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@@ -0,0 +1,789 @@
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+import time
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+import traceback
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+import copy
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+import os
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+from web3_py_client import EthClient
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+from mexc_client import MexcClient
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+from decimal import Decimal, ROUND_DOWN
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+from as_utils import add_state_flow_entry
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+from checker.logger_config import get_logger
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+from pprint import pformat
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+
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+web3 = EthClient()
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+mexc = MexcClient()
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+
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+# 配置日志
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+logger = get_logger('as')
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+
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+class ArbitrageProcess:
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+ def __init__(self, gas_limit_multiplier, gas_price_multiplier, process_item,
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+ core_data, core_lock,
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+ pending_data, pending_lock,
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+ mexc_data, mexc_lock,
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+ ):
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+ """
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+ 初始化套利流程
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+
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+ Args:
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+ gas_limit_multiplier: gas limit倍数, 一般都不加倍
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+ gas_price_multiplier: gas price倍数, 可以提高交易成功率
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+ process_item: 信號發送端傳入的原始參數
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+ """
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+ self.NETWORK = 'ETH'
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+
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+ tx = process_item['tx']
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+ tx.pop('gasPrice', None)
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+ tx.pop('value', None)
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+ tx.pop('minReceiveAmount', None)
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+ tx.pop('slippage', None)
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+ tx.pop('maxSpendAmount', None)
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+ tx.pop('signatureData', None)
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+
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+ self.core_data = core_data
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+ self.core_lock = core_lock
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+ self.pending_data = pending_data
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+ self.pending_lock = pending_lock
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+ self.mexc_data = mexc_data
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+ self.mexc_lock = mexc_lock
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+
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+ # symbol轉大寫
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+ self.symbol = process_item['symbol'].upper()
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+
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+ self.coin = self.symbol.split('_')[0]
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+ self.base_coin = self.symbol.split('_')[1]
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+
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+ with self.core_lock:
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+ self.eth_price = self.core_data['eth_price']
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+
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+ with self.mexc_lock:
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+ self.withdraw_info = copy.deepcopy(self.mexc_data['coin_info_map'][self.base_coin][self.NETWORK])
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+ self.WITHDRAW_FEE = Decimal(self.withdraw_info['withdrawFee']) # 提現手續費
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+
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+ withdraw_info_formated = pformat(self.withdraw_info, indent=2)
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+ logger.info(f'提現信息識別, 手續費：{self.WITHDRAW_FEE}\n{withdraw_info_formated}')
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+
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+ self.tx = tx
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+
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+ self.profit = Decimal(process_item['profit']) # 這個利潤是實際到手利潤
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+ self.profit_limit = Decimal(process_item['profitLimit']) # 這個利潤是實際到手利潤的limit
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+
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+ self.gas_limit_multiplier = gas_limit_multiplier
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+ self.gas_price_multiplier = gas_price_multiplier
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+
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+ self.from_token_addr = process_item['fromToken']
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+ self.from_token_decimal = Decimal(process_item['fromTokenDecimal'])
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+ self.to_token_addr = process_item['toToken']
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+ self.to_token_decimal = Decimal(process_item['toTokenDecimal'])
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+
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+ self.user_exchange_wallet = process_item['userExchangeWallet']
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+ self.user_wallet = process_item['userWallet']
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+ self.process_item = process_item
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+
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+
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+ # 存储当前套利交易的细节信息,例如买入数量、价格等
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+ self.sell_price = Decimal(0)
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+ self.buy_price = Decimal(0)
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+ self.chain_tx_hash = None # 链上买入的tx hash
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+ self.chain_usdt_use = Decimal(process_item['fromTokenAmountHuman']) # 链上usdt减少量（使用量）
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+ self.chain_buy_amount = Decimal(0) # 链上币增加量（购入量）, todo, 暂用即时余额代替
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+ self.exchange_sell_amount = Decimal(process_item['exchangeOutAmount']) # 交易所卖出量
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+ self.exchange_sell_order_id = None # 交易所卖出id
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+ self.exchange_withdrawal_id = None # 交易所提现id
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+ self.exchange_withdrawal_amount = None # 交易所提现数量
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+ self.actual_profit = Decimal(0) # 實際利潤
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+
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+ # 定义可能的状态
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+ self.STATES = [
