568 lines
23 KiB
Python
568 lines
23 KiB
Python
"""
|
||
BitMart 三分之一策略 — 5分钟K线交易
|
||
|
||
策略规则：
|
||
1. 触发价格（基于前一根有效K线实体>=0.1，使用当前K线开盘价）：
|
||
- 做多触发价 = 当前K线开盘价 + 实体/3
|
||
- 做空触发价 = 当前K线开盘价 - 实体/3
|
||
|
||
2. 信号触发（无持仓时）：
|
||
- 当前5分钟K线最高价 >= 做多触发价 → 做多信号
|
||
- 当前5分钟K线最低价 <= 做空触发价 → 做空信号
|
||
|
||
3. 执行逻辑：
|
||
- 做多时遇到做空信号 -> 平多并反手开空
|
||
- 做空时遇到做多信号 -> 平空并反手开多
|
||
- 同一根5分钟K线内只交易一次
|
||
|
||
4. 同根K线多空都触及时，用开盘价与触发价距离判断先后。
|
||
|
||
5. 反手信号（有持仓时检测）：
|
||
- 反手做空：当前持多，上一根K线上阴线涨幅 > 0.01%，当前K线跌到上一根K线的实体下边 -> 平多反手开空
|
||
- 反手做多：当前持空，上一根K线下阴线跌幅 > 0.01%，当前K线涨到上一根K线的实体上边 -> 平空反手开多
|
||
（上阴线 = high - max(open,close)，上阴线涨幅 = (上阴线/开盘价)*100；下阴线同理）
|
||
（实体上边 = max(open,close)，实体下边 = min(open,close)）
|
||
"""
|
||
import random
|
||
import time
|
||
import datetime
|
||
from concurrent.futures import ThreadPoolExecutor
|
||
|
||
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
|
||
|
||
try:
|
||
from 交易.tools import send_dingtalk_message
|
||
except ImportError:
|
||
send_dingtalk_message = None
|
||
|
||
ding_executor = ThreadPoolExecutor(max_workers=2, thread_name_prefix="dingtalk")
|
||
|
||
|
||
class BitmartOneThirdStrategy:
|
||
"""三分之一策略：触发价 = 当前K线开盘价 ± 实体/3，5分钟K线"""
|
||
|
||
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: -1 空, 0 无, 1 多
|
||
self.direction = None
|
||
self.pbar = tqdm(total=5, desc="等待K线", ncols=80)
|
||
self.last_kline_time = None
|
||
|
||
self.leverage = "100"
|
||
self.open_type = "cross"
|
||
self.risk_percent = 0.01
|
||
|
||
self.open_avg_price = None
|
||
self.current_amount = None
|
||
self.position_cross = None
|
||
self.bit_id = bit_id
|
||
|
||
self.min_body_size = 0.1 # 前一根有效K线实体下限
|
||
self.kline_step = 5 # 5分钟K线
|
||
self.check_interval = 3
|
||
self.last_trigger_kline_id = None
|
||
self.last_trigger_direction = None
|
||
self.min_shadow_pct = 0.01 # 反手信号：上/下影线幅度需 > 0.01%
|
||
|
||
# ========================= 三分之一策略核心 =========================
|
||
|
||
def is_bullish(self, c):
|
||
return float(c['close']) > float(c['open'])
|
||
|
||
def get_body_size(self, candle):
|
||
return abs(float(candle['open']) - float(candle['close']))
|
||
|
||
def find_valid_prev_bar(self, all_data, current_idx):
|
||
"""找到当前K线之前最近一根实体>=min_body_size的K线"""
|
||
if current_idx <= 0:
|
||
return None, None
|
||
for i in range(current_idx - 1, -1, -1):
|
||
prev = all_data[i]
|
||
if self.get_body_size(prev) >= self.min_body_size:
|
||
return i, prev
|
||
return None, None
|
||
|
||
def get_one_third_levels(self, prev, curr):
|
||
"""
|
||
做多触发价 = 当前K线开盘价 + 实体/3
|
||
做空触发价 = 当前K线开盘价 - 实体/3
|
||
实体来自前一根有效K线
|
||
"""
|
||
p_open = float(prev['open'])
|
||
p_close = float(prev['close'])
|
||
curr_open = float(curr['open'])
|
||
body = abs(p_open - p_close)
|
||
if body < 0.001:
|
||
return None, None
|
||
long_trigger = curr_open + body / 3
|
||
short_trigger = curr_open - body / 3
|
||
return long_trigger, short_trigger
|
||
|
||
def get_upper_shadow(self, candle):
|
||
"""上影线 = high - max(open, close)"""
|
||
o, c, h = float(candle['open']), float(candle['close']), float(candle['high'])
|
||
return h - max(o, c)
|
||
|
||
def get_lower_shadow(self, candle):
|
||
"""下影线 = min(open, close) - low"""
|
||
o, c, l = float(candle['open']), float(candle['close']), float(candle['low'])
|
||
return min(o, c) - l
|
||
|
||
def upper_shadow_pct(self, candle):
|
||
"""上影线涨幅 = (上影线/开盘价)*100"""
|
||
o = float(candle['open'])
|
||
if o <= 0:
|
||
return 0.0
|
||
return self.get_upper_shadow(candle) / o * 100
|
||
|
||
def lower_shadow_pct(self, candle):
