refactor: add comments and logs

This commit is contained in:
2025-07-20 23:05:16 +08:00
parent e54084f4af
commit 3144ff492a

460
main.py
View File

@@ -7,9 +7,10 @@ from dataclasses import dataclass
import mexc_spot_v3
# 配置日志格式
logging.basicConfig(
level=logging.DEBUG,
format="%(asctime)s - %(name)s - %(levelname)s - %(message)s",
level=logging.INFO,
format="%(asctime)s - %(levelname)s - %(message)s",
handlers=[
logging.FileHandler("output/mexc_spot_grid_bot.log", encoding="utf-8"),
logging.StreamHandler(),
@@ -20,60 +21,70 @@ logger = logging.getLogger(__name__)
@dataclass
class Order:
order_id: str
price: float
quantity: float
side: str
status: str
filled_time: Optional[float] = None
"""订单数据结构"""
order_id: str # 订单ID
price: float # 订单价格
quantity: float # 订单数量
side: str # 买卖方向: BUY/SELL
status: str # 订单状态: NEW/FILLED/CANCELED
filled_time: Optional[float] = None # 成交时间戳
class GridTradingBot:
"""网格交易机器人核心类"""
def __init__(self, conf: Dict):
"""初始化网格交易机器人"""
self.config = conf
self.symbol = conf["symbol"]
self.csv_symbol = conf["csv_symbol"]
self.csv_file = conf["csv_file"]
self.grid_percentage = conf["grid_percentage"]
self.grid_count = conf["grid_count"]
self.order_amount = conf["order_amount"]
self.min_order_value = conf["min_order_value"]
self.reserve_base = conf["reserve_base"]
self.reserve_quote = conf["reserve_quote"]
self.active_orders: Dict[str, Order] = {}
self.current_buy_levels = 0
self.current_sell_levels = 0
self.api_trade = mexc_spot_v3.mexc_trade()
self.api_market = mexc_spot_v3.mexc_market()
self.running = False
self.symbol = conf["symbol"] # 交易对符号
self.csv_symbol = conf["csv_symbol"] # CSV记录使用的交易对符号
self.csv_file = conf["csv_file"] # 交易记录文件路径
self.grid_percentage = conf["grid_percentage"] # 网格间距百分比
self.grid_count = conf["grid_count"] # 单边网格数量
self.order_amount = conf["order_amount"] # 每单交易数量
self.min_order_value = conf["min_order_value"] # 最小订单价值
self.reserve_base = conf["reserve_base"] # 保留的基础货币数量
self.reserve_quote = conf["reserve_quote"] # 保留的报价货币数量
# 运行时状态
self.active_orders: Dict[str, Order] = {} # 活跃订单字典
self.current_buy_levels = 0 # 当前买单网格层级
self.current_sell_levels = 0 # 当前卖单网格层级
self.api_trade = mexc_spot_v3.mexc_trade() # 交易API
self.api_market = mexc_spot_v3.mexc_market() # 市场API
self.running = False # 运行状态标志
logger.info("网格交易机器人初始化完成,交易对: %s", self.symbol)
def record_transaction(self, order_response: Dict[str, Any]) -> bool:
"""记录交易到CSV文件"""
try:
csv_symbol = self.csv_symbol
order_id = order_response["orderId"]
executed_qty = order_response["executedQty"]
cummulative_quote_qty = order_response["cummulativeQuoteQty"]
side = order_response["side"]
trade_type = "买入" if side == "BUY" else "卖出"
trade_type = "买入" if order_response["side"] == "BUY" else "卖出"
timestamp = datetime.fromtimestamp(
order_response["updateTime"] / 1000
).strftime("%Y-%m-%dT%H:%M")
# 构建CSV行数据
row = [
timestamp,
trade_type,
csv_symbol,
executed_qty,
cummulative_quote_qty,
self.csv_symbol,
order_response["executedQty"],
order_response["cummulativeQuoteQty"],
"资金账户",
"CEX",
f"MEXC API - Order ID: {order_id}",
f"MEXC API - Order ID: {order_response['orderId']}",
]
file_exists = False
# 检查文件是否存在
try:
with open(self.csv_file, "r", encoding="utf-8") as f:
file_exists = True
except FileNotFoundError:
pass
file_exists = False
# 写入CSV文件
with open(self.csv_file, "a", newline="", encoding="utf-8") as f:
writer = csv.writer(f)
