459 lines
17 KiB
Python
459 lines
17 KiB
Python
"""
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BitMart 被动做市/高频刷单策略 (修复版 V2)
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修复内容：
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1. 修正 get_order_book 中解析深度数据的方式，由字典键名访问改为列表索引访问 (['price'] -> [0])
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"""
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import time
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import requests
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from typing import Optional, Dict, List, Tuple
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from dataclasses import dataclass
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from loguru import logger
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from threading import Lock
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from DrissionPage import ChromiumPage, ChromiumOptions
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from bitmart.api_contract import APIContract
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# ================================================================
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# 📊 配置类
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# ================================================================
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@dataclass
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class MarketMakingConfig:
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"""做市策略配置"""
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# API配置（仅用于查询，不下单）
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api_key: str = "a0fb7b98464fd9bcce67e7c519d58ec10d0c38a8"
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secret_key: str = "4eaeba78e77aeaab1c2027f846a276d164f264a44c2c1bb1c5f3be50c8de1ca5"
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memo: str = "合约交易"
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contract_symbol: str = "ETHUSDT"
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# 浏览器配置
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tge_id: int = 196495 # TGE浏览器ID
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tge_url: str = "http://127.0.0.1:50326"
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tge_headers: Dict = None
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trading_url: str = "https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT"
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# 做市基础参数
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spread_percent: float = 0.04 # 基础价差 (0.04% 约为 $1左右 on ETH)
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order_size_usdt: float = 10.0 # 每单金额（USDT）
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max_position_usdt: float = 100.0 # 最大持仓金额（USDT）
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# 🚀 高级策略参数
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# 库存倾斜：每持有100U，价格偏移多少。正数表示持有多单时价格下调（利于卖出，不利于买入）
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inventory_skew_factor: float = 0.0005
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# 价格容忍度：只有当(目标价 - 当前挂单价) / 目标价 > 0.05% 时才改单，避免频繁操作
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price_tolerance: float = 0.0005
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# 风险控制
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max_daily_loss: float = 50.0
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leverage: str = "30"
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open_type: str = "cross"
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def __post_init__(self):
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"""初始化TGE headers"""
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if self.tge_headers is None:
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self.tge_headers = {
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"Authorization": "Bearer asp_174003986c9b0799677c5b2c1adb76e402735d753bc91a91",
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"Content-Type": "application/json"
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}
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# ================================================================
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# 📊 订单簿数据结构
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# ================================================================
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@dataclass
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class OrderBook:
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"""订单簿数据"""
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bids: List[Tuple[float, float]] # [(价格, 数量), ...]
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asks: List[Tuple[float, float]] # [(价格, 数量), ...]
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timestamp: float
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@property
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def mid_price(self) -> Optional[float]:
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"""中间价"""
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if self.bids and self.asks:
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return (self.bids[0][0] + self.asks[0][0]) / 2
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return None
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# ================================================================
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# 📊 浏览器管理器
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# ================================================================
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class BrowserManager:
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"""浏览器管理器：负责浏览器的启动、接管和标签页管理"""
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def __init__(self, config: MarketMakingConfig):
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self.config = config
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self.tge_port: Optional[int] = None
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self.page: Optional[ChromiumPage] = None
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def open_browser(self) -> bool:
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"""打开浏览器并获取端口"""
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try:
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response = requests.post(
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f"{self.config.tge_url}/api/browser/start",
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json={"envId": self.config.tge_id},
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headers=self.config.tge_headers,
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timeout=10
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)
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data = response.json()
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if "data" in data and "port" in data["data"]:
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self.tge_port = data["data"]["port"]
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logger.success(f"成功打开浏览器，端口：{self.tge_port}")
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return True
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else:
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logger.error(f"打开浏览器响应异常: {data}")
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return False
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except Exception as e:
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logger.error(f"打开浏览器失败: {e}")
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return False
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def take_over_browser(self) -> bool:
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"""接管浏览器"""
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if not self.tge_port:
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logger.error("浏览器端口未设置")
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return False
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try:
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co = ChromiumOptions()
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co.set_local_port(self.tge_port)
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self.page = ChromiumPage(addr_or_opts=co)
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logger.success("成功接管浏览器")
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return True
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except Exception as e:
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logger.error(f"接管浏览器失败: {e}")
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return False
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def close_extra_tabs(self) -> bool:
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"""关闭多余的标签页，只保留第一个"""
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if not self.page:
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return False
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try:
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tabs = self.page.get_tabs()
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for idx, tab in enumerate(tabs):
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if idx == 0: continue
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tab.close()
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return True
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except Exception as e:
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logger.warning(f"关闭多余标签页失败: {e}")
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return False
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# ================================================================
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# 📊 浏览器交易执行器
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# ================================================================
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class BrowserTradingExecutor:
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"""浏览器交易执行器：通过浏览器自动化下单（获取高返佣）"""
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def __init__(self, page: ChromiumPage):
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self.page = page
