init

.gitignore

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+output/
+config/

.pylintrc

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+[MASTER]
+disable=
+    W0123,
+    C0301,

db.py

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+"""运行时数据库模块"""
+
+import json
+import os
+
+class Database:
+    """数据库类"""
+    def __init__(self, config_name):
+        self.db_file = f'output/{config_name}_db.json'
+        self.load()
+
+    def load(self):
+        """加载数据库"""
+        if not os.path.exists(self.db_file):
+            with open(self.db_file, 'w', encoding='utf-8') as f:
+                json.dump({}, f)
+        with open(self.db_file, 'r', encoding='utf-8') as f:
+            self.data = json.load(f)
+
+    def save(self):
+        """保存数据库"""
+        with open(self.db_file, 'w', encoding='utf-8') as f:
+            json.dump(self.data, f, indent=4)
+
+    def sync_trades(self, trades):
+        """
+        同步数据库中的trade_id，确保所有trade_id都存在，且没有多余的trade_id
+        trades: 当前config中有效的trade_id列表
+        """
+        self.load()
+        schema = {
+            "order_id": {
+                "open": [],
+                "filled": [],
+                "canceled": []
+            },
+            "counter": {
+                "open": 0,
+                "filled": 0,
+                "canceled": 0
+            }
+        }
+        for db_trade_id in list(self.data.keys()):
+            if db_trade_id not in trades:
+                del self.data[db_trade_id]
+        for trade_id in trades:
+            if trade_id not in self.data:
+                self.data[trade_id] = schema
+        for trade_id in trades:
+            self.data[trade_id]["counter"]["open"] = len(self.data[trade_id]["order_id"]["open"])
+            self.data[trade_id]["counter"]["filled"] = len(self.data[trade_id]["order_id"]["filled"])
+            self.data[trade_id]["counter"]["canceled"] = len(self.data[trade_id]["order_id"]["canceled"])
+        self.save()