|
||
"""下影线跌幅 = (下影线/开盘价)*100"""
|
||
o = float(candle['open'])
|
||
if o <= 0:
|
||
return 0.0
|
||
return self.get_lower_shadow(candle) / o * 100
|
||
|
||
def get_body_upper_edge(self, candle):
|
||
"""实体上边 = max(open, close)"""
|
||
return max(float(candle['open']), float(candle['close']))
|
||
|
||
def get_body_lower_edge(self, candle):
|
||
"""实体下边 = min(open, close)"""
|
||
return min(float(candle['open']), float(candle['close']))
|
||
|
||
def check_reverse_signal(self, kline_data):
|
||
"""
|
||
反手信号（有持仓时检测）：
|
||
- 反手做空：当前持多，上一根K线上阴线涨幅 > 0.01%，当前K线跌到上一根K线的实体下边
|
||
- 反手做多：当前持空，上一根K线下阴线跌幅 > 0.01%，当前K线涨到上一根K线的实体上边
|
||
使用紧邻的上一根K线（kline_data[-2]）。
|
||
返回：(方向 'long'|'short', 上一根K线) 或 (None, None)
|
||
"""
|
||
if len(kline_data) < 2:
|
||
return None, None
|
||
curr = kline_data[-1]
|
||
prev = kline_data[-2]
|
||
curr_high = float(curr['high'])
|
||
curr_low = float(curr['low'])
|
||
prev_body_upper = self.get_body_upper_edge(prev) # 实体上边
|
||
prev_body_lower = self.get_body_lower_edge(prev) # 实体下边
|
||
|
||
# 持多反手做空：上一根上阴线涨幅>0.01%，当前跌到上一根实体下边
|
||
if self.start == 1:
|
||
if self.upper_shadow_pct(prev) > self.min_shadow_pct and curr_low <= prev_body_lower:
|
||
return 'short', prev
|
||
# 持空反手做多：上一根下阴线跌幅>0.01%，当前涨到上一根实体上边
|
||
if self.start == -1:
|
||
if self.lower_shadow_pct(prev) > self.min_shadow_pct and curr_high >= prev_body_upper:
|
||
return 'long', prev
|
||
return None, None
|
||
|
||
def check_realtime_trigger(self, kline_data):
|
||
"""
|
||
检查当前5分钟K线是否触发信号。
|
||
做多触发价 = 当前K线开盘价 + 实体/3，做空 = 当前K线开盘价 - 实体/3。
|
||
同根多空都触发时用开盘价与触发价距离判断先后。
|
||
返回：(方向, 触发价格, 有效前一根K线, 当前K线) 或 (None, None, None, None)
|
||
"""
|
||
if len(kline_data) < 2:
|
||
return None, None, None, None
|
||
|
||
curr = kline_data[-1]
|
||
curr_kline_id = curr['id']
|
||
curr_high = float(curr['high'])
|
||
curr_low = float(curr['low'])
|
||
curr_open = float(curr['open'])
|
||
|
||
valid_prev_idx, prev = self.find_valid_prev_bar(kline_data, len(kline_data) - 1)
|
||
if prev is None:
|
||
return None, None, None, None
|
||
|
||
long_trigger, short_trigger = self.get_one_third_levels(prev, curr)
|
||
if long_trigger is None:
|
||
return None, None, None, None
|
||
|
||
long_triggered = curr_high >= long_trigger
|
||
short_triggered = curr_low <= short_trigger
|
||
both_triggered = long_triggered and short_triggered
|
||
|
||
direction = None
|
||
trigger_price = None
|
||
|
||
if both_triggered:
|
||
dist_to_long = abs(long_trigger - curr_open)
|
||
dist_to_short = abs(short_trigger - curr_open)
|
||
if dist_to_short <= dist_to_long:
|
||
direction = 'short'
|
||
trigger_price = short_trigger
|
||
else:
|
||
direction = 'long'
|
||
trigger_price = long_trigger
|
||
elif short_triggered:
|
||
direction = 'short'
|
||
trigger_price = short_trigger
|
||
elif long_triggered:
|
||
direction = 'long'
|
||
trigger_price = long_trigger
|
||
|
||
if direction is None:
|
||
return None, None, None, None
|
||
|
||
if self.last_trigger_kline_id == curr_kline_id and self.last_trigger_direction == direction:
|
||
return None, None, None, None
|
||
|
||
return direction, trigger_price, prev, curr
|
||
|
||
# ========================= API =========================
|
||
|
||
def get_klines(self):
|
||
"""获取最近5分钟K线"""
|
||
try:
|
||
end_time = int(time.time())
|
||
response = self.contractAPI.get_kline(
|
||
contract_symbol=self.contract_symbol,
|
||
step=self.kline_step,
|
||
start_time=end_time - 3600 * 3,
|
||
end_time=end_time
|
||
)[0]["data"]
|
||
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:
