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Author SHA1 Message Date
bc41498e96 fix(trade): LIMIT calculated quantity algorithm
Closes #6
2025-08-10 02:39:29 +08:00
2 changed files with 42 additions and 68 deletions

1
config1 Submodule

Submodule config1 added at fab56fe709

109
main.py
View File

@@ -45,6 +45,7 @@ logging.basicConfig(
logging.StreamHandler(),
],
)
logger = logging.getLogger(__name__)
class MexcSpotMarket:
@@ -60,7 +61,6 @@ class MexcSpotMarket:
def __init__(self, config):
"""初始化市场数据查询接口"""
self.market = mexc_spot_v3.mexc_market(config)
self.logger = logging.getLogger(self.__class__.__module__ + '.' + self.__class__.__name__)
def get_exchange_info(self, symbol: str) -> Optional[Dict[str, Any]]:
"""
@@ -75,18 +75,18 @@ class MexcSpotMarket:
params = {"symbol": symbol}
try:
self.logger.info("查询交易对信息: %s", symbol)
logger.info("查询交易对信息: %s", symbol)
exchange_info = self.market.get_exchangeInfo(params)
if not exchange_info or "symbols" not in exchange_info:
self.logger.error("获取交易对信息失败: %s", exchange_info)
logger.error("获取交易对信息失败: %s", exchange_info)
return None
self.logger.info("获取交易对信息成功")
logger.info("获取交易对信息成功")
return exchange_info
except Exception as e:
self.logger.error("查询交易所信息失败: %s", str(e))
logger.error("查询交易所信息失败: %s", str(e))
return None
def get_price(self, symbol: str) -> Optional[float]:
@@ -106,20 +106,20 @@ class MexcSpotMarket:
params = {"symbol": symbol}
try:
self.logger.info("查询交易对价格: %s", symbol)
logger.info("查询交易对价格: %s", symbol)
price_data = self.market.get_price(params)
if not price_data or "price" not in price_data:
self.logger.error("获取价格数据失败: %s", price_data)
logger.error("获取价格数据失败: %s", price_data)
return None
price_str = price_data["price"]
price = float(price_str)
self.logger.info("获取价格成功: %s = %f", symbol, price)
logger.info("获取价格成功: %s = %f", symbol, price)
return price
except Exception as e:
self.logger.error("查询价格失败: %s", str(e))
logger.error("查询价格失败: %s", str(e))
return None
@@ -159,27 +159,6 @@ class MexcSpotTrade:
self.market = MexcSpotMarket(config)
self.csv_file = f"output/{config_file_name}.csv"
self.symbol_mapping = symbol_mapping
self.logger = logging.getLogger(self.__class__.__module__ + '.' + self.__class__.__name__)
def _api_get_balance(self) -> str:
"""
获取账户余额
Returns:
账户余额字典或None(如果失败)
"""
try:
self.logger.info("查询账户余额")
account_info = self.trader.get_account_info()
account_info_balance = account_info.get("balances", [])
balances = ""
for item in account_info_balance:
balances += f"{item['available']} {item['asset']} "
self.logger.info("获取账户余额成功")
return balances
except Exception as e:
self.logger.error("查询账户信息失败: %s", str(e))
return f"ERROR: {str(e)}"
def _api_get_order(self, symbol: str, order_id: str) -> Optional[Dict[str, Any]]:
"""
@@ -199,12 +178,12 @@ class MexcSpotTrade:
}
try:
self.logger.info("查询订单状态, 订单ID: %s", order_id)
logger.info("查询订单状态, 订单ID: %s", order_id)
order = self.trader.get_order(params)
self.logger.info("订单状态: %s", order.get("status"))
logger.info("订单状态: %s", order.get("status"))
return order
except Exception as e:
self.logger.error("查询订单失败: %s", str(e))
logger.error("查询订单失败: %s", str(e))
return None
def _tool_map_symbol(self, symbol: str) -> str:
@@ -272,7 +251,6 @@ class MexcSpotTrade:
executed_qty = order_data["executedQty"]
cummulative_quote_qty = order_data["cummulativeQuoteQty"]
side = order_data["side"]
balances = self._api_get_balance()
# 确定交易类型显示
trade_type = "买入" if side == "BUY" else "卖出"
@@ -290,7 +268,6 @@ class MexcSpotTrade:
"资金账户",
