547 lines
21 KiB
Python
547 lines
21 KiB
Python
"""
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布林带均值回归策略 — 实盘交易
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BB(10, 2.5) | 5分钟K线 | ETH | 50x杠杆 | 每单权益1%
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逻辑:
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- 价格触及上布林带 → 平多(如有) + 开空
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- 价格触及下布林带 → 平空(如有) + 开多
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- 始终持仓（多空翻转）
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使用 BitMart Futures API 进行开平仓
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"""
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import time
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import uuid
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import numpy as np
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from datetime import datetime
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from pathlib import Path
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from loguru import logger
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from bitmart.api_contract import APIContract
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# ---------------------------------------------------------------------------
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# 配置
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# ---------------------------------------------------------------------------
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class BBTradeConfig:
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# API 凭证
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API_KEY = "6104088c65a68d7e53df5d9395b67d78e555293a"
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SECRET_KEY = "a8b14312330d8e6b9b09acfd972b34e32022fdfa9f2b06f0a0a31723b873fd01"
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MEMO = "me"
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# 合约
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CONTRACT_SYMBOL = "ETHUSDT"
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# 布林带参数
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BB_PERIOD = 10 # 10根5分钟K线 = 50分钟回看
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BB_STD = 2.5 # 标准差倍数
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# 仓位管理
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LEVERAGE = 50 # 杠杆倍数
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OPEN_TYPE = "cross" # 全仓模式
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MARGIN_PCT = 0.01 # 每单用权益的1%作为保证金
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# 风控
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MAX_DAILY_LOSS = 50.0 # 日最大亏损(U)，达到后停止交易
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COOLDOWN_SECONDS = 30 # 两次交易之间最小间隔(秒)
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# 运行
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POLL_INTERVAL = 5 # 主循环轮询间隔(秒)
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KLINE_STEP = 5 # K线周期(分钟)
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KLINE_HOURS = 2 # 获取最近多少小时K线(需覆盖BB_PERIOD)
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# ---------------------------------------------------------------------------
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# 布林带计算
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# ---------------------------------------------------------------------------
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def calc_bollinger(closes: list, period: int, n_std: float):
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"""计算布林带，返回 (mid, upper, lower) 或 None（数据不足时）"""
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if len(closes) < period:
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return None
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arr = np.array(closes[-period:], dtype=float)
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mid = arr.mean()
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std = arr.std(ddof=0)
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upper = mid + n_std * std
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lower = mid - n_std * std
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return mid, upper, lower
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# ---------------------------------------------------------------------------
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# 交易主类
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# ---------------------------------------------------------------------------
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class BBTrader:
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def __init__(self, cfg: BBTradeConfig = None):
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self.cfg = cfg or BBTradeConfig()
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self.api = APIContract(
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self.cfg.API_KEY, self.cfg.SECRET_KEY, self.cfg.MEMO,
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timeout=(5, 15)
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)
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# 持仓状态: -1=空, 0=无, 1=多
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self.position = 0
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self.open_avg_price = None
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self.current_amount = None
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# 风控
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self.daily_pnl = 0.0
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self.daily_stopped = False
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self.current_date = None
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self.last_trade_time = 0.0
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# 日志
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self.log_dir = Path(__file__).resolve().parent
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logger.add(
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self.log_dir / "bb_trade_{time:YYYY-MM-DD}.log",
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rotation="1 day", retention="30 days",
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format="{time:YYYY-MM-DD HH:mm:ss} | {level} | {message}"
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)
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# ------------------------------------------------------------------
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# API 封装
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# ------------------------------------------------------------------
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def get_klines(self) -> list | None:
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"""获取最近N小时的5分钟K线，返回 [{id, open, high, low, close}, ...]"""