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+ "CHECK", # 检查余额、估算gas等
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+ "SELLING_ON_EXCHANGE", # 正在中心化交易所卖出现货
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+ "WAITING_SELL_CONFIRM", # 等待现货卖出订单确认
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+ "BUYING_ON_CHAIN", # 正在链上买入
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+ "WAITING_CHAIN_CONFIRM", # 等待链上交易确认
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+ "WAITING_EXCHANGE_ROLLBACK", # 等待交易所回滚
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+ # "HEDGING_ON_EXCHANGE", # 正在中心化交易所套保
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+ # "WAITING_HEDGE_CONFIRM", # 等待套保订单确认
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+ # "TRANSFERRING_TO_EXCHANGE", # 正在向交易所转账
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+ # "CLOSING_HEDGE", # 正在平掉套保单
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+ # "WAITING_CLOSE_HEDGE_CONFIRM", # 等待平掉套保单确认
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+ "WAITING_TRANSFER_ARRIVE", # 等待交易所充值到账
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+ "TRANSFERRING_TO_CHAIN", # 正在向链上转账
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+ "WAITING_WITHDRAWAL_CONFIRM", # 等待链上提现确认
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+ "COMPLETED", # 套利流程完成
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+ "REJECT", # 套利被程序拒绝
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+ "FAILED" # 套利流程失败
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+ ]
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+
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+ self.STATE_IDLE = "IDLE"
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+ self.STATE_CHECK = "CHECK"
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+ self.STATE_SELLING_ON_EXCHANGE = "SELLING_ON_EXCHANGE"
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+ self.STATE_WAITING_SELL_CONFIRM = "WAITING_SELL_CONFIRM"
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+ self.STATE_BUYING_ON_CHAIN = "BUYING_ON_CHAIN"
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+ self.STATE_WAITING_CHAIN_CONFIRM = "WAITING_CHAIN_CONFIRM"
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+ self.STATE_WAITING_EXCHANGE_ROLLBACK = "WAITING_EXCHANGE_ROLLBACK"
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+ # self.STATE_TRANSFERRING_TO_EXCHANGE = "TRANSFERRING_TO_EXCHANGE"
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+ self.STATE_WAITING_TRANSFER_ARRIVE = "WAITING_TRANSFER_ARRIVE"
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+ self.STATE_TRANSFERRING_TO_CHAIN = "TRANSFERRING_TO_CHAIN"
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+ self.STATE_WAITING_WITHDRAWAL_CONFIRM = "WAITING_WITHDRAWAL_CONFIRM"
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+ self.STATE_COMPLETED = "COMPLETED"
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+ self.STATE_REJECT = "REJECT"
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+ self.STATE_FAILED = "FAILED"
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+
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+ self.current_state = "IDLE"
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+
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+ def _set_state(self, state):
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+ """
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+ 设置系统状态,并打印日志
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+ """
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+ if state in self.STATES:
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+ logger.info(f"状态变更：{self.current_state} -> {state}")
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+ logger.info('')
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+ self.current_state = state
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+ else:
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+ logger.error(f"尝试设置无效状态：{state}")
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+
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+ def run_arbitrage_step(self):
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+ """
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+ 根据当前状态执行套利流程的下一步
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+ 这是一个周期性调用的函数,例如在主循环中调用
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+ """
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+
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+ if self.current_state == self.STATE_CHECK:
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+ self._execute_check()
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+
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+ elif self.current_state == self.STATE_SELLING_ON_EXCHANGE:
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+ self._execute_sell_on_exchange()
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+
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+ elif self.current_state == self.STATE_WAITING_SELL_CONFIRM:
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+ self._wait_sell_confirm()
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+
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+ elif self.current_state == self.STATE_BUYING_ON_CHAIN:
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+ self._execute_buy_on_chain()
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+
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+ elif self.current_state == self.STATE_WAITING_CHAIN_CONFIRM:
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+ self._wait_chain_confirm()
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+
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+ elif self.current_state == self.STATE_WAITING_EXCHANGE_ROLLBACK:
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+ self._wait_exchange_rollback()
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+
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+ # elif self.current_state == "TRANSFERRING_TO_EXCHANGE":
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+ # self._execute_transfer_to_exchange()
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+
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+ elif self.current_state == self.STATE_WAITING_TRANSFER_ARRIVE:
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+ self._wait_transfer_arrive()
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+
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+ elif self.current_state == self.STATE_TRANSFERRING_TO_CHAIN:
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+ self._execute_transfer_to_chain()
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+
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+ elif self.current_state == self.STATE_WAITING_WITHDRAWAL_CONFIRM:
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+ self._wait_withdrawal_confirm()
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+
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+ elif self.current_state == self.STATE_COMPLETED:
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+ msg = "套利流程成功完成！"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
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+
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+ elif self.current_state == self.STATE_REJECT:
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+ msg = "套利流程被程序拒绝"
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+ logger.error(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
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+
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+ elif self.current_state == self.STATE_FAILED:
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+ msg = "套利流程失败！"
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+ logger.error(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
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+
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+ def _execute_check(self):
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+ """