"CEX",
f"MEXC API - Order ID: {order_id}",
balances
]
# 检查文件是否存在
@@ -315,15 +292,14 @@ class MexcSpotTrade:
"现金账户",
"目标账户",
"备注",
"balances"
]
)
writer.writerow(row)
self.logger.info("交易记录成功, 订单ID: %s", order_id)
logger.info("交易记录成功, 订单ID: %s", order_id)
return True
except Exception as e:
self.logger.error("记录交易失败: %s", str(e))
logger.error("记录交易失败: %s", str(e))
return False
def _tool_calculate_quantity(
@@ -351,7 +327,7 @@ class MexcSpotTrade:
"""
processed_quantity = round(quantity, base_asset_precision)
if processed_quantity * price < quote_amount_precision:
self.logger.info(
logger.info(
"计算的quantity小于最低要求%f * %f = %f < %f,进行调整",
processed_quantity,
price,
@@ -361,7 +337,7 @@ class MexcSpotTrade:
processed_quantity = round(
quantity + 10 ** (-base_asset_precision), base_asset_precision
)
self.logger.info("调整后的quantity: %f", processed_quantity)
logger.info("调整后的quantity: %f", processed_quantity)
return processed_quantity
def trade(
@@ -386,7 +362,7 @@ class MexcSpotTrade:
# 基本参数验证
if side not in ["BUY", "SELL"]:
self.logger.error("无效的交易方向: %s", side)
logger.error("无效的交易方向: %s", side)
return None
order_type = order_type.upper()
@@ -400,7 +376,7 @@ class MexcSpotTrade:
if order_type in ["LIMIT", "LIMIT_MAKER"] and "price" not in processed_kwargs:
current_price = self.market.get_price(symbol)
if current_price is None:
self.logger.error("无法获取实时价格,交易取消")
logger.error("无法获取实时价格,交易取消")
return None
clean_price = current_price
# 防止挂单不成交
@@ -408,7 +384,7 @@ class MexcSpotTrade:
processed_kwargs["price"] = current_price * 1.01 # 买入加价1%
elif side == "SELL":
processed_kwargs["price"] = current_price * 0.99 # 卖出减价1%
self.logger.info("使用调整1%%后价格作为限价: %f", processed_kwargs["price"])
logger.info("使用调整1%%后价格作为限价: %f", processed_kwargs["price"])
# 处理LIMIT订单只有quoteOrderQty没有quantity的情况
if (
@@ -429,11 +405,11 @@ class MexcSpotTrade:
processed_quantity = self._tool_calculate_quantity(
quantity, clean_price, base_asset_precision, quote_amount_precision
)
self.logger.info("根据quoteOrderQty计算quantity: %f", processed_quantity)
logger.info("根据quoteOrderQty计算quantity: %f", processed_quantity)
processed_kwargs["quantity"] = str(processed_quantity)
processed_kwargs.pop("quoteOrderQty")
except (ValueError, KeyError) as e:
self.logger.error("计算quantity失败: %s", str(e))
logger.error("计算quantity失败: %s", str(e))
return None
# 准备订单参数
@@ -447,46 +423,46 @@ class MexcSpotTrade:
# 验证参数
is_valid, error_msg = self._tool_validate_order_params(order_type, base_params)
if not is_valid:
self.logger.error("订单参数验证失败: %s", error_msg)
logger.error("订单参数验证失败: %s", error_msg)
return None
try:
self.logger.info("准备下单 %s %s 订单, 交易对: %s", side, order_type, symbol)
self.logger.debug("订单参数: %s", base_params)
logger.info("准备下单 %s %s 订单, 交易对: %s", side, order_type, symbol)
logger.debug("订单参数: %s", base_params)
# 测试订单
test_result = self.trader.post_order_test(base_params.copy())
if test_result != {}:
self.logger.error("订单测试失败,参数有误: %s", test_result)
logger.error("订单测试失败,参数有误: %s", test_result)
return None
self.logger.info("订单参数测试通过,准备正式下单")
logger.info("订单参数测试通过,准备正式下单")
# 正式下单
order = self.trader.post_order(base_params.copy())
order_id = order.get("orderId")
if not order_id:
self.logger.error("下单失败: 未获取到订单ID")
self.logger.error(base_params.copy())
self.logger.error(order)
logger.error("下单失败: 未获取到订单ID")
logger.error(base_params.copy())
logger.error(order)
return None
self.logger.info("订单创建成功, 订单ID: %s", order_id)
logger.info("订单创建成功, 订单ID: %s", order_id)
# 查询订单详情
self.logger.info("等待1秒后查询订单状态...")
