ARB Protocol价格ARB

午间快讯 | 8月11日重要动态速览 7:00-12:00 关注焦点：PayPay、美股IPO、BNB巨额购入、代币解锁、劳工统计局改革信号 1️⃣ 软银旗下 PayPay 计划赴美IPO，预计募资超 20 亿美元。 2️⃣ 万斯呼吁马斯克在中期选举前重返 MAGA 阵营。 3️⃣ 高盛 重申美国不会对黄金加征关税，并维持原有价格预期。 4️⃣ 业内观点：若推出 韩元稳定币，需配套短期国债配置与制度完善。 5️⃣ 本周代币解锁预警：APT、ARB、AVAX 等将迎来大额解锁。 6️⃣ 特朗普政府拟任命资深批评人士执掌 劳工统计局，或释放改革信号。 7️⃣ 韩国金融委认定境外交易所 KCEX、QXALX 涉嫌非法经营，已移交调查。

7:00-12:00 关注焦点：PayPay、美股IPO、BNB巨额购入、代币解锁、劳工统计局改革信号 1️⃣ 软银旗下 PayPay 计划赴美IPO，预计募资超 20 亿美元。 2️⃣ 万斯呼吁马斯克在中期选举前重返 MAGA 阵营。 3️⃣ 高盛 重申美国不会对黄金加征关税，并维持原有价格预期。 4️⃣ 上市公司 BNC 重磅出手，斥资约 1.6 亿美元买入 20 万枚 BNB。 5️⃣ 业内观点：若推出 韩元稳定币，需配套短期国债配置与制度完善。 6️⃣ 本周代币解锁预警：APT、ARB、AVAX 等将迎来大额解锁。 7️⃣ 特朗普政府拟任命资深批评人士执掌 劳工统计局，或释放改革信号。

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这是把在线自适应（自动寻找最优开/平仓阈值）完整合并后的单文件脚本。直接保存为 okx_bitget_arb_adaptive.py 运行即可（先小仓或先用 DRY_RUN=True 验证）。 你要把 6 个占位符密钥换成你自己的（我保留了硬编码位点，便于你直接填）。 # -*- coding: utf-8 -*- """ OKX ↔ Bitget 永续套利（在线自适应阈值） - 实时订阅标记价/最新价 - 价差接近零时锁价开仓；达到阈值平仓 - 持续记录价差CSV；每隔固定时间用最近窗口做网格搜索，动态更新开/平仓阈值 - 参数抑制抖动：单次更新限制步长 """ import os, hmac, base64, hashlib, json, time, asyncio, datetime as dt import csv, math, statistics, pathlib import requests, websockets from collections import deque ######################## # ==== 配置：硬编码密钥（在本地替换占位符） ==== # ######################## OKX_API_KEY = "REPLACE_WITH_YOUR_OKX_API_KEY" OKX_API_SECRET = "REPLACE_WITH_YOUR_OKX_API_SECRET" OKX_API_PASSPHRASE = "REPLACE_WITH_YOUR_OKX_PASSPHRASE" BG_API_KEY = "REPLACE_WITH_YOUR_BITGET_API_KEY" BG_API_SECRET = "REPLACE_WITH_YOUR_BITGET_API_SECRET" BG_PASSPHRASE = "REPLACE_WITH_YOUR_BITGET_PASSPHRASE" ######################## # ==== 交易/策略参数 ==== # ######################## # 标的 OKX_INST_ID = "BTC-USDT-SWAP" # OKX 永续 BG_SYMBOL = "BTCUSDT" # Bitget USDT本位永续 BG_PRODUCT = "USDT-FUTURES" # Bitget 产品线 # 初始阈值（会被在线优化动态更新） OPEN_EQUALITY_USD = 2.0 # |价差| <= 2 开仓锁价 CLOSE_SPREAD_USD = 18.0 # |价差| >= 18 平仓 USE_MARK_PRICE = True # True=标记价；False=最新成交价 # 手数/张数（先小量测试） OKX_SZ = "10" BG_SIZE = "10" # 开仓方向（默认 OKX 多 / Bitget 空；可改） OPEN_OKX_SIDE = "buy" # buy/sell OPEN_BG_SIDE = "sell" # buy/sell OKX_TD_MODE = "cross" # cross/isolated OKX_POS_SIDE = "long" if OPEN_OKX_SIDE=="buy" else "short" BG_MARGIN_COIN = "USDT" # REST & WS OKX_BASE = "https://www.okx.com" BG_BASE = "https://api.bitget.com" OKX_WS_PUBLIC = "wss://ws.okx.com:8443/ws/v5/public" BG_WS_PUBLIC = "wss://ws.bitget.com/v2/ws/public" # 运行控制 DRY_RUN = True # True=只打印不下单；False=真下单（建议先True验证） REQUEST_TIMEOUT = 10 WS_RETRY_DELAY = 2 ######################## # ==== 在线自适应配置 ==== # ######################## CSV_LOG_PATH = "spread_log.csv" # 价差日志 FEE_USD_PER_SIDE = 2.0 # 单边总成本估计（手续费+滑点+资金费摊销），自行校准 SLIPPAGE_USD = 0.5 # 触发时额外滑点预算（用于回测） USE_SHARPE = False # 目标函数：False=最大化总收益；True=最大化夏普 ANNUALIZATION_K = 365.0 # 夏普年化基数（按日收益） ROLLING_HOURS = 24 # 在线优化窗口（过去N小时数据） OPT_INTERVAL_MIN = 10 # 每隔N分钟重优化 MAX_STEP_USD = 2.0 # 单次参数最大更新步长，抑制抖动 # 网格搜索范围（可按你的风格扩大/缩窄） OPEN_GRID = [round(x * 0.5, 2) for x in range(1, 11)] # 0.5,1.0,...,5.0 CLOSE_GRID = list(range(8, 41, 2)) # 8,10,...,40 # 