用python做量化投资系列之比特币---盘口高频策略

 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: yunjinqi

E-mail:[e-mail]

Differentiate yourself in the world from anyone else.
"""
########################################################盘口模型
from OkcoinSpotAPI import *
import pandas as pd
import numpy as np
import datetime
import 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 deep
def 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1
def 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 diff
def 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 diff
i=0
while 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)