674 lines
25 KiB
Python
674 lines
25 KiB
Python
# -*- coding: utf-8 -*-
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"""
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BitMart 基于开盘价的五分之一策略交易
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策略规则（与 1111 一致）：
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1. 触发价格计算（基于前一根有效K线，实体>=0.1）：
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- 做多触发价 = 当前K线开盘价 + 实体/5
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- 做空触发价 = 当前K线开盘价 - 实体/5
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2. 信号触发条件：
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- 当前K线最高价 >= 做多触发价 → 做多信号
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- 当前K线最低价 <= 做空触发价 → 做空信号
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3. 前1分30秒反手（若已有持仓）：
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- 3分钟K线的前1分30秒内若出现反手信号，则平仓开反手
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- 持空反手做多：价格涨到 开仓价 + 前一根实体/5
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- 持多反手做空：价格跌到 开仓价 - 前一根实体/5
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运行方式（在项目根目录 lm_code 下）：
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python open_fifth_strategy/main.py
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"""
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import sys
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from pathlib import Path
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# 确保项目根目录在路径中
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_root = Path(__file__).resolve().parent.parent
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if str(_root) not in sys.path:
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sys.path.insert(0, str(_root))
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import random
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import time
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from concurrent.futures import ThreadPoolExecutor
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from loguru import logger
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from bit_tools import openBrowser
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from DrissionPage import ChromiumPage
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from DrissionPage import ChromiumOptions
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from bitmart.api_contract import APIContract
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from 交易.tools import send_dingtalk_message
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from open_fifth_strategy.config import (
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API_KEY,
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SECRET_KEY,
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MEMO,
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CONTRACT_SYMBOL,
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KLINE_STEP,
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MIN_BODY_SIZE,
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CHECK_INTERVAL,
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LEVERAGE,
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OPEN_TYPE,
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RISK_PERCENT,
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REVERSE_PRICE_TOLERANCE,
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REVERSE_WINDOW_1M_BARS,
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BIT_ID,
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)
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ding_executor = ThreadPoolExecutor(max_workers=2, thread_name_prefix="dingtalk")
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class OpenBasedFifthStrategy:
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"""基于开盘价的五分之一策略"""
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def __init__(self, bit_id=None):
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self.page = None
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self.api_key = API_KEY
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self.secret_key = SECRET_KEY
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self.memo = MEMO
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self.contract_symbol = CONTRACT_SYMBOL
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self.contractAPI = APIContract(
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self.api_key, self.secret_key, self.memo, timeout=(5, 15)
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)
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self.start = 0 # 持仓: -1空, 0无, 1多
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self.open_avg_price = None
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self.current_amount = None
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self.position_cross = None
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self.bit_id = bit_id or BIT_ID
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self.min_body_size = MIN_BODY_SIZE
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self.kline_step = KLINE_STEP
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self.check_interval = CHECK_INTERVAL
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self.leverage = LEVERAGE
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self.open_type = OPEN_TYPE
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self.risk_percent = RISK_PERCENT
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self.reverse_price_tolerance = REVERSE_PRICE_TOLERANCE
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self.reverse_window_1m_bars = REVERSE_WINDOW_1M_BARS
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self.last_trigger_kline_id = None
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self.last_trigger_direction = None
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self.last_trade_kline_id = None
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self.entry_prev_body = None
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self.entry_price = None
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self.entry_kline_id = None
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self.early_reverse_executed = False
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# ==================== 策略核心（基于开盘价）====================
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def get_body_size(self, candle):
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return abs(float(candle["open"]) - float(candle["close"]))
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def find_valid_prev_bar(self, all_data, current_idx):
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"""找前一根有效K线（实体>=min_body_size）"""
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if current_idx <= 0:
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return None, None
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for i in range(current_idx - 1, -1, -1):
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prev = all_data[i]
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if self.get_body_size(prev) >= self.min_body_size:
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return i, prev
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return None, None
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def get_open_based_levels(self, prev, curr_open):
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"""
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基于当前K线开盘价计算触发价（与1111一致）
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做多触发 = 当前K线开盘价 + 实体/5
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做空触发 = 当前K线开盘价 - 实体/5
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"""
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body = self.get_body_size(prev)
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if body < 0.001:
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return None, None
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curr_o = float(curr_open)
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long_trigger = curr_o + body / 5
