import random import aiohttp import time import asyncio import zlib import json import hmac import base64 import hashlib import traceback import urllib from urllib import parse from urllib.parse import urljoin import datetime, sys from urllib.parse import urlparse import logging, logging.handlers import utils import logging, logging.handlers import model from loguru import logger logger.add("kucoin_limits.log", format="{time} {level} {message}", level="INFO") def empty_call(msg): print(f'空的回调函数 {msg}') def decimal_amount(amount, d): if int(d) == 0: return str(int(amount)) elif int(d) > 0: return str(round(int(amount*10**int(d))*0.1**int(d), int(d))) def decimal_price(price, d): if int(d) == 0: return str(int(price)) elif int(d) > 0: return str(round(float(price), int(d))) class KucoinUsdtSwapRest: def __init__(self, params:model.ClientParams, colo=0): if colo: print('不支持colo高速线路') self.HOST = "https://api-futures.kucoin.com" else: self.HOST = "https://api-futures.kucoin.com" self.params = params self.name = self.params.name self.base = self.params.pair.split('_')[0].upper() # 处理特殊情况 if self.base == "BTC":self.base = "XBT" self.quote = self.params.pair.split('_')[1].upper() self.symbol = self.base + self.quote + "M" self._SESSIONS = dict() self.logger = self.get_logger() self.callback = { "onMarket":empty_call, "onPosition":empty_call, "onOrder":empty_call, "onEquity":empty_call, "onTicker":empty_call, "onDepth":empty_call, "onExit":empty_call, } self.exchange_info = dict() self.decimal_amount = 10 self.decimal_price = 10 self.delays = [] self.max_delay = 0 self.avg_delay = 0 self.multiplier = None self.proxy = None if 'win' in sys.platform: self.proxy = self.params.proxy self.logger = self.get_logger() self.coin_value = 0.0 self.cash_value = 0.0 self.last_cash = 0.0 #### 指定发包ip iplist = utils.get_local_ip_list() self.ip = iplist[int(self.params.ip)] def get_logger(self): logger = logging.getLogger(__name__) logger.setLevel(logging.DEBUG) # log to txt formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %(message)s') handler = logging.handlers.RotatingFileHandler(f"log.log",maxBytes=1024*1024) handler.setLevel(logging.DEBUG) handler.setFormatter(formatter) logger.addHandler(handler) return logger def get_logger(self): logger = logging.getLogger(__name__) logger.setLevel(logging.DEBUG) # log to txt formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %(message)s') handler = logging.handlers.RotatingFileHandler("log.log",maxBytes=1024*1024,encoding='utf-8') handler.setLevel(logging.DEBUG) handler.setFormatter(formatter) # log to console console = logging.StreamHandler() console.setLevel(logging.WARNING) logger.addHandler(handler) logger.addHandler(console) return logger def _get_session(self, url): parsed_url = urlparse(url) key = parsed_url.netloc or parsed_url.hostname if key not in self._SESSIONS: tcp = aiohttp.TCPConnector(limit=50,keepalive_timeout=120,verify_ssl=False,local_addr=(self.ip,0)) session = aiohttp.ClientSession(connector=tcp) self._SESSIONS[key] = session return self._SESSIONS[key] async def _request(self, method, uri, body=None, params=None, auth=False): url = urljoin(self.HOST, uri) headers = {} if auth: now_time = int(time.time()) * 1000 str_to_sign = str(now_time) + method + uri if method in ['GET', 'DELETE']: data_json = '' if params: strl = [] for key in params: strl.append("{}={}".format(key, params[key])) data_json += '&'.join(strl) str_to_sign += '?' + data_json else: if body:str_to_sign += body sign = base64.b64encode(hmac.new(self.params.secret_key.encode('utf-8'), str_to_sign.encode('utf-8'), hashlib.sha256).digest()) passphrase = base64.b64encode(hmac.new(self.params.secret_key.encode('utf-8'), self.params.pass_key.encode('utf-8'), hashlib.sha256).digest()) headers = { "KC-API-SIGN": sign.decode(), "KC-API-TIMESTAMP": str(now_time), "KC-API-KEY": self.params.access_key, "KC-API-PASSPHRASE": passphrase.decode(), "Content-Type": "application/json", "KC-API-KEY-VERSION": "2" } headers["User-Agent"] = "kucoin-python-sdk/v1.0" # 发起请求 session = self._get_session(url) timeout = aiohttp.ClientTimeout(10) msg = "rest请求记录" + str(method) + str(url) + str(params) + str(body) self.logger.debug(msg) try: start_time = time.time() if method == "GET": response = await session.get(url, params=params, headers=headers, timeout=timeout, proxy=self.proxy) elif method == "POST": response = await session.post(url, params=None, data=body, headers=headers, timeout=timeout, proxy=self.proxy) elif method == "DELETE": response = await session.delete(url, params=params, data=body, headers=headers, timeout=timeout, proxy=self.proxy) code = response.status res = await response.json() delay = int(1000*(time.time() - start_time)) res_msg = msg + f' 回报 {res}' self.logger.debug(res_msg) self.delays.append(delay) if code not in (200, 201, 202, 203, 204, 205, 206) or \ int(res['code']) not in (200, 201, 202, 203, 204, 205, 206, 200000): print(f'URL:{url} METHOD:{method} PARAMS:{params} body:{body} ERROR:{res}') self.logger.error('请求错误'+str(res)) self.logger.error(res) return None, res return res, None except Exception as e: print(f'{self.name} rest 请求出错', str(e)) self.logger.error('请求错误'+str(e)) self.logger.error(traceback.format_exc()) return None, e async def buy_token(self): '''买入平台币''' pass async def check_position(self, hold_coin=0.0): ''' 两次执行check_position之间必须停留足够时间 避免position没及时更新 导致重复下单 已支持全品种 ''' try: ############################## self.logger.info("清空挂单") params = { 'status':"active", 'tradeType':'TRADE', } response, error = await self._request('GET', '/api/v1/orders', params=params, auth=1) if response is not None and response['data']['items'] is not None: for i in response['data']['items']: res = await self.cancel_order(order_id=i["id"]) self.logger.info(res) self.logger.info(f"{self.name} 全平仓位") ############################## # 更新仓位 print("获取仓位") res, err = await self._request('GET','/api/v1/positions', params={}, auth=1) if err:self.logger.info(err) if res: for i in res['data']: symbol = i['symbol'] amt = float(i['currentQty']) # 转换为单位:张 if self.exchange_info == dict(): await self.before_trade() if amt > 0: self.logger.info( await self.take_order( symbol, amt*self.exchange_info[symbol].multiplier, "pd", 1, utils.get_cid(), "market" )) elif amt < 0: self.logger.info( await self.take_order( symbol, -amt*self.exchange_info[symbol].multiplier, "pk", 1, utils.get_cid(), "market" )) ############################## except: self.logger.error("清仓程序执行出错") self.logger.error(traceback.format_exc()) return async def take_order(self, symbol, amount, origin_side, price, cid="", order_type='limit'): ''' kumex会合并多空方向的仓位 不支持双向交易 所以reduce_only要小心使用 ''' reduceOnly = False if origin_side =='kd': side = 'buy' elif origin_side =='pd': side = 'sell' elif origin_side =='kk': side = 'sell' elif origin_side =='pk': side = 'buy' else: return None # 转换为单位:张 if symbol not in self.exchange_info: await self.before_trade() amount_paper = int(amount/self.exchange_info[symbol].multiplier) if amount_paper == 0: order_event = dict() order_event['status'] = "REMOVE" order_event['client_id'] = cid order_event['filled'] = 0 order_event['filled_price'] = 0 self.callback["onOrder"](order_event) return params = { 'clientOid':cid, 'symbol': symbol, 'size': amount_paper, 'side': side, 'leverage': 10, #10, 没kyc老报错,############################################## 'reduceOnly':reduceOnly, 