refactor: add comments and logs
This commit is contained in:
498
main.py
498
main.py
@@ -7,9 +7,10 @@ from dataclasses import dataclass
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import mexc_spot_v3
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import mexc_spot_v3
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# 配置日志格式
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logging.basicConfig(
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logging.basicConfig(
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level=logging.DEBUG,
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level=logging.INFO,
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format="%(asctime)s - %(name)s - %(levelname)s - %(message)s",
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format="%(asctime)s - %(levelname)s - %(message)s",
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handlers=[
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handlers=[
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logging.FileHandler("output/mexc_spot_grid_bot.log", encoding="utf-8"),
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logging.FileHandler("output/mexc_spot_grid_bot.log", encoding="utf-8"),
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logging.StreamHandler(),
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logging.StreamHandler(),
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@@ -20,60 +21,70 @@ logger = logging.getLogger(__name__)
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@dataclass
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@dataclass
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class Order:
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class Order:
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order_id: str
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"""订单数据结构"""
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price: float
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quantity: float
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order_id: str # 订单ID
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side: str
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price: float # 订单价格
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status: str
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quantity: float # 订单数量
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filled_time: Optional[float] = None
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side: str # 买卖方向: BUY/SELL
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status: str # 订单状态: NEW/FILLED/CANCELED
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filled_time: Optional[float] = None # 成交时间戳
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class GridTradingBot:
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class GridTradingBot:
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"""网格交易机器人核心类"""
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def __init__(self, conf: Dict):
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def __init__(self, conf: Dict):
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"""初始化网格交易机器人"""
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self.config = conf
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self.config = conf
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self.symbol = conf["symbol"]
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self.symbol = conf["symbol"] # 交易对符号
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self.csv_symbol = conf["csv_symbol"]
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self.csv_symbol = conf["csv_symbol"] # CSV记录使用的交易对符号
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self.csv_file = conf["csv_file"]
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self.csv_file = conf["csv_file"] # 交易记录文件路径
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self.grid_percentage = conf["grid_percentage"]
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self.grid_percentage = conf["grid_percentage"] # 网格间距百分比
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self.grid_count = conf["grid_count"]
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self.grid_count = conf["grid_count"] # 单边网格数量
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self.order_amount = conf["order_amount"]
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self.order_amount = conf["order_amount"] # 每单交易数量
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self.min_order_value = conf["min_order_value"]
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self.min_order_value = conf["min_order_value"] # 最小订单价值
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self.reserve_base = conf["reserve_base"]
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self.reserve_base = conf["reserve_base"] # 保留的基础货币数量
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self.reserve_quote = conf["reserve_quote"]
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self.reserve_quote = conf["reserve_quote"] # 保留的报价货币数量
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self.active_orders: Dict[str, Order] = {}
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self.current_buy_levels = 0
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# 运行时状态
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self.current_sell_levels = 0
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self.active_orders: Dict[str, Order] = {} # 活跃订单字典
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self.api_trade = mexc_spot_v3.mexc_trade()
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self.current_buy_levels = 0 # 当前买单网格层级
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self.api_market = mexc_spot_v3.mexc_market()
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self.current_sell_levels = 0 # 当前卖单网格层级
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self.running = False