内存滚动缓存（减少IO） ROLLING_CACHE_MAX = 200000 rolling_buf = deque(maxlen=ROLLING_CACHE_MAX) last_opt_ts = 0 # 上次优化时间（epoch秒） ######################## # ==== 工具函数 ==== # ######################## def iso_ts_ms_str(): return str(int(time.time() * 1000)) def okx_headers(method, path, body): ts = dt.datetime.utcnow().isoformat(timespec="milliseconds") + "Z" prehash = f"{ts}{method.upper()}{path}{body}" sign = base64.b64encode(hmac.new(OKX_API_SECRET.encode(), prehash.encode(), hashlib.sha256).digest()).decode() return { "OK-ACCESS-KEY": OKX_API_KEY, "OK-ACCESS-SIGN": sign, "OK-ACCESS-TIMESTAMP": ts, "OK-ACCESS-PASSPHRASE": OKX_API_PASSPHRASE, "Content-Type": "application/json" } def bg_sign(ts_ms:str, method:str, path:str, body:str, secret:str)->str: msg = f"{ts_ms}{method.upper()}{path}{body}".encode() sign = hmac.new(secret.encode(), msg, hashlib.sha256).digest() return base64.b64encode(sign).decode() def bg_headers(method, path, body): ts = iso_ts_ms_str() sign = bg_sign(ts, method, path, body, BG_API_SECRET) return { "ACCESS-KEY": BG_API_KEY, "ACCESS-SIGN": sign, "ACCESS-PASSPHRASE": BG_PASSPHRASE, "ACCESS-TIMESTAMP": ts, "Content-Type": "application/json" } ######################## # ==== 下单/平仓（OKX） ==== # ######################## def okx_place_market(instId, tdMode, side, posSide, sz): path = "/api/v5/trade/order" url = OKX_BASE + path body = { "instId": instId, "tdMode": tdMode, "side": side, # buy/sell "posSide": posSide, # long/short（对冲） "ordType": "market", "sz": str(sz) } data = json.dumps(body, separators=(",",":")) if DRY_RUN: print("[DRYRUN][OKX] place", data) return {"dryrun":True, "req":body} r = requests.post(url, headers=okx_headers("POST", path, data), data=data, timeout=REQUEST_TIMEOUT) r.raise_for_status() return r.json() def okx_close_market(instId, tdMode, posSide, sz): side = "sell" if posSide=="long" else "buy" return okx_place_market(instId, tdMode, side, posSide, sz) ######################## # ==== 下单/平仓（Bitget v2） ==== # ######################## def bg_place_market(symbol, productType, marginCoin, side, tradeSide, size): path = "/api/v2/mix/order/place-order" url = BG_BASE + path body = { "symbol": symbol, "productType": productType, # USDT-FUTURES "marginCoin": marginCoin, # USDT "side": side, # buy/sell "tradeSide": tradeSide, # open/close "orderType": "market", "size": str(size), "clientOid": f"arb_{int(time.time()*1000)}" } data = json.dumps(body, separators=(",",":")) if DRY_RUN: print("[DRYRUN][Bitget] place", data) return {"dryrun":True, "req":body} r = requests.post(url, headers=bg_headers("POST", path, data), data=data, timeout=REQUEST_TIMEOUT) r.raise_for_status() return r.json() def bg_open(symbol, productType, marginCoin, side, size): return bg_place_market(symbol, productType, marginCoin, side, "open", size) def bg_close(symbol, productType, marginCoin, side, size): opp_side = "buy" if side=="sell" else "sell" return bg_place_market(symbol, productType, marginCoin, opp_side, "close", size) ######################## # ==== 