增加下单交易demo和三角套利下单部分（未完成）

code/study-trade.py

@@ -0,0 +1,144 @@
+import ccxt
+import time
+import os
+import asyncio
+import socket
+
+# good_exchange_name = ['binance', 'fcoin', 'gateio', 'huobipro', 'kucoin', 'okex','bcex','bibox','bigone','bitfinex','bitforex',
+#                       'bithumb','bitkk','cex','coinbase','coinex','cointiger','exx','gdax','gemini','hitbtc','rightbtc',
+#                       'theocean','uex']
+# good_exchange_name = ['kucoin', 'okex', 'bcex', 'bibox', 'bigone']
+good_exchange_name = ['uex']
+good_coin = ['ETH', 'XRP', 'BCH', 'EOS', 'XLM', 'LTC', 'ADA', 'XMR', 'TRX', 'BNB', 'ONT', 'NEO', 'DCR', 'LBA', 'RATING']
+
+has_config_exchange = ['okex','uex']
+config_key = dict()
+config_key['okex'] = ['okex_key','okex_secret']
+config_key['uex'] = ['uex_key','uex_secret']
+
+# 订单交易量吃单比例
+order_ratio = 0.5
+# 价格滑点比例
+slippage = 0.000
+
+delay = 2
+
+
+print('config_key is {}'.format(config_key))
+
+def set_proxy():
+    os.environ.setdefault('http_proxy', 'http://127.0.0.1:1080')
+    os.environ.setdefault('https_proxy', 'http://127.0.0.1:1080')
+
+
+# 获取指定交易所列表
+def get_exchange_list(good_list):
+    exchange_list = []
+    for exchange_name in good_list:
+        exchange = getattr(ccxt,exchange_name)()
+        if exchange :
+            exchange_list.append(exchange)
+    return exchange_list
+
+
+# 设置交易所key
+def set_exchange_key(exchange):
+    if exchange.id in has_config_exchange:
+        exchange.apiKey = config_key[exchange.id][0]
+        exchange.secret = config_key[exchange.id][1]
+        print('set_exchange_key name is {},key is {},secret is {}'.format(exchange.name,exchange.apiKey,exchange.secret))
+    else:
+        print('set_exchange_key name is {} no key'.format(exchange.name))
+
+
+def get_host_ip():
+    try:
+        s = socket.socket(socket.AF_INET, socket.SOCK_DGRAM)
+        s.connect(('8.8.8.8', 80))
+        ip = s.getsockname()[0]
+    finally:
+        s.close()
+    return ip
+
+if __name__ == '__main__':
+
+    print('before proxy ip is {}'.format(get_host_ip()))
+    set_proxy()
+    print('after proxy ip is {}'.format(get_host_ip()))
+    good_exchange_list = get_exchange_list(good_exchange_name)
+    for exchange in good_exchange_list:
+        set_exchange_key(exchange)
+    for exchange in good_exchange_list:
+        print('exchange name is {},key is {},secret is {}'.format(exchange.name,exchange.apiKey,exchange.secret))
+        print('exchange has {}'.format(exchange.has))
+        try:
+            base = 'RATING'
+            quote = 'ETH'
+            symbol = base+'/'+quote
+            default_amount = 0.0001
+            default_price = 0
+            balance = exchange.fetch_balance()
+            orderbook = exchange.fetch_order_book(symbol)
+
+            buy_price = orderbook['bids'][0][0] if len (orderbook['bids']) > 0 else None
+            buy_amount = orderbook['bids'][0][1] if len(orderbook['bids']) > 0 else None
+            sell_price = orderbook['asks'][0][0] if len (orderbook['asks']) > 0 else None
+            sell_amount = orderbook['asks'][0][1] if len(orderbook['asks']) > 0 else None
+
+            quote_free = balance[quote]['free'] if balance[quote]['free'] else 0
+            quote_used = balance[quote]['used'] if balance[quote]['used'] else 0
+            quote_total = balance[quote]['total'] if balance[quote]['total'] else 0
+
+            base_free = balance[base]['free'] if balance[base]['free'] else 0
+            base_used = balance[base]['used'] if balance[base]['used'] else 0
+            base_total = balance[base]['total'] if balance[base]['total'] else 0
+
+            # 买操作
+            if quote_free > sell_price*sell_amount*order_ratio:
+                ret_buy = exchange.create_order(symbol,'limit','buy',sell_amount*order_ratio,sell_price*(1-slippage))
+                order = exchange.fetch_order(ret_buy['id'],symbol)
+                print('do buy ret_buy is {},order is {},amount {},filled {},remaining {}'.format(ret_buy,order,ret_buy['amount'],ret_buy['filled'],ret_buy['remaining']))
+            else:
+                print('do buy quote_free <  sell_price*sell_amount InsufficientFunds {},{}'.format(quote_free,sell_price*sell_amount))
+
+            # 卖操作
+            if base_free >= buy_amount*order_ratio:
+                ret_sell = exchange.create_order(symbol, 'limit', 'sell', buy_amount*order_ratio, buy_price*(1+slippage))
+                order = exchange.fetch_order(ret_sell['id'],symbol)
+                print('do sell ret_sell is {},order is {},amount {},filled {},remaining {}'.format(ret_sell,order,ret_sell['amount'],ret_sell['filled'],ret_sell['remaining']))
+            else:
+                print('do sell base_free > buy_amount {},{}'.format(base_free,buy_amount))
+
+            # 卖
+            # if base_free > 0:
+            #     ret_sell = exchange.create_order(symbol, 'limit', 'sell', base_free, buy_price*(1+slippage))
+            #     order = exchange.fetch_order(ret_sell['id'],symbol)
+            #     filled = order['filled']
+            #     remaining = order['remaining']
+            #     cost = order['cost']
+            #     fee = order['fee']
+            #     print('do sell ret_sell is {},order is {},amount {},filled {},remaining {}'.format(ret_sell,order,ret_sell['amount'],ret_sell['filled'],ret_sell['remaining']))
+            #     print('order amount is {},filled is {},remaining is {},cost is {},fee is {}'.format(ret_sell['amount'],filled,remaining,cost,fee))
+            # else:
+            #     print('do sell base_free > buy_amount {},{}'.format(base_free,buy_amount))
+
+            # 轮询3次取消尚未成交的订单
+            open_order_list = exchange.fetch_open_orders(symbol)
+            for open_order in open_order_list:
+                id = open_order['id']
+                retry = 0
+                while retry < 3:
+                    if retry == 2:
+                        exchange.cancel_order(id, symbol)
+                    time.sleep(delay)
+                    order = exchange.fetch_order(id, symbol)
+                    filled = order['filled']
+                    remaining = order['remaining']
+                    amount = order['amount']
+                    if filled/amount < order_ratio:
+                        retry += 1
+                        continue
+                    #TODO 对冲操作
+
+        except Exception as e:
+            print('balance exception is {}'.format(e))

code/triangle-trade.py

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+import ccxt
+import time
+import os
+"""
+    三角套利demo2：寻找三角套利空间，包含下单模块
+    交易对：用一种资产（quote currency）去定价另一种资产（base currency）,比如用比特币（BTC）去定价莱特币（LTC），
+    就形成了一个LTC/BTC的交易对，
+    交易对的价格代表的是买入1单位的base currency（比如LTC）
+    需要支付多少单位的quote currency（比如BTC），
+    或者卖出一个单位的base currency（比如LTC）
+    可以获得多少单位的quote currency（比如BTC）。
+    中间资产mid currency可以是USDT等稳定币
+"""
+# P1 quote_mid BTC/USDT
+# P2 base_mid LTC/USDT
+# P3 base_quote LTC/BTC
+default_base_cur = 'LTC'
+default_quote_cur = 'BTC'
+default_mid_cur = 'USDT'
+# delay 2 second
+delay = 2
+# good_exchange_name = ['binance', 'fcoin', 'gateio', 'huobipro', 'kucoin', 'okex']
+# good_exchange_name = ['binance', 'fcoin', 'gateio', 'huobipro', 'kucoin', 'okex','bcex','bibox','bigone','bitfinex','bitforex',
+#                       'bithumb','bitkk','cex','coinbase','coinex','cointiger','exx','gdax','gemini','hitbtc','rightbtc',
+#                       'theocean','uex']
+# good_coin = ['ETH', 'XRP', 'BCH', 'EOS', 'XLM', 'LTC', 'ADA', 'XMR', 'TRX', 'BNB', 'ONT', 'NEO', 'DCR']