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def click_safe(self, xpath: str, sleep: float = 0.5) -> bool:
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"""安全点击"""
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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()
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return True
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except Exception as e:
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logger.error(f"点击失败 {xpath}: {e}")
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return False
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def 开单(self, marketPriceLongOrder: int = 0, limitPriceShortOrder: int = 0,
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size: Optional[float] = None, price: Optional[float] = None) -> bool:
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"""开单操作"""
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size = 0.1
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try:
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# 市价单 (代码略)
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if marketPriceLongOrder == -1: pass
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elif marketPriceLongOrder == 1: pass
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# 限价单
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if limitPriceShortOrder == -1:
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# 限价做空
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if not self.click_safe('x://button[normalize-space(text()) ="限价"]'): return False
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self.page.ele('x://*[ @id="price_0"]').input(vals=price, clear=True)
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time.sleep(0.2)
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self.page.ele('x://*[ @id="size_0"]').input(vals=size, clear=True)
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if not self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]'): return False
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logger.success(f"浏览器下单: 限价做空 {size} @ {price}")
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return True
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elif limitPriceShortOrder == 1:
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# 限价做多
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if not self.click_safe('x://button[normalize-space(text()) ="限价"]'): return False
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self.page.ele('x://*[ @id="price_0"]').input(vals=price, clear=True)
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time.sleep(0.2)
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self.page.ele('x://*[ @id="size_0"]').input(vals=size, clear=True)
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if not self.click_safe('x://span[normalize-space(text()) ="买入/做多"]'): return False
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logger.success(f"浏览器下单: 限价做多 {size} @ {price}")
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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"开单异常: {e}")
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return False
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def place_limit_order(self, side: str, price: float, size: float) -> bool:
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"""统一接口"""
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if side == "buy":
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return self.开单(limitPriceShortOrder=1, size=size, price=price)
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else:
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return self.开单(limitPriceShortOrder=-1, size=size, price=price)
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# ================================================================
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# 📊 BitMart API 封装 (修复 get_order_book)
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# ================================================================
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class BitMartMarketMakerAPI:
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"""BitMart做市API封装（仅用于查询，不下单）"""
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def __init__(self, config: MarketMakingConfig):
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self.config = config
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self.contractAPI = APIContract(
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config.api_key,
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config.secret_key,
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config.memo,
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timeout=(5, 15)
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)
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def get_order_book(self) -> Optional[OrderBook]:
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try:
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# 移除不支持的 limit 参数
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response = self.contractAPI.get_depth(contract_symbol=self.config.contract_symbol)[0]
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if response.get('code') == 1000:
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data = response.get('data', {})
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bids = []
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asks = []
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# 解析数据
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if isinstance(data, dict):
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bids_raw = data.get('bids', [])
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asks_raw = data.get('asks', [])
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# 修复：b 是列表 [price, size]，不是字典
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for b in bids_raw[:10]:
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# b[0] 是价格, b[1] 是数量
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bids.append((float(b[0]), float(b[1])))
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for a in asks_raw[:10]:
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# a[0] 是价格, a[1] 是数量
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asks.append((float(a[0]), float(a[1])))
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if bids and asks:
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return OrderBook(bids=bids, asks=asks, timestamp=time.time())
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else:
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logger.warning(f"获取深度失败: {response}")
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return None
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except Exception as e:
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logger.error(f"获取订单簿异常: {e}")
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return None
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def get_position_net(self) -> float:
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"""获取净持仓 (多为正，空为负)"""
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try:
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response = self.contractAPI.get_position(contract_symbol=self.config.contract_symbol)[0]
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if response.get('code') == 1000:
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data = response.get('data', [])
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if data:
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pos = data[0]
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current_amount = float(pos.get('current_amount', 0))
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position_type = int(pos.get('position_type', 0)) # 1多 2空
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if position_type == 1: return current_amount
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if position_type == 2: return -current_amount
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return 0.0
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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 0.0
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def get_open_orders(self) -> List[Dict]:
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"""获取当前挂单"""
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try:
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resp = self.contractAPI.get_open_order(contract_symbol=self.config.contract_symbol)[0]
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if resp.get("code") == 1000:
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return resp.get("data", [])
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return []
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except Exception as e:
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logger.error(f"查询挂单异常: {e}")
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return []
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def cancel_order(self, order_id: str) -> bool:
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"""API撤单"""
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try:
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resp = self.contractAPI.post_cancel_order(contract_symbol=self.config.contract_symbol, order_id=order_id)[0]
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return resp.get("code") == 1000
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except Exception as e:
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logger.error(f"API撤单异常: {e}")
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return False
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def set_leverage(self):
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try:
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self.contractAPI.post_submit_leverage(contract_symbol=self.config.contract_symbol, leverage=self.config.leverage, open_type=self.config.open_type)
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except:
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pass
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# ================================================================
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# 🧠 策略核心
