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交易/bitmart-三分之一策略交易.py

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+"""
+BitMart 三分之一回归策略交易
+使用5分钟K线周期
+
+策略规则：
+1. 开多条件：
+   - 找到实体>=0.1的前一根K线（如果前一根实体<0.1，继续往前找）
+   - 前一根是阴线（close < open）
+   - 当前K线的最高价（包括影线）涨到前一根阴线实体的 1/3 处
+   - 即：当前high >= prev_close + (prev_open - prev_close) / 3
+
+2. 平多/开空条件：
+   - 找到实体>=0.1的前一根K线
+   - 前一根是阳线（close > open）
+   - 当前K线的最低价（包括影线）跌到前一根阳线实体的 1/3 处
+   - 即：当前low <= prev_close - (prev_close - prev_open) / 3
+
+3. 执行逻辑：
+   - 做多时遇到开空信号 -> 平多并反手开空
+   - 做空时遇到开多信号 -> 平空并反手开多
+"""
+
+import time
+import datetime
+
+from tqdm import tqdm
+from loguru import logger
+from bit_tools import openBrowser
+from DrissionPage import ChromiumPage
+from DrissionPage import ChromiumOptions
+
+from bitmart.api_contract import APIContract
+from 交易.tools import send_dingtalk_message
+
+
+class BitmartOneThirdStrategy:
+    def __init__(self, bit_id):
+
+        self.page: ChromiumPage | None = None
+
+        self.api_key = "a0fb7b98464fd9bcce67e7c519d58ec10d0c38a8"
+        self.secret_key = "4eaeba78e77aeaab1c2027f846a276d164f264a44c2c1bb1c5f3be50c8de1ca5"
+        self.memo = "合约交易"
+
+        self.contract_symbol = "ETHUSDT"
+
+        self.contractAPI = APIContract(self.api_key, self.secret_key, self.memo, timeout=(5, 15))
+
+        self.start = 0  # 持仓状态: -1 空, 0 无, 1 多
+        self.direction = None
+
+        self.pbar = tqdm(total=5, desc="等待K线", ncols=80)  # 5分钟周期
+
+        self.last_kline_time = None
+
+        self.leverage = "100"  # 高杠杆（全仓模式下可开更大仓位）
+        self.open_type = "cross"  # 全仓模式
+        self.risk_percent = 0.01  # 每次开仓使用可用余额的 1%
+
+        self.open_avg_price = None  # 开仓价格
+        self.current_amount = None  # 持仓量
+
+        self.bit_id = bit_id
+
+        # 三分之一策略参数
+        self.min_body_size = 0.1  # 最小实体大小
+        self.kline_step = 5  # K线周期（5分钟）
+        self.kline_count = 20  # 获取的K线数量，用于向前查找有效K线
+
+    # ========================= 三分之一策略核心函数 =========================
+
+    def is_bullish(self, c):
+        """判断阳线"""
+        return float(c['close']) > float(c['open'])
+
+    def is_bearish(self, c):
+        """判断阴线"""
+        return float(c['close']) < float(c['open'])
+
+    def get_body_size(self, candle):
+        """计算K线实体大小（绝对值）"""
+        return abs(float(candle['open']) - float(candle['close']))
+
+    def find_valid_prev_bar(self, all_data, current_idx, min_body_size=0.1):
+        """
+        从当前索引往前查找，直到找到实体>=min_body_size的K线
+        返回：(有效K线的索引, K线数据) 或 (None, None)
+        """
+        if current_idx <= 0:
+            return None, None
+
+        for i in range(current_idx - 1, -1, -1):
+            prev = all_data[i]
+            body_size = self.get_body_size(prev)
+            if body_size >= min_body_size:
+                return i, prev
+
+        return None, None
+
+    def get_one_third_level(self, prev):
+        """
+        计算前一根K线实体的 1/3 回归位置
+        返回：(触发价格, 方向)
+        - 如果前一根是阴线：返回向上1/3价格，方向为 'long'
+        - 如果前一根是阳线：返回向下1/3价格，方向为 'short'
+        """
+        p_open = float(prev['open'])
+        p_close = float(prev['close'])
+
+        if self.is_bearish(prev):  # 阴线，向上回归
+            # 阴线实体 = open - close
+            body = p_open - p_close
+            trigger_price = p_close + body / 3  # 从低点涨 1/3
+            return trigger_price, 'long'
+
+        elif self.is_bullish(prev):  # 阳线，向下回归
+            # 阳线实体 = close - open
+            body = p_close - p_open
+            trigger_price = p_close - body / 3  # 从高点跌 1/3
+            return trigger_price, 'short'
+
+        return None, None
+
+    def check_trigger(self, all_data, current_idx):
+        """
+        检查当前K线是否触发了交易信号
+        返回：(方向, 触发价格, 有效前一根K线索引) 或 (None, None, None)
+        规则：考虑影线部分（high/low），因为实际交易中价格会到达影线位置
+        """
+        if current_idx <= 0:
+            return None, None, None
+
