n",
    "        self.last_time = time.time()\n",
    "        self.amount_N = amount_N\n",
    "        self.price_N = price_N\n",
    "        self.wait_time = 60\n",
    "        \n",
    "        self.traded_pair = {'pan_kou':[], 'dui_qiao':[]}\n",
    "        self.undo_state = []\n",
    "        self.had_gua_times = 0\n",
    "    \n",
    "    def refreash_data(self):\n",
    "        \n",
    "        self.jys.refreash_data()\n",
    "        self.B = self.jys.Amount\n",
    "        self.money = self.jys.Balance\n",
    "        self.can_buy_B = self.money/ self.jys.Buy\n",
    "        self.mid_price = ( self.jys.Sell + self.jys.Buy )/2\n",
    "        \n",
    "        return \n",
    "    \n",
    "        \n",
    "    def make_trade_by_dict(self, trade_dicts):\n",
    "        for trade_dict in trade_dicts:\n",
    "            if trade_dict['do_trade']:\n",
    "                buy_id = self.jys.create_order( 'buy', trade_dict['buy_price'] , trade_dict['amount'] ) \n",
    "                sell_id = self.jys.create_order( 'sell',trade_dict['sell_price'] , trade_dict['amount'] ) \n",
    "                \n",
    "                if trade_dict['buy_price'] == trade_dict['sell_price']:\n",
    "                    self.done_amount['dui_qiao'] += trade_dict['amount']\n",
    "                    self.traded_pair['dui_qiao'].append({'buy_id': buy_id, 'sell_id': sell_id, 'init_time':time.time(),'amount':trade_dict['amount'] })\n",
    "                else:\n",
    "                    \n",
    "                    self.traded_pair['pan_kou'].append({'buy_id': buy_id, 'sell_id': sell_id, 'init_time':time.time(),'amount':trade_dict['amount'] })\n",
    "                    \n",
    "                self.last_time = time.time()\n",
    "        \n",
    "    def make_duiqiao_trade_dict(self, set_amount, every_time_amount):\n",
    "        \n",
    "        trade_price = self.mid_price\n",
    "        trade_price = round(trade_price, self.price_N)\n",
    "        \n",
    "        if trade_price > self.jys.Buy and trade_price< self.jys.Sell:            \n",
    "            do_trade = self.B > every_time_amount\n",
    "            do_trade = do_trade and self.can_buy_B > every_time_amount\n",
    "            trade_dict = {'do_trade':do_trade,\n",
    "                          'buy_price': trade_price,\n",
    "                          'sell_price':trade_price,\n",
    "                          'amount':every_time_amount }\n",
    "            \n",
    "            return [trade_dict]\n",
    "        \n",
    "    def deal_with_frozen(self):\n",
    "        undo_orders = self.jys.get_orders()\n",
    "        if len( undo_orders) > 0:\n",
    "            for i in undo_orders:\n",
    "                self.jys.cancel_order(i['Id'])\n",
    "                \n",
    "    def make_pankou_dict(self, price_range , min_price_len, every_time_amount ):\n",
    "        mid_price =  self.mid_price\n",
    "        \n",
    "        price_alpha = price_range - self.had_gua_times * min_price_len\n",
    "        do_dict = price_alpha> 0\n",
    "        if do_dict:\n",
    "        \n",
    "            buy_price = mid_price - price_alpha\n",
    "            buy_price = round(buy_price, self.price_N)\n",
    "            can_buy_B =  self.money/buy_price\n",
    "            \n",
    "            sell_price = mid_price + price_alpha\n",
    "            sell_price = round(sell_price, self.price_N)\n",
    "\n",
    "\n",
    "            do_dict = do_dict and self.B > every_time_amount\n",
    "            do_dict = do_dict and can_buy_B > every_time_amount\n",
    "\n",
    "            amount = every_time_amount\n",
    "\n",
    "            trade_dict = {    'do_trade':do_dict,\n",
    "                              'buy_price': buy_price,\n",
    "                              'sell_price':sell_price,\n",
    "                              'amount':every_time_amount }\n",
    "            return [trade_dict]\n",
    "        else:\n",
    "            self.had_gua_times = 0\n",
    "    \n",
    "    def check_if_traded( self , now_times):\n",