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+ 前置检查,防止低能错误
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+ """
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+ try:
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+ # step1,檢查交易所的餘額是否夠用
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+ # 处理精度
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+ pseudo_amount_to_sell = self.exchange_sell_amount.quantize(Decimal('1'), rounding=ROUND_DOWN)
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+
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+ # 交易所套保余额判断
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+ with self.mexc_lock:
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+ balances = self.mexc_data['account_info']['balances']
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+
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+ for balance in balances:
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+ if balance['asset'] == self.coin:
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+ if Decimal(balance['free']) < pseudo_amount_to_sell:
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+ msg = f"交易所剩余{self.coin}: {balance['free']}, 交易所准备卖出：{pseudo_amount_to_sell}, 不能触发套保交易。"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
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+ self._set_state(self.STATE_REJECT)
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+ return
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+ else:
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+ msg = f"交易所剩余{self.coin}: {balance['free']}, 交易所准备卖出：{pseudo_amount_to_sell}, 余额校验通过（可以套保）。"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
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+
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+ break
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+
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+ # step2,估算gas
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+ logger.info("獲取區塊信息")
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+ with self.core_lock:
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+ latest_block = copy.deepcopy(self.core_data['block'])
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+ self.tx['maxPriorityFeePerGas'] = int(int(self.tx['maxPriorityFeePerGas']) * self.gas_price_multiplier)
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+ self.tx['maxFeePerGas'] = int(int(latest_block['baseFeePerGas']) * 2 + self.tx['maxPriorityFeePerGas'])
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+
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+ gas_price = Decimal(self.tx['maxPriorityFeePerGas'] + self.tx['maxFeePerGas'])
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+ gas_price_gwei = gas_price / Decimal('1e9')
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+ gas_price_gwei = gas_price_gwei.quantize(Decimal('1e-9'), rounding=ROUND_DOWN)
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+
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+ tx_formated = pformat(self.tx, indent=2)
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+ logger.info(f"鏈上各種校驗\n{tx_formated}")
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+ estimated_gas_origin = web3.w3.eth.estimate_gas(self.tx)
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+ estimated_gas = int(estimated_gas_origin * self.gas_limit_multiplier)
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+ estimated_wei = Decimal(estimated_gas) * gas_price
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+ estimated_eth = Decimal(estimated_wei / Decimal('1e18')) / Decimal(2) # 除以2才是比較接近正常消耗的gas費，否則會過於高估
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+ estimated_eth = estimated_eth.quantize(Decimal('1e-8'), rounding=ROUND_DOWN)
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+
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+ msg = f"估算的燃气量: {estimated_gas}, eth消耗: {estimated_eth}, gas price: {gas_price_gwei} gwei, gas估算通過"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
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+
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+ # step3, 費用與利潤比較
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+ estimated_eth_value = estimated_eth * self.eth_price
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+ estimated_eth_value = estimated_eth_value.quantize(Decimal('1e-2'), rounding=ROUND_DOWN)
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+ cost = estimated_eth_value + self.WITHDRAW_FEE # 成本
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+ if self.profit < cost:
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+ msg = f"費用判斷不通過! profit: {self.profit}, eth_value:{estimated_eth_value}, eth: {estimated_eth}, eth_price: {self.eth_price}"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
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+ self._set_state(self.STATE_REJECT)
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+ return
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+ msg = f"費用判斷通過! profit: {self.profit}, eth_value:{estimated_eth_value}, eth: {estimated_eth}, eth_price: {self.eth_price}"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
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+
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+ # step4, 與賬戶eth餘額比對（至少留0.001,不然沒gas了）
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+ MARGIN = Decimal(0.001)
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+ # 暫時鎖住core_data
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+ with self.core_lock:
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+ eth_balance = self.core_data['eth_balance']
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+ if eth_balance - estimated_eth < MARGIN:
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+ msg = f"gas餘額判斷不通過! MARGIN:{MARGIN}, estimated_eth: {estimated_eth}, eth_balance: {eth_balance}"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
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+ self._set_state(self.STATE_REJECT)
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+ return
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+
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+ # 餘額判斷通過后預扣除balance，防止綫程更新不及時導致其他綫程誤發送tx
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+ self.core_data['eth_balance'] = self.core_data['eth_balance'] - estimated_eth
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+ msg = f"gas餘額判斷通過! MARGIN:{MARGIN}, estimated_eth: {estimated_eth}, eth_balance: {eth_balance}"
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
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+
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+ # final, 設定交易狀態,開始交易
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+ self._set_state(self.STATE_SELLING_ON_EXCHANGE)
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+ except Exception as e:
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+ exc_traceback = traceback.format_exc()
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+ msg = f"前置檢查未通過\n{exc_traceback}"
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+ logger.error(msg)
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+
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
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+ self._set_state(self.STATE_REJECT)
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+
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+ # traceback.print_exc()
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+
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+ # 以下是每个状态对应的具体执行函数
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+ def _execute_sell_on_exchange(self):
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+ """
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+ 在中心化交易所卖出现货
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+ """
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+ msg = "执行：中心化交易所卖出现货..."