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self.api_trade = mexc_spot_v3.mexc_trade() # 交易API
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self.api_market = mexc_spot_v3.mexc_market() # 市场API
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self.running = False # 运行状态标志
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logger.info("网格交易机器人初始化完成,交易对: %s", self.symbol)
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def record_transaction(self, order_response: Dict[str, Any]) -> bool:
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def record_transaction(self, order_response: Dict[str, Any]) -> bool:
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"""记录交易到CSV文件"""
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try:
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try:
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csv_symbol = self.csv_symbol
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trade_type = "买入" if order_response["side"] == "BUY" else "卖出"
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order_id = order_response["orderId"]
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executed_qty = order_response["executedQty"]
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cummulative_quote_qty = order_response["cummulativeQuoteQty"]
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side = order_response["side"]
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trade_type = "买入" if side == "BUY" else "卖出"
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timestamp = datetime.fromtimestamp(
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timestamp = datetime.fromtimestamp(
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order_response["updateTime"] / 1000
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order_response["updateTime"] / 1000
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).strftime("%Y-%m-%dT%H:%M")
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).strftime("%Y-%m-%dT%H:%M")
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# 构建CSV行数据
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row = [
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row = [
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timestamp,
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timestamp,
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trade_type,
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trade_type,
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csv_symbol,
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self.csv_symbol,
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executed_qty,
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order_response["executedQty"],
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cummulative_quote_qty,
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order_response["cummulativeQuoteQty"],
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"资金账户",
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"资金账户",
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"CEX",
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"CEX",
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f"MEXC API - Order ID: {order_id}",
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f"MEXC API - Order ID: {order_response['orderId']}",
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]
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]
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file_exists = False
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# 检查文件是否存在
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try:
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try:
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with open(self.csv_file, "r", encoding="utf-8") as f:
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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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file_exists = True
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except FileNotFoundError:
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except FileNotFoundError:
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pass
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file_exists = False
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# 写入CSV文件
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with open(self.csv_file, "a", newline="", encoding="utf-8") as f:
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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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writer = csv.writer(f)
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if not file_exists:
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if not file_exists:
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@@ -90,23 +101,35 @@ class GridTradingBot:
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]
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]
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)
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)
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writer.writerow(row)
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writer.writerow(row)
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logger.info(
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"交易记录已保存: %s %s %s",
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trade_type,
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self.csv_symbol,
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order_response["orderId"],
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)
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return True
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return True
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except Exception as e:
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except Exception as e:
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logger.error("交易记录保存失败: %s", str(e))
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return False
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return False
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def api_get_price(self) -> float:
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def api_get_price(self) -> float:
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"""获取当前市场价格"""
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try:
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try:
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ticker = self.api_market.get_price({"symbol": self.symbol})
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ticker = self.api_market.get_price({"symbol": self.symbol})
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price = float(ticker["price"])
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price = float(ticker["price"])
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logger.debug("当前市场价格: %f", price)
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return price
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return price
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except Exception as e:
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except Exception as e:
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logger.warning("获取价格失败,重试中... 错误: %s", str(e))
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return self.api_get_price()
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return self.api_get_price()
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def api_get_balances(self) -> Tuple[float, float]:
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def api_get_balances(self) -> Tuple[float, float]:
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base_currency = self.symbol[:-4]
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"""获取基础货币和报价货币可用余额"""
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quote_currency = self.symbol[-4:]
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base_currency = self.symbol[:-4] # 提取基础货币
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base_available = 0.0
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quote_currency = self.symbol[-4:] # 提取报价货币
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quote_available = 0.0
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base_available, quote_available = 0.0, 0.0
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try:
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try:
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balances = self.api_trade.get_account_info()
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balances = self.api_trade.get_account_info()
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for balance in balances.get("balances", []):
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for balance in balances.get("balances", []):
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@@ -114,32 +137,46 @@ class GridTradingBot:
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base_available = float(balance["free"])
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base_available = float(balance["free"])
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elif balance["asset"] == quote_currency:
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elif balance["asset"] == quote_currency:
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quote_available = float(balance["free"])
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quote_available = float(balance["free"])
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logger.debug(
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"当前余额 - %s: %f, %s: %f",
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base_currency,
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base_available,
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quote_currency,
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quote_available,
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)
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return base_available, quote_available
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return base_available, quote_available
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except Exception as e:
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except Exception as e:
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logger.warning("获取余额失败,重试中... 错误: %s", str(e))
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return self.api_get_balances()
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return self.api_get_balances()
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def calculate_order_value(self, price: float) -> float:
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def calculate_order_value(self, price: float) -> float:
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value = price * self.order_amount
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"""计算订单价值(价格*数量)"""
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return value
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return price * self.order_amount
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def is_order_value_valid(self, price: float) -> bool:
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def is_order_value_valid(self, price: float) -> bool:
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value = self.calculate_order_value(price)
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"""检查订单价值是否满足最小要求"""
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is_valid = value >= self.min_order_value
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return self.calculate_order_value(price) >= self.min_order_value
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return is_valid
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def calculate_grid_price(self, base_price: float, level: int, side: str) -> float:
