import csv from datetime import datetime import time import logging from typing import Any, Dict, List, Optional, Tuple from dataclasses import dataclass import mexc_spot_v3 # 配置日志格式 logging.basicConfig( level=logging.INFO, format="%(asctime)s - %(levelname)s - %(message)s", handlers=[ logging.FileHandler("output/mexc_spot_grid_bot.log", encoding="utf-8"), logging.StreamHandler(), ], ) logger = logging.getLogger(__name__) @dataclass class Order: """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"] # 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: 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, self.csv_symbol, order_response["executedQty"], order_response["cummulativeQuoteQty"], "资金账户", "CEX", f"MEXC API - Order ID: {order_response['orderId']}", ] # 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: 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: writer.writerow( [ "日期", "类型", "证券代码", "份额", "净额", "现金账户", "目标账户", "备注", ] ) 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]: """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", []): if balance["asset"] == base_currency: 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: """计算订单价值(价格*数量)""" return price * self.order_amount def is_order_value_valid(self, price: float) -> bool: """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": return base_price / (1 + self.grid_percentage) ** level elif side == "SELL": return base_price * (1 + self.grid_percentage) ** level else: 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( { "symbol": self.symbol, "side": side, "type": "LIMIT", "price": price, "quantity": self.order_amount, } ) 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"]: # 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: try: order_info = self.api_trade.get_order( {"symbol": self.symbol, "orderId": order.order_id} ) # 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) 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: 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]: """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(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() # 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 # 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, _ = 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") 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): 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: _, 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.order_amount > self.reserve_base: 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", ) 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: # 找出新成交的订单 filled_orders = [ o for o in self.active_orders.values() if o.status == "FILLED" ] 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 # 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( order.price, 1, "SELL" ) 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 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) # 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() # 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() # 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: %s，3秒后重试...", str(e)) time.sleep(3) except KeyboardInterrupt: 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": 0.0002, "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()