logger.info("等待1秒后查询订单状态...")
time.sleep(1)
order_detail = self._api_get_order(symbol, order_id)
if not order_detail:
self.logger.error("获取订单详情失败")
logger.error("获取订单详情失败")
return None
# 如果不是FILLED则重复查询最多10次
retry_count = 0
while order_detail.get("status") != "FILLED" and retry_count < 10:
retry_count += 1
self.logger.info(
logger.info(
"订单未完成(状态: %s)等待1秒后第%s次重试查询...",
order_detail.get("status", "UNKNOWN"),
retry_count,
@@ -494,15 +470,15 @@ class MexcSpotTrade:
time.sleep(1)
order_detail = self._api_get_order(symbol, order_id)
if not order_detail:
self.logger.error("获取订单详情失败")
logger.error("获取订单详情失败")
return None
# 记录交易
if order_detail.get("status") == "FILLED":
if not self._tool_record_transaction(order_detail):
self.logger.error("交易记录失败")
logger.error("交易记录失败")
else:
self.logger.warning(
logger.warning(
"订单未完成(状态: %s)未被记录到CSV。订单ID: %s",
order_detail.get("status", "UNKNOWN"),
order_id,
@@ -511,7 +487,7 @@ class MexcSpotTrade:
return order_detail
except Exception as e:
self.logger.error("交易执行失败: %s", str(e))
logger.error("交易执行失败: %s", str(e))
return None
@@ -534,7 +510,6 @@ class TradingConfig:
"""
self.config_file = config_file
self.logger = logging.getLogger(self.__class__.__module__ + '.' + self.__class__.__name__)
self.config_data = self._load_config()
def _load_config(self) -> Dict[str, Any]:
@@ -542,16 +517,16 @@ class TradingConfig:
try:
with open(self.config_file, "r", encoding="utf-8") as f:
config = json.load(f)
self.logger.info("成功加载配置文件: %s", self.config_file)
logger.info("成功加载配置文件: %s", self.config_file)
return config
except FileNotFoundError:
self.logger.error("配置文件不存在: %s", self.config_file)
logger.error("配置文件不存在: %s", self.config_file)
return {}
except json.JSONDecodeError:
self.logger.error("配置文件格式错误不是有效的JSON")
logger.error("配置文件格式错误不是有效的JSON")
return {}
except Exception as e:
self.logger.error("加载配置文件时出错: %s", str(e))
logger.error("加载配置文件时出错: %s", str(e))
return {}
def get_today_trades(self) -> List[Dict[str, Any]]:
@@ -603,8 +578,6 @@ def git_commit(repo_path: str = ".") -> str:
def main():
"""主函数"""
logger = logging.getLogger(f"{__name__}.main")
logger.info("=" * 40)
# 获取主程序Git仓库版本
app_commit = git_commit(".")[:10]