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def calculate_grid_price(self, base_price: float, level: int, side: str) -> float:
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"""计算网格价格"""
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if side == "BUY":
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if side == "BUY":
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price = base_price / (1 + self.grid_percentage) ** level
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return base_price / (1 + self.grid_percentage) ** level
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return price
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elif side == "SELL":
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elif side == "SELL":
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price = base_price * (1 + self.grid_percentage) ** level
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return base_price * (1 + self.grid_percentage) ** level
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return price
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else:
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else:
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raise ValueError(f"Invalid side: {side}")
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raise ValueError(f"无效的交易方向: {side}")
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def api_place_order(self, price: float, side: str) -> Optional[str]:
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def api_place_order(self, price: float, side: str) -> Optional[str]:
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"""下订单"""
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if not self.is_order_value_valid(price):
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if not self.is_order_value_valid(price):
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logger.warning(
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"订单价值 %f 低于最小值 %f",
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price * self.order_amount,
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self.min_order_value,
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)
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return None
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return None
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try:
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try:
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order_detail = self.api_trade.post_order(
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order_detail = self.api_trade.post_order(
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{
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{
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@@ -150,286 +187,389 @@ class GridTradingBot:
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"quantity": self.order_amount,
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"quantity": self.order_amount,
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}
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}
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)
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)
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order_id = order_detail.get("orderId")
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if order_id:
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if order_id := order_detail.get("orderId"):
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logger.info(
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"成功下单 %s - 价格: %f 数量: %f 订单ID: %s",
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side,
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price,
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self.order_amount,
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order_id,
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)
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return order_id
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return order_id
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else:
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else:
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logger.error("下单失败: %r", order_detail)
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return None
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return None
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except Exception as e:
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except Exception as e:
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logger.warning("下单异常,重试中... 错误: %s", str(e))
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return self.api_place_order(price, side)
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return self.api_place_order(price, side)
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def api_cancel_order(self, order_id: str):
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def api_cancel_order(self, order_id: str):
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"""取消指定订单"""
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try:
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try:
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self.api_trade.delete_order({"symbol": self.symbol, "orderId": order_id})
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self.api_trade.delete_order({"symbol": self.symbol, "orderId": order_id})
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logger.info("订单已取消: %s", order_id)
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except Exception as e:
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except Exception as e:
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logger.warning(
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"取消订单失败,重试中... 订单ID: %s 错误: %s", order_id, str(e)