+        curr = all_data[current_idx]
+
+        # 查找实体>=min_body_size的前一根K线
+        valid_prev_idx, prev = self.find_valid_prev_bar(all_data, current_idx, self.min_body_size)
+
+        if prev is None:
+            return None, None, None
+
+        trigger_price, direction = self.get_one_third_level(prev)
+
+        if trigger_price is None:
+            return None, None, None
+
+        # 使用影线部分（high/low）来判断
+        c_high = float(curr['high'])
+        c_low = float(curr['low'])
+
+        # 做多：前一根阴线，当前K线的最高价（包括影线）达到触发价格
+        if direction == 'long' and c_high >= trigger_price:
+            return 'long', trigger_price, valid_prev_idx
+
+        # 做空：前一根阳线，当前K线的最低价（包括影线）达到触发价格
+        if direction == 'short' and c_low <= trigger_price:
+            return 'short', trigger_price, valid_prev_idx
+
+        return None, None, None
+
+    # ========================= BitMart API 函数 =========================
+
+    def get_klines(self):
+        """获取最近N根5分钟K线"""
+        try:
+            end_time = int(time.time())
+            # 获取足够多的K线用于向前查找有效K线
+            response = self.contractAPI.get_kline(
+                contract_symbol=self.contract_symbol,
+                step=self.kline_step,  # 5分钟
+                start_time=end_time - 3600 * 3,  # 取最近3小时
+                end_time=end_time
+            )[0]["data"]
+
+            # 每根: [timestamp, open, high, low, close, volume]
+            formatted = []
+            for k in response:
+                formatted.append({
+                    'id': int(k["timestamp"]),
+                    'open': float(k["open_price"]),
+                    'high': float(k["high_price"]),
+                    'low': float(k["low_price"]),
+                    'close': float(k["close_price"])
+                })
+            formatted.sort(key=lambda x: x['id'])
+            return formatted
+        except Exception as e:
+            error_msg = str(e)
+            # 检查是否是429限流错误
+            if "429" in error_msg or "too many requests" in error_msg.lower():
+                logger.warning(f"API限流，等待60秒后重试: {e}")
+                time.sleep(60)
+            else:
+                logger.error(f"获取K线异常: {e}")
+                self.ding(msg="获取K线异常", error=True)
+            return None
+
+    def get_current_price(self):
+        """获取当前最新价格"""
+        try:
+            end_time = int(time.time())
+            response = self.contractAPI.get_kline(
+                contract_symbol=self.contract_symbol,
+                step=1,  # 1分钟
+                start_time=end_time - 3600 * 3,
+                end_time=end_time
+            )[0]
+            if response['code'] == 1000:
+                return float(response['data'][-1]["close_price"])
+            return None
+        except Exception as e:
+            logger.error(f"获取价格异常: {e}")
+            return None
+
+    def get_available_balance(self):
+        """获取合约账户可用USDT余额"""
+        try:
+            response = self.contractAPI.get_assets_detail()[0]
+            if response['code'] == 1000:
+                data = response['data']
+                if isinstance(data, dict):
+                    return float(data.get('available_balance', 0))
+                elif isinstance(data, list):
+                    for asset in data:
+                        if asset.get('currency') == 'USDT':
+                            return float(asset.get('available_balance', 0))
+            return None
+        except Exception as e:
+            logger.error(f"余额查询异常: {e}")
+            return None
+
+    def get_position_status(self):
+        """获取当前持仓方向"""
+        try:
+            response = self.contractAPI.get_position(contract_symbol=self.contract_symbol)[0]
+            if response['code'] == 1000:
+                positions = response['data']
+                if not positions:
+                    self.start = 0
+                    self.open_avg_price = None