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short_trigger = curr_o - body / 5
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return long_trigger, short_trigger
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def get_1m_bars_for_3m_bar(self, bar_3m):
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"""获取当前3分钟K线对应的3根1分钟K线"""
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try:
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start_ts = int(bar_3m["id"])
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end_ts = start_ts + 3 * 60
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response = self.contractAPI.get_kline(
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contract_symbol=self.contract_symbol,
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step=1,
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start_time=start_ts,
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end_time=end_ts,
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)[0]
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if response.get("code") != 1000:
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return []
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data = response.get("data", [])
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out = []
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for k in data:
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out.append(
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{
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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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)
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out.sort(key=lambda x: x["id"])
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return out
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except Exception as e:
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logger.warning(f"获取1分钟K线失败: {e}")
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return []
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def determine_trigger_order_by_1m(self, bars_1m, long_trigger, short_trigger):
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"""用1分钟K线判断先触发做多还是做空"""
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if not bars_1m:
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return None
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for bar in bars_1m:
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high = float(bar["high"])
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low = float(bar["low"])
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open_price = float(bar["open"])
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long_ok = high >= long_trigger
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short_ok = low <= short_trigger
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if long_ok and not short_ok:
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return "long"
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if short_ok and not long_ok:
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return "short"
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if long_ok and short_ok:
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d_long = abs(long_trigger - open_price)
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d_short = abs(short_trigger - open_price)
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return "short" if d_short < d_long else "long"
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return None
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def check_early_reverse_signal(self, curr_kline, kline_data):
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"""
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前1分30秒反手检测（与1111一致）：
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- 3分钟K线的「前1分30秒」内若出现反手信号 → 平仓开反手
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- 持空反手做多：价格涨到 开仓价 + 前一根实体/5
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- 持多反手做空：价格跌到 开仓价 - 前一根实体/5
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- 使用前 N 根1分钟K线近似（REVERSE_WINDOW_1M_BARS=2 覆盖约 0:00~1:30）
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"""
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if self.start == 0:
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return None, None
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curr_kline_id = curr_kline["id"]
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if self.entry_kline_id != curr_kline_id:
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self.early_reverse_executed = False
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self.entry_kline_id = curr_kline_id
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if self.early_reverse_executed:
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return None, None
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entry_price = self.entry_price
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if entry_price is None and self.open_avg_price:
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entry_price = float(self.open_avg_price)
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if entry_price is None:
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return None, None
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_, valid_prev = self.find_valid_prev_bar(
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kline_data, len(kline_data) - 1
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)
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if valid_prev is None:
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return None, None
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prev_body = self.get_body_size(valid_prev)
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reverse_offset = prev_body / 5
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bars_1m = self.get_1m_bars_for_3m_bar(curr_kline)
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n_bars = min(self.reverse_window_1m_bars, len(bars_1m))
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if n_bars < 1:
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return None, None
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# 遍历前 N 根1分钟K线（覆盖前1分30秒），任一出现反手信号则触发
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for i in range(n_bars):
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bar = bars_1m[i]
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bar_high = float(bar["high"])
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bar_low = float(bar["low"])
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bar_close = float(bar["close"])
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if self.start == -1:
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reverse_long_trigger = entry_price + reverse_offset
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if bar_high >= reverse_long_trigger:
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if bar_close >= reverse_long_trigger - self.reverse_price_tolerance:
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return "long", reverse_long_trigger
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elif self.start == 1:
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reverse_short_trigger = entry_price - reverse_offset
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if bar_low <= reverse_short_trigger:
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if bar_close <= reverse_short_trigger + self.reverse_price_tolerance:
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return "short", reverse_short_trigger
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return None, None
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def check_realtime_trigger(self, kline_data, current_position=0):
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"""
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实时检测信号（基于当前K线开盘价计算触发价）
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返回：(方向, 触发价, 有效前一根, 当前K线) 或 (None,...)