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)
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self.api_cancel_order(order_id)
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self.api_cancel_order(order_id)
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def api_cancel_all_orders(self):
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def api_cancel_all_orders(self):
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"""取消所有活跃订单"""
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try:
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try:
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self.api_trade.delete_openorders({"symbol": self.symbol})
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self.api_trade.delete_openorders({"symbol": self.symbol})
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self.active_orders.clear()
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self.active_orders.clear()
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self.current_buy_levels = 0
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self.current_buy_levels = 0
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self.current_sell_levels = 0
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self.current_sell_levels = 0
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logger.info("已取消所有订单")
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except Exception as e:
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except Exception as e:
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logger.warning("取消所有订单失败,重试中... 错误: %s", str(e))
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self.api_cancel_all_orders()
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self.api_cancel_all_orders()
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def api_update_order_statuses(self):
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def api_update_order_statuses(self):
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"""更新所有活跃订单状态"""
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for side in ["BUY", "SELL"]:
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for side in ["BUY", "SELL"]:
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orders = self.get_active_orders_by_side(side)
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# 按价格排序订单(买单从高到低,卖单从低到高)
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if side == "BUY":
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orders = sorted(
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orders.sort(key=lambda x: float(x.price), reverse=True)
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[o for o in self.active_orders.values() if o.side == side],
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else:
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key=lambda x: x.price,
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orders.sort(key=lambda x: float(x.price))
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reverse=(side == "BUY"),
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)
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for order in orders:
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for order in orders:
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order_id = order.order_id
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try:
|
try:
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order_info = self.api_trade.get_order(
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order_info = self.api_trade.get_order(
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{"symbol": self.symbol, "orderId": order_id}
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{"symbol": self.symbol, "orderId": order.order_id}
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)
|
)
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old_status = self.active_orders[order_id].status
|
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new_status = order_info["status"]
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# 更新订单状态
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self.active_orders[order_id].status = new_status
|
old_status = order.status
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if new_status == "FILLED":
|
order.status = order_info["status"]
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self.active_orders[order_id].filled_time = time.time()
|
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|
if old_status != order.status:
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|
logger.info(
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|
"订单状态更新: %s %s -> %s",
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|
order.order_id,
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|
old_status,
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|
order.status,
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|
)
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|
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# 处理已成交订单
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|
if order.status == "FILLED":
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|
order.filled_time = time.time()
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self.record_transaction(order_info)
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self.record_transaction(order_info)
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if new_status in ["CANCELED"]:
|
logger.info(
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self.active_orders.pop(order_id)
|
"订单已成交: %s 价格: %f 数量: %f",
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if new_status == "NEW":
|
order.order_id,
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break
|
order.price,
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|
order.quantity,
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|
)
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|