价格源（WS） ==== # ######################## class PriceFeed: def __init__(self): self.okx_price = None self.bg_price = None def okx_channel(self): if USE_MARK_PRICE: return {"op":"subscribe","args":[{"channel":"mark-price","instId":OKX_INST_ID}]} else: return {"op":"subscribe","args":[{"channel":"tickers","instId":OKX_INST_ID}]} def bg_channel(self): channel = "markPrice" if USE_MARK_PRICE else "ticker" return {"op":"subscribe","args":[{"instType":"USDT-FUTURES","channel":channel,"instId":BG_SYMBOL}]} async def okx_loop(self): while True: try: async with websockets.connect(OKX_WS_PUBLIC, ping_interval=20) as ws: await ws.send(json.dumps(self.okx_channel())) async for msg in ws: data = json.loads(msg) if data.get("event")=="subscribe": print("[OKX] subscribed") elif "data" in data: d = data["data"][0] self.okx_price = float(d["markPx"] if USE_MARK_PRICE else d["last"]) except Exception as e: print("[OKX WS] error:", e) await asyncio.sleep(WS_RETRY_DELAY) async def bg_loop(self): while True: try: async with websockets.connect(BG_WS_PUBLIC, ping_interval=20) as ws: await ws.send(json.dumps(self.bg_channel())) async for msg in ws: data = json.loads(msg) if data.get("event")=="subscribe": print("[Bitget] subscribed") elif "arg" in data and "data" in data: d = data["data"][0] if USE_MARK_PRICE: self.bg_price = float(d.get("markPrice") or d.get("price")) else: self.bg_price = float(d.get("last") or d.get("price")) except Exception as e: print("[Bitget WS] error:", e) await asyncio.sleep(WS_RETRY_DELAY) ######################## # ==== 价差日志 & 回测优化 ==== # ######################## def ensure_csv_header(path: str): p = pathlib.Path(path) if not p.exists(): with open(path, "w", newline="") as f: w = csv.writer(f) w.writerow(["ts_ms","okx","bg","spread"]) def log_spread(ts_ms: int, okx: float, bg: float): ensure_csv_header(CSV_LOG_PATH) with open(CSV_LOG_PATH, "a", newline="") as f: csv.writer(f).writerow([ts_ms, f"{okx:.4f}", f"{bg:.4f}", f"{okx-bg:.4f}"]) rolling_buf.append((ts_ms, okx, bg, okx - bg)) def load_recent_spreads(hours: int): now_ms = int(time.time() * 1000) cutoff = now_ms - hours * 3600 * 1000 data = [row for row in rolling_buf if row[0] >= cutoff] if data: return data try: out = [] with open(CSV_LOG_PATH, "r") as f: r = csv.DictReader(f) for row in r: ts = int(row["ts_ms"]) if ts >= cutoff: okx = float(row["okx"]); bg = float(row["bg"]) sp = float(row["spread"]) out.append((ts, okx, bg, sp)) return out except FileNotFoundError: return [] def simulate_pnl(spreads, open_eq: float, close_sp: float, fee_per_side: float = FEE_USD_PER_SIDE, slip: float = SLIPPAGE_USD): """历史spread回测：锁价开→阈值平。