'price':utils.num_to_str(price, self.exchange_info[symbol].tickSize), 'type':order_type, } # logger.info(f'下单指令 {params}') if self.params.debug == 'True': return await asyncio.sleep(0.1) else: # 发单 response, error = await self._request('POST', '/api/v1/orders', body=json.dumps(params), auth=1) # 更新 if response: # 增加新的 if 'data' in response: order_event = dict() order_event['status'] = "NEW" order_event['client_id'] = cid order_event['order_id'] = response['data']["orderId"] self.callback["onOrder"](order_event) if error: order_event = dict() order_event['status'] = "REMOVE" order_event['client_id'] = cid order_event['filled_price'] = 0 order_event['filled'] = 0 self.callback["onOrder"](order_event) return response async def cancel_order(self, order_id=None, client_id=None): if order_id: response, error = await self._request('DELETE', f'/api/v1/orders/{order_id}', auth=1) elif client_id: response, error = await self._request('DELETE', f'/api/v1/orders/byClientOid?clientOid={client_id}', auth=1) else: raise Exception("撤单出错 没指定订单号") if response: self.logger.debug(f'撤单回报 {response}') # 撤单成功不会返回成交信息 所以不触发回调 if error: print("撤单失败",error) return error return response async def check_order(self, order_id=None, client_id=None): if order_id: response, error = await self._request('GET', f'/api/v1/orders/{order_id}', auth=1) elif client_id: response, error = await self._request('GET', f'/api/v1/orders/byClientOid?clientOid={client_id}', auth=1) else: return if response: self.logger.debug(f'查单回报 {response}') order_event = dict() if response["data"]['isActive'] == True: order_event['status'] = "NEW" elif response["data"]['isActive'] == False: order_event['status'] = "REMOVE" else: self.logger.error("错误的订单状态") if self.multiplier == None: await self.before_trade() order_event['filled'] = float(response["data"]["filledSize"])*self.multiplier order_event['filled_price'] = float(response["data"]["filledValue"])/float(response["data"]["filledSize"])/self.multiplier if float(response["data"]["filledSize"]) > 0 else 0 order_event['client_id'] = response["data"]["clientOid"] order_event['order_id'] = response["data"]['id'] self.callback["onOrder"](order_event) if error: print("查单失败",error) self.logger.error(error) return response async def get_order_list(self): params = { 'symbol':self.symbol, 'status':"active", 'tradeType':'TRADE', } response, error = await self._request('GET', '/api/v1/orders', params=params, auth=1) orders = [] # 重置本地订单列表 if response is not None: for i in response['data']['items']: order_event = dict() if i['isActive'] == True: order_event['status'] = "NEW" elif i['isActive'] == False: order_event['status'] = "REMOVE" else: self.logger.error("错误的订单状态") order_event['filled'] = float(i["dealSize"]) order_event['filled_price'] = float(i["dealFunds"])/float(i["dealSize"]) if float(i["dealSize"]) > 0 else 0 order_event['client_id'] = i["clientOid"] order_event['order_id'] = i['id'] self.callback["onOrder"](order_event) if error: print(error) return response async def get_server_time(self): params = {} response = await self._request('GET', '/api/v1/timestamp', params=params) return response async def get_account(self): return await self._request('GET','/api/v1/account-overview', params={"currency":self.quote}, auth=1) async def get_position(self): return await self._request('GET','/api/v1/position', params={"symbol":self.symbol}, auth=1) async def get_market_details(self): return await self._request('GET',f'api/v1/contracts/active', params={}, auth=1) async def get_ticker(self): res, err = await self._request('GET',f'api/v1/ticker', params={"symbol":self.symbol}, auth=0) if res: ap = float(res['data']['bestAskPrice']) bp = float(res['data']['bestBidPrice']) mp = (ap+bp)/2 ticker = {"name":self.name,'mp': mp, 'bp':bp, 'ap':ap} return ticker if err: self.logger.error(err) return async def before_trade(self): # 获取市场 res, error = await self.get_market_details() if error: pass if res: for i in res['data']: if i['symbol'] == self.symbol: # 1张多少个币 self.multiplier = float(i["multiplier"]) # 1张 币的数量精度 张 转换成 币 需要乘以乘数 self.stepSize = i["lotSize"]*self.multiplier self.tickSize = i['tickSize'] #### 保存交易规则信息 exchange_info = model.ExchangeInfo() exchange_info.symbol = i['symbol'] exchange_info.multiplier = float(i["multiplier"]) exchange_info.tickSize = i['tickSize'] exchange_info.stepSize = i["lotSize"]*float(i["multiplier"]) self.exchange_info[exchange_info.symbol] = exchange_info # 设置杠杆 await self._request('GET',f'api/v1/contracts/active', params={}, auth=1) # 更新账户 res, err = await self.get_position() if err:print(err) if res: amt = float(res['data']['currentQty']) * self.multiplier ep = float(res['data']['avgEntryPrice']) pos = model.Position() if amt == 0.0: pos.longPos = 0 pos.longAvg = 0 pos.shortPos = 0 pos.shortAvg = 0 elif amt > 0.0: pos.longPos = amt pos.longAvg = ep pos.shortPos = 0 pos.shortAvg = 0 elif amt < 0.0: pos.longPos = 0 pos.longAvg = 0 pos.shortPos = -amt pos.shortAvg = ep self.callback['onPosition'](pos) async def get_equity(self): # 更新账户 res, err = await self.get_account() if err:print(err) if res: cash = float(res['data']['accountEquity']) if self.last_cash == 0: self.last_cash = cash self.callback['onEquity']({self.quote:cash}) self.cash_value = cash async def go(self): interval = 60 await self.before_trade() await asyncio.sleep(1) while 1: try: # 更新账户 res, err = await self.get_account() if err:print(err) if res: if res['data']['currency'] == "USDT": cash = float(res['data']['accountEquity']) # rest有可能获取到中间态 为了避免得到错误的账户信息 需进行判断 if self.last_cash == 0: self.last_cash = cash self.callback['onEquity']({self.quote:cash}) else: # 判断净值是否出现大幅度偏离 两次更新之间的差值不应超过5% if abs(self.last_cash - cash)/cash < 0.05: self.last_cash = cash self.callback['onEquity']({self.quote:cash}) else: # 否则舍弃本次更新 pass # 更新账户 res, err = await self.get_position() if err:print(err) if res: amt = float(res['data']['currentQty']) * self.multiplier ep = float(res['data']['avgEntryPrice']) pos = model.Position() if amt == 0.0: pos.longPos = 0 pos.longAvg = 0 pos.shortPos = 0 pos.shortAvg = 0 elif amt > 0.0: pos.longPos = amt pos.longAvg = ep pos.shortPos = 0 pos.shortAvg = 0 elif amt < 0.0: pos.longPos = 0 pos.longAvg = 0 pos.shortPos = -amt pos.shortAvg = ep self.callback['onPosition'](pos) await asyncio.sleep(interval) # 打印延迟 self.get_delay_info() self.logger.debug(f'报单延迟 平均{self.avg_delay}ms 最大{self.max_delay}ms') except: traceback.print_exc() await asyncio.sleep(10) def get_delay_info(self): if len(self.delays) > 100: self.delays = self.delays[-100:] if max(self.delays) > self.max_delay:self.max_delay = max(self.delays) self.avg_delay = round(sum(self.delays)/len(self.delays),1) async def handle_signals(self, orders): '''执行策略指令''' try: for order_name in orders: if 'Cancel' in order_name: # cid = orders[order_name][0] oid = orders[order_name][1] # kumex 只能按oid撤单 if oid: asyncio.get_event_loop().create_task(self.cancel_order(order_id=oid)) for order_name in orders: if 'Limits' in order_name: for i in orders[order_name]: logger.info(i) asyncio.get_event_loop().create_task(self.take_order( self.symbol, i[0], i[1], i[2], i[3] )) if len(orders[order_name]) > 0: logger.info("") for order_name in orders: if 'Check' in order_name: # cid = orders[order_name][0] oid = orders[order_name][1] if oid: asyncio.get_event_loop().create_task(self.check_order(order_id=oid)) except: # traceback.print_exc() await asyncio.sleep(0.1)