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')转载于:https://www.cnblogs.com/xielisen/p/9411277.html
