fix: a lot of things
This commit is contained in:
125
main.py
125
main.py
@@ -110,9 +110,9 @@ class GridTradingBot:
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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(order_response["updateTime"] / 1000).strftime(
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"%Y-%m-%dT%H:%M"
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)
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timestamp = datetime.fromtimestamp(
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order_response["updateTime"] / 1000
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).strftime("%Y-%m-%dT%H:%M")
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row = [
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timestamp,
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@@ -182,7 +182,7 @@ class GridTradingBot:
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self.symbol,
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str(e),
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)
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raise
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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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"""获取基础货币和报价货币的可用余额（不包括冻结金额）"""
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@@ -224,7 +224,7 @@ class GridTradingBot:
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logger.error(
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"[GridTradingBot.api_get_balances] Failed to get balances: %s", str(e)
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)
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raise
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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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"""计算订单价值 (价格 * 数量)"""
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@@ -360,7 +360,7 @@ class GridTradingBot:
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price,
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str(e),
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)
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return None
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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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"""取消订单"""
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@@ -379,6 +379,7 @@ class GridTradingBot:
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order_id,
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str(e),
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)
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self.api_cancel_order(order_id)
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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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@@ -388,15 +389,19 @@ class GridTradingBot:
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)
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try:
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self.api_trade.delete_openorders({"symbol": self.symbol})
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self.active_orders.clear()
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logger.info(
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"[GridTradingBot.api_cancel_all_orders] Successfully canceled all open orders for %s",
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self.symbol,
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)
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self.current_buy_levels = 0
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self.current_sell_levels = 0
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except Exception as e:
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logger.error(
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"[GridTradingBot.api_cancel_all_orders] Failed to cancel all open orders: %s",
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str(e),
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)
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self.api_cancel_all_orders()
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def api_update_order_statuses(self):
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"""更新所有活跃订单的状态"""
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@@ -453,6 +458,7 @@ class GridTradingBot:
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order_id,
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str(e),
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)
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self.api_update_order_statuses()
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def get_active_orders_by_side(self, side: str) -> List[Order]:
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"""获取指定方向的所有活跃订单"""
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@@ -500,7 +506,7 @@ class GridTradingBot:
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market_price,
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)
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# 初始下单：买1和卖1
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# 初始下单: 买1和卖1
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buy_price = self.calculate_grid_price(market_price, 1, "BUY")
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sell_price = self.calculate_grid_price(market_price, 1, "SELL")
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logger.custom_debug(
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@@ -593,14 +599,13 @@ class GridTradingBot:
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self.reserve_base,
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)
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for _ in range(1, self.grid_count):
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self.extend_grid()
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except Exception as e:
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logger.error(
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"[GridTradingBot.initialize_grid] Failed to initialize grid: %s", str(e)
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)
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raise
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self.initialize_grid()
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def extend_grid(self):
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"""扩展网格，保证两侧都有指定个数的挂单"""
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@@ -613,11 +618,23 @@ class GridTradingBot:
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)
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try:
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# 如果两侧都没有挂单 (如: 插针) 则重启机器人
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lowest_buy, highest_sell = self.get_extreme_prices()
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base_balance, quote_balance = self.api_get_balances()
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if lowest_buy is None and highest_sell is None:
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self.stop()
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self.run()
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# 扩展买单网格 (向下)
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if lowest_buy is not None and self.current_buy_levels < self.grid_count:
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while self.current_buy_levels < self.grid_count:
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lowest_buy, highest_sell = self.get_extreme_prices()
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base_balance, quote_balance = self.api_get_balances()
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if lowest_buy is None:
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lowest_buy = self.calculate_grid_price(
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highest_sell, self.grid_count, "BUY"
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)
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logger.custom_debug(
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"[GridTradingBot.extend_grid] lowest_buy was None, calculating based on highest_sell"
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)
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new_buy_price = self.calculate_grid_price(lowest_buy, 1, "BUY")
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logger.custom_debug(
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"[GridTradingBot.extend_grid] Extending buy grid - current lowest: %f, new price: %f",
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@@ -656,15 +673,26 @@ class GridTradingBot:
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new_buy_price * self.order_amount,
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self.min_order_value,
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)
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break
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else:
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logger.error(
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"[GridTradingBot.extend_grid] Insufficient quote balance for extended buy: %f <= %f",
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quote_balance,
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self.reserve_quote,
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)
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break
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# 扩展卖单网格 (向上)
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if highest_sell is not None and self.current_sell_levels < self.grid_count:
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while self.current_sell_levels < self.grid_count:
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lowest_buy, highest_sell = self.get_extreme_prices()
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base_balance, quote_balance = self.api_get_balances()
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if highest_sell is None:
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highest_sell = self.calculate_grid_price(
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lowest_buy, self.grid_count, "SELL"
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)
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logger.custom_debug(
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"[GridTradingBot.extend_grid] highest_sell was None, calculating based on lowest_buy"
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)
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new_sell_price = self.calculate_grid_price(highest_sell, 1, "SELL")
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logger.custom_debug(
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"[GridTradingBot.extend_grid] Extending sell grid - current highest: %f, new price: %f",
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@@ -703,26 +731,28 @@ class GridTradingBot:
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new_sell_price * self.order_amount,
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self.min_order_value,
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)
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break