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+ logger.info(msg)
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+ add_state_flow_entry(self.process_item, self.current_state, msg, "pending")
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+ try:
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+ # 第一步直接卖出,这个数量用固定数量
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+ pseudo_amount_to_sell = self.exchange_sell_amount
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+ # 处理精度
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+ pseudo_amount_to_sell = pseudo_amount_to_sell.quantize(Decimal('1'), rounding=ROUND_DOWN)
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+
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+ order_params = {
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+ "symbol": self.symbol.replace('_', ''),
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+ "side": "SELL",
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+ "type": "MARKET",
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+ "quantity": int(pseudo_amount_to_sell),
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+ }
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+ order_params_formated = pformat(order_params, indent=2)
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+
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+ exchange_sell_order = mexc.trade.post_order(order_params)
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+ exchange_sell_order_formated = pformat(exchange_sell_order, indent=2)
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+
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+ msg = f"交易所现货卖出订单已发送 \n params:{order_params_formated} \n rst: {exchange_sell_order_formated}"
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+ if 'orderId' not in exchange_sell_order:
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|
+ logger.error(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+
|
|
|
+ return
|
|
|
+
|
|
|
+ self.exchange_sell_order_id = exchange_sell_order['orderId']
|
|
|
+
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ self._set_state(self.STATE_WAITING_SELL_CONFIRM)
|
|
|
+ except Exception as e:
|
|
|
+ exc_traceback = traceback.format_exc()
|
|
|
+ msg = f"交易所现货卖出下单失败\n{exc_traceback}"
|
|
|
+ logger.error(msg)
|
|
|
+
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+
|
|
|
+ # traceback.print_exc()
|
|
|
+
|
|
|
+ def _wait_sell_confirm(self):
|
|
|
+ """
|
|
|
+ 等待交易所现货卖出订单确认（完全成交）
|
|
|
+ """
|
|
|
+ exchange_sell_order_id = self.exchange_sell_order_id
|
|
|
+ msg = f"等待交易所现货卖出订单确认：{exchange_sell_order_id}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "pending")
|
|
|
+
|
|
|
+ try:
|
|
|
+ # 查询交易所订单状态
|
|
|
+ waiting_times = 30
|
|
|
+ last_order = None
|
|
|
+ while waiting_times > 0:
|
|
|
+ params = {
|
|
|
+ "symbol": self.symbol.replace('_', ''),
|
|
|
+ "orderId": exchange_sell_order_id
|
|
|
+ }
|
|
|
+ order = mexc.trade.get_order(params)
|
|
|
+ last_order = order
|
|
|
+
|
|
|
+ if order['status'] in ["FILLED", "PARTIALLY_CANCELED"]:
|
|
|
+ money = Decimal(order['cummulativeQuoteQty'])
|
|
|
+ amount = self.exchange_sell_amount
|
|
|
+
|
|
|
+ self.sell_price = money / amount
|
|
|
+ self.sell_price = self.sell_price.quantize(Decimal('1e-16'), rounding=ROUND_DOWN)
|
|
|
+
|
|
|
+ order_formated = pformat(order, indent=2)
|
|
|
+ msg = f"交易所现货卖出订单已完成, 价格：{self.sell_price}, money: {money}\n order: {order_formated}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ self.exchange_withdrawal_amount = money
|
|
|
+
|
|
|
+ self._set_state(self.STATE_BUYING_ON_CHAIN)
|
|
|
+ return
|
|
|
+ else:
|
|
|
+ time.sleep(1)
|
|
|
+ waiting_times = waiting_times - 1
|
|
|
+
|
|
|
+ last_order_formated = pformat(last_order, indent=2)
|
|
|
+ msg = f"交易所现货卖出订单失敗, 最後狀態：\n{last_order_formated}。"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+ except Exception as e:
|
|
|
+ exc_traceback = traceback.format_exc()
|
|
|
+ msg = f"查询交易所现货卖出订单状态时发生错误\n{exc_traceback}"
|
|
|
+ logger.error(msg)
|
|
|
+
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+
|
|
|
+ # traceback.print_exc()
|
|
|
+
|
|
|
+ def _execute_buy_on_chain(self):
|
|
|
+ """
|
|
|
+ 在链上执行买入操作
|
|
|
+ """
|
|
|
+ msg = "执行：链上买入操作..."
