比特币 3角对冲python代码
2024-09-30 12:31:01
3角对冲原理
基础货币 base, 兑换货币 quote, 中间货币 mid.
市场分为3个市场
p3: base_quote
p2: quote_mid
p1: quote_mid
代码逻辑
1, 首先获取3个市场的委托单
2, 开始计算: 情况一: 在p3市场买入 base币, 情况二: 在p3市场卖出base币
3, 上面两种情况, 考虑手续费, 和买卖价的情况下. 看付出的中间货币mid 是否比得到的中间货币 mid 少
4, 如果得到的mid比付出的多, 那么立刻下单
5, 下单逻辑没写, 不过大概率下单会成功, 如果不成功则等待, 等待时间太长可以止损, 直接卖出, 不能暂用资金, 下一轮套利开始
下面的代码, 只是寻找购买机会. 跑了几天, 发现机会渺茫. 所以放弃下订单的代码编写
#!/usr/bin/env python3
# -*- coding: utf-8 -*-
import threading
import http.client
import urllib
import json
import hashlib
import hmac
import numpy as np
np.set_printoptions(suppress=True)
#---------------------------------------数据库函数---------------------------------------
import pymysql
class MyDb:
'''
数据库类型
'''
def __init__(self, **kwargs):
self.conn=pymysql.connect(host="127.0.0.1",user="root",password="root",database="btc",charset="utf8",cursorclass=pymysql.cursors.DictCursor)
self.cur = self.conn.cursor()
def create_args_string(self,num):
'''
创建参数占位符
'''
L = []
for n in range(num):
L.append('%s')
return ', '.join(L)
def query(self,sql,args=()):
sql = sql.replace("?", "%s");
self.cur.execute(sql,args)
self.conn.commit()
def select(self,sql,args=(),limit=None):
sql = sql.replace("?", "%s");
self.cur.execute(sql, args)
if limit==1:
result = self.cur.fetchone()
else:
result = self.cur.fetchall()
return result
def update(self,table,data,where="1"):
fields = ', '.join(map(lambda f: '`%s`=?' % (f), data.keys()))
sql = "update `%s` set %s where %s" % (table, fields, where)
sql = sql.replace("?", "%s");
#print(sql)
self.cur.execute(sql,tuple(data.values()))
self.conn.commit()
def insert(self,table, data):
args = list(data.values())
args_string = self.create_args_string(len(args))
fields = ",".join(data.keys())
sql = "insert into %s (%s) values (%s)" % (table, fields,args_string)
self.cur.execute(sql,args)
self.conn.commit()
def close(self):
self.cur.close()
self.conn.close()
db = MyDb()
#---------------------------------------工具函数---------------------------------------
def getSign(params, secretKey):
bSecretKey = bytes(secretKey, encoding='utf8')
sign = ''
for key in params.keys():
value = str(params[key])
sign += key + '=' + value + '&'
bSign = bytes(sign[:-1], encoding='utf8')
mySign = hmac.new(bSecretKey, bSign, hashlib.sha512).hexdigest()
return mySign
def httpGet(url, resource, params=''):
conn = http.client.HTTPSConnection(url, timeout=10)
conn.request("GET", resource + '/' + params)
response = conn.getresponse()
data = response.read().decode('utf-8')
return json.loads(data)
def httpPost(url, resource, params, apiKey, secretKey):
headers = {
"Content-type" : "application/x-www-form-urlencoded",
"KEY":apiKey,
"SIGN":getSign(params, secretKey)
}
conn = http.client.HTTPSConnection(url, timeout=10)
tempParams = urllib.parse.urlencode(params) if params else ''
print(tempParams)
conn.request("POST", resource, tempParams, headers)
response = conn.getresponse()
