【python数字货币量化_21精华帖_策略第21篇】币安币本位合约资金费率套利及套利自动平仓

显示全部楼层 · 2023-8-4 17:05:55

前沿

上次我们已经发布了开仓的代码，
币安币本位合约资金费率套利及套利开仓（含代码）
手动平仓是发现挺麻烦的，我们再来篇平仓代码，只需要更改主运行文件，配置文件和api文件不用变化
基本步骤

第二步：卖出币本位永续合约。
第三部：转入现货
第四步：现货在开多对应数量
代码实现
#-*-coding:utf-8-*-
# 币安币合约资金费率如何进行套利及套利平仓代码
import json
import traceback
import ccxt
import pandas as pd
import time
import hmac
from hashlib import sha256
import requests
from get_binance_data import *
from config import *

pd.set_option("display.max_rows", 1000)
pd.set_option('expand_frame_repr', False)  # 当列太多时不换行

spot_symbol = '{}/{}'.format(coin, base_coin)  # 构建现货交易对
delivery_symbol = '{}{}'.format(coin, base_coin.replace('USDT', 'USD_PERP'))  # 构建合约交易对

exchange = ccxt.binance(BINANCE_CONFIG)

exchange_info = exchange.dapiPublic_get_exchangeinfo()
exchange_info = pd.DataFrame(exchange_info['symbols'], dtype=float)
exchange_info.set_index('symbol', inplace=True)
priceprecision = int(exchange_info.loc[delivery_symbol, 'pricePrecision'])
quantityprecision = int(exchange_info.loc[delivery_symbol, 'quantityPrecision'])

while True:
#  获取现货买一价格
spot_buy1_price = exchange.fetch_ticker(spot_symbol)['bid']
# 获取永续合约卖一价格
params = {'symbol': delivery_symbol, 'limit': 5}
delivery_sell1_price = float(exchange.dapiPublicGetDepth(params=params)['asks'][0][0])
# 计算价差
r = delivery_sell1_price / spot_buy1_price - 1
print('现货价格：%.4f，期货价格：%.4f，价差：%.4f' % (spot_buy1_price, delivery_sell1_price, r))

# ===判断价差是否满足要求
# =====自动出金
if r > out_threshold:
      print('利差小于目标阀值，不出金')
else:
      print('利差大于目标阀值，开始出金')

      # 查询永续合约金额
      asset_maxWithdrawAmount, marginBalance = get_delivery_account()
      print('查询永续合约金额!', asset_maxWithdrawAmount, marginBalance)
      qty = select_delivery_order(delivery_symbol)

      # 平仓
      order_delivery(delivery_symbol, 'BUY', delivery_sell1_price*1.001, qty, priceprecision)
      time.sleep(1)

      asset_maxWithdrawAmount, marginBalance = get_delivery_account() # 查询永续合约金额
      transder_all('CMFUTURE_MAIN', asset_maxWithdrawAmount) # 划转到现货
      free = get_spot_account() # 查询现货合约余额

      # 卖出现货
      print('卖出现货param', spot_symbol, 'limit', 'sell', free, spot_buy1_price * 0.999)
      order_info = exchange.create_order(spot_symbol, 'limit', 'sell', free, spot_buy1_price * 0.999)
      print('卖出现货order_info:', order_info)

      # # 计数
      execute_num += 1

# ===循环结束
print('*' * 20, '本次循环结束，暂停', '*' * 20, '\n')
time.sleep(3)

if execute_num >= max_execute_num:
      print('达到最大下单次数，完成建仓计划，退出程序')
      Break

【python数字货币量化_21精华帖_策略第21篇】币安 币本位合约 资金费率套利及套利 自动平仓

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【python数字货币量化_21精华帖_策略第21篇】币安币本位合约资金费率套利及套利自动平仓