+
+good_exchange_name = ['uex']
+good_coin = ['ETH', 'XRP', 'BCH', 'EOS', 'XLM', 'LTC', 'ADA', 'XMR', 'TRX', 'BNB', 'ONT', 'NEO', 'DCR', 'LBA', 'RATING']
+
+has_config_exchange = ['okex','uex']
+config_key = dict()
+config_key['okex'] = ['okex_key','okex_secret']
+config_key['uex'] = ['uex_key','uex_secret']
+
+# 订单交易量吃单比例
+order_ratio = 0.5
+
+def set_proxy():
+    os.environ.setdefault('http_proxy', 'http://127.0.0.1:1080')
+    os.environ.setdefault('https_proxy', 'http://127.0.0.1:1080')
+
+
+# 获取指定交易所列表
+def get_exchange_list(good_list):
+    exchange_list = []
+    for exchange_name in good_list:
+        exchange = getattr(ccxt,exchange_name)()
+        if exchange :
+            exchange_list.append(exchange)
+    return exchange_list
+
+
+# 在指定交易所寻找三角套利机会，根据P3与P2/P1大小关系进行套利，暂不考虑滑点和手续费，目标保持base,quote数量不变，使mid数量增多
+def find_trade_chance(exchange,base='LTC',quote='BTC',mid='USDT'):
+    try:
+        exchange.load_markets()
+    except Exception as e:
+        print('load_markets e is {} ,exchange is {}'.format(e.args[0],exchange.name))
+        return
+    cur_quote_mid = quote + '/' + mid
+    cur_base_mid = base+'/'+mid
+    cur_base_quote = base + '/' + quote
+
+    try:
+        book_quote_mid = exchange.fetch_order_book(cur_quote_mid)
+        time.sleep(delay)
+        book_base_mid = exchange.fetch_order_book(cur_base_mid)
+        time.sleep(delay)
+        book_base_quote = exchange.fetch_order_book(cur_base_quote)
+    except Exception as e:
+        print('fetch_order_book e is {} ,exchange is {}'.format(e.args[0],exchange.name))
+        return
+
+    # P1
+    price_quote_mid_bid1 = book_quote_mid['bids'][0][0] if len(book_quote_mid['bids']) > 0 else None
+    price_quote_mid_ask1 = book_quote_mid['asks'][0][0] if len(book_quote_mid['asks']) > 0 else None
+    size_quote_mid_bid1 = book_quote_mid['bids'][0][1] if len(book_quote_mid['bids']) > 0 else None
+    size_quote_mid_ask1 = book_quote_mid['asks'][0][1] if len(book_quote_mid['asks']) > 0 else None
+    # P2
+    price_base_mid_bid1 = book_base_mid['bids'][0][0] if len(book_base_mid['bids']) > 0 else None
+    price_base_mid_ask1 = book_base_mid['asks'][0][0] if len(book_base_mid['asks']) > 0 else None
+    size_base_mid_bid1 = book_base_mid['bids'][0][1] if len(book_base_mid['bids']) > 0 else None
+    size_base_mid_ask1 = book_base_mid['asks'][0][1] if len(book_base_mid['asks']) > 0 else None
+    # P3
+    price_base_quote_bid1 = book_base_quote['bids'][0][0] if len(book_base_quote['bids']) > 0 else None
+    price_base_quote_ask1 = book_base_quote['asks'][0][0] if len(book_base_quote['asks']) > 0 else None
+    size_base_quote_bid1 = book_base_quote['bids'][0][1] if len(book_base_quote['bids']) > 0 else None
+    size_base_quote_ask1 = book_base_quote['asks'][0][1] if len(book_base_quote['asks']) > 0 else None
+    date_time = exchange.last_response_headers['Date']
+    print('-----find_trade_chance开始在交易所{}寻找三角套利机会,base:{},quote:{},mid:{},time:{}'.format(exchange.name,base,quote,mid,date_time))
+    print('P1: buy1:{},{},sell1:{},{}'.format(price_quote_mid_bid1,size_quote_mid_bid1,price_quote_mid_ask1,size_quote_mid_ask1))
+    print('P2: buy1:{},{},sell1:{},{}'.format(price_base_mid_bid1, size_base_mid_bid1, price_base_mid_ask1,size_base_mid_ask1))
+    print('P3: buy1:{},{},sell1:{},{}'.format(price_base_quote_bid1, size_base_quote_bid1, price_base_quote_ask1,size_base_quote_ask1))
+    #检查正循环套利
+    '''
+        三角套利的基本思路是，用两个市场（比如BTC/CNY，LTC/CNY）的价格（分别记为P1，P2），
+        计算出一个公允的LTC/BTC价格（P2/P1），如果该公允价格跟实际的LTC/BTC市场价格（记为P3）不一致，
+        就产生了套利机会
+        P3<P2/P1
+        操作：买-卖/买
+        价格条件提交：base_quote_ask1卖1 < base_mid_bid1买1/quote_mid_ask1卖1
