496 lines
19 KiB
Python
496 lines
19 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""
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定投交易机器人
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功能：
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1. 从JSON配置文件读取交易指令
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2. 支持按日期执行多个交易(*表示每天执行)
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3. 支持多种订单类型 (limit, market)
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4. 当无price时自动获取实时价格作为限价
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5. limit订单支持只提供quoteOrderQty自动计算quantity
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6. 证券代码映射功能
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7. 完整的交易记录和日志
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使用示例：
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python main.py
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"""
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import csv
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import logging
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import os
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import time
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import json
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from pathlib import Path
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from datetime import datetime, date
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from typing import Dict, Any, Optional, Tuple, List
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import git
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import ccxt
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os.makedirs("output", exist_ok=True)
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# 配置日志
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logging.basicConfig(
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level=logging.INFO,
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format="%(asctime)s - %(name)s - %(levelname)s - %(message)s",
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handlers=[
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logging.FileHandler("output/trading_bot.log", encoding="utf-8"),
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logging.StreamHandler(),
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],
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)
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class BotSpotMarket:
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"""市场数据查询类"""
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def __init__(self, exchange: ccxt.Exchange):
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self.exchange = exchange
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self.logger = logging.getLogger(self.__class__.__module__ + '.' + self.__class__.__name__)
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try:
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self.exchange.load_markets()
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self.logger.info("加载市场信息成功")
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except Exception as e:
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self.logger.error("加载市场信息失败: %s", str(e))
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def get_exchange_info(self, symbol: str) -> Optional[Dict[str, Any]]:
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"""获取交易对信息，返回格式与原始代码兼容"""
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try:
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self.logger.info("查询交易对信息: %s", symbol)
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if symbol not in self.exchange.markets:
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self.logger.warning("市场信息中未找到 %s，尝试重新加载", symbol)
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self.exchange.load_markets()
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market = self.exchange.markets.get(symbol)
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if not market:
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self.logger.error("交易对 %s 不存在", symbol)
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return None
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exchange_info = {
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"symbols": [
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{
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"baseAssetPrecision": market["precision"]["amount"],
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"quoteAmountPrecision": str(market["limits"]["cost"]["min"] or 0),
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}
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]
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}
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self.logger.info("获取交易对信息成功: %s", symbol)
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return exchange_info
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except Exception as e:
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self.logger.error("查询交易所信息失败: %s", str(e))
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return None
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def get_price(self, symbol: str) -> Optional[float]:
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"""获取指定交易对的当前价格"""
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try:
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self.logger.info("查询交易对价格: %s", symbol)
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ticker = self.exchange.fetch_ticker(symbol)
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if not ticker or "last" not in ticker:
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self.logger.error("获取价格数据失败: %s", ticker)
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return None
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price = float(ticker["last"])
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self.logger.info("获取价格成功: %s = %f", symbol, price)
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return price
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except Exception as e:
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self.logger.error("查询价格失败: %s", str(e))
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return None
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class BotSpotTrade:
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"""现货交易类"""
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ORDER_TYPE_REQUIREMENTS = {
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"limit": ["quantity", "price", "quoteOrderQty"],
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"market": ["quantity", "quoteOrderQty"]
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}
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def __init__(self, exchange: ccxt.Exchange, symbol_mapping: Dict[str, str], config_file_name: str):
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self.exchange = exchange
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self.market = BotSpotMarket(exchange)
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self.csv_file = f"output/{config_file_name}.csv"
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self.symbol_mapping = symbol_mapping
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self.logger = logging.getLogger(self.__class__.__module__ + '.' + self.__class__.__name__)
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def _api_get_balance(self) -> str:
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try:
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self.logger.info("查询账户余额")
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balance = self.exchange.fetch_balance()
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free = balance.get("free", {})
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balances = ""
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for asset, amount in free.items():
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if amount and amount > 0:
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balances += f"{amount} {asset} "
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self.logger.info("获取账户余额成功")
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return balances
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except Exception as e:
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self.logger.error("查询账户信息失败: %s", str(e))
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return f"ERROR: {str(e)}"
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def _api_get_order(self, symbol: str, order_id: str) -> Optional[Dict[str, Any]]:
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try:
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self.logger.info("查询订单状态, 订单ID: %s", order_id)
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order = self.exchange.fetch_order(order_id, symbol)
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self.logger.info("订单状态: %s", order.get("status"))
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return order
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except Exception as e:
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self.logger.error("查询订单失败: %s", str(e))
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return None
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def _tool_map_symbol(self, symbol: str) -> str:
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return self.symbol_mapping.get(symbol, symbol)
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def _tool_validate_order_params(self, order_type: str, params: Dict[str, Any]) -> Tuple[bool, str]:
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required_params = self.ORDER_TYPE_REQUIREMENTS.get(order_type, [])
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if not required_params:
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return False, f"未知的订单类型: {order_type}"
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if order_type == "limit":
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if "price" not in params:
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return False, "limit订单需要price参数"
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if "quantity" not in params and "quoteOrderQty" not in params:
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return False, "limit订单需要quantity或quoteOrderQty参数"
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return True, ""
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if order_type == "market":
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if "quantity" not in params and "quoteOrderQty" not in params:
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return False, "market订单需要quantity或quoteOrderQty参数"
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return True, ""
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missing_params = [p for p in required_params if p not in params]
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if missing_params:
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return False, f"{order_type}订单缺少必需参数: {', '.join(missing_params)}"
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return True, ""
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def _tool_sci_to_decimal(self, num, precision = 30):
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if isinstance(num, str):
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num = float(num)
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result = f"{num:.{precision}f}"
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result = result.rstrip('0').rstrip('.')
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return result
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def _tool_record_transaction(self, order_data: Dict[str, Any]) -> bool:
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try:
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original_symbol = order_data["symbol"]
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mapped_symbol = self._tool_map_symbol(original_symbol)
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order_id = order_data["id"]
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executed_qty = self._tool_sci_to_decimal(order_data.get("filled", 0.0))
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cummulative_quote_qty = self._tool_sci_to_decimal(order_data.get("cost", 0.0))
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side = order_data["side"]
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balances = self._api_get_balance()
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trade_type = "买入" if side == "buy" else "卖出"
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timestamp = datetime.fromtimestamp(order_data["timestamp"] / 1000).strftime("%Y-%m-%dT%H:%M")
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row = [
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timestamp,
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trade_type,
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mapped_symbol,
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executed_qty,
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cummulative_quote_qty,
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"资金账户",
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"CEX",
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f"DCA Order ID: {order_id}",
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balances,
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]
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file_exists = False
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try:
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with open(self.csv_file, "r", encoding="utf-8") as f:
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file_exists = True
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except FileNotFoundError:
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pass
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with open(self.csv_file, "a", newline="", encoding="utf-8") as f:
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writer = csv.writer(f)
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if not file_exists:
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writer.writerow([
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"日期", "类型", "证券代码", "份额", "净额",
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"现金账户", "目标账户", "备注", "balances",
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])
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writer.writerow(row)
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self.logger.info("交易记录成功, 订单ID: %s", order_id)
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return True
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except Exception as e:
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self.logger.error("记录交易失败: %s", str(e))
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return False
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def trade(self, symbol: str, order_type: str, side: str, **kwargs) -> Optional[Dict[str, Any]]:
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if side not in ["buy", "sell"]:
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self.logger.error("无效的交易方向: %s", side)
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return None
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processed_kwargs = kwargs.copy()
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clean_price = processed_kwargs.get("price")
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if order_type == "limit" and "price" not in processed_kwargs:
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current_price = self.market.get_price(symbol)
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if current_price is None:
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self.logger.error("无法获取实时价格，交易取消")
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return None
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clean_price = current_price
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# 防止挂单不成交
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if side == "buy":
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processed_kwargs["price"] = current_price * 1.001 # 买入加价0.1%
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elif side == "sell":
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processed_kwargs["price"] = current_price * 0.999 # 卖出减价0.1%
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self.logger.info("使用调整0.1%%后价格作为限价: %f", processed_kwargs["price"])
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if (
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order_type == "limit"