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|
# 移除已取消订单
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|
if order.status == "CANCELED":
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|
self.active_orders.pop(order.order_id, None)
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except Exception as e:
|
except Exception as e:
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self.api_update_order_statuses()
|
logger.warning(
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|
"获取订单状态失败: %s 错误: %s", order.order_id, str(e)
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|
)
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|
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def get_active_orders_by_side(self, side: str) -> List[Order]:
|
def get_active_orders_by_side(self, side: str) -> List[Order]:
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orders = [order for order in self.active_orders.values() if order.side == side]
|
"""获取指定方向的所有活跃订单"""
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return orders
|
return [o for o in self.active_orders.values() if o.side == side]
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|
|
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def get_extreme_prices(self) -> Tuple[Optional[float], Optional[float]]:
|
def get_extreme_prices(self) -> Tuple[Optional[float], Optional[float]]:
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||||||
|
"""获取当前最极端的买单和卖单价格"""
|
||||||
buy_orders = self.get_active_orders_by_side("BUY")
|
buy_orders = self.get_active_orders_by_side("BUY")
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sell_orders = self.get_active_orders_by_side("SELL")
|
sell_orders = self.get_active_orders_by_side("SELL")
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lowest_buy = min([order.price for order in buy_orders]) if buy_orders else None
|
lowest_buy = min(o.price for o in buy_orders) if buy_orders else None
|
||||||
highest_sell = (
|
highest_sell = max(o.price for o in sell_orders) if sell_orders else None
|
||||||
max([order.price for order in sell_orders]) if sell_orders else None
|
|
||||||
)
|
|
||||||
return lowest_buy, highest_sell
|
return lowest_buy, highest_sell
|
||||||
|
|
||||||
def initialize_grid(self):
|
def initialize_grid(self):
|
||||||
|
"""初始化网格"""
|
||||||
try:
|
try:
|
||||||
market_price = self.api_get_price()
|
market_price = self.api_get_price()
|
||||||
|
logger.info("开始初始化网格,当前价格: %f", market_price)
|
||||||
|
|
||||||
|
# 计算初始买卖价格
|
||||||
buy_price = self.calculate_grid_price(market_price, 1, "BUY")
|
buy_price = self.calculate_grid_price(market_price, 1, "BUY")
|
||||||
sell_price = self.calculate_grid_price(market_price, 1, "SELL")
|
sell_price = self.calculate_grid_price(market_price, 1, "SELL")
|
||||||
|
|
||||||
|
# 获取当前余额
|
||||||
base_balance, quote_balance = self.api_get_balances()
|
base_balance, quote_balance = self.api_get_balances()
|
||||||
if quote_balance > self.reserve_quote:
|
|
||||||
if self.is_order_value_valid(buy_price):
|
# 下单买1
|
||||||
buy_order_id = self.api_place_order(buy_price, "BUY")
|
if (
|
||||||
if buy_order_id:
|
quote_balance - self.order_amount * buy_price > self.reserve_quote
|
||||||
self.active_orders[buy_order_id] = Order(
|
and self.is_order_value_valid(buy_price)
|
||||||
order_id=buy_order_id,
|
):
|
||||||
price=buy_price,
|
if order_id := self.api_place_order(buy_price, "BUY"):
|
||||||
quantity=self.order_amount,
|
self.active_orders[order_id] = Order(
|
||||||
side="BUY",
|
order_id=order_id,
|
||||||
status="NEW",
|
price=buy_price,
|
||||||
)
|
quantity=self.order_amount,
|
||||||
self.current_buy_levels = 1
|
side="BUY",
|
||||||
if base_balance > self.reserve_base:
|
status="NEW",
|
||||||
if self.is_order_value_valid(sell_price):
|
)
|
||||||
sell_order_id = self.api_place_order(sell_price, "SELL")
|
self.current_buy_levels = 1
|
||||||
if sell_order_id:
|
|
||||||
self.active_orders[sell_order_id] = Order(
|
# 下单卖1
|
||||||
order_id=sell_order_id,
|
if (
|
||||||
price=sell_price,
|
base_balance - self.order_amount > self.reserve_base
|
||||||
quantity=self.order_amount,
|
and self.is_order_value_valid(sell_price)
|
||||||
side="SELL",
|
):
|
||||||
status="NEW",
|
if order_id := self.api_place_order(sell_price, "SELL"):
|
||||||
)
|
self.active_orders[order_id] = Order(
|
||||||
self.current_sell_levels = 1
|
order_id=order_id,
|
||||||
|
price=sell_price,
|
||||||
|
quantity=self.order_amount,
|
||||||
|
side="SELL",
|
||||||
|
status="NEW",
|
||||||
|
)
|
||||||
|
self.current_sell_levels = 1
|
||||||
|
|
||||||
|
# 扩展网格
|
||||||
self.extend_grid()
|
self.extend_grid()
|
||||||
except Exception as e:
|
except Exception as e:
|
||||||
|
logger.error("网格初始化失败: %s", str(e))
|
||||||
self.initialize_grid()
|
self.initialize_grid()
|
||||||
|
|
||||||
def extend_grid(self):
|
def extend_grid(self):
|
||||||
|
"""扩展网格到指定层级"""
|
||||||
try:
|
try:
|
||||||
lowest_buy, highest_sell = self.get_extreme_prices()
|
lowest_buy, highest_sell = self.get_extreme_prices()
|
||||||
|
# 波动过大导致两侧无挂单,则重置机器人
|
||||||
if lowest_buy is None and highest_sell is None:
|
if lowest_buy is None and highest_sell is None:
|
||||||
self.stop()
|
self.stop()
|
||||||
self.run()
|
self.run()
|
||||||
|
# 扩展买单网格(向下)
|
||||||
while self.current_buy_levels < self.grid_count:
|
while self.current_buy_levels < self.grid_count:
|
||||||
lowest_buy, highest_sell = self.get_extreme_prices()
|
lowest_buy, _ = self.get_extreme_prices()
|
||||||
base_balance, quote_balance = self.api_get_balances()
|
_, quote_balance = self.api_get_balances()
|
||||||
if lowest_buy is None:
|
if lowest_buy is None:
|
||||||
lowest_buy = self.calculate_grid_price(
|
lowest_buy = self.calculate_grid_price(
|
||||||
highest_sell, self.grid_count, "BUY"
|
highest_sell, self.grid_count, "BUY"
|
||||||
)
|
)
|
||||||
new_buy_price = self.calculate_grid_price(lowest_buy, 1, "BUY")
|
new_buy_price = self.calculate_grid_price(lowest_buy, 1, "BUY")
|
||||||
