风险控制
需要将仓位杠杆控制到3倍以内,由于dydx与apex没有获取仓位杠杆的接口,但是每次发送交易的数额可以决定,故而可以设置每次发送总仓位1.5倍杠杆的数额,然后设置一个变量保证每个方向上的交易不超过2次,即可保证总仓位始终小于3倍杠杆
细节:
send_order_apex(client_apex, symbol="BTC-USDC", side="BUY",type="MARKET",size="0.004", expirationEpochSeconds=currentTime+100,price='58888', limitFeeRate=limitFeeRate)
在apex市价交易参数里,price代表可接受的价格,故而当卖出时,此price要尽可能的调低,否则会失败,同理买进时要尽可能的高。
同时将价差计算修改为:
计算价差
spread1 = ((float(b_first_price_apex) -float(s_first_price_dydx))/float(b_first_price_apex))*100
spread2 = ((float(b_first_price_dydx) - float(s_first_price_apex))/float(b_first_price_dydx))*100
因为如果在apex卖,dydx买的话,apex的卖价应该大于dydx的买价,apex的卖价由apex买一价决定,dydx买价由dydx卖一价决定。反之同理。
代码修改如下:
get_depth_data_btc.py
python
"""
这是一个用来计算 APEX 和 dydx 之间的 BTCUSDC 价差的模块。
可以调用 calculate_spread 函数来返回两个交易所的卖一价、买一价和价差。
"""
import asyncio
from apexpro.http_public import HttpPublic
from dydx3 import Client
from dydx3.constants import MARKET_BTC_USD
# 定义交易对列表
symbol = 'BTCUSDC'
market = MARKET_BTC_USD
# 定义异步函数来获取 APEX 的价格
async def get_apex_price():
# 初始化API客户端
apexclient = HttpPublic("https://pro.apex.exchange")
# 获取深度数据
trades_data = apexclient.depth(symbol=symbol)['data']
# 返回卖一价和买一价
return trades_data['a'][0][0], trades_data['b'][0][0], trades_data['a'][0][1], trades_data['b'][0][1]
# 定义异步函数来获取 dydx 的价格
async def get_dydx_price():
# 初始化API客户端
dydxclient = Client(host='https://api.dydx.exchange')
# 获取深度数据
orderbook_response = dydxclient.public.get_orderbook(market=market)
orderbook_data = orderbook_response.data
# 返回卖一价和买一价
return orderbook_data['asks'][0]['price'], orderbook_data['bids'][0]['price'], orderbook_data['asks'][0]['size'], orderbook_data['bids'][0]['size']
# 定义异步函数来计算价差
async def calculate_spread():
# 创建两个任务,分别获取 APEX 和 dydx 的价格
task1 = asyncio.create_task(get_apex_price())
task2 = asyncio.create_task(get_dydx_price())
# 等待两个任务完成,并获取结果
s_first_price_apex, b_first_price_apex,s_first_size_apex,b_first_size_apex = await task1
s_first_price_dydx, b_first_price_dydx,s_first_size_dydx,b_first_size_dydx = await task2
# 计算价差
spread1 = ((float(b_first_price_apex) - float(s_first_price_dydx))/float(b_first_price_apex))*100
spread2 = ((float(b_first_price_dydx) - float(s_first_price_apex))/float(b_first_price_dydx))*100
return s_first_price_apex,b_first_price_apex,s_first_price_dydx,b_first_price_dydx,s_first_size_apex,b_first_size_apex,s_first_size_dydx,b_first_size_dydx,spread1,spread2
if __name__ == '__main__':
# 创建事件循环
loop = asyncio.get_event_loop()
# 运行异步函数
loop.run_until_complete(calculate_spread())
# 关闭事件循环
loop.close()
place_order_btc.py
python
from init_apex_client import init_client
import asyncio
from send_order_apex import send_order_apex
from init_dydx_client import init_dydx_client
from send_order_dydx import send_order_dydx
from dydx3.constants import MARKET_BTC_USD
from dydx3.constants import ORDER_SIDE_BUY,ORDER_SIDE_SELL
from dydx3.constants import ORDER_TYPE_MARKET,ORDER_TYPE_LIMIT
from get_depth_data_btc import calculate_spread
import time
#价格设置需要更精确,不然发不出去!
# 初始化apex客户端
client_apex = init_client()
configs = client_apex.configs()
# 获取apex用户和账户信息
client_apex.get_user()
client_apex.get_account()
# 初始化dydx客户端
client_dydx = init_dydx_client()
# 获取我们的dydx仓位 ID
account_response = client_dydx.private.get_account()
position_id = account_response.data['account']['positionId']
async def arbitrage():
arbitrage_count = 0
while True:
# 计算价差
s_first_price_apex,b_first_price_apex,s_first_price_dydx,b_first_price_dydx,s_first_size_apex,b_first_size_apex,s_first_size_dydx,b_first_size_dydx,spread1,spread2 = await calculate_spread()
# 根据价差判断是否发送交易
if spread1 > 0.7:
if arbitrage_count <2:
currentTime = time.time()
limitFeeRate = client_apex.account['takerFeeRate']
task_apex_sell = asyncio.create_task(
send_order_apex(client_apex, symbol="BTC-USDC", side="SELL",
type="MARKET", size="0.004", expirationEpochSeconds=currentTime+100,
price='18888', limitFeeRate=limitFeeRate)
)
task_dydx_buy = asyncio.create_task(
send_order_dydx(client_dydx, position_id, MARKET_BTC_USD, ORDER_SIDE_BUY, ORDER_TYPE_LIMIT,
True, '0.004', b_first_price_dydx, '0.0015', currentTime+100)
)
orderResult1 = await task_apex_sell
orderResult2 = await task_dydx_buy
arbitrage_count += 1
if arbitrage_count >=2:
print('above leverage ,stop')
print(orderResult1,orderResult2)
if spread2 > 0.7:
if arbitrage_count >-2:
currentTime = time.time()
# 异步地发送一个apex市价买单和一个dydx市价卖单
limitFeeRate = client_apex.account['takerFeeRate']
task_apex_buy = asyncio.create_task(
send_order_apex(client_apex, symbol="BTC-USDC", side="BUY",
type="MARKET", size="0.004", expirationEpochSeconds=currentTime+100,
price='58888', limitFeeRate=limitFeeRate)
)
task_dydx_sell = asyncio.create_task(
send_order_dydx(client_dydx, position_id, MARKET_BTC_USD, ORDER_SIDE_SELL, ORDER_TYPE_LIMIT,
True, '0.004', s_first_price_dydx, '0.0015', currentTime+100)
)
orderResult1 = await task_apex_buy
orderResult2 = await task_dydx_sell
arbitrage_count -= 1
if arbitrage_count <=-2:
print('above leverage ,stop')
print(orderResult1,orderResult2)
# 延时一秒,避免过于频繁
await asyncio.sleep(1)
# 运行异步函数
asyncio.run(arbitrage())
持续运行:
写一个脚本确保因为各种异常程序退出后能够重启:
python
import subprocess
import time
def run_program():
# 这里替换为你需要执行的程序命令
process = subprocess.Popen(["python", "place_order_btc.py"]) # 例如:python your_program.py
return process
if __name__ == "__main__":
while True:
program = run_program()
while program.poll() is None:
# 程序正在运行
time.sleep(5) # 每5秒检查一次程序状态
# 程序已终止,等待一段时间后重启
print("程序已终止,重新启动中...")
time.sleep(3) # 等待3秒