if not file_exists:
@@ -90,23 +101,35 @@ class GridTradingBot:
]
)
writer.writerow(row)
logger.info(
"交易记录已保存: %s %s %s",
trade_type,
self.csv_symbol,
order_response["orderId"],
)
return True
except Exception as e:
logger.error("交易记录保存失败: %s", str(e))
return False
def api_get_price(self) -> float:
"""获取当前市场价格"""
try:
ticker = self.api_market.get_price({"symbol": self.symbol})
price = float(ticker["price"])
logger.debug("当前市场价格: %f", price)
return price
except Exception as e:
logger.warning("获取价格失败,重试中... 错误: %s", str(e))
return self.api_get_price()
def api_get_balances(self) -> Tuple[float, float]:
base_currency = self.symbol[:-4]
quote_currency = self.symbol[-4:]
base_available = 0.0
quote_available = 0.0
"""获取基础货币和报价货币可用余额"""
base_currency = self.symbol[:-4] # 提取基础货币
quote_currency = self.symbol[-4:] # 提取报价货币
base_available, quote_available = 0.0, 0.0
try:
balances = self.api_trade.get_account_info()
for balance in balances.get("balances", []):
@@ -114,32 +137,46 @@ class GridTradingBot:
base_available = float(balance["free"])
elif balance["asset"] == quote_currency:
quote_available = float(balance["free"])
logger.debug(
"当前余额 - %s: %f, %s: %f",
base_currency,
base_available,
quote_currency,
quote_available,
)
return base_available, quote_available
except Exception as e:
logger.warning("获取余额失败,重试中... 错误: %s", str(e))
return self.api_get_balances()
def calculate_order_value(self, price: float) -> float:
value = price * self.order_amount
return value
"""计算订单价值(价格*数量)"""
return price * self.order_amount
def is_order_value_valid(self, price: float) -> bool:
value = self.calculate_order_value(price)
is_valid = value >= self.min_order_value
return is_valid
"""检查订单价值是否满足最小要求"""
return self.calculate_order_value(price) >= self.min_order_value
def calculate_grid_price(self, base_price: float, level: int, side: str) -> float:
"""计算网格价格"""
if side == "BUY":
price = base_price / (1 + self.grid_percentage) ** level
return price
return base_price / (1 + self.grid_percentage) ** level
elif side == "SELL":
price = base_price * (1 + self.grid_percentage) ** level
return price
return base_price * (1 + self.grid_percentage) ** level
else:
raise ValueError(f"Invalid side: {side}")
raise ValueError(f"无效的交易方向: {side}")
def api_place_order(self, price: float, side: str) -> Optional[str]:
"""下订单"""
if not self.is_order_value_valid(price):
logger.warning(
"订单价值 %f 低于最小值 %f",
price * self.order_amount,
self.min_order_value,
)
return None
try:
order_detail = self.api_trade.post_order(
{
@@ -150,286 +187,389 @@ class GridTradingBot:
"quantity": self.order_amount,
}
)
order_id = order_detail.get("orderId")
if order_id:
if order_id := order_detail.get("orderId"):
logger.info(
"成功下单 %s - 价格: %f 数量: %f 订单ID: %s",
side,
price,
self.order_amount,
order_id,
)
return order_id
else:
logger.error("下单失败: %r", order_detail)
return None
except Exception as e:
logger.warning("下单异常,重试中... 错误: %s", str(e))
return self.api_place_order(price, side)
def api_cancel_order(self, order_id: str):
"""取消指定订单"""
try:
self.api_trade.delete_order({"symbol": self.symbol, "orderId": order_id})
logger.info("订单已取消: %s", order_id)
except Exception as e:
logger.warning(
"取消订单失败,重试中... 订单ID: %s 错误: %s", order_id, str(e)
)
self.api_cancel_order(order_id)
def api_cancel_all_orders(self):
"""取消所有活跃订单"""
try:
self.api_trade.delete_openorders({"symbol": self.symbol})
self.active_orders.clear()