if (
|
required_quote = new_buy_price * self.order_amount
|
||||||
quote_balance - self.order_amount * new_buy_price
|
|
||||||
> self.reserve_quote
|
if quote_balance - required_quote > self.reserve_quote:
|
||||||
):
|
|
||||||
if self.is_order_value_valid(new_buy_price):
|
if self.is_order_value_valid(new_buy_price):
|
||||||
buy_order_id = self.api_place_order(new_buy_price, "BUY")
|
if order_id := self.api_place_order(new_buy_price, "BUY"):
|
||||||
if buy_order_id:
|
self.active_orders[order_id] = Order(
|
||||||
self.active_orders[buy_order_id] = Order(
|
order_id=order_id,
|
||||||
order_id=buy_order_id,
|
|
||||||
price=new_buy_price,
|
price=new_buy_price,
|
||||||
quantity=self.order_amount,
|
quantity=self.order_amount,
|
||||||
side="BUY",
|
side="BUY",
|
||||||
status="NEW",
|
status="NEW",
|
||||||
)
|
)
|
||||||
self.current_buy_levels += 1
|
self.current_buy_levels += 1
|
||||||
|
logger.info(
|
||||||
|
"扩展买单网格到层级 %d 价格: %f",
|
||||||
|
self.current_buy_levels,
|
||||||
|
new_buy_price,
|
||||||
|
)
|
||||||
else:
|
else:
|
||||||
|
logger.warning(
|
||||||
|
"买单价值 %f 低于最小值 %f",
|
||||||
|
new_buy_price * self.order_amount,
|
||||||
|
self.min_order_value,
|
||||||
|
)
|
||||||
break
|
break
|
||||||
else:
|
else:
|
||||||
|
logger.debug("报价货币余额不足,无法扩展买单网格")
|
||||||
break
|
break
|
||||||
|
|
||||||
|
# 扩展卖单网格(向上)
|
||||||
while self.current_sell_levels < self.grid_count:
|
while self.current_sell_levels < self.grid_count:
|
||||||
lowest_buy, highest_sell = self.get_extreme_prices()
|
_, highest_sell = self.get_extreme_prices()
|
||||||
base_balance, quote_balance = self.api_get_balances()
|
base_balance, _ = self.api_get_balances()
|
||||||
|
|
||||||
if highest_sell is None:
|
if highest_sell is None:
|
||||||
highest_sell = self.calculate_grid_price(
|
highest_sell = self.calculate_grid_price(
|
||||||
lowest_buy, self.grid_count, "SELL"
|
lowest_buy, self.grid_count, "SELL"
|
||||||
)
|
)
|
||||||
new_sell_price = self.calculate_grid_price(highest_sell, 1, "SELL")
|
new_sell_price = self.calculate_grid_price(highest_sell, 1, "SELL")
|
||||||
if base_balance > self.reserve_base:
|
if base_balance - self.order_amount > self.reserve_base:
|
||||||
if self.is_order_value_valid(new_sell_price):
|
if self.is_order_value_valid(new_sell_price):
|
||||||
sell_order_id = self.api_place_order(new_sell_price, "SELL")
|
if order_id := self.api_place_order(new_sell_price, "SELL"):
|
||||||
if sell_order_id:
|
self.active_orders[order_id] = Order(
|
||||||
self.active_orders[sell_order_id] = Order(
|
order_id=order_id,
|
||||||
order_id=sell_order_id,
|
|
||||||
price=new_sell_price,
|
price=new_sell_price,
|
||||||
quantity=self.order_amount,
|
quantity=self.order_amount,
|
||||||
side="SELL",
|
side="SELL",
|
||||||
status="NEW",
|
status="NEW",
|
||||||
)
|
)
|
||||||
self.current_sell_levels += 1
|
self.current_sell_levels += 1
|
||||||
|
logger.info(
|
||||||
|
"扩展卖单网格到层级 %d 价格: %f",
|
||||||
|
self.current_sell_levels,
|
||||||
|
new_sell_price,
|
||||||
|
)
|
||||||
else:
|
else:
|
||||||
|
logger.warning(
|
||||||
|
"卖单价值 %f 低于最小值 %f",
|
||||||
|
new_sell_price * self.order_amount,
|
||||||
|
self.min_order_value,
|
||||||
|
)
|
||||||
break
|
break
|
||||||
else:
|
else:
|
||||||
|
logger.debug("基础货币余额不足,无法扩展卖单网格")
|
||||||
break
|
break
|
||||||
except Exception as e:
|
except Exception as e:
|
||||||
|
logger.error("扩展网格失败: %s", str(e))
|
||||||
self.extend_grid()
|
self.extend_grid()
|
||||||
|
|
||||||
def adjust_grid_for_filled(self):
|
def adjust_grid_for_filled(self):
|
||||||
|
"""根据成交订单调整网格"""
|
||||||
try:
|
try:
|
||||||
current_order_ids = set(self.active_orders.keys())
|
# 找出新成交的订单
|
||||||
newly_filled_orders = [
|
filled_orders = [
|
||||||
order
|
o for o in self.active_orders.values() if o.status == "FILLED"
|
||||||
for order in self.active_orders.values()
|
|
||||||
if order.order_id in current_order_ids and order.status == "FILLED"
|
|
||||||
]
|
]
|
||||||
if newly_filled_orders:
|
|
||||||
for filled_order in newly_filled_orders:
|
for order in filled_orders:
|
||||||
filled_side = filled_order.side
|
logger.info(
|
||||||
filled_price = filled_order.price
|
"处理成交订单: %s %s %f", order.order_id, order.side, order.price
|
||||||
filled_id = filled_order.order_id
|
)
|
||||||
self.active_orders.pop(filled_id, None)
|
|
||||||
active_buys = [
|
# 从活跃订单中移除
|
||||||
o
|
self.active_orders.pop(order.order_id, None)
|
||||||
for o in self.active_orders.values()
|
|
||||||
if o.side == "BUY" and o.status == "NEW"
|
if order.side == "BUY":
|
||||||
]
|
self.current_buy_levels -= 1
|
||||||
active_sells = [
|
# 买单成交时取消最高价卖单并下新卖单
|
||||||
o
|
if sell_orders := self.get_active_orders_by_side("SELL"):
|
||||||
for o in self.active_orders.values()
|
highest_sell = max(sell_orders, key=lambda x: x.price)
|
||||||
if o.side == "SELL" and o.status == "NEW"
|
|
||||||
]
|
|
||||||
if filled_side == "BUY":
|
|
||||||
self.current_buy_levels -= 1
|
|
||||||
elif filled_side == "SELL":
|
|
||||||
self.current_sell_levels -= 1
|
|
||||||
if filled_side == "BUY" and active_sells:
|
|
||||||
highest_sell = max(active_sells, key=lambda x: x.price)
|
|
||||||
self.api_cancel_order(highest_sell.order_id)
|
self.api_cancel_order(highest_sell.order_id)
|
||||||
self.active_orders.pop(highest_sell.order_id, None)
|
self.active_orders.pop(highest_sell.order_id, None)
|
||||||
|
|
||||||
|
# 下新卖单(卖0)
|
||||||
new_sell_price = self.calculate_grid_price(
|
new_sell_price = self.calculate_grid_price(
|
||||||
filled_price, 1, "SELL"
|
order.price, 1, "SELL"
|
||||||
)
|
)
|
||||||
base_balance, _ = self.api_get_balances()
|
if self.is_order_value_valid(new_sell_price):
|
||||||
if (
|
if order_id := self.api_place_order(new_sell_price, "SELL"):
|
||||||
base_balance > self.reserve_base
|
self.active_orders[order_id] = Order(
|
||||||
and self.is_order_value_valid(new_sell_price)
|
order_id=order_id,
|
||||||
):
|
|
||||||
sell_order_id = self.api_place_order(new_sell_price, "SELL")