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try:
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end_time = int(time.time())
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start_time = end_time - 3600 * self.cfg.KLINE_HOURS
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resp = self.api.get_kline(
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contract_symbol=self.cfg.CONTRACT_SYMBOL,
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step=self.cfg.KLINE_STEP,
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start_time=start_time,
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end_time=end_time
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)[0]
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if resp.get("code") != 1000:
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logger.error(f"获取K线失败: {resp}")
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return None
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data = resp["data"]
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klines = []
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for k in data:
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klines.append({
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"id": int(k["timestamp"]),
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"open": float(k["open_price"]),
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"high": float(k["high_price"]),
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"low": float(k["low_price"]),
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"close": float(k["close_price"]),
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})
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klines.sort(key=lambda x: x["id"])
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return klines
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except Exception as e:
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logger.error(f"获取K线异常: {e}")
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return None
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def get_current_price(self) -> float | None:
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"""获取当前最新价格（最近1分钟K线收盘价）"""
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try:
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end_time = int(time.time())
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resp = self.api.get_kline(
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contract_symbol=self.cfg.CONTRACT_SYMBOL,
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step=1,
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start_time=end_time - 300,
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end_time=end_time
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)[0]
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if resp.get("code") == 1000 and resp["data"]:
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return float(resp["data"][-1]["close_price"])
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return None
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except Exception as e:
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logger.error(f"获取价格异常: {e}")
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return None
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def get_balance(self) -> float | None:
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"""获取合约账户可用余额"""
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try:
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resp = self.api.get_assets_detail()[0]
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if resp.get("code") == 1000:
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data = resp["data"]
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if isinstance(data, dict):
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return float(data.get("available_balance", 0))
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elif isinstance(data, list):
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for asset in data:
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if asset.get("currency") == "USDT":
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return float(asset.get("available_balance", 0))
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return None
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except Exception as e:
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logger.error(f"查询余额异常: {e}")
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return None
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def get_position_status(self) -> bool:
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"""查询当前持仓，更新 self.position / open_avg_price / current_amount"""
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try:
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resp = self.api.get_position(contract_symbol=self.cfg.CONTRACT_SYMBOL)[0]
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if resp.get("code") != 1000:
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logger.error(f"查询持仓失败: {resp}")
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return False
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positions = resp["data"]
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if not positions:
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self.position = 0
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self.open_avg_price = None
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self.current_amount = None
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return True
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pos = positions[0]
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self.position = 1 if pos["position_type"] == 1 else -1
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self.open_avg_price = float(pos["open_avg_price"])
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self.current_amount = float(pos["current_amount"])
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unrealized = float(pos.get("unrealized_value", 0))
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logger.debug(f"持仓: dir={self.position} price={self.open_avg_price} "
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f"amt={self.current_amount} upnl={unrealized:.2f}")
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return True
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except Exception as e:
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logger.error(f"查询持仓异常: {e}")
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return False
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def set_leverage(self) -> bool:
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"""设置杠杆和全仓模式"""
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try:
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resp = self.api.post_submit_leverage(
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contract_symbol=self.cfg.CONTRACT_SYMBOL,
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leverage=str(self.cfg.LEVERAGE),