self.current_buy_levels = 0
self.current_sell_levels = 0
logger.info("已取消所有订单")
except Exception as e:
logger.warning("取消所有订单失败,重试中... 错误: %s", str(e))
self.api_cancel_all_orders()
def api_update_order_statuses(self):
"""更新所有活跃订单状态"""
for side in ["BUY", "SELL"]:
orders = self.get_active_orders_by_side(side)
if side == "BUY":
orders.sort(key=lambda x: float(x.price), reverse=True)
else:
orders.sort(key=lambda x: float(x.price))
# 按价格排序订单(买单从高到低,卖单从低到高)
orders = sorted(
[o for o in self.active_orders.values() if o.side == side],
key=lambda x: x.price,
reverse=(side == "BUY"),
)
for order in orders:
order_id = order.order_id
try:
order_info = self.api_trade.get_order(
{"symbol": self.symbol, "orderId": order_id}
{"symbol": self.symbol, "orderId": order.order_id}
)
old_status = self.active_orders[order_id].status
new_status = order_info["status"]
self.active_orders[order_id].status = new_status
if new_status == "FILLED":
self.active_orders[order_id].filled_time = time.time()
# 更新订单状态
old_status = order.status
order.status = order_info["status"]
if old_status != order.status:
logger.info(
"订单状态更新: %s %s -> %s",
order.order_id,
old_status,
order.status,
)
# 处理已成交订单
if order.status == "FILLED":
order.filled_time = time.time()
self.record_transaction(order_info)
if new_status in ["CANCELED"]:
self.active_orders.pop(order_id)
if new_status == "NEW":
break
logger.info(
"订单已成交: %s 价格: %f 数量: %f",
order.order_id,
order.price,
order.quantity,
)
# 移除已取消订单
if order.status == "CANCELED":
self.active_orders.pop(order.order_id, None)
except Exception as e:
self.api_update_order_statuses()
logger.warning(
"获取订单状态失败: %s 错误: %s", order.order_id, str(e)
)
def get_active_orders_by_side(self, side: str) -> List[Order]:
orders = [order for order in self.active_orders.values() if order.side == side]
return orders
"""获取指定方向的所有活跃订单"""
return [o for o in self.active_orders.values() if o.side == side]
def get_extreme_prices(self) -> Tuple[Optional[float], Optional[float]]:
"""获取当前最极端的买单和卖单价格"""
buy_orders = self.get_active_orders_by_side("BUY")
sell_orders = self.get_active_orders_by_side("SELL")
lowest_buy = min([order.price for order in buy_orders]) if buy_orders else None
highest_sell = (
max([order.price for order in sell_orders]) if sell_orders else None
)
lowest_buy = min(o.price for o in buy_orders) if buy_orders else None
highest_sell = max(o.price for o in sell_orders) if sell_orders else None
return lowest_buy, highest_sell
def initialize_grid(self):
"""初始化网格"""
try:
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")
sell_price = self.calculate_grid_price(market_price, 1, "SELL")
# 获取当前余额
base_balance, quote_balance = self.api_get_balances()
if quote_balance > self.reserve_quote:
if self.is_order_value_valid(buy_price):
buy_order_id = self.api_place_order(buy_price, "BUY")
if buy_order_id:
self.active_orders[buy_order_id] = Order(
order_id=buy_order_id,
# 下单买1
if (
quote_balance - self.order_amount * buy_price > self.reserve_quote
and self.is_order_value_valid(buy_price)
):
if order_id := self.api_place_order(buy_price, "BUY"):
self.active_orders[order_id] = Order(
order_id=order_id,
price=buy_price,
quantity=self.order_amount,
side="BUY",
status="NEW",
)
self.current_buy_levels = 1
if base_balance > self.reserve_base:
if self.is_order_value_valid(sell_price):
sell_order_id = self.api_place_order(sell_price, "SELL")
