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Python版冰山委托-买入.md

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Name

Python版冰山委托-买入

Author

小小梦

Strategy Description

教学策略，相关文章地址：https://www.fmz.com/bbs-topic/5080

Strategy Arguments

Argument Default Description
TotalBuyNet 10000 购买总金额(元)
AvgBuyOnce 100 单次购买数量均值(元)
FloatPoint 10 单次均值浮动点数(百分比)
EntrustDepth 0.1 委托深度(百分比)
MaxBuyPrice 20000 最高买入价格(元)
Interval 1000 失败重试(毫秒)
MinStock 0.0001 最小交易量
LoopInterval true 价格轮询间隔(秒)

Source (python)

import random

def CancelPendingOrders():
    while True:
        orders = _C(exchange.GetOrders)
        if len(orders) == 0 :
            return 

        for j in range(len(orders)):
            exchange.CancelOrder(orders[j]["Id"])
            if j < len(orders) - 1:
                Sleep(Interval)

LastBuyPrice = 0
InitAccount = None

def dispatch():
    global InitAccount, LastBuyPrice
    account = None
    ticker = _C(exchange.GetTicker)
    LogStatus(_D(), "ticker:", ticker)
    if LastBuyPrice > 0:
        if len(_C(exchange.GetOrders)) > 0:
            if ticker["Last"] > LastBuyPrice  and ((ticker["Last"] - LastBuyPrice) / LastBuyPrice) > (2 * (EntrustDepth / 100)): 
                Log("偏离过多, 最新成交价:", ticker["Last"], "委托价", LastBuyPrice)
                CancelPendingOrders()
            else :
                return True
        else :
            account = _C(exchange.GetAccount)
            Log("买单完成, 累计花费:", _N(InitAccount["Balance"] - account["Balance"]), "平均买入价:", _N((InitAccount["Balance"] - account["Balance"]) / (account["Stocks"] - InitAccount["Stocks"])))
        LastBuyPrice = 0

    BuyPrice = _N(ticker["Buy"] * (1 - EntrustDepth / 100))
    if BuyPrice > MaxBuyPrice:
        return True

    if not account:
        account = _C(exchange.GetAccount)

    if (InitAccount["Balance"] - account["Balance"]) >= TotalBuyNet:
        return False

    RandomAvgBuyOnce = (AvgBuyOnce * ((100.0 - FloatPoint) / 100.0)) + (((FloatPoint * 2) / 100.0) * AvgBuyOnce * random.random())   # 随机数 0~1
    UsedMoney = min(account["Balance"], RandomAvgBuyOnce, TotalBuyNet - (InitAccount["Balance"] - account["Balance"]))

    BuyAmount = _N(UsedMoney / BuyPrice)
    if BuyAmount < MinStock:
        return False 
    LastBuyPrice = BuyPrice
    exchange.Buy(BuyPrice, BuyAmount, "花费：￥", _N(UsedMoney), "上次成交价", ticker["Last"])
    return True

def main():
    global LoopInterval, InitAccount
    CancelPendingOrders()
    InitAccount = _C(exchange.GetAccount)
    Log(InitAccount)
    if InitAccount["Balance"] < TotalBuyNet:
        raise Exception("账户余额不足")
    LoopInterval = max(LoopInterval, 1)
    while dispatch():
        Sleep(LoopInterval * 1000)
    Log("委托全部完成", _C(exchange.GetAccount))

Detail

https://www.fmz.com/strategy/188435

Last Modified

2020-03-07 16:58:07