314 lines
13 KiB
Python
314 lines
13 KiB
Python
import okx.Account as Account
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import okx.Trade as Trade
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import okx.MarketData as Market
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import okx.PublicData as Public
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import pandas as pd
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import core.logger as logging
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from typing import Optional
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logger = logging.logger
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class QuantTrader:
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def __init__(self,
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api_key: str,
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secret_key: str,
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passphrase: str,
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sandbox: bool = True,
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symbol: str = "BTC-USDT",
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position_size: float = 0.001):
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"""
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初始化货币量化交易器
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Args:
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api_key: OKX API Key
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secret_key: OKX Secret Key
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passphrase: OKX API Passphrase
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sandbox: 是否使用沙盒环境（建议先用沙盒测试）
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"""
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self.api_key = api_key
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self.secret_key = secret_key
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self.passphrase = passphrase
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flag = "1" if sandbox else "0" # 0:实盘环境 1:沙盒环境
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self.account_api = Account.AccountAPI(
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api_key=api_key, api_secret_key=secret_key, passphrase=passphrase,
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flag=flag
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)
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self.trade_api = Trade.TradeAPI(
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api_key=api_key, api_secret_key=secret_key, passphrase=passphrase,
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flag=flag
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)
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self.market_api = Market.MarketAPI(
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api_key=api_key, api_secret_key=secret_key, passphrase=passphrase,
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flag=flag
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)
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self.public_api = Public.PublicAPI(
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api_key=api_key, api_secret_key=secret_key, passphrase=passphrase,
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flag=flag
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)
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self.symbol = symbol
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self.symbol_swap = f'{symbol}-SWAP'
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self.symbol_prefix = symbol.split('-')[0]
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self.position_size = position_size
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def get_account_balance(self) -> float:
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"""获取账户余额"""
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try:
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result = {}
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search_result = self.account_api.get_account_balance()
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if search_result.get('code') == '0':
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balances = search_result.get('data', [])
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for balance in balances:
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details = balance.get('details', [])
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for detail in details:
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if detail.get('ccy') == 'USDT':
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logger.info(f"USDT余额: {detail.get('availBal')}")
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result['USDT'] = float(detail.get('availBal', 0))
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if detail.get('ccy') == self.symbol_prefix:
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logger.info(f"{self.symbol_prefix}余额: {detail.get('availBal')}")
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result[self.symbol_prefix] = float(detail.get('availBal', 0))
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if detail.get('ccy') == self.symbol_swap:
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logger.info(f"{self.symbol_swap}余额: {detail.get('availBal')}")
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result[self.symbol_swap] = float(detail.get('availBal', 0))
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return result
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else:
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logger.error(f"获取余额失败: {search_result}")
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return {}
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except Exception as e:
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logger.error(f"获取余额异常: {e}")
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return {}
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def get_current_price(self, symbol: str = None) -> Optional[float]:
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"""获取当前货币价格"""
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try:
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if symbol is None:
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symbol = self.symbol
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symbol_prefix = self.symbol_prefix
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else:
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symbol_prefix = symbol.split('-')[0]
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result = self.market_api.get_ticker(instId=symbol)
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if result.get('code') == '0':
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data = result.get('data', [])
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if data and 'last' in data[0]:
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price = float(data[0]['last'])
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logger.info(f"当前{symbol_prefix}价格: ${price:,.2f}")
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return price
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else:
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logger.error(f"ticker数据格式异常: {data}")
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return None
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else:
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logger.error(f"获取价格失败: {result}")
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return None
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except Exception as e:
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logger.error(f"获取价格异常: {e}")
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return None
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def get_kline_data(self, symbol: str = None, after: str = None, before: str = None, bar: str = '1m', limit: int = 100) -> Optional[pd.DataFrame]:
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"""获取K线数据"""
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if symbol is None:
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symbol = self.symbol
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try:
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if after is None and before is None:
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result = self.market_api.get_candlesticks(
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instId=symbol,
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bar=bar,
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limit=str(limit)
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)
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else:
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if after is None:
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after = ''
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if before is None:
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before = ''
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if limit == 0:
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limit = ''
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result = self.market_api.get_candlesticks(
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instId=symbol,
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after=after,
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before=before,
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bar=bar,
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limit=str(limit),
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)
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if result.get('code') == '0':
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data = result.get('data', [])
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if not data:
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logger.warning("K线数据为空")
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return None
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df = pd.DataFrame(data, columns=[
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'timestamp', 'open', 'high', 'low', 'close',
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'volume', 'volCcy', "volCCyQuote", "confirm"
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])
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for col in ['open', 'high', 'low', 'close', 'volume']:
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df[col] = pd.to_numeric(df[col], errors='coerce')
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df['timestamp'] = pd.to_datetime(df['timestamp'].astype(int), unit='ms', errors='coerce')
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return df
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else:
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logger.error(f"获取K线数据失败: {result}")
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return None
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except Exception as e:
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logger.error(f"获取K线数据异常: {e}")
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return None
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def place_market_order(self, side: str, size: float) -> Optional[str]:
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"""下市价单"""
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balance = self.get_account_balance()
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usdt_balance = balance.get('USDT')
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symbol_balance = balance.get(self.symbol_prefix)
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if side == 'sell':
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try:
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if symbol_balance < size:
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logger.error(f"{self.symbol_prefix}余额不足，目前余额: {symbol_balance}")
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return None