data = response.read().decode('utf-8')
params.clear()
conn.close()
return data
#---------------------------------------多线程函数---------------------------------------
class MyThread(object):
'''
多线程
'''
def __init__(self, func_list=None,timeout=5):
self.threads = []
self.rs = {}
self.timeout = timeout
self.func_list = func_list
self.start()
#封装的线程函数
def trace_func(self, func, name , *args, **kwargs):
ret = func(*args, **kwargs)
self.rs[name] = ret
#执行多线程
def start(self):
for v in self.func_list:
if v["args"]:
lists = []
lists.append(v["func"])
lists.append(v["name"])
for arg in v["args"]:
lists.append(arg)
tuples = tuple(lists)
t = threading.Thread(target=self.trace_func, args=tuples)
else:
t = threading.Thread(target=self.trace_func, args=(v["func"],v["name"],))
self.threads.append(t)
for t in self.threads:
t.start()
for t in self.threads:
t.join()
#t.join(self.timeout)
#########################################套利#####################################################
class Taoli:
def __init__(self, base='eos', quote='ht', mid='usdt'):
self.base = base
self.quote = quote
self.mid = mid
self.start()
'''
开始套利
'''
def start(self):
#获取委托单
func_list = []
func_list.append({"func":self.depth, "args":("%s_%s"%(self.base, self.mid),), "name":"p1"})
func_list.append({"func":self.depth, "args":("%s_%s"%(self.quote, self.mid),), "name":"p2"})
func_list.append({"func":self.depth, "args":("%s_%s"%(self.base, self.quote),), "name":"p3"})
mt = MyThread(func_list)
d = mt.rs
#print(d)
#计算是否满足条件套利
try:
p1s = d['p1']['asks'][-1]
p1s[0] = float(p1s[0])
p1s[1] = float(p1s[1])
p1b = d['p1']['bids'][0]
p1b[0] = float(p1b[0])
p1b[1] = float(p1b[1])
p2s = d['p2']['asks'][-1]
p2s[0] = float(p2s[0])
p2s[1] = float(p2s[1])
p2b = d['p2']['bids'][0]
p2b[0] = float(p2b[0])
p2b[1] = float(p2b[1])
p3s = d['p3']['asks'][-1]
p3s[0] = float(p3s[0])
p3s[1] = float(p3s[1])
p3b = d['p3']['bids'][0]
p3b[0] = float(p3b[0])
p3b[1] = float(p3b[1])
except:
print('线程错误,重新开始')
return False
self.buy(p1s, p1b, p2s,p2b,p3s,p3b)
self.sell(p1s, p1b, p2s,p2b,p3s,p3b)
'''
买入 base货币
'''
def buy(self,p1s, p1b, p2s,p2b,p3s,p3b):
num1 = p3s[1]
num2 = p1b[1]
min1 = min(num1,num2) #最小base币
num3 = min1*p3s[0]
num4 = p2s[1]
min2 = min(num3, num4) #最小quote币
#最小base币
num = min(min1,min2/p3s[0])
num_usdt = 1/p1b[1]
num = min(num,num_usdt)
num = "%.4f"%(num)
num = float(num)
#开始计算
orders = {}
#p3 市场
orders['p3'] = {
'type':'buy',
'base_num':num,
'quote_num':num*p3s[0],
'price':p3s[0]
}
#p2 市场
orders['p2'] = {
'type':'buy',
'quote_num':orders['p3']['quote_num']*1000/998,
'mid_num' :orders['p3']['quote_num']*1000/998*p2s[0],
'price':p2s[0]
}
#p1 市场
orders['p1'] = {
'type':'sell',
'base_num':num*998/1000,
'mid_num':num*998/1000*p1b[0],
'price':p1b[0]
}
own_usdt = orders['p1']['mid_num']*0.998 - orders['p2']['mid_num']
if own_usdt>0:
with open('t.txt','a+') as f:
own_usdt = "%.7f"%own_usdt