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open_type=self.cfg.OPEN_TYPE
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)[0]
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if resp.get("code") == 1000:
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logger.success(f"杠杆设置成功: {self.cfg.LEVERAGE}x {self.cfg.OPEN_TYPE}")
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return True
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else:
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logger.error(f"杠杆设置失败: {resp}")
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return False
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except Exception as e:
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logger.error(f"设置杠杆异常: {e}")
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return False
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def _gen_client_order_id(self) -> str:
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return f"BB_{uuid.uuid4().hex[:12]}"
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def submit_order(self, side: int, size: int) -> bool:
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"""
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提交市价单
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side: 1=买入开多, 2=买入平空, 3=卖出平多, 4=卖出开空
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size: 张数
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"""
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side_names = {1: "买入开多", 2: "买入平空", 3: "卖出平多", 4: "卖出开空"}
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logger.info(f"下单: {side_names.get(side, side)} {size}张")
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try:
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resp = self.api.post_submit_order(
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contract_symbol=self.cfg.CONTRACT_SYMBOL,
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client_order_id=self._gen_client_order_id(),
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side=side,
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mode=1, # GTC
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type="market",
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leverage=str(self.cfg.LEVERAGE),
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open_type=self.cfg.OPEN_TYPE,
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size=size,
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)[0]
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if resp.get("code") == 1000:
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logger.success(f"下单成功: {side_names.get(side)} {size}张 resp={resp}")
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return True
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else:
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logger.error(f"下单失败: {resp}")
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return False
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except Exception as e:
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logger.error(f"下单异常: {e}")
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return False
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# ------------------------------------------------------------------
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# 仓位操作
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# ------------------------------------------------------------------
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def calc_order_size(self, price: float) -> int:
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"""
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根据当前权益的1%计算开仓张数
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BitMart ETH合约: 1张 = 0.01 ETH
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保证金 = equity * margin_pct
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名义价值 = margin * leverage
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数量(ETH) = 名义价值 / price
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张数 = 数量 / 0.01
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"""
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balance = self.get_balance()
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if balance is None or balance <= 0:
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logger.warning(f"余额不足或查询失败: {balance}")
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return 0
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margin = balance * self.cfg.MARGIN_PCT
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notional = margin * self.cfg.LEVERAGE
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qty_eth = notional / price
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size = max(1, int(qty_eth / 0.01)) # 1张=0.01ETH
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logger.info(f"仓位计算: 余额={balance:.2f} 保证金={margin:.2f} "
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f"名义={notional:.2f} 数量={qty_eth:.4f}ETH = {size}张")
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return size
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def close_current_position(self) -> bool:
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"""平掉当前持仓"""
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if not self.get_position_status():
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return False
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if self.position == 0:
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logger.info("无持仓，无需平仓")
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return True
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if self.position == 1:
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# 平多: side=3
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size = int(self.current_amount)
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return self.submit_order(side=3, size=size)
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else:
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# 平空: side=2
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size = int(self.current_amount)
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return self.submit_order(side=2, size=size)
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def open_long(self, price: float) -> bool:
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"""开多"""
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size = self.calc_order_size(price)
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if size <= 0:
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return False
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return self.submit_order(side=1, size=size)
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def open_short(self, price: float) -> bool:
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"""开空"""
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size = self.calc_order_size(price)
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if size <= 0:
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return False