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result = self.trade_api.place_order(
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instId=self.symbol,
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tdMode='cash',
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side=side,
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ordType='market',
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sz=str(size)
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)
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if result.get('code') == '0':
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logger.info(f"下单成功: {side} {size} {self.symbol_prefix}")
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return result['data'][0]['ordId']
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else:
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logger.error(f"下单失败: {result}")
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return None
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except Exception as e:
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logger.error(f"下单异常: {e}")
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return None
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elif side == 'buy':
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try:
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instrument_result = self.public_api.get_instruments(instType="SPOT", instId=self.symbol)
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instrument_data = instrument_result.get("data", [])
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if not instrument_data:
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logger.error(f"未获取到合约信息: {instrument_result}")
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return None
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min_sz = float(instrument_data[0].get("minSz", 0))
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if size < min_sz:
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size = min_sz
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ticker = self.market_api.get_ticker(instId=self.symbol)
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last_price = float(ticker["data"][0]["last"])
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usdt_amount = float(last_price * size)
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if usdt_balance < usdt_amount:
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logger.error(f"USDT余额不足，目前余额: {usdt_balance}")
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return None
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result = self.trade_api.place_order(
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instId=self.symbol,
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tdMode="cash",
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side=side,
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ordType="market",
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sz=str(usdt_amount)
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)
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if result.get('code') == '0':
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logger.info(f"下单成功: {side} {usdt_amount} USDT")
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return result['data'][0]['ordId']
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else:
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logger.error(f"下单失败: {result}")
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return None
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except Exception as e:
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logger.error(f"下单异常: {e}")
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return None
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else:
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logger.error(f"不支持的下单方向: {side}")
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return None
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# 设置杠杆倍数
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def set_leverage(self, leverage: int = 1, mgn_mode: str = "cross", ccy: str = "USDT", posSide: str = "short"):
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result = self.account_api.set_leverage(
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lever=str(leverage),
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mgnMode=mgn_mode,
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instId=self.symbol_swap,
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ccy=ccy,
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posSide=posSide
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)
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if result["code"] == "0":
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logger.info(f"设置杠杆倍数 {leverage}x 成功")
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else:
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logger.error(f"设置杠杆失败: {result['msg']}")
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return result["code"] == "0"
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# 计算保证金需求
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def calculate_margin(self, quantity: int = 10, leverage: int = 1, slot: float = 0.01, buffer_ratio: float = 0.3):
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price = self.get_current_price(self.symbol_swap)
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if not price:
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return None
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contract_value = quantity * slot * price # 每张 0.01 BTC
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initial_margin = contract_value / leverage
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recommended_margin = initial_margin * (1 + buffer_ratio)
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logger.info(f"开仓{self.symbol_swap}价格: {price:.2f} USDT")
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logger.info(f"合约总价值: {contract_value:.2f} USDT")
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logger.info(f"初始保证金: {initial_margin:.2f} USDT")
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logger.info(f"推荐保证金 (含 {buffer_ratio*100}% 缓冲): {recommended_margin:.2f} USDT")
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return recommended_margin, price
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# 开空头仓位（卖出空单）
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def place_short_order(self, td_mode: str = "cross", quantity: int = 10, leverage: int = 1, slot: float = 0.01, buffer_ratio: float = 0.3):
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"""开空头仓位（卖出空单）"""
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# 计算所需保证金和开仓价格
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margin_data = self.calculate_margin(quantity, leverage, slot, buffer_ratio)
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if not margin_data:
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logger.error("无法计算保证金，终止下单")
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return None, None
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required_margin, entry_price = margin_data
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# 检查余额
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balance = self.get_account_balance()
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avail_bal = balance.get('USDT')
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if avail_bal is None or avail_bal < required_margin:
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logger.error(f"保证金不足，需至少 {required_margin:.2f} USDT，当前余额: {avail_bal}")
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return None, None
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# 设置杠杆
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if not self.set_leverage(leverage, mgn_mode=td_mode, ccy="USDT", posSide="short"):
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return None, None
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# 下单
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order_data = {
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"instId": self.symbol_swap,
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"tdMode": td_mode,
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"ccy": "USDT",
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"side": "sell",
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"posSide": "short",
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"ordType": "market",
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"sz": str(quantity),
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}
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result = self.trade_api.place_order(**order_data)
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if result.get("code") == "0":
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logger.info(f"开空单成功，订单ID: {result['data'][0]['ordId']}")
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return result["data"][0]["ordId"], entry_price
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else:
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logger.error(f"开空单失败: {result.get('msg', result)}")
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return None, None
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# 平空单（买入平仓）
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def close_short_order(self, td_mode: str = "cross", quantity: float = 10) -> bool:
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"""平空单（买入平仓）"""
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order_data = {
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"instId": self.symbol_swap,
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"tdMode": td_mode,
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"ccy": "USDT",
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"side": "buy",
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"posSide": "short",
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"ordType": "market",
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"sz": str(quantity),
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}
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result = self.trade_api.place_order(**order_data)
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if result.get("code") == "0":
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logger.info(f"平空单成功，订单ID: {result['data'][0]['ordId']}")
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return True
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else:
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logger.error(f"平空单失败: {result.get('msg', result)}")
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return False
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def get_minimun_order_size(self) -> None:
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"""获取最小订单数量"""
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try:
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result = self.public_api.get_instruments(instType="SPOT", instId=self.symbol)
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if result.get("code") == "0":
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instrument = result.get("data", [{}])[0]
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min_sz = float(instrument.get("minSz", 0))
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lot_sz = float(instrument.get("lotSz", 0))
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logger.info(f"最小交易量 (minSz): {min_sz} {self.symbol_prefix}")
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logger.info(f"交易量精度 (lotSz): {lot_sz} {self.symbol_prefix}")
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else:
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logger.error(f"错误: {result.get('msg', result)}")
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except Exception as e:
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logger.error(f"异常: {str(e)}")
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