+                    self.current_amount = None
+                    self.position_cross = None
+                    return True
+                self.start = 1 if positions[0]['position_type'] == 1 else -1
+                self.open_avg_price = positions[0]['open_avg_price']
+                self.current_amount = positions[0]['current_amount']
+                self.position_cross = positions[0]["position_cross"]
+                return True
+            else:
+                return False
+        except Exception as e:
+            logger.error(f"持仓查询异常: {e}")
+            return False
+
+    def set_leverage(self):
+        """程序启动时设置全仓 + 高杠杆"""
+        try:
+            response = self.contractAPI.post_submit_leverage(
+                contract_symbol=self.contract_symbol,
+                leverage=self.leverage,
+                open_type=self.open_type
+            )[0]
+            if response['code'] == 1000:
+                logger.success(f"全仓模式 + {self.leverage}x 杠杆设置成功")
+                return True
+            else:
+                logger.error(f"杠杆设置失败: {response}")
+                return False
+        except Exception as e:
+            logger.error(f"设置杠杆异常: {e}")
+            return False
+
+    # ========================= 浏览器自动化函数 =========================
+
+    def openBrowser(self):
+        """打开 TGE 对应浏览器实例"""
+        try:
+            bit_port = openBrowser(id=self.bit_id)
+            co = ChromiumOptions()
+            co.set_local_port(port=bit_port)
+            self.page = ChromiumPage(addr_or_opts=co)
+            return True
+        except:
+            return False
+
+    def close_extra_tabs_in_browser(self):
+        """关闭多余 tab"""
+        try:
+            for idx, tab in enumerate(self.page.get_tabs()):
+                if idx > 0:
+                    tab.close()
+            return True
+        except:
+            return False
+
+    def click_safe(self, xpath, sleep=0.5):
+        """安全点击"""
+        try:
+            ele = self.page.ele(xpath)
+            if not ele:
+                return False
+            ele.scroll.to_see(center=True)
+            time.sleep(sleep)
+            ele.click(by_js=True)
+            return True
+        except:
+            return False
+
+    def 平仓(self):
+        """市价平仓"""
+        logger.info("执行平仓操作...")
+        self.click_safe('x://span[normalize-space(text()) ="市价"]')
+        time.sleep(0.5)
+        self.ding(msg="执行平仓操作")
+
+    def 开单(self, marketPriceLongOrder=0, size=None):
+        """
+        市价开单
+        marketPriceLongOrder: 1 做多, -1 做空
+        """
+        if size is None or size <= 0:
+            logger.warning("开单金额无效")
+            return False
+
+        direction_str = "做多" if marketPriceLongOrder == 1 else "做空"
+        logger.info(f"执行{direction_str}操作，金额: {size}")
+
+        try:
+            if marketPriceLongOrder == -1:
+                self.click_safe('x://button[normalize-space(text()) ="市价"]')
+                self.page.ele('x://*[@id="size_0"]').input(size)
+                self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
+            elif marketPriceLongOrder == 1:
+                self.click_safe('x://button[normalize-space(text()) ="市价"]')
+                self.page.ele('x://*[@id="size_0"]').input(size)
+                self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
+
+            self.ding(msg=f"执行{direction_str}操作，金额: {size}")
+            return True
+        except Exception as e:
+            logger.error(f"开单异常: {e}")
+            return False
+
+    def ding(self, msg, error=False):
+        """统一消息格式"""
+        prefix = "❌三分之一策略：" if error else "🔔三分之一策略："
+        if error:
+            logger.error(msg)
+            for i in range(10):
+                send_dingtalk_message(f"{prefix}{msg}")
+        else:
+            logger.info(msg)