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return self.submit_order(side=4, size=size)
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def flip_to_long(self, price: float) -> bool:
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"""平空 → 开多"""
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logger.info("=== 翻转为多 ===")
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if self.position == -1:
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if not self.close_current_position():
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logger.error("平空失败，放弃开多")
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return False
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time.sleep(2)
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# 确认已无仓
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for _ in range(5):
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if self.get_position_status() and self.position == 0:
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break
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time.sleep(1)
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if self.position != 0:
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logger.warning(f"平仓后仍有持仓({self.position})，放弃开多")
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return False
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return self.open_long(price)
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def flip_to_short(self, price: float) -> bool:
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"""平多 → 开空"""
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logger.info("=== 翻转为空 ===")
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if self.position == 1:
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if not self.close_current_position():
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logger.error("平多失败，放弃开空")
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return False
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time.sleep(2)
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for _ in range(5):
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if self.get_position_status() and self.position == 0:
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break
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time.sleep(1)
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if self.position != 0:
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logger.warning(f"平仓后仍有持仓({self.position})，放弃开空")
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return False
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return self.open_short(price)
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# ------------------------------------------------------------------
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# 风控
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# ------------------------------------------------------------------
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def check_daily_reset(self):
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"""每日重置(UTC+8 00:00 = UTC 16:00)"""
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now = datetime.utcnow()
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# 用UTC日期做简单日切
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today = now.date()
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if self.current_date != today:
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if self.current_date is not None:
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logger.info(f"日切: {self.current_date} → {today}, 日PnL={self.daily_pnl:.2f}")
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self.current_date = today
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self.daily_pnl = 0.0
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self.daily_stopped = False
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def can_trade(self) -> bool:
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"""检查是否可交易"""
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if self.daily_stopped:
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return False
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now = time.time()
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if now - self.last_trade_time < self.cfg.COOLDOWN_SECONDS:
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remain = self.cfg.COOLDOWN_SECONDS - (now - self.last_trade_time)
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logger.debug(f"交易冷却中，剩余 {remain:.0f}s")
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return False
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return True
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# ------------------------------------------------------------------
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# 日志
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# ------------------------------------------------------------------
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def write_trade_log(self, action: str, price: float, bb_upper: float,
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bb_mid: float, bb_lower: float, reason: str):
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"""写入交易日志文件"""
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try:
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date_str = datetime.now().strftime("%Y%m%d")
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log_file = self.log_dir / f"bb_trade_log_{date_str}.txt"
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time_str = datetime.now().strftime("%Y-%m-%d %H:%M:%S")
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block = (
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f"\n{'='*60}\n"
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f"时间: {time_str}\n"
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f"操作: {action}\n"
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f"价格: {price:.2f}\n"
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f"BB上轨: {bb_upper:.2f} | 中轨: {bb_mid:.2f} | 下轨: {bb_lower:.2f}\n"
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f"原因: {reason}\n"
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f"{'='*60}\n"
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)
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with open(log_file, "a", encoding="utf-8") as f:
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f.write(block)
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except Exception as e:
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logger.warning(f"写入日志失败: {e}")
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# ------------------------------------------------------------------
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# 主循环
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# ------------------------------------------------------------------
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def run(self):
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"""策略主循环"""