if sell_order_id:
self.active_orders[sell_order_id] = Order(
order_id=sell_order_id,
# 下单卖1
if (
base_balance - self.order_amount > self.reserve_base
and self.is_order_value_valid(sell_price)
):
if order_id := self.api_place_order(sell_price, "SELL"):
self.active_orders[order_id] = Order(
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()
except Exception as e:
logger.error("网格初始化失败: %s", str(e))
self.initialize_grid()
def extend_grid(self):
"""扩展网格到指定层级"""
try:
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:
self.stop()
self.run()
# 扩展买单网格(向下)
while self.current_buy_levels < self.grid_count:
lowest_buy, highest_sell = self.get_extreme_prices()
base_balance, quote_balance = self.api_get_balances()
lowest_buy, _ = self.get_extreme_prices()
_, quote_balance = self.api_get_balances()
if lowest_buy is None:
lowest_buy = self.calculate_grid_price(
highest_sell, self.grid_count, "BUY"
)
new_buy_price = self.calculate_grid_price(lowest_buy, 1, "BUY")
if (
quote_balance - self.order_amount * new_buy_price
> self.reserve_quote
):
required_quote = new_buy_price * self.order_amount
if quote_balance - required_quote > self.reserve_quote:
if self.is_order_value_valid(new_buy_price):
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,
if order_id := self.api_place_order(new_buy_price, "BUY"):
self.active_orders[order_id] = Order(
order_id=order_id,
price=new_buy_price,
quantity=self.order_amount,
side="BUY",
status="NEW",
)
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:
logger.warning(
"买单价值 %f 低于最小值 %f",
new_buy_price * self.order_amount,
self.min_order_value,
)
break
else:
logger.debug("报价货币余额不足,无法扩展买单网格")
break
# 扩展卖单网格(向上)
while self.current_sell_levels < self.grid_count:
lowest_buy, highest_sell = self.get_extreme_prices()
base_balance, quote_balance = self.api_get_balances()
_, highest_sell = self.get_extreme_prices()
base_balance, _ = self.api_get_balances()
if highest_sell is None:
highest_sell = self.calculate_grid_price(
lowest_buy, self.grid_count, "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):
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,
if order_id := self.api_place_order(new_sell_price, "SELL"):
self.active_orders[order_id] = Order(
order_id=order_id,
price=new_sell_price,
quantity=self.order_amount,
side="SELL",
status="NEW",
)
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:
logger.warning(
"卖单价值 %f 低于最小值 %f",
new_sell_price * self.order_amount,
self.min_order_value,
)
break
else:
logger.debug("基础货币余额不足,无法扩展卖单网格")
break
except Exception as e:
logger.error("扩展网格失败: %s", str(e))
self.extend_grid()
def adjust_grid_for_filled(self):
"""根据成交订单调整网格"""
try:
current_order_ids = set(self.active_orders.keys())
newly_filled_orders = [
order
for order in self.active_orders.values()
if order.order_id in current_order_ids and order.status == "FILLED"
# 找出新成交的订单
filled_orders = [
o for o in self.active_orders.values() if o.status == "FILLED"
]
if newly_filled_orders:
for filled_order in newly_filled_orders:
filled_side = filled_order.side
filled_price = filled_order.price
filled_id = filled_order.order_id
self.active_orders.pop(filled_id, None)
active_buys = [
o
for o in self.active_orders.values()
if o.side == "BUY" and o.status == "NEW"
]
active_sells = [
o
for o in self.active_orders.values()
if o.side == "SELL" and o.status == "NEW"
]
if filled_side == "BUY":
for order in filled_orders:
logger.info(
"处理成交订单: %s %s %f", order.order_id, order.side, order.price
)
# 从活跃订单中移除
self.active_orders.pop(order.order_id, None)
if order.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)
# 买单成交时取消最高价卖单并下新卖单
if sell_orders := self.get_active_orders_by_side("SELL"):
highest_sell = max(sell_orders, key=lambda x: x.price)
self.api_cancel_order(highest_sell.order_id)
self.active_orders.pop(highest_sell.order_id, None)
# 下新卖单(卖0)
new_sell_price = self.calculate_grid_price(
filled_price, 1, "SELL"
order.price, 1, "SELL"
)
base_balance, _ = self.api_get_balances()
if (
base_balance > self.reserve_base
and self.is_order_value_valid(new_sell_price)
):
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,
if self.is_order_value_valid(new_sell_price):
if order_id := self.api_place_order(new_sell_price, "SELL"):
self.active_orders[order_id] = Order(
order_id=order_id,
price=new_sell_price,
quantity=self.order_amount,
side="SELL",
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.active_orders.pop(lowest_buy.order_id, None)
new_buy_price = self.calculate_grid_price(
filled_price, 1, "BUY"
)
_, quote_balance = self.api_get_balances()
if (
quote_balance > self.reserve_quote
and self.is_order_value_valid(new_buy_price)
):
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,
# 下新买单(买0)
new_buy_price = self.calculate_grid_price(order.price, 1, "BUY")
if self.is_order_value_valid(new_buy_price):
if order_id := self.api_place_order(new_buy_price, "BUY"):
self.active_orders[order_id] = Order(
order_id=order_id,
price=new_buy_price,
quantity=self.order_amount,
side="BUY",
status="NEW",
)
except Exception as e:
logger.error("调整网格失败: %s", str(e))
self.adjust_grid_for_filled()
def adjust_grid_for_violation(self):
"""处理价格超出网格范围的情况"""
try:
market_price = self.api_get_price()
lowest_buy, highest_sell = self.get_extreme_prices()
if lowest_buy is None and market_price < self.calculate_grid_price(
# 价格跌破最低买单网格
if lowest_buy is None and highest_sell is not None:
threshold = self.calculate_grid_price(
highest_sell, self.grid_count + 1, "BUY"
):
)
if market_price < threshold:
logger.warning(
"价格跌破网格下限(%f < %f),重置网格",
market_price,
threshold,
)
self.api_cancel_all_orders()
self.initialize_grid()
elif highest_sell is None and market_price > self.calculate_grid_price(
# 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:
logger.error("网格边界检查失败: %s", str(e))
self.adjust_grid_for_violation()
def run(self):
"""运行网格交易机器人主循环"""
self.running = True
logger.info("启动网格交易机器人,交易对: %s", self.symbol)
try:
self.initialize_grid()
while self.running:
try:
# 更新订单状态
self.api_update_order_statuses()
# 调整网格
self.adjust_grid_for_filled()
self.adjust_grid_for_violation()
# 扩展网格
self.extend_grid()
# 控制循环频率
time.sleep(1)
except Exception as e:
logger.error("主循环异常: %s3秒后重试...", str(e))
time.sleep(3)
except KeyboardInterrupt:
pass
logger.info("接收到键盘中断信号,停止机器人...")
finally:
self.stop()
def stop(self):
"""停止机器人运行"""
self.running = False
self.api_cancel_all_orders()
logger.info("网格交易机器人已停止")
if __name__ == "__main__":
# 默认配置
config = {
"symbol": "BTCUSDC",
"csv_symbol": "BTCUSDT",
"csv_file": "output/mexc_spot_grid_trades.csv",
"grid_percentage": 0.001,
"grid_count": 3,
"grid_percentage": 0.0002,
"grid_count": 4,
"order_amount": 0.00001,
"min_order_value": 1,
"reserve_base": 0,
"reserve_quote": 0,
}
logger.info("创建网格交易机器人实例")
bot = GridTradingBot(config)
bot.run()