+        交易量Q3:三者中取最小下单量，单位要统一为P3交易对的个数
+        利润：Q3*P1*(P2/P1-P3)
+    '''
+    if price_base_quote_ask1 < price_base_mid_bid1/price_quote_mid_ask1:
+        trade_size = min(size_base_quote_ask1,size_base_mid_bid1,size_quote_mid_ask1/price_base_quote_ask1)
+        price_diff = price_quote_mid_ask1*(price_base_mid_bid1/price_quote_mid_ask1 - price_base_quote_ask1)
+        profit = trade_size*price_diff
+        print('++++++发现正套利机会 profit is {},price_diff is {},trade_size is {},P3: {} < P2/P1: {},time:{}\n\n'.format(
+            profit, price_diff,trade_size, price_base_quote_ask1, price_base_mid_bid1/price_quote_mid_ask1, date_time))
+        postive_trade(exchange,cur_base_quote,cur_base_mid,cur_quote_mid,size_base_quote_ask1,price_base_quote_ask1,
+                      size_base_mid_bid1,price_base_mid_bid1,size_quote_mid_ask1,price_quote_mid_ask1)
+        # 检查逆循环套利
+        '''
+            P3>P2/P1
+            操作：卖-买/卖
+            价格条件：base_quote_bid1买1 > base_mid_ask1卖1/quote_mid_bid1买1
+            交易量Q3:三者中取最小下单量
+            利润：Q3*P1*(P3-P2/P1)
+        '''
+    elif price_base_quote_bid1 > price_base_mid_ask1/price_quote_mid_bid1:
+        trade_size = min(size_base_quote_bid1,size_base_mid_ask1,size_quote_mid_bid1/price_base_quote_bid1)
+        price_diff = price_quote_mid_bid1*(price_base_quote_bid1-price_base_mid_ask1/price_quote_mid_bid1)
+        profit = trade_size*price_diff
+        print('++++++发现逆套利机会 profit is {},price_diff is {},trade_size is {},P3: {} > P2/P1: {},time:{}\n\n'.format(
+            profit, price_diff, trade_size, price_base_quote_bid1, price_base_mid_ask1/price_quote_mid_bid1, date_time))
+        negative_trade()
+    else:
+        print('在交易所{}没有找到三角套利机会,time:{}\n\n'.format(exchange.name,date_time))
+
+
+# 正循环套利
+'''
+    正循环套利
+    正循环套利的顺序如下：
+    先去LTC/BTC吃单买入LTC，卖出BTC，然后根据LTC/BTC的成交量，使用多线程，
+    同时在LTC/CNY和BTC/CNY市场进行对冲。LTC/CNY市场吃单卖出LTC，BTC/CNY市场吃单买入BTC。
+    P3<P2/P1
+    操作：买-卖/买
+
+'''
+
+
+def postive_trade(exchange, base_quote, base_mid, quote_mid, size_base_quote_ask1, price_base_quote_ask1,
+                  size_base_mid_bid1, price_base_mid_bid1, size_quote_mid_ask1, price_quote_mid_ask1):
+    #买入P3
+    result = exchange.create_order(base_quote, 'limit', 'buy',  size_base_quote_ask1 * order_ratio,price_base_quote_ask1)
+
+    retry = 0
+    already_hedged_amount = 0
+    while retry < 3:
+        if retry == 2:
+            # cancel order
+            exchange.cancel_order(result['id'], base_quote)
+            break
+        order = exchange.fetch_order(result['id'], base_quote)
+        filled = order['filled']
+        remaining = order['remaining']
+        amount = order['amount']
+        if filled/amount < order_ratio:
+            retry +=1
+            continue
+        # 对冲卖P2
+        hedge_sell(exchange, base_mid, filled)
+        # 对冲买P1
+        hedge_buy(exchange, quote_mid, filled)
+
+        if filled >= amount:
+            break
+
+
+'''
+    逆循环套利
+    逆循环套利的顺序如下：
+    先去LTC/BTC吃单卖出LTC，买入BTC，然后根据LTC/BTC的成交量，使用多线程，
+    同时在LTC/CNY和BTC/CNY市场进行对冲。
+    LTC/CNY市场吃单买入LTC，BTC/CNY市场吃单卖出BTC。
+    P3>P2/P1
+    操作：卖-买/卖
+
+'''
+
+
+# 逆循环套利
+def negative_trade():
+    pass
+
+
+# 对冲买
+def hedge_sell(exchange, symbol, sell_size):
+    pass
+
+
+# 对冲卖
+def hedge_buy(exchange, symbol, buy_size):
+    pass
+
+
+# 获取下单买入数量
+def get_buy_size():
+    pass
+
+
+# 获取下单卖出数量
+def get_sell_size():
+    pass
+
+if __name__ == '__main__':
+    set_proxy()
+    good_exchange_list = get_exchange_list(good_exchange_name)
+    # 在good_coin作为base，quote=BTC,mid=USDT 在good_exchange_list交易所列表中寻找套利机会
+    for symbol in good_coin:
+        for exchange in good_exchange_list:
+            find_trade_chance(exchange, symbol, default_quote_cur, default_mid_cur)
+