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"""
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if len(kline_data) < 2:
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return None, None, None, None
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curr = kline_data[-1]
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curr_kline_id = curr["id"]
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curr_open = curr["open"]
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valid_prev_idx, prev = self.find_valid_prev_bar(
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kline_data, len(kline_data) - 1
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)
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if prev is None:
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return None, None, None, None
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long_trigger, short_trigger = self.get_open_based_levels(prev, curr_open)
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if long_trigger is None:
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return None, None, None, None
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c_high = float(curr["high"])
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c_low = float(curr["low"])
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c_close = float(curr["close"])
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long_triggered = c_high >= long_trigger
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short_triggered = c_low <= short_trigger
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direction = None
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trigger_price = None
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if current_position == 1:
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if short_triggered and c_close <= short_trigger + self.reverse_price_tolerance:
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direction = "short"
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trigger_price = short_trigger
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elif current_position == -1:
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if long_triggered and c_close >= long_trigger - self.reverse_price_tolerance:
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direction = "long"
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trigger_price = long_trigger
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else:
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if long_triggered and short_triggered:
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bars_1m = self.get_1m_bars_for_3m_bar(curr)
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if bars_1m:
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direction = self.determine_trigger_order_by_1m(
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bars_1m, long_trigger, short_trigger
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)
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trigger_price = (
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long_trigger if direction == "long" else short_trigger
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)
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if direction is None:
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c_open_f = float(curr["open"])
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d_long = abs(long_trigger - c_open_f)
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d_short = abs(short_trigger - c_open_f)
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direction = "short" if d_short <= d_long else "long"
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trigger_price = (
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long_trigger if direction == "long" else short_trigger
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)
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elif short_triggered:
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direction = "short"
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trigger_price = short_trigger
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elif long_triggered:
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direction = "long"
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trigger_price = long_trigger
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if direction is None:
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return None, None, None, None
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if (
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self.last_trigger_kline_id == curr_kline_id
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and self.last_trigger_direction == direction
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):
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return None, None, None, None
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return direction, trigger_price, prev, curr
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# ==================== BitMart API ====================
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def get_klines(self):
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try:
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end_time = int(time.time())
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response = self.contractAPI.get_kline(
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contract_symbol=self.contract_symbol,
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step=self.kline_step,
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start_time=end_time - 3600 * 3,
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end_time=end_time,
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)[0]["data"]
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formatted = []
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for k in response:
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formatted.append(
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{
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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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)
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formatted.sort(key=lambda x: x["id"])
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return formatted
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except Exception as e:
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if "429" in str(e) or "too many requests" in str(e).lower():
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logger.warning(f"API限流，等待60秒: {e}")
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time.sleep(60)
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else:
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logger.error(f"获取K线异常: {e}")
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self.ding("获取K线异常", error=True)
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return None
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def get_available_balance(self):
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try:
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response = self.contractAPI.get_assets_detail()[0]
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if response["code"] == 1000:
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data = response["data"]
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if isinstance(data, dict):
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return float(data.get("available_balance", 0))
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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"余额查询异常: {e}")
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return None
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def get_position_status(self):
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try:
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response = self.contractAPI.get_position(
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contract_symbol=self.contract_symbol
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)[0]
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if response["code"] == 1000:
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positions = response["data"]
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if not positions:
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self.start = 0
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self.open_avg_price = None
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self.current_amount = None
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self.position_cross = None
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return True
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self.start = 1 if positions[0]["position_type"] == 1 else -1
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self.open_avg_price = positions[0]["open_avg_price"]
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self.current_amount = positions[0]["current_amount"]
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self.position_cross = positions[0]["position_cross"]
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return True
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return False
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except Exception as e:
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logger.error(f"持仓查询异常: {e}")
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return False
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def set_leverage(self):
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try:
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response = self.contractAPI.post_submit_leverage(
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contract_symbol=self.contract_symbol,
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leverage=self.leverage,
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open_type=self.open_type,
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)[0]
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if response["code"] == 1000:
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logger.success(f"全仓 {self.leverage}x 杠杆设置成功")
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return True
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logger.error(f"杠杆设置失败: {response}")
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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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# ==================== 浏览器 ====================
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def _open_browser(self):
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try:
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bit_port = openBrowser(id=self.bit_id)
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co = ChromiumOptions()
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co.set_local_port(port=bit_port)
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self.page = ChromiumPage(addr_or_opts=co)
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return True
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except Exception:
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return False
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def close_extra_tabs(self):
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try:
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for idx, tab in enumerate(self.page.get_tabs()):
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if idx > 0:
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tab.close()
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return True
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except Exception:
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return False
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def click_safe(self, xpath, sleep=0.5):
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try:
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ele = self.page.ele(xpath)
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if not ele:
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return False
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ele.scroll.to_see(center=True)
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time.sleep(sleep)
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ele.click(by_js=True)
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return True
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except Exception:
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return False
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def 平仓(self):
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logger.info("执行平仓...")
