【转载】https://blog.csdn.net/qq_26948675/article/details/54783543

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。

      

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