+            send_dingtalk_message(f"{prefix}{msg}")
+
+    # ========================= 时间计算函数 =========================
+
+    def get_now_time(self):
+        """获取当前5分钟整点时间戳"""
+        current_timestamp = time.time()
+        current_datetime = datetime.datetime.fromtimestamp(current_timestamp)
+
+        # 计算距离当前时间最近的5分钟整点
+        minute = current_datetime.minute
+        target_minute = (minute // 5) * 5  # 向下取整到5分钟
+        target_datetime = current_datetime.replace(minute=target_minute, second=0, microsecond=0)
+
+        return int(target_datetime.timestamp())
+
+    def get_time_to_next_5min(self):
+        """获取距离下一个5分钟的秒数"""
+        current_timestamp = time.time()
+        current_datetime = datetime.datetime.fromtimestamp(current_timestamp)
+
+        minute = current_datetime.minute
+        next_5min = ((minute // 5) + 1) * 5
+        if next_5min >= 60:
+            next_datetime = current_datetime.replace(minute=0, second=0, microsecond=0) + datetime.timedelta(hours=1)
+        else:
+            next_datetime = current_datetime.replace(minute=next_5min, second=0, microsecond=0)
+
+        return (next_datetime - current_datetime).total_seconds()
+
+    # ========================= 主运行函数 =========================
+
+    def action(self):
+        """主运行逻辑"""
+        # 启动时设置全仓高杠杆
+        if not self.set_leverage():
+            logger.error("杠杆设置失败，程序继续运行但可能下单失败")
+            return
+
+        # 1. 打开浏览器
+        if not self.openBrowser():
+            self.ding("打开浏览器失败！", error=True)
+            return
+        logger.info("浏览器打开成功")
+
+        if self.close_extra_tabs_in_browser():
+            logger.info('关闭多余标签页成功')
+        else:
+            logger.info('关闭多余标签页失败')
+
+        self.page.get("https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT")
+        time.sleep(2)
+
+        self.click_safe('x://button[normalize-space(text()) ="市价"]')
+
+        self.pbar = tqdm(total=5, desc="等待5分钟K线", ncols=80)
+
+        self.time_start = None  # 时间状态，避免同一时段重复处理
+
+        while True:
+            # 更新进度条
+            current_time = time.localtime()
+            current_minute = current_time.tm_min
+            self.pbar.n = current_minute % 5
+            self.pbar.refresh()
+
+            # 检查是否已处理过当前时间段
+            if self.time_start == self.get_now_time():
+                time.sleep(3)
+                continue
+
+            # 获取K线数据
+            kline_data = self.get_klines()
+            if not kline_data:
+                logger.warning("获取K线数据失败")
+                time.sleep(5)
+                continue
+
+            # 检查数据是否是最新的
+            if len(kline_data) < 3:
+                logger.warning("K线数据不足")
+                time.sleep(5)
+                continue
+
+            # 判断最新K线时间
+            latest_kline_time = kline_data[-1]['id']
+            if self.get_now_time() != latest_kline_time:
+                time.sleep(3)
+                continue
+
+            self.time_start = self.get_now_time()
+
+            # 获取持仓状态
+            if not self.get_position_status():
+                logger.warning("获取仓位信息失败")
+                self.ding(msg="获取仓位信息失败！", error=True)
+                continue
+
+            logger.info(f"当前持仓状态: {self.start} (1=多, -1=空, 0=无)")
+
+            # ========== 三分之一策略信号检测 ==========
+            current_idx = len(kline_data) - 1
+            direction, trigger_price, valid_prev_idx = self.check_trigger(kline_data, current_idx)
+
+            if direction:
+                # 获取有效前一根K线用于日志
+                valid_prev = kline_data[valid_prev_idx] if valid_prev_idx is not None else None
+                curr = kline_data[current_idx]
+
+                if valid_prev:
+                    prev_time = datetime.datetime.fromtimestamp(valid_prev['id']).strftime('%H:%M')
+                    curr_time = datetime.datetime.fromtimestamp(curr['id']).strftime('%H:%M')