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# ================================================================
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class MarketMakingStrategy:
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"""优化版被动做市策略"""
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def __init__(self, config: MarketMakingConfig):
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self.config = config
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self.api = BitMartMarketMakerAPI(config)
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self.browser_manager = BrowserManager(config)
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self.trading_executor: Optional[BrowserTradingExecutor] = None
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self.running = False
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# 初始化流程
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if not self._initialize_browser():
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raise Exception("浏览器初始化失败")
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self.api.set_leverage()
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def _initialize_browser(self) -> bool:
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try:
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if not self.browser_manager.open_browser(): return False
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if not self.browser_manager.take_over_browser(): return False
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self.browser_manager.close_extra_tabs()
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# 访问交易页
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logger.info(f"正在访问交易页: {self.config.trading_url}")
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self.browser_manager.page.get(self.config.trading_url)
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time.sleep(3)
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self.trading_executor = BrowserTradingExecutor(self.browser_manager.page)
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logger.success("浏览器环境就绪")
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return True
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except Exception as e:
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logger.error(f"浏览器初始化异常: {e}")
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return False
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def calculate_target_prices(self, mid_price: float, net_position: float) -> Tuple[float, float]:
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"""核心算法：计算考虑了库存倾斜的目标买卖价"""
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# 1. 基础价差的一半
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half_spread = mid_price * (self.config.spread_percent / 100) / 2
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# 2. 库存倾斜调整
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skew_adjust = net_position * self.config.inventory_skew_factor * mid_price
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quote_mid = mid_price - skew_adjust
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target_bid = quote_mid - half_spread
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target_ask = quote_mid + half_spread
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# 3. 价格修正 (防止穿仓)
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if target_ask <= target_bid:
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target_ask = target_bid + mid_price * 0.0001
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return round(target_bid, 2), round(target_ask, 2)
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def reconcile_orders(self, target_bid: float, target_ask: float):
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"""调节逻辑：对比API实际挂单 vs 目标价格"""
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open_orders = self.api.get_open_orders()
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current_bids = []
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current_asks = []
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for o in open_orders:
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side = o.get('side')
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# 兼容API返回
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side_str = str(side).lower()
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if side_str == '1' or 'buy' in side_str:
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current_bids.append(o)
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elif side_str == '2' or 'sell' in side_str:
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current_asks.append(o)
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# --- 调节买单 ---
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valid_bid_exists = False
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for order in current_bids:
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price = float(order.get('price', 0))
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diff_pct = abs(price - target_bid) / target_bid
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if diff_pct < self.config.price_tolerance:
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valid_bid_exists = True
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else:
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logger.info(f"♻️ 买单价格偏离 (现{price} vs 标{target_bid})，撤单")
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self.api.cancel_order(order.get('order_id') or order.get('id'))
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if not valid_bid_exists:
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# 计算张数
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size_contract = self.config.order_size_usdt / target_bid / 0.01
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size_contract = max(1, int(size_contract))
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logger.info(f"➕ 补买单: {target_bid} (数量:{size_contract})")
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self.trading_executor.place_limit_order("buy", target_bid, size_contract)
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# --- 调节卖单 ---
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valid_ask_exists = False
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for order in current_asks:
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price = float(order.get('price', 0))
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diff_pct = abs(price - target_ask) / target_ask
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if diff_pct < self.config.price_tolerance:
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valid_ask_exists = True
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else:
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logger.info(f"♻️ 卖单价格偏离 (现{price} vs 标{target_ask})，撤单")
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self.api.cancel_order(order.get('order_id') or order.get('id'))
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if not valid_ask_exists:
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size_contract = self.config.order_size_usdt / target_ask / 0.01
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size_contract = max(1, int(size_contract))
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logger.info(f"➕ 补卖单: {target_ask} (数量:{size_contract})")
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self.trading_executor.place_limit_order("sell", target_ask, size_contract)
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def run(self):
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self.running = True
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logger.info("🚀 策略已启动")
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while self.running:
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try:
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# 1. 获取市场数据
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ob = self.api.get_order_book()
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if not ob:
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time.sleep(1)
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continue
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mid_price = ob.mid_price
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# 2. 获取持仓
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net_position = self.api.get_position_net()
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# 3. 计算目标价
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t_bid, t_ask = self.calculate_target_prices(mid_price, net_position)
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logger.info(f"Mid:{mid_price:.2f} | Pos:{net_position} | Target Bid:{t_bid} Ask:{t_ask}")
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# 4. 调节挂单
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self.reconcile_orders(t_bid, t_ask)
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# 5. 循环间隔
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time.sleep(3)
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except KeyboardInterrupt:
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logger.warning("停止策略")
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break
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except Exception as e:
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logger.error(f"Loop Exception: {e}")
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time.sleep(2)
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if __name__ == '__main__':
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config = MarketMakingConfig(
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contract_symbol="ETHUSDT",
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spread_percent=0.04,
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order_size_usdt=0.1,
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max_position_usdt=50.0,
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inventory_skew_factor=0.0005,
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price_tolerance=0.0005
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)
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strategy = MarketMakingStrategy(config)
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strategy.run()
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