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