576 lines
23 KiB
Python
576 lines
23 KiB
Python
import csv
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from datetime import datetime
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import time
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import logging
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from typing import Any, Dict, List, Optional, Tuple
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from dataclasses import dataclass
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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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level=logging.INFO,
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format="%(asctime)s - %(levelname)s - %(message)s",
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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.StreamHandler(),
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],
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)
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logger = logging.getLogger(__name__)
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@dataclass
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class Order:
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"""订单数据结构"""
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order_id: str # 订单ID
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price: float # 订单价格
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quantity: float # 订单数量
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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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"""网格交易机器人核心类"""
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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.symbol = conf["symbol"] # 交易对符号
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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"] # 交易记录文件路径
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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"] # 单边网格数量
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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"] # 最小订单价值
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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"] # 保留的报价货币数量
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# 运行时状态
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self.active_orders: Dict[str, Order] = {} # 活跃订单字典
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self.current_buy_levels = 0 # 当前买单网格层级
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self.current_sell_levels = 0 # 当前卖单网格层级
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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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"""记录交易到CSV文件"""
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try:
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trade_type = "买入" if order_response["side"] == "BUY" else "卖出"
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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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# 构建CSV行数据
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row = [
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timestamp,
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trade_type,
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self.csv_symbol,
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order_response["executedQty"],
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order_response["cummulativeQuoteQty"],
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"资金账户",
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"CEX",
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f"MEXC API - Order ID: {order_response['orderId']}",
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]
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# 检查文件是否存在
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try:
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with open(self.csv_file, "r", encoding="utf-8") as f:
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file_exists = True
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except FileNotFoundError:
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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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writer = csv.writer(f)
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if not file_exists:
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writer.writerow(
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[
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"日期",
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"类型",
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"证券代码",
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"份额",
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"净额",
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"现金账户",
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"目标账户",
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"备注",
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]
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)
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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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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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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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ticker = self.api_market.get_price({"symbol": self.symbol})
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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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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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def api_get_balances(self) -> Tuple[float, float]:
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"""获取基础货币和报价货币可用余额"""
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base_currency = self.symbol[:-4] # 提取基础货币
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quote_currency = self.symbol[-4:] # 提取报价货币
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base_available, quote_available = 0.0, 0.0
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try:
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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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if balance["asset"] == base_currency:
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base_available = float(balance["free"])
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elif balance["asset"] == quote_currency:
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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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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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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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return price * self.order_amount
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def is_order_value_valid(self, price: float) -> bool:
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"""检查订单价值是否满足最小要求"""
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return self.calculate_order_value(price) >= self.min_order_value
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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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return base_price / (1 + self.grid_percentage) ** level
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elif side == "SELL":
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return base_price * (1 + self.grid_percentage) ** level
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else:
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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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"""下订单"""
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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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try:
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order_detail = self.api_trade.post_order(
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{
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"symbol": self.symbol,
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"side": side,
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"type": "LIMIT",
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"price": price,
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"quantity": self.order_amount,
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}
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)
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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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else:
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logger.error("下单失败: %r", order_detail)
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return None
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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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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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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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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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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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self.api_trade.delete_openorders({"symbol": self.symbol})
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self.active_orders.clear()
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self.current_buy_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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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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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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# 按价格排序订单(买单从高到低，卖单从低到高)
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orders = sorted(
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[o for o in self.active_orders.values() if o.side == side],
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key=lambda x: 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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try:
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order_info = self.api_trade.get_order(
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{"symbol": self.symbol, "orderId": order.order_id}
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)
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# 更新订单状态
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old_status = order.status
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order.status = order_info["status"]
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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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# 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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logger.info(
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"订单已成交: %s 价格: %f 数量: %f",
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order.order_id,
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order.price,
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order.quantity,
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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:
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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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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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return [o for o in self.active_orders.values() if o.side == side]
