import os import pandas as pd import requests import math import datetime import pytz import time import schedule from binance.client import Client from pymongo import MongoClient # 发生bug: APIError(code=-4131): The counterparty's best price does not meet the PERCENT_PRICE filter limit. # 针对波场的-4131是市场交易量过小时下单可能导致市场偏离的市场保护机制 # 卖出和买入的价格是0，说明订单尚未成交 # # 币安的api配置(主网) # api_key = "0jmNVvNZusoXKGkwnGLBghPh8Kmc0klh096VxNS9kn8P0nkAEslVUlsuOcRoGrtm" # api_secret = "PbSWkno1meUckhmkLyz8jQ2RRG7KgmZyAWhIF0qPdCJrmDSFxoxGdMG5gZeYYCgy" # 创建Binance客户端 # client = Client(api_key, api_secret) # # 币安的api配置(现货测试网) # api_key = "ERqD8OaGhyPEhZciJs8XZgy7d83x1cyF7U3s2TYw0wZR2SCZMNmf8MzZ8TYzuIzT" # api_secret = "CF2XpFnKKrasCiyZ38D3duMLqFseanJ6iRbmXmrDvqNFlIWJXZbhrlvha5kGxFjr" # # 创建Binance客户端 # client = Client(api_key, api_secret, testnet=True) # 币安的api配置(期货测试网) api_key = "266950dec031270d32fed06a552c2698cf662f0e32c4788acf25646bba7ef2c6" api_secret = "1a2b9793419db20e99a307be8ac04fec7a43bd77d46b71b161456105161b164d" # 创建Binance客户端 client = Client(api_key, api_secret, testnet=True, base_endpoint='https://testnet.binancefuture.com/fapi') # 连接MongoDB数据库 dbclient = MongoClient( "mongodb://wth000:wth000@43.159.47.250:27017/dbname?authSource=wth000") db = dbclient["wth000"] name = "COIN" collection_write = db[f'order期货{name}'] # 获取计划交易的标的 symbols = ['BTCUSDT', 'ETHUSDT', 'BNBUSDT', 'TRXUSDT'] symbol_dict = client.futures_exchange_info() # def sell_all(): # 市价平仓所有持仓 # for symbol in symbols: # 获取当前持仓信息 # position = client.futures_position_information(symbol=symbol) # # 遍历所有持仓并按相反方向下单平仓 # for p in position: # if float(p['positionAmt']) > 0: # side = 'SELL' # elif float(p['positionAmt']) < 0: # side = 'BUY' # else: # continue # qty = abs(float(p['positionAmt'])) # client.futures_create_order( # symbol=symbol, # side=side, # type='MARKET', # quantity=qty # ) # print(f"平仓{symbol}成功！") # sell_all() def buy(symbols): balances = client.futures_account_balance() # 获取永续合约账户资产余额 for balance in balances: if balance['asset'] == 'USDT': usdt_balance = balance['balance'] print('USDT余额：', usdt_balance) # 添加异常计数器 error_count = 0 for symbol in symbols: try: # 首先需要找到包含目标交易对数据的那个子字典 for symbol_info in symbol_dict['symbols']: if symbol_info['symbol'] == f'{str(symbol)}': symbol_info = symbol_info break print(symbol_info) # 精度设置 price_precision = symbol_info['filters'][0]['minPrice'] price_precision = abs(int(math.log10(float(price_precision)))) print(f"{symbol}价格精度: {price_precision}") precision = symbol_info['filters'][1]['minQty'] precision = abs(int(math.log10(float(precision)))) print(f"{symbol}数量精度: {precision}") tickSize = float(symbol_info['filters'][0]['tickSize']) print(f"{symbol}价格步长: {tickSize}") stepSize = float(symbol_info['filters'][1]['minQty']) print(f"{symbol}数量步长: {stepSize}") # 实时获取当前卖一和卖二价格 depth = client.futures_order_book(symbol=symbol, limit=5) buy_ask_price_1 = float(depth['asks'][0][0]) buy_bid_price_1 = float(depth['bids'][0][0]) print(depth) # 计算买卖均价 target_price = (buy_ask_price_1+buy_bid_price_1)/2 buy_limit_price = round( buy_ask_price_1 - pow(0.1, price_precision), price_precision) sell_limit_price = round( buy_bid_price_1 + pow(0.1, price_precision), price_precision) print('最优卖价', sell_limit_price, '最优买价', buy_limit_price) # 判断当前卖一不高于预定价格，卖二卖一差距较小 if 1-buy_bid_price_1/target_price >= 0.001 or buy_ask_price_1/target_price-1 <= 0.001: # 下单 symbol = symbol quantity = round( round(12/buy_limit_price/stepSize) * stepSize, precision) order = client.futures_create_order( symbol=symbol, side=Client.SIDE_BUY, type=Client.ORDER_TYPE_LIMIT, quantity=float(quantity), price=float(buy_limit_price), timeInForce="GTC", # “GTC”（成交为止），“IOC”（立即成交并取消剩余）和“FOK”（全部或无） leverage=1, # 这里设置杠杆倍数为 1 倍 isIsolated=False # 这里设置使用全仓模式 ) print("下单信息：", order) collection_write.insert_one({ 'orderId': int(order['orderId']), 'symbol': symbol, 'time': int(time.time()), 'quantity': float(order['origQty']), 'buy_quantity': None, 'buy_price': float(order['price']), 'sell_time': None, 'sell_quantity': None, 'sell_price': None, 'status': 'pending', 'precision': int(precision), 'price_precision': int(price_precision), 'tickSize': float(tickSize), 'stepSize': float(stepSize), }) except Exception as e: # 错误次数加1，并输出错误信息 error_count += 1 print(f"发生bug: {e}") continue # 输出异常次数 