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "pending")
|
|
|
+ try:
|
|
|
+ # 交易前nonce
|
|
|
+ with self.core_lock:
|
|
|
+ self.tx['nonce'] = self.core_data['nonce']
|
|
|
+
|
|
|
+ # 调用链上客户端执行买入交易
|
|
|
+ signed_tx = web3._sign(self.tx, self.gas_limit_multiplier)
|
|
|
+ self.chain_tx_hash = web3.w3.to_hex(signed_tx.hash)
|
|
|
+ try:
|
|
|
+ web3.w3.eth.send_raw_transaction(signed_tx.raw_transaction)
|
|
|
+ except Exception as e:
|
|
|
+ msg = f"据反饋說链上买入失败：{e}, 交易哈希：{self.chain_tx_hash}"
|
|
|
+ logger.error(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+
|
|
|
+ # 交易成功后刷新全局nonce
|
|
|
+ with self.core_lock:
|
|
|
+ self.core_data['nonce'] = self.core_data['nonce'] + 1
|
|
|
+ block_number = self.core_data['block_number']
|
|
|
+
|
|
|
+ # 將hash放入pending裏，等待確認
|
|
|
+ with self.pending_lock:
|
|
|
+ self.pending_data[self.chain_tx_hash] = {
|
|
|
+ "block_number": block_number,
|
|
|
+ "tx_details": None,
|
|
|
+ "reponse": None,
|
|
|
+ }
|
|
|
+
|
|
|
+ # 交易成功
|
|
|
+ msg = f"再次確認交易是否上鏈：{self.chain_tx_hash}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+ self._set_state(self.STATE_WAITING_CHAIN_CONFIRM)
|
|
|
+ except Exception as e:
|
|
|
+ exc_traceback = traceback.format_exc()
|
|
|
+ msg = f"鏈上買入未處理的錯誤, 交易哈希：{self.chain_tx_hash}\n{exc_traceback}"
|
|
|
+ logger.error(msg)
|
|
|
+
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_WAITING_CHAIN_CONFIRM)
|
|
|
+
|
|
|
+ # traceback.print_exc()
|
|
|
+
|
|
|
+ def _wait_chain_confirm(self):
|
|
|
+ """
|
|
|
+ 等待链上交易确认
|
|
|
+ """
|
|
|
+
|
|
|
+ chain_tx_hash = self.chain_tx_hash
|
|
|
+ msg = f"等待链上交易确认：{chain_tx_hash}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "pending")
|
|
|
+ try:
|
|
|
+ # 給300秒時間進行確認
|
|
|
+ waiting_times = 300
|
|
|
+ while waiting_times > 0:
|
|
|
+ with self.pending_lock:
|
|
|
+ tx_details = copy.deepcopy(self.pending_data[chain_tx_hash]['tx_details'])
|
|
|
+
|
|
|
+ if tx_details is None:
|
|
|
+ waiting_times = waiting_times - 1
|
|
|
+ time.sleep(1)
|
|
|
+
|
|
|
+ continue
|
|
|
+
|
|
|
+ # # 交易確認后，移除出pending列表
|
|
|
+ # with self.pending_lock:
|
|
|
+ # del self.pending_data[chain_tx_hash]
|
|
|
+
|
|
|
+ # 交易失敗的邏輯處理，直接進行回滾
|
|
|
+ if 'fromTokenDetails' not in tx_details \
|
|
|
+ or 'toTokenDetails' not in tx_details:
|
|
|
+ msg = f"链上交易失敗。{tx_details}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+
|
|
|
+ self._set_state(self.STATE_WAITING_EXCHANGE_ROLLBACK)
|
|
|
+
|
|
|
+ break
|
|
|
+
|
|
|
+ tx_details_formated = pformat(tx_details, indent=2)
|
|
|
+ msg = f"链上交易已确认。\n details: {tx_details_formated}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ # 獲取交易信息
|
|
|
+ from_token_details = tx_details['fromTokenDetails']
|
|
|
+ to_token_details = tx_details['toTokenDetails']
|
|
|
+
|
|
|
+ from_token_amount = Decimal(from_token_details['amount'])
|
|
|
+ from_token_amount_human = from_token_amount / (Decimal(10) ** self.from_token_decimal)
|
|
|
+ from_token_amount_human = from_token_amount_human.quantize(Decimal('1e-2'), rounding=ROUND_DOWN)
|
|
|
+ self.chain_buy_amount = from_token_amount_human # 存储实际买入数量
|
|
|
+
|
|
|
+ to_token_amount = Decimal(to_token_details['amount'])
|
|
|
+ to_token_amount_human = to_token_amount / (Decimal(10) ** self.to_token_decimal)
|
|
|
+
|
|
|
+ self.buy_price = from_token_amount_human / to_token_amount_human
|
|
|
+ self.buy_price = self.buy_price.quantize(Decimal('1e-16'), rounding=ROUND_DOWN)
|
|
|
+
|
|
|
+ # 交易預估利潤百分比計算
|
|
|
+ rate = self.sell_price / self.buy_price
|
|
|
+ rate = rate.quantize(Decimal('1e-4'), rounding=ROUND_DOWN)
|
|
|
+
|
|
|
+ msg = f"【比率{rate}】。用{from_token_amount_human}买入{to_token_amount_human},价格{self.buy_price}。"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ # 判斷快速二賣條件
|
|
|
+ diff = int(to_token_amount_human - self.exchange_sell_amount)
|
|
|
+ value = diff * self.sell_price
|
|
|