返回(总收益, 日收益序列)""" pos = False entry = None pnl = 0.0 day_pnl = {} for ts, _, _, sp in spreads: day = dt.datetime.utcfromtimestamp(ts/1000).date().isoformat() if not pos: if abs(sp) <= open_eq: pos = True entry = sp pnl -= (fee_per_side*2) # 同时两边开仓 pnl -= slip else: if abs(sp) >= close_sp: pnl += (abs(sp) - abs(entry)) pnl -= (fee_per_side*2) # 两边平仓 pnl -= slip pos = False entry = None day_pnl.setdefault(day, 0.0) day_pnl[day] = pnl # 累计→日度增量 days = sorted(day_pnl.keys()) daily = [] prev = 0.0 for d in days: daily.append(day_pnl[d]-prev) prev = day_pnl[d] return pnl, daily def score_pnl(total_pnl: float, daily_pnls): if not USE_SHARPE: return total_pnl if len(daily_pnls) < 2: return -1e9 mu = statistics.mean(daily_pnls) sd = statistics.pstdev(daily_pnls) or 1e-9 return (mu / sd) * math.sqrt(ANNUALIZATION_K) def grid_search_opt(spreads): """返回（best_open, best_close, best_score, best_total_pnl）""" best = (None, None, -1e18, 0.0) for o in OPEN_GRID: for c in CLOSE_GRID: if c <= o + 2.0: # 开/平阈值至少拉开2美元，避免抖动 continue total, daily = simulate_pnl(spreads, o, c) s = score_pnl(total, daily) if s > best[2]: best = (o, c, s, total) return best def clamp_step(current: float, target: float, step: float): if current is None: return target if target > current: return min(target, current + step) if target < current: return max(target, current - step) return current def maybe_reoptimize(state): """定期基于最近窗口重算阈值；仅在空仓时更新""" global OPEN_EQUALITY_USD, CLOSE_SPREAD_USD, last_opt_ts if state.has_position: return now = time.time() if now - last_opt_ts < OPT_INTERVAL_MIN * 60: return spreads = load_recent_spreads(ROLLING_HOURS) if len(spreads) < 500: # 数据太少不优化 return o, c, s, total = grid_search_opt(spreads) if o is None: return new_open = clamp_step(OPEN_EQUALITY_USD, o, MAX_STEP_USD) new_close = clamp_step(CLOSE_SPREAD_USD, c, MAX_STEP_USD) print(f"\n[OPT] {ROLLING_HOURS}h best_open={o:.2f}, best_close={c:.2f}, " f"score={s:.4f}, backtest_total={total:.2f} -> APPLY open={new_open:.2f}, close={new_close:.2f}") OPEN_EQUALITY_USD = round(new_open, 2) CLOSE_SPREAD_USD = round(new_close, 2) last_opt_ts = now ######################## # ==== 策略执行 ==== # ######################## class ArbState: def __init__(self): self.has_position = False self.entry_spread = None self.okx_side_open = OPEN_OKX_SIDE self.bg_side_open = OPEN_BG_SIDE async def main(): feed = PriceFeed() state = ArbState() tasks = [asyncio.create_task(feed.okx_loop()), asyncio.create_task(feed.bg_loop())] try: print(f"[INIT] USE_MARK_PRICE={USE_MARK_PRICE} | DRY_RUN={DRY_RUN}") print(f"[INIT] INIT OPEN_EQUALITY_USD={OPEN_EQUALITY_USD} | CLOSE_SPREAD_USD={CLOSE_SPREAD_USD}") while True: await asyncio.sleep(0.2) if feed.okx_price is None or feed.bg_price is None: continue spread = feed.okx_price - feed.bg_price # OKX - Bitget now = dt.datetime.now().strftime("%H:%M:%S") print(f"{now} P_okx={feed.okx_price:.2f} P_bg={feed.bg_price:.2f} " f"spread={spread:.2f} | open={OPEN_EQUALITY_USD:.2f} close={CLOSE_SPREAD_USD:.2f}", end="\r") # 记录价差（供回测优化） ts_ms = int(time.time()*1000) log_spread(ts_ms, feed.okx_price, feed.bg_price) # 无持仓 → 锁价开仓 if not state.has_position and abs(spread) <= OPEN_EQUALITY_USD: print(f"\n[OPEN] |spread|<=OPEN({OPEN_EQUALITY_USD:.2f})，尝试锁价开仓 spread={spread:.2f}") try: okx_res = okx_place_market(OKX_INST_ID, OKX_TD_MODE, state.okx_side_open, OKX_POS_SIDE, OKX_SZ) bg_res = bg_open(BG_SYMBOL, BG_PRODUCT, BG_MARGIN_COIN, state.bg_side_open, BG_SIZE) print("[OKX OPEN RES]", okx_res) print("[BG OPEN RES]", bg_res) state.has_position = True state.entry_spread = spread except Exception as e: print("[OPEN ERROR]", e) # 有持仓 → 触发平仓 if state.has_position and abs(spread) >= CLOSE_SPREAD_USD: print(f"\n[CLOSE] |spread|>=CLOSE({CLOSE_SPREAD_USD:.2f})，同时平仓 spread={spread:.2f}") try: okx_res = okx_close_market(OKX_INST_ID, OKX_TD_MODE, OKX_POS_SIDE, OKX_SZ) bg_res = bg_close(BG_SYMBOL, BG_PRODUCT, BG_MARGIN_COIN, state.bg_side_open, BG_SIZE) print("[OKX CLOSE RES]", okx_res) print("[BG CLOSE RES]", bg_res) pnl = (abs(spread) - abs(state.entry_spread or 0.0)) print(f"[PNL est] Δ|spread| ≈ {pnl:.2f} USD（未含费率/资金费/滑点）") state.has_position = False state.entry_spread = None except Exception as e: print("[CLOSE ERROR]", e) # 空仓时尝试在线重优化阈值 maybe_reoptimize(state) finally: for t in tasks: t.cancel() if __name__ == "__main__": asyncio.run(main()) 运行提示 pip install websockets requests（无第三方也能跑；可选 python-dotenv 已不需要）。 先 DRY_RUN=True 跑通数据和下单请求格式；再改 False 小仓验证。 想要更激进/保守，调整 OPEN_GRID/CLOSE_GRID 搜索范围、FEE_USD_PER_SIDE 成本估计、ROLLING_HOURS/OPT_INTERVAL_MIN 优化频率。 要不要我再给一个**“σ倍数阈值（OPEN=k1·σ，CLOSE=k2·σ）”的自适应版本，或把双向套利（当 OKX 更贵时自动反向）也一并集成进去？你更偏好哪一种优化目标：最大收益还是夏普比率**？

# -*- coding: utf-8 -*- import hmac, base64, hashlib, json, time, asyncio, datetime as dt import requests, websockets ######################## # ==== 配置：硬编码密钥（在本地替换占位符） ==== # ######################## OKX_API_KEY = "REPLACE_WITH_YOUR_OKX_API_KEY" OKX_API_SECRET = "REPLACE_WITH_YOUR_OKX_API_SECRET" OKX_API_PASSPHRASE = "REPLACE_WITH_YOUR_OKX_API_PASSPHRASE" BG_API_KEY = "REPLACE_WITH_YOUR_BITGET_API_KEY" BG_API_SECRET = "REPLACE_WITH_YOUR_BITGET_API_SECRET" BG_PASSPHRASE = "REPLACE_WITH_YOUR_BITGET_PASSPHRASE" ######################## # ==== 交易/策略参数 ==== # ######################## # 标的 OKX_INST_ID = "BTC-USDT-SWAP" # OKX 永续 BG_SYMBOL = "BTCUSDT" # Bitget USDT本位永续 BG_PRODUCT = "USDT-FUTURES" # Bitget 产品线 # 阈值 OPEN_EQUALITY_USD = 2.0 # |价差| <= 2 开仓锁价 CLOSE_SPREAD_USD = 18.0 # |价差| >= 18 平仓 USE_MARK_PRICE = True # True=标记价；False=最新成交价 # 手数/张数（先小量测试） OKX_SZ = "10" BG_SIZE = "10" # 开仓方向（默认 OKX 多 / Bitget 空；可改） OPEN_OKX_SIDE = "buy" # buy/sell OPEN_BG_SIDE = "sell" # buy/sell OKX_TD_MODE = "cross" # cross/isolated OKX_POS_SIDE = "long" if OPEN_OKX_SIDE=="buy" else "short" BG_MARGIN_COIN = "USDT" # REST & WS OKX_BASE = "https://www.okx.com" BG_BASE = "https://api.bitget.com" OKX_WS_PUBLIC = "wss://ws.okx.com:8443/ws/v5/public" BG_WS_PUBLIC = "wss://ws.bitget.com/v2/ws/public" # 运行控制 DRY_RUN = False # False=真下单（先小仓验证） REQUEST_TIMEOUT = 10 WS_RETRY_DELAY = 2 ######################## # ==== 工具函数 ==== # ######################## def iso_ts_ms_str(): return str(int(time.time() * 1000)) def okx_headers(method, path, body): ts = dt.datetime.utcnow().isoformat(timespec="milliseconds") + "Z" prehash = f"{ts}{method.upper()}{path}{body}" sign = base64.b64encode(hmac.new(OKX_API_SECRET.encode(), prehash.encode(), hashlib.sha256).digest()).decode() return { "OK-ACCESS-KEY": OKX_API_KEY, "OK-ACCESS-SIGN": sign, "OK-ACCESS-TIMESTAMP": ts, "OK-ACCESS-PASSPHRASE": OKX_API_PASSPHRASE, "Content-Type": "application/json" } def bg_sign(ts_ms:str, method:str, path:str, body:str, secret:str)->str: msg = f"{ts_ms}{method.upper()}{path}{body}".encode() sign = hmac.new(secret.encode(), msg, hashlib.sha256).digest() return base64.b64encode(sign).decode() def bg_headers(method, path, body): ts = iso_ts_ms_str() sign = bg_sign(ts, method, path, body, BG_API_SECRET) return { "ACCESS-KEY": BG_API_KEY, "ACCESS-SIGN": sign, "ACCESS-PASSPHRASE": BG_PASSPHRASE, "ACCESS-TIMESTAMP": ts, "Content-Type": "application/json" } ######################## # ==== 下单/平仓（OKX） ==== # ######################## def okx_place_market(instId, tdMode, side, posSide, sz): path = "/api/v5/trade/order" url = OKX_BASE + path body = { "instId": instId, "tdMode": tdMode, "side": side, # buy/sell "posSide": posSide, # long/short（对冲） "ordType": "market", "sz": str(sz) } data = json.dumps(body, separators=(",",":")) if DRY_RUN: print("[DRYRUN][OKX] place", data) return {"dryrun":True, "req":body} r = requests.post(url, headers=okx_headers("POST", path, data), data=data, timeout=REQUEST_TIMEOUT) r.raise_for_status() return r.json() def okx_close_market(instId, tdMode, posSide, sz): side = "sell" if posSide=="long" else "buy" return okx_place_market(instId, tdMode, side, posSide, sz) ######################## # ==== 下单/平仓（Bitget v2） ==== # ######################## def bg_place_market(symbol, productType, marginCoin, side, tradeSide, size): path = "/api/v2/mix/order/place-order" url = BG_BASE + path body = { "symbol": symbol, "productType": productType, # USDT-FUTURES "marginCoin": marginCoin, # USDT "side": side, # buy/sell "tradeSide": tradeSide, # open/close "orderType": "market", "size": str(size), "clientOid": f"arb_{int(time.time()*1000)}" } data = json.dumps(body, separators=(",",":")) if DRY_RUN: print("[DRYRUN][Bitget] place", data) return {"dryrun":True, "req":body} r = requests.post(url, headers=bg_headers("POST", path, data), data=data, timeout=REQUEST_TIMEOUT) r.raise_for_status() return r.json() def bg_open(symbol, productType, marginCoin, side, size): return bg_place_market(symbol, productType, marginCoin, side, "open", size) def bg_close(symbol, productType, marginCoin, side, size): opp_side = "buy" if side=="sell" else "sell" return bg_place_market(symbol, productType, marginCoin, opp_side, "close", size) ######################## # ==== 价格源（WS） ==== # ######################## class PriceFeed: def __init__(self): self.okx_price = None self.bg_price = None def okx_channel(self): if USE_MARK_PRICE: return {"op":"subscribe","args":[{"channel":"mark-price","instId":OKX_INST_ID}]} else: return {"op":"subscribe","args":[{"channel":"tickers","instId":OKX_INST_ID}]} def bg_channel(self): channel = "markPrice" if USE_MARK_PRICE else "ticker" return {"op":"subscribe","args":[{"instType":"USDT-FUTURES","channel":channel,"instId":BG_SYMBOL}]} async def okx_loop(self): while True: try: async with websockets.connect(OKX_WS_PUBLIC, ping_interval=20) as ws: await ws.send(json.dumps(self.okx_channel())) async for msg in ws: data = json.loads(msg) if data.get("event")=="subscribe": print("[OKX] subscribed") elif "data" in data: d = data["data"][0] self.okx_price = float(d["markPx"] if USE_MARK_PRICE else d["last"]) except Exception as e: print("[OKX WS] error:", e) await asyncio.sleep(WS_RETRY_DELAY) async def bg_loop(self): while True: try: async with websockets.connect(BG_WS_PUBLIC, ping_interval=20) as ws: await ws.send(json.dumps(self.bg_channel())) async for msg in ws: data = json.loads(msg) if data.get("event")=="subscribe": print("[Bitget] subscribed") elif "arg" in data and "data" in data: d = data["data"][0] if USE_MARK_PRICE: self.bg_price = float(d.get("markPrice") or d.get("price")) else: self.bg_price = float(d.get("last") or d.get("price")) except Exception as e: print("[Bitget WS] error:", e) await asyncio.sleep(WS_RETRY_DELAY) ######################## # ==== 策略执行 ==== # ######################## class ArbState: def __init__(self): self.has_position = False self.entry_spread = None self.okx_side_open = OPEN_OKX_SIDE self.bg_side_open = OPEN_BG_SIDE async def main(): feed = PriceFeed() state = ArbState() tasks = [asyncio.create_task(feed.okx_loop()), asyncio.create_task(feed.bg_loop())] try: while True: await asyncio.sleep(0.2) if feed.okx_price is None or feed.bg_price is None: continue spread = feed.okx_price - feed.bg_price # OKX - Bitget now = dt.datetime.now().strftime("%H:%M:%S") print(f"{now} P_okx={feed.okx_price:.2f} P_bg={feed.bg_price:.2f} spread={spread:.2f}", end="\r") # 无持仓 → 锁价开仓 if not state.has_position and abs(spread) <= OPEN_EQUALITY_USD: print("\n[OPEN] |spread|<=OPEN_EQUALITY_USD，尝试锁价开仓") try: okx_res = okx_place_market(OKX_INST_ID, OKX_TD_MODE, state.okx_side_open, OKX_POS_SIDE, OKX_SZ) bg_res = bg_open(BG_SYMBOL, BG_PRODUCT, BG_MARGIN_COIN, state.bg_side_open, BG_SIZE) print("[OKX OPEN RES]", okx_res) print("[BG OPEN RES]", bg_res) state.has_position = True state.entry_spread = spread except Exception as e: print("[OPEN ERROR]", e) # 有持仓 → 触发平仓 if state.has_position and abs(spread) >= CLOSE_SPREAD_USD: print(f"\n[CLOSE] |spread|>=CLOSE_SPREAD_USD，开始同时平仓 | spread={spread:.2f}") try: okx_res = okx_close_market(OKX_INST_ID, OKX_TD_MODE, OKX_POS_SIDE, OKX_SZ) bg_res = bg_close(BG_SYMBOL, BG_PRODUCT, BG_MARGIN_COIN, state.bg_side_open, BG_SIZE) print("[OKX CLOSE RES]", okx_res) print("[BG CLOSE RES]", bg_res) pnl = (spread - (state.entry_spread or 0.0)) print(f"[PNL est] Δspread = {pnl:.2f} USD（未含费率/资金费/滑点）") state.has_position = False state.entry_spread = None except Exception as e: print("[CLOSE ERROR]", e) finally: for t in tasks: t.cancel() if __name__ == "__main__": asyncio.run(main())