print(f"共出现{error_count}次异常") # 暂停1秒，等待成交 time.sleep(1) # 撤销未成交订单 for order in collection_write.find({'status': 'pending'}): symbol = order['symbol'] order_id = order['orderId'] try: # 撤销订单 result = client.futures_cancel_order( symbol=symbol, orderId=order_id) print(f'撤销订单{order_id}成功:{result}') except Exception as e: print(f'撤销订单{order_id}失败{e}') # 暂停1秒，等待撤单 time.sleep(1) def sell(symbols): # 首先更新订单状态 try: for symbol in symbols: # 获取当前未完成的订单 open_orders = client.futures_get_open_orders(symbol=symbol) # 遍历未完成的订单 for order in open_orders: order_id = order['orderId'] buy_price = float(order['price']) buy_quantity = float(order['executedQty']) # 已成交订单 collection_write.update_one( {'orderId': order_id}, {'$set': { 'status': order['status'], 'buy_price': float(buy_price), 'buy_quantity': float(buy_quantity) }} ) print('历史成交订单更新', order) # 获取当前已完成的订单（1小时内） start_time = int((datetime.datetime.now() - datetime.timedelta(hours=1)).timestamp() * 1000) all_orders = client.futures_get_all_orders( symbol=symbol, startTime=start_time) # 遍历已完成的订单 for order in all_orders: order_id = order['orderId'] buy_price = float(order['price']) buy_quantity = float(order['executedQty']) # 已成交订单 collection_write.update_one( {'orderId': order_id}, {'$set': { 'status': order['status'], 'buy_price': float(buy_price), 'buy_quantity': float(buy_quantity) }} ) print('历史成交订单更新', order) except Exception as e: print(f"发生异常：{e}") try: # 查询已下单且未卖出的订单 orders = list(collection_write.find()) for order in orders: symbol = order['symbol'] # 首先需要找到包含目标交易对数据的那个子字典 for symbol_info in symbol_dict['symbols']: if symbol_info['symbol'] == f'{str(symbol)}': symbol_info = symbol_info break print(symbol_info) # 精度设置 price_precision = symbol_info['filters'][0]['minPrice'] price_precision = abs(int(math.log10(float(price_precision)))) print(f"{symbol}价格精度: {price_precision}") precision = symbol_info['filters'][1]['minQty'] precision = abs(int(math.log10(float(precision)))) print(f"{symbol}数量精度: {precision}") tickSize = float(symbol_info['filters'][0]['tickSize']) print(f"{symbol}价格步长: {tickSize}") stepSize = float(symbol_info['filters'][1]['minQty']) print(f"{symbol}数量步长: {stepSize}") # 实时获取当前卖一和卖二价格 depth = client.futures_order_book(symbol=symbol, limit=5) sell_ask_price_1 = float(depth['asks'][0][0]) sell_bid_price_1 = float(depth['bids'][0][0]) print(depth) # 计算买卖均价 target_price = (sell_ask_price_1+sell_bid_price_1)/2 buy_limit_price = round( sell_ask_price_1 - pow(0.1, price_precision), price_precision) sell_limit_price = round( sell_bid_price_1 + pow(0.1, price_precision), price_precision) print('最优卖价', sell_limit_price, '最优买价', buy_limit_price) # 判断当前卖一不高于预定价格，卖二卖一差距较小 if 1-sell_bid_price_1/target_price >= 0.001 or sell_ask_price_1/target_price-1 <= 0.001: # 计算卖出时间 # sell_time = order['time'] + 86400 sell_time = order['time'] # 判断当前卖一不高于预定价格，卖二卖一差距较小 if 1-sell_bid_price_1/target_price >= 0.001 or sell_ask_price_1/target_price-1 <= 0.001: # 如果订单尚未完全成交，则尝试卖出 if (order['status'] != 'end') & (order['buy_quantity'] != 0) & (order['buy_quantity'] != order['sell_quantity']): # 计算卖出时间 # sell_time = order['time'] + 86400 sell_time = order['time'] # 如果卖出时间已经到了，就执行卖出操作 if int(time.time()) >= sell_time: # 卖出订单 sell_order = client.futures_create_order( symbol=order['symbol'], side=Client.SIDE_SELL, # 平多仓设置为卖出，平空仓设置为买入 type=Client.ORDER_TYPE_LIMIT, quantity=float(order['buy_quantity']), price=sell_bid_price_1, timeInForce="GTC", # “GTC”（成交为止），“IOC”（立即成交并取消剩余）和“FOK”（全部或无） leverage=1, # 这里设置杠杆倍数为 1 倍 isIsolated=False # 这里设置使用全仓模式 ) print("卖出信息：", sell_order) # 如果卖出成功，就更新数据集合的状态为已平仓 if sell_order['status'] == 'FILLED': print(order, '卖出成功') collection_write.update_one( {'orderId': order_id}, {'$set': { 'status': 'end', 'sell_quantity': float(sell_order['price']), 'sell_price': float(sell_order['price']), }} ) else: print(order, '卖出失败') except Exception as e: print(f"发生异常：{e}") def clearn(): limit = 10000 if collection_write.count_documents({}) >= limit: oldest_data = collection_write.find().sort([('日期', 1)]).limit( collection_write.count_documents({})-limit) ids_to_delete = [data['_id'] for data in oldest_data] collection_write.delete_many({'_id': {'$in': ids_to_delete}}) print('数据清理成功') while True: buy(symbols) time.sleep(60) sell(symbols) time.sleep(60) clearn() time.sleep(3600)