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else:
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logger.error(
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"[GridTradingBot.extend_grid] Insufficient base balance for extended sell: %f <= %f",
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base_balance,
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self.reserve_base,
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)
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break
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except Exception as e:
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logger.error(
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"[GridTradingBot.extend_grid] Failed to extend grid: %s", str(e)
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)
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raise
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self.extend_grid()
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def adjust_grid(self):
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"""调整网格 - 优化后的对称逻辑：
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买单成交时：
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def adjust_grid_for_filled(self):
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"""调整网格 - 优化后的对称逻辑:
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买单成交时:
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1. 取消最高价卖单
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2. 在卖单侧挂一个更低价的卖单（卖0）
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3. 在买单侧挂一个更低价的买单（买n）
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卖单成交时：
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卖单成交时:
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1. 取消最低价买单
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2. 在买单侧挂一个更高价的买单（买0）
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3. 在卖单侧挂一个更高价的卖单（卖n）"""
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@@ -741,12 +771,10 @@ class GridTradingBot:
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if order.order_id in current_order_ids and order.status == "FILLED"
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]
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if not newly_filled_orders:
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if newly_filled_orders:
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logger.custom_debug(
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"[GridTradingBot.adjust_grid] No newly filled orders found"
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"[GridTradingBot.adjust_grid] Newly filled orders found"
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)
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return
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# 处理每个新成交的订单
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for filled_order in newly_filled_orders:
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filled_side = filled_order.side
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@@ -771,9 +799,12 @@ class GridTradingBot:
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if o.side == "SELL" and o.status == "NEW"
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]
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if filled_side == "BUY":
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self.current_buy_levels -= 1
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elif filled_side == "SELL":
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self.current_sell_levels -= 1
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if filled_side == "BUY" and active_sells:
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# 买单成交时的处理逻辑
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self.current_buy_levels -= 1
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# 1. 取消最高价卖单
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highest_sell = max(active_sells, key=lambda x: x.price)
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self.api_cancel_order(highest_sell.order_id)
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@@ -785,11 +816,14 @@ class GridTradingBot:
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)
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# 2. 在卖单侧挂一个更低价的卖单（卖0）
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# 使用最近成交的买单价格作为基准
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new_sell_price = self.calculate_grid_price(filled_price, 1, "SELL")
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new_sell_price = self.calculate_grid_price(
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filled_price, 1, "SELL"
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)
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# 检查余额和订单价值
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base_balance, _ = self.api_get_balances()
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if base_balance > self.reserve_base and self.is_order_value_valid(
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new_sell_price
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if (
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base_balance > self.reserve_base
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and self.is_order_value_valid(new_sell_price)
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):
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sell_order_id = self.api_place_order(new_sell_price, "SELL")
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if sell_order_id:
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@@ -808,7 +842,6 @@ class GridTradingBot:
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elif filled_side == "SELL" and active_buys:
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# 卖单成交时的处理逻辑
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self.current_sell_levels -= 1
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# 1. 取消最低价买单
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lowest_buy = min(active_buys, key=lambda x: x.price)
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self.api_cancel_order(lowest_buy.order_id)
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@@ -821,7 +854,9 @@ class GridTradingBot:
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)
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# 2. 在买单侧挂一个更高价的买单（买0）
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# 使用最近成交的卖单价格作为基准
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new_buy_price = self.calculate_grid_price(filled_price, 1, "BUY")
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new_buy_price = self.calculate_grid_price(
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filled_price, 1, "BUY"
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)
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# 检查余额和订单价值
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_, quote_balance = self.api_get_balances()
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if (
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@@ -842,12 +877,39 @@ class GridTradingBot:
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new_buy_price,
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buy_order_id,
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)
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except Exception as e:
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logger.error(
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"[GridTradingBot.adjust_grid] Failed to adjust grid: %s", str(e)
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)
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raise
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self.adjust_grid_for_filled()
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def adjust_grid_for_violation(self):
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try:
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market_price = self.api_get_price()
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lowest_buy, highest_sell = self.get_extreme_prices()
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if lowest_buy is None and market_price < self.calculate_grid_price(
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highest_sell, self.grid_count + 1, "BUY"
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):
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logger.warning(
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"[GridTradingBot.adjust_grid_for_violation] Price varied too low, restarting grid."
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)
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self.api_cancel_all_orders()
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self.initialize_grid()
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elif highest_sell is None and market_price > self.calculate_grid_price(
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lowest_buy, self.grid_count + 1, "SELL"
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):
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logger.warning(
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"[GridTradingBot.adjust_grid_for_violation] Price varied too high, restarting grid."
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)
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self.api_cancel_all_orders()
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self.initialize_grid()
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except Exception as e:
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logger.error(
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"[GridTradingBot.adjust_grid_for_violation] Failed to adjust grid: %s",
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str(e),
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)
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self.adjust_grid_for_violation()
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def run(self):
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"""运行网格交易机器人"""
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@@ -871,7 +933,8 @@ class GridTradingBot:
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self.api_update_order_statuses()
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# 调整网格
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self.adjust_grid()
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self.adjust_grid_for_filled()
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self.adjust_grid_for_violation()
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# 尝试扩展网格
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self.extend_grid()
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@@ -885,7 +948,7 @@ class GridTradingBot:
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except Exception as e:
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logger.error("[GridTradingBot.run] Error in main loop: %s", str(e))
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sleep_time = 3
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sleep_time = 1
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logger.custom_debug(
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"[GridTradingBot.run] Error occurred, sleeping for %d seconds",
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sleep_time,
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