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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"""
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buy_orders = self.get_active_orders_by_side("BUY")
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sell_orders = self.get_active_orders_by_side("SELL")
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lowest_buy = min(o.price for o in buy_orders) if buy_orders else None
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highest_sell = max(o.price for o in sell_orders) if sell_orders else None
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return lowest_buy, highest_sell
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def initialize_grid(self):
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"""初始化网格"""
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try:
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market_price = self.api_get_price()
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logger.info("开始初始化网格，当前价格: %f", market_price)
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# 计算初始买卖价格
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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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# 获取当前余额
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base_balance, quote_balance = self.api_get_balances()
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# 下单买1
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if (
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quote_balance - self.order_amount * buy_price >= self.reserve_quote
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and self.is_order_value_valid(buy_price)
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):
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if order_id := self.api_place_order(buy_price, "BUY"):
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self.active_orders[order_id] = Order(
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order_id=order_id,
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price=buy_price,
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quantity=self.order_amount,
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side="BUY",
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status="NEW",
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)
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self.current_buy_levels = 1
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# 下单卖1
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if (
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base_balance - self.order_amount >= self.reserve_base
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and self.is_order_value_valid(sell_price)
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):
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if order_id := self.api_place_order(sell_price, "SELL"):
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self.active_orders[order_id] = Order(
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order_id=order_id,
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price=sell_price,
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quantity=self.order_amount,
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side="SELL",
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status="NEW",
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)
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self.current_sell_levels = 1
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# 扩展网格
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self.extend_grid()
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except Exception as e:
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logger.error("网格初始化失败: %s", str(e))
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self.initialize_grid()
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def extend_grid(self):
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"""扩展网格到指定层级"""
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try:
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lowest_buy, highest_sell = self.get_extreme_prices()
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# 波动过大导致两侧无挂单，则重置机器人
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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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while self.current_buy_levels < self.grid_count:
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lowest_buy, _ = self.get_extreme_prices()
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_, 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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new_buy_price = self.calculate_grid_price(lowest_buy, 1, "BUY")
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required_quote = new_buy_price * self.order_amount
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if quote_balance - required_quote >= self.reserve_quote:
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if self.is_order_value_valid(new_buy_price):
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if order_id := self.api_place_order(new_buy_price, "BUY"):
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self.active_orders[order_id] = Order(
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order_id=order_id,
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price=new_buy_price,
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quantity=self.order_amount,
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side="BUY",
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status="NEW",
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)
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self.current_buy_levels += 1
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logger.info(
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"扩展买单网格到层级 %d 价格: %f",
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self.current_buy_levels,
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new_buy_price,
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)
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else:
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logger.warning(
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"买单价值 %f 低于最小值 %f",
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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.debug("报价货币余额不足，无法扩展买单网格")
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break
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# 扩展卖单网格(向上)
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while self.current_sell_levels < self.grid_count:
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_, highest_sell = self.get_extreme_prices()
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base_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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new_sell_price = self.calculate_grid_price(highest_sell, 1, "SELL")
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if base_balance - self.order_amount >= self.reserve_base:
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if self.is_order_value_valid(new_sell_price):
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if order_id := self.api_place_order(new_sell_price, "SELL"):
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self.active_orders[order_id] = Order(
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order_id=order_id,
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price=new_sell_price,
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quantity=self.order_amount,
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side="SELL",
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status="NEW",
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)
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self.current_sell_levels += 1
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logger.info(
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"扩展卖单网格到层级 %d 价格: %f",
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self.current_sell_levels,
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new_sell_price,
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)
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else:
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logger.warning(
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"卖单价值 %f 低于最小值 %f",
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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.debug("基础货币余额不足，无法扩展卖单网格")
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break
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except Exception as e:
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logger.error("扩展网格失败: %s", str(e))
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self.extend_grid()
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def adjust_grid_for_filled(self):
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"""根据成交订单调整网格"""
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try:
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# 找出新成交的订单
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filled_orders = [
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o for o in self.active_orders.values() if o.status == "FILLED"
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]
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for order in filled_orders:
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logger.info(
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"处理成交订单: %s %s %f", order.order_id, order.side, order.price
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)
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# 从活跃订单中移除
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self.active_orders.pop(order.order_id, None)
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if order.side == "BUY":
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self.current_buy_levels -= 1
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# 买单成交时取消最高价卖单并下新卖单
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if sell_orders := self.get_active_orders_by_side("SELL"):
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highest_sell = max(sell_orders, key=lambda x: x.price)
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self.api_cancel_order(highest_sell.order_id)
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self.active_orders.pop(highest_sell.order_id, None)
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# 下新卖单(卖0)
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new_sell_price = self.calculate_grid_price(
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order.price, 1, "SELL"
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)
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if self.is_order_value_valid(new_sell_price):
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if order_id := self.api_place_order(new_sell_price, "SELL"):
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self.active_orders[order_id] = Order(
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order_id=order_id,
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price=new_sell_price,
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quantity=self.order_amount,
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side="SELL",
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status="NEW",
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)
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elif order.side == "SELL":
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self.current_sell_levels -= 1
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# 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": 0.0005,
|
||
"grid_count": 5,
|
||
"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()
|