Argentum价格ARG

# -*- 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())

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