+ value = value.quantize(Decimal('1e-4'), rounding=ROUND_DOWN)
|
|
|
+ if value > 2:
|
|
|
+ msg = f"滿足二賣條件，{diff}*{self.sell_price} = {value}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ order_params = {
|
|
|
+ "symbol": self.symbol.replace('_', ''),
|
|
|
+ "side": "SELL",
|
|
|
+ "type": "MARKET",
|
|
|
+ "quantity": int(diff),
|
|
|
+ }
|
|
|
+ order_params_formated = pformat(order_params, indent=2)
|
|
|
+ exchange_sell_order = mexc.trade.post_order(order_params)
|
|
|
+ exchange_sell_order_formated = pformat(exchange_sell_order, indent=2)
|
|
|
+
|
|
|
+ if 'orderId' not in exchange_sell_order:
|
|
|
+ msg = f"交易所现货二卖下单失败 \n params:{order_params_formated} \n rst: {exchange_sell_order_formated}"
|
|
|
+ logger.error(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ else:
|
|
|
+ oid = exchange_sell_order['orderId']
|
|
|
+
|
|
|
+ # 查询交易所订单状态
|
|
|
+ waiting_times_inner = 30
|
|
|
+ last_order = None
|
|
|
+ while waiting_times_inner > 0:
|
|
|
+ params = {
|
|
|
+ "symbol": self.symbol.replace('_', ''),
|
|
|
+ "orderId": oid
|
|
|
+ }
|
|
|
+ order = mexc.trade.get_order(params)
|
|
|
+ order_formated = pformat(order, indent=2)
|
|
|
+ last_order = order
|
|
|
+
|
|
|
+ if order['status'] in ["FILLED", "PARTIALLY_CANCELED"]:
|
|
|
+ money = Decimal(order['cummulativeQuoteQty'])
|
|
|
+
|
|
|
+ msg = f"交易所现货二卖订单已完成, money: {money}。\n order: {order_formated}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ self.exchange_withdrawal_amount = self.exchange_withdrawal_amount + money
|
|
|
+
|
|
|
+ break
|
|
|
+ else:
|
|
|
+ time.sleep(1)
|
|
|
+ waiting_times_inner = waiting_times_inner - 1
|
|
|
+
|
|
|
+ if waiting_times_inner <= 0:
|
|
|
+ last_order_formated = pformat(last_order, indent=2)
|
|
|
+
|
|
|
+ msg = f"交易所现货二卖订单失敗, 最後狀態：{last_order_formated}。"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ else:
|
|
|
+ msg = f"不滿足二賣條件，{diff}*{self.sell_price} = {value}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+
|
|
|
+ # 計算實際利潤
|
|
|
+ actual_profit = value
|
|
|
+ actual_gas_price = Decimal(tx_details['gasPrice'])
|
|
|
+ actual_gas_price_gwei = actual_gas_price / Decimal('1e9')
|
|
|
+ actual_gas_price_gwei = actual_gas_price_gwei.quantize(Decimal('1e-9'), rounding=ROUND_DOWN)
|
|
|
+ actual_gas_used = Decimal(tx_details['gasUsed'])
|
|
|
+ actual_wei = actual_gas_price * actual_gas_used
|
|
|
+ actual_eth = actual_wei / Decimal('1e18')
|
|
|
+ actual_eth = actual_eth.quantize(Decimal('1e-8'), rounding=ROUND_DOWN)
|
|
|
+ actual_fee_used = actual_eth * self.eth_price
|
|
|
+ actual_fee_used = actual_fee_used.quantize(Decimal('1e-4'), rounding=ROUND_DOWN)
|
|
|
+
|
|
|
+ actual_profit = value - actual_fee_used - self.WITHDRAW_FEE
|
|
|
+
|
|
|
+ msg = f"【最終利潤】{actual_profit}{self.base_coin}(已扣除所有手續費、滑點)\
|
|
|
+ \n鏈上ETH使用: {actual_eth}({actual_fee_used} USD), gas_price: {actual_gas_price_gwei} GWEI, gas_used: {actual_gas_used}\
|
|
|
+ \n交易所出售代幣利潤: {value}, 提現手續費: {self.WITHDRAW_FEE}\
|
|
|
+ "
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ self._set_state(self.STATE_COMPLETED)
|
|
|
+
|
|
|
+ break
|
|
|
+
|
|
|
+ # 如果300秒都沒確認成功，該交易大概率沒有上鏈
|
|
|
+ if waiting_times <= 0:
|
|
|
+ with self.pending_lock:
|
|
|
+ response = copy.deepcopy(self.pending_data[chain_tx_hash]['response'])
|
|
|
+ response_formated = pformat(response, indent=2)
|
|
|
+ msg = f"链上交易确认失败：{chain_tx_hash}\n{response_formated}"
|
|
|
+ logger.error(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_WAITING_EXCHANGE_ROLLBACK)
|
|
|
+ except Exception as e:
|
|
|
+ exc_traceback = traceback.format_exc()
|
|
|
+ msg = f"查询链上确认状态时发生错误\n{exc_traceback}"
|
|
|
+ logger.error(msg)
|
|
|
+
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_WAITING_EXCHANGE_ROLLBACK)
|
|
|
+
|
|
|
+ # traceback.print_exc()
|
|
|
+
|
|
|
+ def _wait_exchange_rollback(self):
|
|
|
+ """
|
|
|
+ 市价进行交易所交易回滚
|
|
|
+ """
|
|
|
+ msg = "执行：中心化交易所买入现货回滚..."