|
|
||||||
if sell_order_id:
|
|
||||||
self.active_orders[sell_order_id] = Order(
|
|
||||||
order_id=sell_order_id,
|
|
||||||
price=new_sell_price,
|
price=new_sell_price,
|
||||||
quantity=self.order_amount,
|
quantity=self.order_amount,
|
||||||
side="SELL",
|
side="SELL",
|
||||||
status="NEW",
|
status="NEW",
|
||||||
)
|
)
|
||||||
elif filled_side == "SELL" and active_buys:
|
|
||||||
lowest_buy = min(active_buys, key=lambda x: x.price)
|
elif order.side == "SELL":
|
||||||
|
self.current_sell_levels -= 1
|
||||||
|
# 卖单成交时取消最低价买单并下新买单
|
||||||
|
if buy_orders := self.get_active_orders_by_side("BUY"):
|
||||||
|
lowest_buy = min(buy_orders, key=lambda x: x.price)
|
||||||
self.api_cancel_order(lowest_buy.order_id)
|
self.api_cancel_order(lowest_buy.order_id)
|
||||||
self.active_orders.pop(lowest_buy.order_id, None)
|
self.active_orders.pop(lowest_buy.order_id, None)
|
||||||
new_buy_price = self.calculate_grid_price(
|
|
||||||
filled_price, 1, "BUY"
|
# 下新买单(买0)
|
||||||
)
|
new_buy_price = self.calculate_grid_price(order.price, 1, "BUY")
|
||||||
_, quote_balance = self.api_get_balances()
|
if self.is_order_value_valid(new_buy_price):
|
||||||
if (
|
if order_id := self.api_place_order(new_buy_price, "BUY"):
|
||||||
quote_balance > self.reserve_quote
|
self.active_orders[order_id] = Order(
|
||||||
and self.is_order_value_valid(new_buy_price)
|
order_id=order_id,
|
||||||
):
|
|
||||||
buy_order_id = self.api_place_order(new_buy_price, "BUY")
|
|
||||||
if buy_order_id:
|
|
||||||
self.active_orders[buy_order_id] = Order(
|
|
||||||
order_id=buy_order_id,
|
|
||||||
price=new_buy_price,
|
price=new_buy_price,
|
||||||
quantity=self.order_amount,
|
quantity=self.order_amount,
|
||||||
side="BUY",
|
side="BUY",
|
||||||
status="NEW",
|
status="NEW",
|
||||||
)
|
)
|
||||||
except Exception as e:
|
except Exception as e:
|
||||||
|
logger.error("调整网格失败: %s", str(e))
|
||||||
self.adjust_grid_for_filled()
|
self.adjust_grid_for_filled()
|
||||||
|
|
||||||
def adjust_grid_for_violation(self):
|
def adjust_grid_for_violation(self):
|
||||||
|
"""处理价格超出网格范围的情况"""
|
||||||
try:
|
try:
|
||||||
market_price = self.api_get_price()
|
market_price = self.api_get_price()
|
||||||
lowest_buy, highest_sell = self.get_extreme_prices()
|
lowest_buy, highest_sell = self.get_extreme_prices()
|
||||||
if lowest_buy is None and market_price < self.calculate_grid_price(
|
|
||||||
highest_sell, self.grid_count + 1, "BUY"
|
# 价格跌破最低买单网格
|
||||||
):
|
if lowest_buy is None and highest_sell is not None:
|
||||||
self.api_cancel_all_orders()
|
threshold = self.calculate_grid_price(
|
||||||
self.initialize_grid()
|
highest_sell, self.grid_count + 1, "BUY"
|
||||||
elif highest_sell is None and market_price > self.calculate_grid_price(
|
)
|
||||||
lowest_buy, self.grid_count + 1, "SELL"
|
if market_price < threshold:
|
||||||
):
|
logger.warning(
|
||||||
self.api_cancel_all_orders()
|
"价格跌破网格下限(%f < %f),重置网格",
|
||||||
self.initialize_grid()
|
market_price,
|
||||||
|
threshold,
|
||||||
|
)
|
||||||
|
self.api_cancel_all_orders()
|
||||||
|
self.initialize_grid()
|
||||||
|
|
||||||
|
# 价格突破最高卖单网格
|
||||||
|
elif highest_sell is None and lowest_buy is not None:
|
||||||
|
threshold = self.calculate_grid_price(
|
||||||
|
lowest_buy, self.grid_count + 1, "SELL"
|
||||||
|
)
|
||||||
|
if market_price > threshold:
|
||||||
|
logger.warning(
|
||||||
|
"价格突破网格上限(%f > %f),重置网格",
|
||||||
|
market_price,
|
||||||
|
threshold,
|
||||||
|
)
|
||||||
|
self.api_cancel_all_orders()
|
||||||
|
self.initialize_grid()
|
||||||
except Exception as e:
|
except Exception as e:
|
||||||
|
logger.error("网格边界检查失败: %s", str(e))
|
||||||
self.adjust_grid_for_violation()
|
self.adjust_grid_for_violation()
|
||||||
|
|
||||||
def run(self):
|
def run(self):
|
||||||
|
"""运行网格交易机器人主循环"""
|
||||||
self.running = True
|
self.running = True
|
||||||
|
logger.info("启动网格交易机器人,交易对: %s", self.symbol)
|
||||||
|
|
||||||
try:
|
try:
|
||||||
self.initialize_grid()
|
self.initialize_grid()
|
||||||
|
|
||||||
while self.running:
|
while self.running:
|
||||||
try:
|
try:
|
||||||
|
# 更新订单状态
|
||||||
self.api_update_order_statuses()
|
self.api_update_order_statuses()
|
||||||
|
|
||||||
|
# 调整网格
|
||||||
self.adjust_grid_for_filled()
|
self.adjust_grid_for_filled()
|
||||||
self.adjust_grid_for_violation()
|
self.adjust_grid_for_violation()
|
||||||
|
|
||||||
|
# 扩展网格
|
||||||
self.extend_grid()
|
self.extend_grid()
|
||||||
|
|
||||||
|
# 控制循环频率
|
||||||
time.sleep(1)
|
time.sleep(1)
|
||||||
except Exception as e:
|
except Exception as e:
|
||||||
|
logger.error("主循环异常: %s,3秒后重试...", str(e))
|
||||||
time.sleep(3)
|
time.sleep(3)
|
||||||
except KeyboardInterrupt:
|
except KeyboardInterrupt:
|
||||||
pass
|
logger.info("接收到键盘中断信号,停止机器人...")
|
||||||
finally:
|
finally:
|
||||||
self.stop()
|
self.stop()
|
||||||
|
|
||||||
def stop(self):
|
def stop(self):
|
||||||
|
"""停止机器人运行"""
|
||||||
self.running = False
|
self.running = False
|
||||||
self.api_cancel_all_orders()
|
self.api_cancel_all_orders()
|
||||||
|
logger.info("网格交易机器人已停止")
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
if __name__ == "__main__":
|
||||||
|
# 默认配置
|
||||||
config = {
|
config = {
|
||||||
"symbol": "BTCUSDC",
|
"symbol": "BTCUSDC",
|
||||||
"csv_symbol": "BTCUSDT",
|
"csv_symbol": "BTCUSDT",
|
||||||
"csv_file": "output/mexc_spot_grid_trades.csv",
|
"csv_file": "output/mexc_spot_grid_trades.csv",
|
||||||
"grid_percentage": 0.001,
|
"grid_percentage": 0.0002,
|
||||||
"grid_count": 3,
|
"grid_count": 4,
|
||||||
"order_amount": 0.00001,
|
"order_amount": 0.00001,
|
||||||
"min_order_value": 1,
|
"min_order_value": 1,
|
||||||
"reserve_base": 0,
|
"reserve_base": 0,
|
||||||
"reserve_quote": 0,
|
"reserve_quote": 0,
|
||||||
}
|
}
|
||||||
|
|
||||||
|
logger.info("创建网格交易机器人实例")
|
||||||
bot = GridTradingBot(config)
|
bot = GridTradingBot(config)
|
||||||
bot.run()
|
bot.run()
|
||||||
|
Reference in New Issue
Block a user