    "        for traded_id in self.traded_pair['pan_kou']:\n",
    "            try:\n",
    "                this_buy_state = self.jys.exchange.GetOrder(traded_id['buy_id'])\n",
    "            except:\n",
    "                self.jys.cancel_order( traded_id['sell_id'] )\n",
    "                self.traded_pair['pan_kou'].remove( traded_id )\n",
    "            try:\n",
    "                this_sell_state = self.jys.exchange.GetOrder(traded_id['sell_id'])\n",
    "            except:\n",
    "                self.jys.cancel_order( traded_id['buy_id'] )\n",
    "                self.traded_pair['pan_kou'].remove( traded_id )\n",
    "            \n",
    "            \n",
    "            if { this_sell_state['Status'], this_buy_state['Status'] } == {0, 0}:\n",
    "                if now_times% 50 ==0 :\n",
    "                    Log(this_buy_state['Status'], this_sell_state['Status'], now_times% 50 )\n",
    "#                 if ( time.time() - traded_id['init_time'] )/1000/60 > self.wait_time:\n",
    "                    self.jys.cancel_order( traded_id['buy_id'] )\n",
    "                    self.jys.cancel_order( traded_id['sell_id'] )\n",
    "                    self.had_gua_times += 0\n",
    "                    self.traded_pair['pan_kou'].remove( traded_id )\n",
    "\n",
    "            elif {this_sell_state['Status'], this_buy_state['Status'] } == { 1, 0}:\n",
    "                if now_times% 50 ==0 :\n",
    "                    Log(this_buy_state['Status'], this_sell_state['Status'], now_times% 50 )\n",
    "#                 if ( time.time() - traded_id['init_time'] )/1000/60 > self.wait_time:\n",
    "                    if this_buy_state['Status'] == 'ORDER_STATE_PENDING':\n",
    "                        self.jys.cancel_order( traded_id['buy_id'] )\n",
    "                        self.undo_state.append(['buy', this_buy_state['Status']])\n",
    "                        self.traded_pair['pan_kou'].remove( self.traded_id )\n",
    "                    elif this_sell_state['Status'] == 'ORDER_STATE_PENDING':\n",
    "                        self.jys.cancel_order( traded_id['sell_id'] )\n",
    "                        self.undo_state.append(['sell', this_sell_state['Status']])\n",
    "                        self.traded_pair['pan_kou'].remove( self.traded_id )\n",
    "                \n",
    "            elif {this_sell_state['Status'], this_buy_state['Status'] } == {1,1}:\n",
    "                Log(this_buy_state['Status'], this_sell_state['Status'], traded_id['amount']  )\n",
    "                self.done_amount['pan_kou'] += traded_id['amount'] \n",
    "                self.traded_pair['pan_kou'].remove( traded_id )\n",
    "            else:\n",
    "                Log(this_buy_state,this_sell_state)\n",
    "                Log('2id:',this_buy_state['Status'], this_sell_state['Status'] )\n",
    "                Log(traded_id)\n",
    "                \n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "def main():\n",
    "    \n",
    "    times = 0\n",
    "    \n",
    "    Set_amount_N = 4\n",
    "    Set_price_N = 4\n",
    "    set_amount = 10\n",
    "    \n",
    "    price_range = 50\n",
    "    min_price_len = 1\n",
    "    every_time_amount = 0.01\n",
    "    \n",
    "    test_mid = mid_class(exchange)\n",
    "    Log(test_mid.refreash_data())\n",
    "    test_zuoshi = zuoshi(test_mid, Set_amount_N, Set_price_N)\n",
    "    \n",
    "    while( test_zuoshi.done_amount['pan_kou'] < set_amount):\n",
    "        \n",
    "        test_zuoshi.check_if_traded(times)\n",
    "        Sleep(1000)\n",
    "        test_zuoshi.refreash_data()\n",
    "        \n",
    "        if len( test_zuoshi.traded_pair['pan_kou'] ) < 1:\n",
    "            trade_dicts = test_zuoshi.make_pankou_dict( price_range , min_price_len, every_time_amount )\n",
    "        \n",
    "        test_zuoshi.make_trade_by_dict( trade_dicts )\n",
    "        Log( test_zuoshi.done_amount['pan_kou']  )\n",
    "        \n",
    "        times += 1\n",
    "        \n",
    "    Log( test_zuoshi.B, test_zuoshi.can_buy_B)\n"
   ]
  }
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