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "pending")
|
|
|
+ try:
|
|
|
+ # 使用预提现数量进行回滚
|
|
|
+ pseudo_amount_to_buy = Decimal(self.exchange_withdrawal_amount)
|
|
|
+ # 处理精度
|
|
|
+ pseudo_amount_to_buy = pseudo_amount_to_buy.quantize(Decimal('1'), rounding=ROUND_DOWN)
|
|
|
+
|
|
|
+ # 交易所U余额判断
|
|
|
+ with self.mexc_lock:
|
|
|
+ balances = self.mexc_data['account_info']['balances']
|
|
|
+ for balance in balances:
|
|
|
+ if balance['asset'] == self.base_coin:
|
|
|
+ pseudo_amount_to_buy = min(Decimal(balance['free']), pseudo_amount_to_buy)
|
|
|
+
|
|
|
+ if pseudo_amount_to_buy < Decimal('10'):
|
|
|
+ msg = f"交易所剩余{self.base_coin}: {balance['free']}, 小于10, 不能触发回滚交易。"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+ return
|
|
|
+ else:
|
|
|
+ msg = f"交易所剩余{self.base_coin}: {balance['free']}, 交易所准备使用：{pseudo_amount_to_buy}, 余额校验通过（可以回滚）。"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+ break
|
|
|
+
|
|
|
+ order_params = {
|
|
|
+ "symbol": self.symbol.replace('_', ''),
|
|
|
+ "side": "BUY",
|
|
|
+ "type": "MARKET",
|
|
|
+ "quoteOrderQty": int(pseudo_amount_to_buy),
|
|
|
+ }
|
|
|
+ order_params_formated = pformat(order_params, indent=2)
|
|
|
+ exchange_buy_order = mexc.trade.post_order(order_params)
|
|
|
+ exchange_buy_order_formated = pformat(exchange_buy_order, indent=2)
|
|
|
+ if 'orderId' not in exchange_buy_order:
|
|
|
+ msg = f"【回滚】交易所现货买入下单失败\n params:{order_params_formated}\norder: {exchange_buy_order_formated}"
|
|
|
+ logger.error(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state("FAILED")
|
|
|
+
|
|
|
+ return
|
|
|
+
|
|
|
+ exchange_buy_order_id = exchange_buy_order['orderId']
|
|
|
+
|
|
|
+ msg = f"【回滚】交易所现货买入订单已发送, 订单ID: {exchange_buy_order_id}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ # 查询交易所订单状态
|
|
|
+ waiting_times = 30
|
|
|
+ last_query_rst = None
|
|
|
+ while True:
|
|
|
+ params = {
|
|
|
+ "symbol": self.symbol.replace('_', ''),
|
|
|
+ "orderId": exchange_buy_order_id
|
|
|
+ }
|
|
|
+ order = mexc.trade.get_order(params)
|
|
|
+ order_formated = pformat(order, indent=2)
|
|
|
+ last_query_rst = order
|
|
|
+
|
|
|
+ if order['status'] == "FILLED":
|
|
|
+ money = Decimal(order['cummulativeQuoteQty'])
|
|
|
+ amount = self.exchange_sell_amount
|
|
|
+ price = money / amount
|
|
|
+ price = price.quantize(Decimal('1e-8'), rounding=ROUND_DOWN)
|
|
|
+
|
|
|
+ msg = f"【回滚】交易所现货买入订单已完全成交, 价格：{price}。\norder: {order_formated}"
|
|
|
+
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "success")
|
|
|
+
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+ return
|
|
|
+ else:
|
|
|
+ # 继续等待成交
|
|
|
+ pass
|
|
|
+
|
|
|
+ time.sleep(1)
|
|
|
+ waiting_times = waiting_times - 1
|
|
|
+
|
|
|
+ last_query_rst_formated = pformat(last_query_rst, indent=2)
|
|
|
+ msg = f"【回滚】回滚交易订单查询超时, 订单ID: {exchange_buy_order_id}\n最终状态:{last_query_rst_formated}"
|
|
|
+ logger.info(msg)
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+ except Exception as e:
|
|
|
+ exc_traceback = traceback.format_exc()
|
|
|
+ msg = f"【回滚】交易所回滚交易失败\n{exc_traceback}"
|
|
|
+ logger.error(msg)
|
|
|
+
|
|
|
+ add_state_flow_entry(self.process_item, self.current_state, msg, "fail")
|
|
|
+ self._set_state(self.STATE_FAILED)
|
|
|
+
|
|
|
+ # traceback.print_exc()
|
|
|
+
|
|
|
+# 伪代码示例：如何使用这个类
|
|
|
+if __name__ == "__main__":
|
|
|
+ import ok_chain_client
|
|
|
+ import decimal
|
|
|
+ import pprint
|
|
|
+
|
|
|
+ CHAIN_ID = 1
|
|
|
+ FROM_TOKEN = '0xdAC17F958D2ee523a2206206994597C13D831ec7'
|
|
|
+ FROM_TOKEN_AMOUNT_HUMAM = Decimal('20')
|
|
|
+ FROM_TOKEN_DECIMAL = 6
|
|
|
+ TO_TOKEN = '0xf816507E690f5Aa4E29d164885EB5fa7a5627860'
|
|
|
+ USER_WALLET = ''
|
|
|
+ USER_EXCHANGE_WALLET = '0xc71835a042F4d870B0F4296cc89cAeb921a9f3DA'
|
|
|
+ SYMBOL = "RATO_USDT"
|
|
|
+
|
|
|
+ # 询价,注意！！！这里直接把交易所地址当收款方,省去transfer的流程
|
|
|
+ data = ok_chain_client.swap(CHAIN_ID,
|
|
|
+ FROM_TOKEN_AMOUNT_HUMAM * (10 ** FROM_TOKEN_DECIMAL),
|
|
|
+ FROM_TOKEN,
|
|
|
+ TO_TOKEN,
|
|
|
+ 1,
|
|
|
+ USER_WALLET,
|
|
|
+ USER_EXCHANGE_WALLET, # 这里直接把交易所地址当收款方,省去transfer的流程！！！
|
|
|
+ )
|
|
|
+ if data.get('code') != '0' or not data.get('data'):
|
|
|
+ pprint.pprint(data)
|
|
|
+ pprint.pprint({
|
|
|
+ "error": f"OK API错误({1}) - Code:{data.get('code', 'N/A')}, Msg:{data.get('msg', data.get('message', 'N/A')) if isinstance(data, dict) else '格式错误'}"})
|
|
|
+
|
|
|
+ raise Exception("")
|
|
|
+ d = data['data'][0]
|
|
|
+ tx = d['tx']
|
|
|
+ router_result = d['routerResult']
|
|
|
+ in_dec, out_dec = int(router_result['fromToken']['decimal']), int(router_result['toToken']['decimal'])
|
|
|
+ atomic_in_base, atomic_out_target = Decimal(router_result['fromTokenAmount']), Decimal(router_result['toTokenAmount'])
|
|
|
+ human_in_base = atomic_in_base / (10 ** in_dec)
|
|
|
+ human_out_target = atomic_out_target / (10 ** out_dec)
|
|
|
+
|
|
|
+ FROM_TOKEN_AMOUNT_HUMAM = human_in_base
|
|
|
+ TO_TOKEN_AMOUNT_HUMAM = human_out_target
|
|
|
+
|
|
|
+ pprint.pprint(tx)
|
|
|
+
|
|
|
+ # 套利流程执行
|
|
|
+ process_item = {
|
|
|
+ "stateFlow": [], # 状态流转记录
|
|
|
+ }
|
|
|
+ ap = ArbitrageProcess(tx, 2, 1.2,
|
|
|
+ FROM_TOKEN, TO_TOKEN,
|
|
|
+ FROM_TOKEN_AMOUNT_HUMAM, TO_TOKEN_AMOUNT_HUMAM,
|
|
|
+ USER_EXCHANGE_WALLET, USER_WALLET,
|
|
|
+ SYMBOL, process_item)
|
|
|
+
|
|
|
+ # 一般都是从这个流程开始,测试时可以稍作修改、测试后续流程
|
|
|
+ ap._set_state(ap.SELLING_ON_EXCHANGE)
|
|
|
+
|
|
|
+ # 在主循环中周期性调用 run_arbitrage_step
|
|
|
+ while ap.current_state != "COMPLETED" and ap.current_state != "FAILED":
|
|
|
+ ap.run_arbitrage_step()
|
|
|
+
|
|
|
+ if ap.current_state == ap.STATE_WAITING_TRANSFER_ARRIVE or ap.current_state == ap.STATE_WAITING_WITHDRAWAL_CONFIRM:
|
|
|
+ time.sleep(10)
|
|
|
+ # else:
|
|
|
+ # time.sleep(1)
|
|
|
+
|
|
|
+ logger.info(process_item)
|
|
|
+ if ap.current_state == "COMPLETED":
|
|
|
+ logger.info("套利流程执行成功！")
|
|
|
+ else:
|
|
|
+ logger.info("套利流程执行失败！")
|