|
||
if "429" in str(e) or "too many requests" in str(e).lower():
|
||
logger.warning(f"API限流，等待60秒: {e}")
|
||
time.sleep(60)
|
||
else:
|
||
logger.error(f"获取K线异常: {e}")
|
||
self.ding("获取K线异常", error=True)
|
||
return None
|
||
|
||
def get_current_price(self):
|
||
try:
|
||
end_time = int(time.time())
|
||
response = self.contractAPI.get_kline(
|
||
contract_symbol=self.contract_symbol,
|
||
step=1,
|
||
start_time=end_time - 3600 * 3,
|
||
end_time=end_time
|
||
)[0]
|
||
if response.get('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):
|
||
try:
|
||
response = self.contractAPI.get_assets_detail()[0]
|
||
if response.get('code') == 1000:
|
||
data = response.get('data')
|
||
if isinstance(data, dict):
|
||
return float(data.get('available_balance', 0))
|
||
if 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):
|
||
try:
|
||
response = self.contractAPI.get_position(contract_symbol=self.contract_symbol)[0]
|
||
if response.get('code') == 1000:
|
||
positions = response.get('data') or []
|
||
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].get('position_type') == 1 else -1
|
||
self.open_avg_price = positions[0].get('open_avg_price')
|
||
self.current_amount = positions[0].get('current_amount')
|
||
self.position_cross = positions[0].get("position_cross")
|
||
return True
|
||
return False
|
||
except Exception as e:
|
||
logger.error(f"持仓查询异常: {e}")
|
||
return False
|
||
|
||
def set_leverage(self):
|
||
try:
|
||
response = self.contractAPI.post_submit_leverage(
|
||
contract_symbol=self.contract_symbol,
|
||
leverage=self.leverage,
|
||
open_type=self.open_type
|
||
)[0]
|
||
if response.get('code') == 1000:
|
||
logger.success(f"全仓 {self.leverage}x 杠杆设置成功")
|
||
return True
|
||
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 =========================
|
||
|
||
def open_browser(self):
|
||
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 Exception:
|
||
return False
|
||
|
||
def close_extra_tabs(self):
|
||
try:
|
||
for idx, tab in enumerate(self.page.get_tabs()):
|
||
if idx > 0:
|
||
tab.close()
|
||
return True
|
||
except Exception:
|
||
return False
|
||
|
||
def click_safe(self, xpath, sleep=0.5):
|
||
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 Exception:
|
||
return False
|
||
|
||
def 平仓(self):
|
||
logger.info("执行平仓...")
|
||
self.click_safe('x://span[normalize-space(text()) ="市价"]')
|
||
time.sleep(0.5)
|
||
self.ding("执行平仓")
|
||
|
||
def 开单(self, marketPriceLongOrder=0, size=None):
|
||
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}，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(f"执行{direction_str}，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):
|
||
prefix = "❌三分之一策略：" if error else "🔔三分之一策略："
|
||
full_msg = f"{prefix}{msg}"
|
||
if error:
|
||
logger.error(msg)
|
||
for _ in range(3):
|
||
ding_executor.submit(self._send_ding_safe, full_msg)
|
||
else:
|
||
logger.info(msg)
|
||
ding_executor.submit(self._send_ding_safe, full_msg)
|
||
|
||
def _send_ding_safe(self, msg):
|
||
try:
|
||
if send_dingtalk_message:
|
||
send_dingtalk_message(msg)
|
||
except Exception as e:
|
||
logger.warning(f"钉钉发送失败: {e}")
|
||
|
||
# ========================= 主循环 =========================
|
||
|
||
def action(self):
|
||
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")
|
||
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("三分之一策略（5分钟K线）开始监测")
|
||
|
||
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) < 2:
|
||
logger.warning("K线数据不足，等待重试...")