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self.click_safe('x://span[normalize-space(text()) ="市价"]')
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time.sleep(0.5)
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self.ding("执行平仓操作")
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def 开单(self, marketPriceLongOrder=0, size=None):
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if size is None or size <= 0:
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logger.warning("开单金额无效")
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return False
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direction_str = "做多" if marketPriceLongOrder == 1 else "做空"
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logger.info(f"执行{direction_str}，金额: {size}")
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size = max(1, min(25, int(size))) # 限制单次下单金额 1~25
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try:
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.page.ele('x://*[@id="size_0"]').input(str(size))
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if marketPriceLongOrder == -1:
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self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
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else:
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self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
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self.ding(f"执行{direction_str}，金额: {size}")
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return True
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except Exception as e:
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logger.error(f"开单异常: {e}")
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return False
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def ding(self, msg, error=False):
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prefix = "❌开盘价五分之一：" if error else "🔔开盘价五分之一："
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full_msg = f"{prefix}{msg}"
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if error:
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logger.error(msg)
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for _ in range(3):
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ding_executor.submit(self._send_ding_safe, full_msg)
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else:
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logger.info(msg)
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ding_executor.submit(self._send_ding_safe, full_msg)
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def _send_ding_safe(self, msg):
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try:
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send_dingtalk_message(msg)
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except Exception as e:
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logger.warning(f"消息发送失败: {e}")
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def _send_position_message(self, latest_kline):
|
||
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)
|
||
current_amount = float(self.current_amount)
|
||
position_cross = float(
|
||
getattr(self, "position_cross", 0) or 0
|
||
)
|
||
if self.start == 1:
|
||
unrealized_pnl = current_amount * 0.001 * (
|
||
current_price - open_avg_price
|
||
)
|
||
else:
|
||
unrealized_pnl = current_amount * 0.001 * (
|
||
open_avg_price - current_price
|
||
)
|
||
pnl_rate = (
|
||
(current_price - open_avg_price)
|
||
/ open_avg_price
|
||
* 100
|
||
if self.start == 1
|
||
else (open_avg_price - current_price)
|
||
/ open_avg_price
|
||
* 100
|
||
)
|
||
direction_str = "空" if self.start == -1 else "多"
|
||
msg = (
|
||
f"【开盘价五分之一 {self.contract_symbol}】\n"
|
||
f"方向：{direction_str}\n"
|
||
f"现价：{current_price:.2f}\n"
|
||
f"开仓均价：{open_avg_price:.2f}\n"
|
||
f"浮动盈亏：{unrealized_pnl:+.2f} USDT ({pnl_rate:+.2f}%)\n"
|
||
f"余额：{self.balance:.2f}"
|
||
)
|
||
else:
|
||
msg = (
|
||
f"【开盘价五分之一 {self.contract_symbol}】\n"
|
||
f"方向：无\n"
|
||
f"现价：{current_price:.2f}\n"
|
||
f"余额：{self.balance:.2f}"
|
||
)
|
||
self.ding(msg)
|
||
|
||
# ==================== 主循环 ====================
|
||
|
||
def action(self):
|
||
if not self.set_leverage():
|
||
logger.error("杠杆设置失败")
|
||
return
|
||
if not self._open_browser():
|
||
self.ding("打开浏览器失败！", error=True)
|
||
return
|
||
logger.info("浏览器打开成功")
|
||
self.close_extra_tabs()
|
||
self.page.get("https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT")
|
||
time.sleep(2)
|
||
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||
logger.info(
|
||
f"开盘价五分之一策略（3分钟K线）开始监测，间隔: {self.check_interval}秒"
|
||
)
|
||
|
||
last_report_time = 0
|
||
report_interval = 300
|
||
|
||
while True:
|
||
for _ in range(5):
|
||
if self._open_browser():
|
||
break
|
||
time.sleep(5)
|
||
else:
|
||
self.ding("打开浏览器失败！", error=True)
|
||
return
|
||
self.close_extra_tabs()
|
||
self.page.get("https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT")
|
||
time.sleep(2)
|
||
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||
|
||
try:
|
||
kline_data = self.get_klines()
|
||
if not kline_data or len(kline_data) < 3:
|
||
logger.warning("K线数据不足...")