+                    prev_type = "阳线" if self.is_bullish(valid_prev) else "阴线"
+                    prev_body = self.get_body_size(valid_prev)
+
+                    logger.info(f"检测到{direction}信号，触发价格: {trigger_price:.2f}")
+                    logger.info(f"  有效前一根[{prev_time}]: {prev_type} 实体={prev_body:.2f}")
+                    logger.info(f"  当前根[{curr_time}]: H={curr['high']:.2f} L={curr['low']:.2f}")
+
+            # ========== 执行交易逻辑 ==========
+            balance = self.get_available_balance()
+            if balance is None:
+                balance = 0
+            trade_size = balance * self.risk_percent
+
+            if direction == "long":
+                if self.start == -1:  # 当前空仓，平空开多
+                    logger.info("平空仓，反手开多")
+                    self.平仓()
+                    time.sleep(1)
+                    self.开单(marketPriceLongOrder=1, size=trade_size)
+                elif self.start == 0:  # 当前无仓，直接开多
+                    logger.info("无仓位，开多")
+                    self.开单(marketPriceLongOrder=1, size=trade_size)
+                # 已有多仓则不操作
+
+            elif direction == "short":
+                if self.start == 1:  # 当前多仓，平多开空
+                    logger.info("平多仓，反手开空")
+                    self.平仓()
+                    time.sleep(1)
+                    self.开单(marketPriceLongOrder=-1, size=trade_size)
+                elif self.start == 0:  # 当前无仓，直接开空
+                    logger.info("无仓位，开空")
+                    self.开单(marketPriceLongOrder=-1, size=trade_size)
+                # 已有空仓则不操作
+
+            # ========== 发送持仓信息 ==========
+            self._send_position_message(kline_data[-1])
+
+            self.pbar.reset()
+
+    def _send_position_message(self, latest_kline):
+        """发送持仓信息到钉钉"""
+        current_price = float(latest_kline["close"])
+        balance = self.get_available_balance()
+        self.balance = balance if balance is not None else 0.0
+
+        if self.start != 0:
+            open_avg_price = float(self.open_avg_price) if self.open_avg_price else 0.0
+            current_amount = float(self.current_amount) if self.current_amount else 0.0
+            position_cross = float(self.position_cross) if hasattr(self, 'position_cross') and self.position_cross else 0.0
+
+            # 计算浮动盈亏
+            if self.start == 1:  # 多头
+                unrealized_pnl = current_amount * 0.001 * (current_price - open_avg_price)
+            else:  # 空头
+                unrealized_pnl = current_amount * 0.001 * (open_avg_price - current_price)
+
+            # 计算收益率
+            if open_avg_price > 0:
+                if self.start == 1:
+                    pnl_rate = (current_price - open_avg_price) / open_avg_price * 10000
+                else:
+                    pnl_rate = (open_avg_price - current_price) / open_avg_price * 10000
+                rate_str = f" ({pnl_rate:+.2f}%)"
+            else:
+                rate_str = ""
+
+            direction_str = "空" if self.start == -1 else "多"
+            pnl_str = f"{unrealized_pnl:+.2f} USDT"
+
+            msg = (
+                f"【三分之一策略 {self.contract_symbol} 5分钟】\n"
+                f"当前方向：{direction_str}\n"
+                f"当前现价：{current_price:.2f} USDT\n"
+                f"开仓均价：{open_avg_price:.2f} USDT\n"
+                f"持仓量(eth)：{float(current_amount) / 1000} eth\n"
+                f"持仓量(usdt)：{position_cross} usdt\n"
+                f"浮动盈亏：{pnl_str}{rate_str}\n"
+                f"账户可用余额：{self.balance:.2f} usdt"
+            )
+        else:
+            msg = (
+                f"【三分之一策略 {self.contract_symbol} 5分钟】\n"
+                f"当前方向：无\n"
+                f"当前现价：{current_price:.2f} USDT\n"
+                f"账户可用余额：{self.balance:.2f} usdt"
+            )
+
+        self.ding(msg=msg)
+
+
+if __name__ == '__main__':
+    # 启动三分之一策略交易
+    BitmartOneThirdStrategy(bit_id="f2320f57e24c45529a009e1541e25961").action()