orders['p2']['mid_num'] = "%.7f"%orders['p2']['mid_num']
f.write("%s_%s: 交易:%s USDT 盈利: %s\n" % (self.base,self.quote,orders['p2']['mid_num'], own_usdt))
print('买入base币开始下单')
print('买入base币:数量%s'%(num))
print('盈利mid币:%s'%(own_usdt))
'''
卖 base货币
'''
def sell(self,p1s, p1b, p2s,p2b,p3s,p3b):
num1 = p3b[1]
num2 = p1s[1]
min1 = min(num1,num2) #最小base币
num3 = min1*p3b[0]
num4 = p2b[1]
min2 = min(num3, num4) #最小quote币
#最小base币
num = min(min1,min2/p3b[0])
num_usdt = 1/p1s[1]
num = min(num,num_usdt)
num = "%.4f"%(num)
num = float(num)
#开始计算
orders = {}
#p3 市场
orders['p3'] = {
'type':'sell',
'base_num':num,
'quote_num':num*p3b[0],
'price':p3b[0]
}
#p2 市场
orders['p2'] = {
'type':'sell',
'quote_num':orders['p3']['quote_num']*998/1000,
'mid_num' :orders['p3']['quote_num']*998/1000*p2b[0],
'price':p2b[0]
}
#p1 市场
orders['p1'] = {
'type':'buy',
'base_num':num*1000/998,
'mid_num':num*1000/998*p1s[0],
'price':p1s[0]
}
own_usdt = orders['p2']['mid_num']*0.998 - orders['p1']['mid_num']
if own_usdt>0:
with open('t.txt','a+') as f:
own_usdt = "%.7f"%own_usdt
orders['p1']['mid_num'] = "%.7f"%orders['p1']['mid_num']
f.write("%s_%s: 交易:%s USDT 盈利: %s\n" % (self.base,self.quote,orders['p1']['mid_num'], own_usdt))
# print([p1s, p1b, p2s,p2b,p3s,p3b])
print(orders)
print('卖出base币开始下单')
print('卖出base币:数量%s'%(num))
print('盈利mid币:%s'%(own_usdt))
'''
获取现货市场深度信息
'''
def depth(self,symbol = ''):
URL = "/api2/1/orderBook"
url = "data.gateio.io"
return httpGet(url, URL, symbol)
while True:
#btc
# coins = ['bch','eth','etc','ltc','eos','xrp','omg','dash','zec','ada','steem','iota','ocn','soc','ctxc','act','btm','bts','ont','iost','ht','trx','dta','neo','qtum','smt','ela','ven','theta','snt','zil','xem','nas','ruff','hsr','let','mds','storj','elf','itc','cvc','gnt','wicc','cmt','bix']
# for v in coins:
# print("%s_%s"%(v,'btc'))
# Taoli(base=v, quote='btc', mid='usdt')
#eth
coins = ['etc','qtum','btm','eos','req','snt','omg','pay','cvc','zrx','tnt','bat','pst','dpy','lrc','storj','rdn','stx','knc','link','cdt','ae','rlc','rcn','trx','kick','vet','mco','fun','data','zsc','mda','xtz','gnt','gem','rfr','dadi','abt','ost','xlm','mobi','ocn','zpt','cofi','jnt','blz','mtn','ruff','tnc','zil','tio','bto','theta','ddd','mkr','smt','mdt','mana','lun','salt','fuel','elf','drgn','gtc','qlc','dbc','bnty','lend','icx','mds','dgd','qash','powr','hsr','qsp','ink','med','bot','qbt','gnx','nas','bcdn','snet','bu','boe','medx','cs','man','rem','lym','ont','bft','iht','senc','tomo','elec','hav','swth','nkn','soul','lrn','eosdac','dock','gse','rating','hsc','gard','fti','sop','lemo','qkc','iotx','red','lba','open','mith','skm','met','tct']
for v in coins:
print("%s_%s"%(v,'eth'))
Taoli(base=v, quote='eth', mid='usdt')
#qtum
coins = ['ink','med','bot','qbt','tsl']
for v in coins:
print("%s_%s"%(v,'qtum'))
Taoli(base=v, quote='qtum', mid='usdt')
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