使用方法：把上一篇的配置基礎，寫到一個python檔案中，檔名儲存為 OkcoinSpotAPI，然後把下面的程式碼，     寫到一個新的檔案中，儲存好，就可以直接運行了

原理：根據盤口買賣量，深度行情掛單量，進行買賣決策。屬於高頻策略。

注：該策略做過實盤，有回撤。使用的話，建議進一步優化。

        更一步交流，qq:1733505732

       驗證請註明：python ，比特幣量化

# -*- coding: utf-8 -*-
"""
Created on Mon Jan 16 17:40:55 2017

@author: yunjinqi

E-mail:
 
[email protected]

Differentiate yourself in the world from anyone else.
"""
########################################################盤口模型
from OkcoinSpotAPI import *
import pandas as pd
import numpy as np
import datetime
import time
######################################################初始資料
#引入初始資訊
apikey = '9b93e53a-e803-4883-b8fc-64af2f3ccc57'
secretkey = '14284B3C0B9CF0F932E83888388855C9'
okcoinRESTURL = 'www.okcoin.cn'   #請求注意：國內賬號需要 修改為 www.okcoin.cn  
okcoinSpot = OKCoinSpot(okcoinRESTURL,apikey,secretkey)
okcoinFuture = OKCoinFuture(okcoinRESTURL,apikey,secretkey)
#info=eval(okcoinSpot.userinfo())#賬戶資訊
#info
#####################################獲取並整理資料
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是入場條件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 #小於0是入場條件
    return diff
def bid_ask_bigvol(deep):
    bidvol10=deep['bid_volume'][:10]
    askvol10=deep['ask_volume'][-10:]
    diff=bidvol10.max()>askvol10.max()#大於0是入場條件
    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)