|
||
time.sleep(self.check_interval)
|
||
continue
|
||
|
||
curr = kline_data[-1]
|
||
prev = kline_data[-2]
|
||
curr_time_str = datetime.datetime.fromtimestamp(curr['id']).strftime('%H:%M:%S')
|
||
|
||
if not self.get_position_status():
|
||
logger.warning("获取仓位失败，使用缓存")
|
||
|
||
curr_kline_id = curr['id']
|
||
|
||
# 有持仓时优先检测反手信号
|
||
if self.start != 0:
|
||
rev_dir, rev_prev = self.check_reverse_signal(kline_data)
|
||
if rev_dir:
|
||
balance = self.get_available_balance()
|
||
trade_size = (balance or 0) * self.risk_percent
|
||
if rev_prev is not None:
|
||
up_pct = self.upper_shadow_pct(rev_prev)
|
||
low_pct = self.lower_shadow_pct(rev_prev)
|
||
prev_body_upper = self.get_body_upper_edge(rev_prev)
|
||
prev_body_lower = self.get_body_lower_edge(rev_prev)
|
||
logger.info(f"{'='*50}")
|
||
if rev_dir == 'long':
|
||
logger.info(f"🔄 反手信号({rev_dir})：当前K线涨到上一根实体上边={prev_body_upper:.2f}")
|
||
else:
|
||
logger.info(f"🔄 反手信号({rev_dir})：当前K线跌到上一根实体下边={prev_body_lower:.2f}")
|
||
logger.info(f" 上一根 上阴线涨幅={up_pct:.3f}% 下阴线跌幅={low_pct:.3f}%")
|
||
logger.info(f"{'='*50}")
|
||
if rev_dir == 'long':
|
||
logger.info("📈 平空反手开多")
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=1, size=trade_size)
|
||
else:
|
||
logger.info("📉 平多反手开空")
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=-1, size=trade_size)
|
||
self.last_trigger_kline_id = curr_kline_id
|
||
self.last_trigger_direction = rev_dir
|
||
self.get_position_status()
|
||
time.sleep(self.check_interval)
|
||
continue
|
||
|
||
direction, trigger_price, valid_prev, curr_kline = self.check_realtime_trigger(kline_data)
|
||
|
||
if direction:
|
||
curr_kline_id = curr_kline['id']
|
||
|
||
# 信号与持仓同向则不操作
|
||
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
|
||
|
||
prev_time = datetime.datetime.fromtimestamp(valid_prev['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"{'='*50}")
|
||
logger.info(f"🚨 检测到{direction}信号 触发价={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5分钟K线 O={curr_kline['open']:.2f} H={curr_kline['high']:.2f} L={curr_kline['low']:.2f} C={curr_kline['close']:.2f}")
|
||
logger.info(f" 当前持仓: {self.start} (1=多 -1=空 0=无)")
|
||
|
||
balance = self.get_available_balance()
|
||
trade_size = (balance or 0) * self.risk_percent
|
||
executed = False
|
||
|
||
if direction == "long":
|
||
if self.start == -1:
|
||
logger.info("📈 平空反手开多")
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=1, size=trade_size)
|
||
executed = True
|
||
elif self.start == 0:
|
||
logger.info("📈 无仓位开多")
|
||
self.开单(marketPriceLongOrder=1, size=trade_size)
|
||
executed = True
|
||
elif direction == "short":
|
||
if self.start == 1:
|
||
logger.info("📉 平多反手开空")
|
||
self.平仓()
|
||
time.sleep(1)
|
||
self.开单(marketPriceLongOrder=-1, size=trade_size)
|
||
executed = True
|
||
elif self.start == 0:
|
||
logger.info("📉 无仓位开空")
|
||
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.get_position_status()
|
||
logger.info(f"{'='*50}")
|
||
else:
|
||
logger.debug(f"[{curr_time_str}] O={curr['open']:.2f} H={curr['high']:.2f} L={curr['low']:.2f}")
|
||
|
||
if time.time() - last_report_time >= report_interval:
|
||
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:
|
||
BitmartOneThirdStrategy(bit_id="f2320f57e24c45529a009e1541e25961").action()
|
||
except KeyboardInterrupt:
|
||
logger.info("程序被用户中断")
|
||
finally:
|
||
ding_executor.shutdown(wait=True)
|