|
||
time.sleep(self.check_interval)
|
||
continue
|
||
|
||
curr = kline_data[-1]
|
||
if not self.get_position_status():
|
||
logger.warning("获取仓位失败，使用缓存")
|
||
|
||
# 第一分钟反手
|
||
if self.start != 0:
|
||
first_dir, first_trigger = self.check_early_reverse_signal(
|
||
curr, kline_data
|
||
)
|
||
if first_dir:
|
||
curr_kline_id = curr["id"]
|
||
if self.last_trade_kline_id != curr_kline_id:
|
||
balance = self.get_available_balance()
|
||
trade_size = (balance or 0) * self.risk_percent
|
||
if first_dir == "long" and self.start == -1:
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=1, size=trade_size)
|
||
elif first_dir == "short" and self.start == 1:
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=-1, size=trade_size)
|
||
self.early_reverse_executed = True
|
||
self.last_trade_kline_id = curr_kline_id
|
||
_, valid_prev = self.find_valid_prev_bar(
|
||
kline_data, len(kline_data) - 1
|
||
)
|
||
if valid_prev:
|
||
self.entry_prev_body = self.get_body_size(valid_prev)
|
||
self.entry_price = float(curr["close"])
|
||
self.entry_kline_id = curr_kline_id
|
||
self.get_position_status()
|
||
self._send_position_message(curr)
|
||
time.sleep(self.check_interval)
|
||
continue
|
||
|
||
# 常规信号检测
|
||
direction, trigger_price, valid_prev, curr_kline = (
|
||
self.check_realtime_trigger(kline_data, self.start)
|
||
)
|
||
|
||
if direction:
|
||
curr_kline_id = curr_kline["id"]
|
||
if self.last_trade_kline_id == curr_kline_id:
|
||
self.last_trigger_kline_id = curr_kline_id
|
||
self.last_trigger_direction = direction
|
||
time.sleep(self.check_interval)
|
||
continue
|
||
|
||
if (direction == "long" and self.start == 1) or (
|
||
direction == "short" and self.start == -1
|
||
):
|
||
self.last_trigger_kline_id = curr_kline_id
|
||
self.last_trigger_direction = direction
|
||
time.sleep(self.check_interval)
|
||
continue
|
||
|
||
balance = self.get_available_balance()
|
||
trade_size = (balance or 0) * self.risk_percent
|
||
executed = False
|
||
|
||
if direction == "long":
|
||
if self.start == -1:
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=1, size=trade_size)
|
||
executed = True
|
||
elif self.start == 0:
|
||
self.开单(marketPriceLongOrder=1, size=trade_size)
|
||
executed = True
|
||
elif direction == "short":
|
||
if self.start == 1:
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=-1, size=trade_size)
|
||
executed = True
|
||
elif self.start == 0:
|
||
self.开单(marketPriceLongOrder=-1, size=trade_size)
|
||
executed = True
|
||
|
||
self.last_trigger_kline_id = curr_kline_id
|
||
self.last_trigger_direction = direction
|
||
if executed:
|
||
self.last_trade_kline_id = curr_kline_id
|
||
self.entry_price = trigger_price
|
||
self.entry_prev_body = self.get_body_size(valid_prev)
|
||
self.entry_kline_id = curr_kline_id
|
||
self.early_reverse_executed = False
|
||
self.get_position_status()
|
||
self._send_position_message(curr_kline)
|
||
last_report_time = time.time()
|
||
|
||
if time.time() - last_report_time >= report_interval:
|
||
if self.get_position_status():
|
||
self._send_position_message(kline_data[-1])
|
||
last_report_time = time.time()
|
||
|
||
time.sleep(self.check_interval)
|
||
|
||
except Exception as e:
|
||
logger.error(f"主循环异常: {e}")
|
||
time.sleep(self.check_interval)
|
||
time.sleep(3)
|
||
if random.randint(1, 10) > 7:
|
||
self.page.close()
|
||
time.sleep(15)
|
||
|
||
|
||
if __name__ == "__main__":
|
||
try:
|
||
OpenBasedFifthStrategy(bit_id=BIT_ID).action()
|
||
except KeyboardInterrupt:
|
||
logger.info("程序被用户中断")
|
||
finally:
|
||
ding_executor.shutdown(wait=True)
|
||
logger.info("已退出")
|