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and "quoteOrderQty" in processed_kwargs
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and "quantity" not in processed_kwargs
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):
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try:
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exchange_info = self.market.get_exchange_info(symbol)
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if not exchange_info:
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return None
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quote_amount = float(processed_kwargs["quoteOrderQty"])
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if clean_price is None:
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self.logger.error("无法获取价格来计算数量")
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return None
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price_for_calc = float(clean_price)
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quantity = quote_amount / price_for_calc
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self.logger.info("根据quoteOrderQty计算quantity: %f", quantity)
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processed_kwargs["quantity"] = str(quantity)
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processed_kwargs.pop("quoteOrderQty")
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except (ValueError, KeyError, TypeError) as e:
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self.logger.error("计算quantity失败: %s", str(e))
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return None
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amount = processed_kwargs.get("quantity")
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price = processed_kwargs.get("price")
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if amount is not None:
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amount = float(amount)
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if price is not None:
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price = float(price)
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params = {}
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if order_type == "market" and "quoteOrderQty" in processed_kwargs:
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current_price = self.market.get_price(symbol)
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if current_price is None:
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self.logger.error("无法获取实时价格，交易取消")
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return None
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clean_price = current_price
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amount = float(processed_kwargs["quoteOrderQty"]) / clean_price
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is_valid, error_msg = self._tool_validate_order_params(order_type, processed_kwargs)
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if not is_valid:
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self.logger.error("订单参数验证失败: %s", error_msg)
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return None
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try:
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self.logger.info("准备下单 %s %s 订单, 交易对: %s", side, order_type, symbol)
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self.logger.info("订单参数: symbol=%s, type=%s, side=%s, amount=%s, price=%s, params=%s",
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symbol, order_type, side, amount, price, params)
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order = self.exchange.create_order(
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symbol=symbol,
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type=order_type,
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side=side,
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amount=amount,
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price=price,
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params=params,
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)
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order_id = order.get("id")
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if not order_id:
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self.logger.error("下单失败: 未获取到订单ID")
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self.logger.error(order)
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return None
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self.logger.info("订单创建成功, 订单ID: %s", order_id)
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self.logger.info("等待1秒后查询订单状态...")
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time.sleep(1)
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order_detail = self._api_get_order(symbol, order_id)
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if not order_detail:
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self.logger.error("获取订单详情失败")
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return None
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retry_count = 0
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filled_statuses = ("closed", "filled")
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while order_detail.get("status", "").lower() not in filled_statuses and retry_count < 10:
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retry_count += 1
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self.logger.info(
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"订单未完成(状态: %s)，等待1秒后第%s次重试查询...",
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order_detail.get("status", "UNKNOWN"),
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retry_count,
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)
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time.sleep(1)
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order_detail = self._api_get_order(symbol, order_id)
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if not order_detail:
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self.logger.error("获取订单详情失败")
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return None
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if order_detail.get("status", "").lower() in filled_statuses:
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if not self._tool_record_transaction(order_detail):
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self.logger.error("交易记录失败")
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else:
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self.logger.warning(
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"订单未完成(状态: %s)，未被记录到CSV。订单ID: %s",
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order_detail.get("status", "UNKNOWN"),
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order_id,
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)
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return order_detail
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except Exception as e:
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self.logger.error("交易执行失败: %s", str(e))
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return None
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class TradingConfig:
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"""交易配置管理类"""
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def __init__(self, config_file: str = "config/trading_config.json"):
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self.config_file = config_file
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self.logger = logging.getLogger(self.__class__.__module__ + '.' + self.__class__.__name__)
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self.config_data = self._load_config()
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def _load_config(self) -> Dict[str, Any]:
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try:
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with open(self.config_file, "r", encoding="utf-8") as f:
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config = json.load(f)
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self.logger.info("成功加载配置文件: %s", self.config_file)
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return config
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except FileNotFoundError:
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self.logger.error("配置文件不存在: %s", self.config_file)
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return {}
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except json.JSONDecodeError:
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self.logger.error("配置文件格式错误，不是有效的JSON")
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return {}
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except Exception as e:
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self.logger.error("加载配置文件时出错: %s", str(e))
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return {}
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def get_today_trades(self) -> List[Dict[str, Any]]:
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if not self.config_data or "trades" not in self.config_data:
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return []
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today = date.today().isoformat()
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today_trades = []
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for trade in self.config_data["trades"]:
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if "execute_dates" not in trade:
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continue
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if "*" in trade["execute_dates"]:
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today_trades.append(trade)
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continue
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if today in trade["execute_dates"]:
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today_trades.append(trade)
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return today_trades
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def build_ccxt_exchange(api_config: Dict[str, Any], exchange_id: str) -> ccxt.Exchange:
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"""
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根据配置文件和交易所ID构建 ccxt 交易所实例
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:param api_config: 包含 api_key, api_secret 等字段的字典
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:param exchange_id: ccxt 交易所标识符（小写），如 "mexc", "binance", "bybit"
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"""
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api_key = api_config.get("api_key")
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secret = api_config.get("api_secret")
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exchange_class = getattr(ccxt, exchange_id, None)
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if exchange_class is None:
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raise ValueError(f"不支持的交易所ID: {exchange_id}，请检查配置文件中的 'exchange' 字段")
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exchange_params = {
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"apiKey": api_key,
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"secret": secret,
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"enableRatelimit": True,
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}
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if "password" in api_config:
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exchange_params["password"] = api_config["password"]
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return exchange_class(exchange_params)
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def git_commit(repo_path: str = ".") -> Optional[str]:
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try:
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repo = git.Repo(repo_path)
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return repo.head.commit.hexsha
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except Exception:
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return None
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def main():
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logger = logging.getLogger(f"{__name__}.main")
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logger.info("=" * 40)
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app_commit = git_commit(".")
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app_commit_short = app_commit[:10] if app_commit else "unknown"
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if not os.path.exists("config"):
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logger.error("配置目录 config 不存在")
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return
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config_commit = git_commit("config")
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config_commit_short = config_commit[:10] if config_commit else "unknown"
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output_commit = git_commit("output")
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output_commit_short = output_commit[:10] if output_commit else "unknown"
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logger.info("主程序 %s, 配置 %s, 输出 %s", app_commit_short, config_commit_short, output_commit_short)
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config_files = list(Path("config").glob("*.json"))
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if not config_files:
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logger.info("配置目录中没有找到任何JSON文件")
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return
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logger.info("找到 %d 个配置文件需要处理", len(config_files))
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for config_file in config_files:
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try:
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logger.info("处理配置文件: %s", config_file)
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config = TradingConfig(str(config_file))
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exchange_id = config.config_data.get("exchange")
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logger.info("使用交易所: %s", exchange_id)
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api_conf = config.config_data.get("api", {})
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exchange = build_ccxt_exchange(api_conf, exchange_id)
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spot_trader = BotSpotTrade(
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exchange=exchange,
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symbol_mapping=config.config_data.get("symbol_mapping", {}),
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config_file_name=os.path.basename(config_file).replace(".json", ""),
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)
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today_trades = config.get_today_trades()
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if not today_trades:
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logger.info("%s - 今天没有需要执行的交易", config_file)
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continue
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logger.info("%s - 今天有 %d 个交易需要执行", config_file, len(today_trades))
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for trade_config in today_trades:
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try:
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symbol = trade_config.get("symbol")
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order_type = trade_config.get("order_type")
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side = trade_config.get("side")
|
||
params = trade_config.get("params", {})
|
||
|
||
if not all([symbol, order_type, side]):
|
||
logger.error("%s - 交易配置缺少必要参数: %s", config_file, trade_config)
|
||
continue
|
||
|
||
logger.info("%s - 执行交易: %s %s %s", config_file, symbol, order_type, side)
|
||
result = spot_trader.trade(
|
||
symbol=symbol,
|
||
order_type=order_type,
|
||
side=side,
|
||
**params,
|
||
)
|
||
if result:
|
||
logger.info("%s - 交易执行成功: %s", config_file, result)
|
||
else:
|
||
logger.error("%s - 交易执行失败", config_file)
|
||
|
||
except Exception as e:
|
||
logger.error("%s - 执行交易时出错: %s", config_file, str(e))
|
||
continue
|
||
|
||
except Exception as e:
|
||
logger.error("处理配置文件 %s 时出错: %s", config_file, str(e))
|
||
continue
|
||
|
||
logger.info("所有配置文件处理完毕")
|
||
|
||
|
||
if __name__ == "__main__":
|
||
main()
|