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logger.info("=" * 60)
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logger.info(f" BB策略启动: BB({self.cfg.BB_PERIOD},{self.cfg.BB_STD})")
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logger.info(f" 合约: {self.cfg.CONTRACT_SYMBOL} | {self.cfg.LEVERAGE}x {self.cfg.OPEN_TYPE}")
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logger.info(f" 每单: 权益×{self.cfg.MARGIN_PCT:.0%}")
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logger.info("=" * 60)
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# 设置杠杆
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if not self.set_leverage():
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logger.error("杠杆设置失败，退出")
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return
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# 初始持仓同步
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if not self.get_position_status():
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logger.error("初始持仓查询失败，退出")
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return
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logger.info(f"初始持仓状态: {self.position}")
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last_kline_id = None # 避免同一根K线重复触发
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while True:
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try:
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self.check_daily_reset()
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if self.daily_stopped:
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logger.info(f"日亏损已达限制({self.daily_pnl:.2f})，等待日切")
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time.sleep(60)
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continue
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# 1. 获取K线
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klines = self.get_klines()
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if not klines or len(klines) < self.cfg.BB_PERIOD:
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logger.warning(f"K线数据不足({len(klines) if klines else 0}根)，等待...")
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time.sleep(self.cfg.POLL_INTERVAL)
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continue
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# 当前K线 = 最后一根（未收盘），信号用已收盘的K线
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# 使用倒数第二根及之前的收盘价算BB（已收盘的K线）
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closed_klines = klines[:-1] # 已收盘的K线
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current_kline = klines[-1] # 当前未收盘K线
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if len(closed_klines) < self.cfg.BB_PERIOD:
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time.sleep(self.cfg.POLL_INTERVAL)
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continue
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# 2. 计算布林带
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closes = [k["close"] for k in closed_klines]
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bb = calc_bollinger(closes, self.cfg.BB_PERIOD, self.cfg.BB_STD)
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if bb is None:
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time.sleep(self.cfg.POLL_INTERVAL)
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continue
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bb_mid, bb_upper, bb_lower = bb
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# 3. 获取当前价格
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current_price = self.get_current_price()
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if current_price is None:
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time.sleep(self.cfg.POLL_INTERVAL)
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continue
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# 用当前K线的 high/low 判断是否触及布林带
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cur_high = current_kline["high"]
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cur_low = current_kline["low"]
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touched_upper = cur_high >= bb_upper
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touched_lower = cur_low <= bb_lower
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logger.info(
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f"价格={current_price:.2f} | "
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f"BB: {bb_lower:.2f} / {bb_mid:.2f} / {bb_upper:.2f} | "
|
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f"H={cur_high:.2f} L={cur_low:.2f} | "
|
||
f"触上={touched_upper} 触下={touched_lower} | "
|
||
f"仓位={self.position}"
|
||
)
|
||
|
||
# 4. 同步持仓状态
|
||
if not self.get_position_status():
|
||
time.sleep(self.cfg.POLL_INTERVAL)
|
||
continue
|
||
|
||
# 5. 信号判断 + 执行
|
||
# 同一根K线只触发一次
|
||
kline_id = current_kline["id"]
|
||
if kline_id == last_kline_id:
|
||
# 已在这根K线触发过，不重复操作
|
||
time.sleep(self.cfg.POLL_INTERVAL)
|
||
continue
|
||
|
||
# 同时触及上下轨（极端波动）→ 跳过
|
||
if touched_upper and touched_lower:
|
||
logger.warning("同时触及上下轨，跳过")
|
||
time.sleep(self.cfg.POLL_INTERVAL)
|
||
continue
|
||
|
||
action = None
|
||
reason = ""
|
||
|
||
if touched_upper:
|
||
# 触及上轨 → 开空 / 翻转为空
|
||
if not self.can_trade():
|
||
time.sleep(self.cfg.POLL_INTERVAL)
|
||
continue
|
||
|
||
reason = (f"价格最高{cur_high:.2f}触及上轨{bb_upper:.2f}，"
|
||
f"BB({self.cfg.BB_PERIOD},{self.cfg.BB_STD})")
|
||
|
||
if self.position == 1:
|
||
action = "翻转: 平多→开空"
|
||
success = self.flip_to_short(current_price)
|
||
elif self.position == 0:
|
||
action = "开空"
|
||
success = self.open_short(current_price)
|
||
else:
|
||
# 已经是空仓，不操作
|
||
logger.info("已持空仓，触上轨无需操作")
|
||
success = False
|
||
|
||
if success:
|
||
last_kline_id = kline_id
|
||
self.last_trade_time = time.time()
|
||
self.write_trade_log(action, current_price,
|
||
bb_upper, bb_mid, bb_lower, reason)
|
||
logger.success(f"{action} 执行成功")
|
||
|
||
elif touched_lower:
|
||
# 触及下轨 → 开多 / 翻转为多
|
||
if not self.can_trade():
|
||
time.sleep(self.cfg.POLL_INTERVAL)
|
||
continue
|
||
|
||
reason = (f"价格最低{cur_low:.2f}触及下轨{bb_lower:.2f}，"
|
||
f"BB({self.cfg.BB_PERIOD},{self.cfg.BB_STD})")
|
||
|
||
if self.position == -1:
|
||
action = "翻转: 平空→开多"
|
||
success = self.flip_to_long(current_price)
|
||
elif self.position == 0:
|
||
action = "开多"
|
||
success = self.open_long(current_price)
|
||
else:
|
||
logger.info("已持多仓，触下轨无需操作")
|
||
success = False
|
||
|
||
if success:
|
||
last_kline_id = kline_id
|
||
self.last_trade_time = time.time()
|
||
self.write_trade_log(action, current_price,
|
||
bb_upper, bb_mid, bb_lower, reason)
|
||
logger.success(f"{action} 执行成功")
|
||
|
||
time.sleep(self.cfg.POLL_INTERVAL)
|
||
|
||
except KeyboardInterrupt:
|
||
logger.info("用户中断，程序退出")
|
||
break
|
||
except Exception as e:
|
||
logger.error(f"主循环异常: {e}")
|
||
time.sleep(10)
|
||
|
||
|
||
# ---------------------------------------------------------------------------
|
||
# 入口
|
||
# ---------------------------------------------------------------------------
|
||
if __name__ == "__main__":
|
||
trader = BBTrader()
|
||
trader.run()
|