main.py

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+"""条件订单机器人"""
+
+import os
+import csv
+import json
+import time
+import argparse
+import logging
+from datetime import datetime, timedelta, timezone
+
+import ccxt
+
+from db import Database
+
+def config_load(file_path):
+    """加载配置文件"""
+    if not os.path.exists(file_path):
+        raise FileNotFoundError(file_path)
+    with open(file_path, "r", encoding="utf-8") as f:
+        config = json.load(f)
+    return config
+
+
+def config_validate(config):
+    """验证配置文件有效性"""
+    required_fields = ["interval", "trades", "accounts"]
+
+    for field in required_fields:
+        if field not in config:
+            raise ValueError(f"缺少必要字段 {field}")
+
+    if not isinstance(config["trades"], dict):
+        raise ValueError("字段 'trades' 必须是字典")
+    for trade_id, trade_data in config["trades"].items():
+        required_keys = ["account", "condition_place", "condition_cancel", "order"]
+        for key in required_keys:
+            if key not in trade_data:
+                raise ValueError(f"交易 {trade_id} 配置不完整，必须包含 '{key}'")
+        if "amount" not in trade_data["order"] and "cost" not in trade_data["order"]:
+            raise ValueError(f"交易 {trade_id} 的订单配置必须包含 'amount' 或 'cost'")
+
+    for account_id, account_data in config["accounts"].items():
+        required_keys = ["exchange", "api_key", "secret_key"]
+        for key in required_keys:
+            if key not in account_data:
+                raise ValueError(f"账户 {account_id} 配置不完整，必须包含 '{key}'")
+        if account_data["exchange"] not in ccxt.exchanges:
+            raise ValueError(f"账户 {account_id} 的交易所 {account_data['exchange']} 不受支持")
+
+def csv_record(file_name, order, exchange, csv_symbol):
+    """记录订单信息到csv"""
+    file_path = os.path.join("output", file_name+".csv")
+    csv_data = [
+        # TODO 先用UTC+8，后续可以考虑让用户自定义时区
+        (datetime.fromtimestamp(order["timestamp"] / 1000, timezone.utc) + timedelta(hours=8)).strftime("%Y-%m-%dT%H:%M"),
+        "买入" if order["side"] == "buy" else "卖出",
+        csv_symbol if csv_symbol else order["symbol"],
+        order["amount"],
+        order["cost"],
+        f"ccxt - {exchange} - 订单ID: {order['id']}"
+    ]
+    if not os.path.exists(file_path):
+        with open(file_path, "w", newline="", encoding="utf-8") as f:
+            writer = csv.writer(f)
+            writer.writerow(["日期", "类型", "证券代码", "份额", "净额", "备注"])
+    with open(file_path, "a", newline="", encoding="utf-8") as f:
+        writer = csv.writer(f)
+        writer.writerow(csv_data)
+
+def main():
+    """主函数"""
+
+    arg_parser = argparse.ArgumentParser()
+    arg_parser.add_argument("--config", "-c", help="配置文件路径", required=True)
+    args = arg_parser.parse_args()
+    config_file_path = args.config
+    config_file_name = os.path.splitext(os.path.basename(config_file_path))[0]
+
+    os.makedirs("output", exist_ok=True)
+    logging.basicConfig(
+        level=logging.INFO,
+        format="%(asctime)s - %(name)s - %(levelname)s - %(message)s",
+        handlers=[
+            logging.FileHandler(f"output/{config_file_name}.log", encoding="utf-8"),
+            logging.StreamHandler(),
+        ],
+    )
+    logger = logging.getLogger("main")
+
+    db = Database(config_file_name)
+    next_exec_time = time.time()
+    config = config_load(config_file_path)
+
+    while True:
+        logger.info("开始检查")
+        try:
+            old_config = config
+            config = config_load(config_file_path)
+            if config != old_config:
+                logger.warning("配置文件已更新")
+            config_validate(config)
+        except FileNotFoundError as e:
+            logger.error("配置文件不存在: %s", e)
+            return
+        except ValueError as e:
+            logger.error("配置文件验证失败: %s", e)
+            return
+        db.sync_trades(config["trades"].keys())
+        accounts = {}
+        for account_id, account_data in config["accounts"].items():
+            accounts[account_id] = getattr(ccxt, account_data["exchange"])(
+                {
+                    "apiKey": account_data["api_key"],
+                    "secret": account_data["secret_key"],
+                }
+            )
+            if account_data.get("demo", False):
+                accounts[account_id].enable_demo_trading(True)
+
+        for trade_id, trade_data in config["trades"].items():
+            if trade_data["account"] not in accounts:
+                logger.error("交易 %s 配置的账户 %s 在 accounts 中未找到", trade_id, trade_data["account"])
+                continue
+            # 更新open订单情况
+            for order_id in db.data[trade_id]["order_id"]["open"]:
+                order_detail = accounts[trade_data["account"]].fetch_order(order_id, trade_data["order"]["symbol"])
+                if order_detail["status"] == "closed":
+                    # 完全成交
+                    logger.info("%s: 订单成交", order_id)
+                    csv_record(config_file_name, order_detail, accounts[trade_data["account"]].id, trade_data.get("csv_symbol", None))
+                    db.data[trade_id]["order_id"]["open"].remove(order_id)
+                    db.data[trade_id]["order_id"]["filled"].append(order_id)
+                    db.data[trade_id]["counter"]["open"] -= 1
+                    db.data[trade_id]["counter"]["filled"] += 1
+                elif order_detail["status"] == "canceled":
+                    # 可能是用户手动取消了，那么放弃追踪
+                    logger.info("%s: 订单被取消，放弃追踪", order_id)
+                    db.data[trade_id]["order_id"]["open"].remove(order_id)
+                    db.data[trade_id]["counter"]["open"] -= 1
+                elif order_detail["status"] == "open":
+                    logger.info("%s: 订单未(完全)成交", order_id)
+                else:
+                    logger.warning("%s: 订单状态为 %s，无法识别", order_id, order_detail["status"])
+
+            # 判断是否要取消订单
+            if db.data[trade_id]["counter"]["open"] > 0:
+                if eval(trade_data["condition_cancel"]):
+                    logger.info("交易 %s 符合取消条件，正在取消订单", trade_id)
+                    accounts[trade_data["account"]].cancel_orders(db.data[trade_id]["order_id"]["open"])
+                    for order_id in db.data[trade_id]["order_id"]["open"]:
+                        db.data[trade_id]["order_id"]["open"].remove(order_id)
+                        db.data[trade_id]["order_id"]["canceled"].append(order_id)
+                        db.data[trade_id]["counter"]["open"] -= 1
+                        db.data[trade_id]["counter"]["canceled"] += 1
+
+            # 判断是否要下单
+            if eval(trade_data["condition_place"]):
+                logger.info("交易 %s 符合下单条件，正在下单", trade_id)
+                if trade_data["order"]["type"] == "market" and not accounts[trade_data["account"]].has["createMarketOrder"]:
+                    logger.error("账户 %s 的交易所 %s 不支持市价单", trade_data["account"], accounts[trade_data["account"]].id)
+                    return
+
+                price = accounts[trade_data["account"]].fetch_ticker(trade_data["order"]["symbol"])["close"]
+                if "amount" not in trade_data["order"]:
+                    # 只有cost没有amount，根据价格算amount
+                    trade_data["order"]["amount"] = trade_data["order"]["cost"] / price
+                if "price" not in trade_data["order"]:
+                    # 没有price，则市价
+                    if trade_data["order"]["side"] == "buy":
+                        trade_data["order"]["price"] = price * 1.02
+                    else:
+                        trade_data["order"]["price"] = price * 0.98
+
+                order_detail = accounts[trade_data["account"]].create_order(
+                    trade_data["order"]["symbol"],
+                    trade_data["order"]["type"],
+                    trade_data["order"]["side"],
+                    trade_data["order"]["amount"],
+                    trade_data["order"].get("price", None),
+                )
+                if order_detail["status"] == "open":
+                    db.data[trade_id]["order_id"]["open"].append(order_detail["id"])
+                    db.data[trade_id]["counter"]["open"] += 1
+                elif order_detail["status"] == "closed":
+                    logger.info("%s: 订单成交", order_detail["id"])
+                    csv_record(config_file_name, order_detail, accounts[trade_data["account"]].id, trade_data.get("csv_symbol", None))
+                    db.data[trade_id]["order_id"]["filled"].append(order_detail["id"])
+                    db.data[trade_id]["counter"]["filled"] += 1
+                else:
+                    logger.warning("%s: 订单状态为 %s，未加入追踪", order_detail["id"], order_detail["status"])
+
+        db.save()
+        next_exec_time += config["interval"]
+        time.sleep(max(0, next_exec_time - time.time()))
+
+
+if __name__ == "__main__":
+    main()

requirements.txt

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+ccxt