用python做量化投资系列之比特币---盘口高频策略

来源：互联网发布：钣金放样展开软件下载编辑：程序博客网时间：2024/04/27 23:18

使用方法：把上一篇的配置基础，写到一个python文件中，文件名保存为 OkcoinSpotAPI，然后把下面的代码，写到一个新的文件中，保存好，就可以直接运行了

原理：根据盘口买卖量，深度行情挂单量，进行买卖决策。属于高频策略。

注：该策略做过实盘，有回撤。使用的话，建议进一步优化。

更一步交流，qq:1733505732

验证请注明：python ，比特币量化

# -*- coding: utf-8 -*-"""Created on Mon Jan 16 17:40:55 2017@author: yunjinqiE-mail:yunjinqi@qq.comDifferentiate yourself in the world from anyone else."""########################################################盘口模型from OkcoinSpotAPI import *import pandas as pdimport numpy as npimport datetimeimport time######################################################初始数据#引入初始信息apikey = '9b93e53a-e803-4883-b8fc-64af2f3ccc57'secretkey = '14284B3C0B9CF0F932E83888388855C9'okcoinRESTURL = 'www.okcoin.cn'   #请求注意：国内账号需要 修改为 www.okcoin.cn  okcoinSpot = OKCoinSpot(okcoinRESTURL,apikey,secretkey)okcoinFuture = OKCoinFuture(okcoinRESTURL,apikey,secretkey)#info=eval(okcoinSpot.userinfo())#账户信息#info#####################################获取并整理数据def cut(deep):    deep['bid_price']=''    deep['bid_volume']=''    deep['ask_price']=''    deep['ask_price']=''    for i in range(len(deep)):        deep.ix[i,'bid_price']=deep.ix[i,'bids'][0]        deep.ix[i,'bid_volume']=deep.ix[i,'bids'][1]        deep.ix[i,'ask_price']=deep.ix[i,'asks'][0]        deep.ix[i,'ask_volume']=deep.ix[i,'asks'][1]    del deep['asks']    del deep['bids']    deep['bid_price']=deep['bid_price'].astype('float64')    deep['bid_volume']=deep['bid_volume'].astype('float64')    deep['ask_price']=deep['ask_price'].astype('float64')    deep['ask_price']=deep['ask_price'].astype('float64')    return deepdef bid_ask_vol_diff(deep):    bidvol10=deep['bid_volume'][:10]    askvol10=deep['ask_volume'][-10:]    diff=bidvol10.sum()-askvol10.sum()    return diff   #diff>0是入场条件1def bid_ask_price_diff(deep):    bidprice10=deep['bid_price'][:10]    askprice10=deep['ask_price'][-10:]    bid_diff=bidprice10.max()-bidprice10.min()    ask_diff=askprice10.max()-askprice10.min()    diff=bid_diff-ask_diff #小于0是入场条件    return diffdef bid_ask_bigvol(deep):    bidvol10=deep['bid_volume'][:10]    askvol10=deep['ask_volume'][-10:]    diff=bidvol10.max()>askvol10.max()#大于0是入场条件    return diffi=0while True:        deep=pd.DataFrame(okcoinSpot.depth('btc_cny'))    deep=cut(deep)    deep    if bid_ask_vol_diff(deep)>0 and bid_ask_price_diff(deep)<0 and bid_ask_bigvol(deep)>0:       price_buy=str(deep['bid_price'][1]+0.01)       buy=okcoinSpot.trade('btc_cny','buy',price_buy,'0.01')           time.sleep(0.2)    price_sell=str(deep['bid_price'][1]+0.50)    sell=okcoinSpot.trade('btc_cny','sell',price_sell,'0.01')    print(sell)    i=i+1    try:        buyid=str(eval(buy)['order_id'])        sellid=str(eval(sell)['order_id'])    except NameError:        pass    except KeyError:        pass    time.sleep(5)    try:       cancel_buy=okcoinSpot.cancelOrder('btc_cny',buyid)       cance1_sell=okcoinSpot.cancelOrder('btc_cny',sellid)    except NameError:        pass    except KeyError:        pass    info_btc_free=eval(eval(okcoinSpot.userinfo())['info']['funds']['free']['btc'])    info_net=eval(eval(okcoinSpot.userinfo())['info']['funds']['asset']['net'])    print(i,info_btc_free,info_net)

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