업비트 거래하기

■ 조코딩 비트코인 1강

 

● pyupbit

https://github.com/sharebook-kr/pyupbit

 

● 라이브러리 설치

pip install pyupbit

●

접속 및 잔고 조회

import pyupbit

access = "xxxxxxx"          # 본인 값으로 변경
secret = "yyyyyyy"          # 본인 값으로 변경
upbit = pyupbit.Upbit(access, secret)

print(upbit.get_balance("KRW-ADA"))     # KRW-ADA 조회
print(upbit.get_balance("KRW"))         # 보유 현금 조회

 

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■ 조코딩 비트코인 2강

 

● 백테스트 

  ● 위키독스 - 파이썬을 이용한 비트코인 자동매매 

https://wikidocs.net/book/1665

  ● 깃허브 : ch7_13.py

https://github.com/sharebook-kr/book-cryptocurrency/blob/master/ch07/07_13.py

(수정사항) pybithumb > pyupbit 

(수정사항) "BTC" > "KRW-BTC"

import pyupbit
import numpy as np


# 시고저종량 데이터
df = pyupbit.get_ohlcv("KRW-BTC", count=100) # 100일 동안

# range = 변동폭 * k = (고가-저가)*k
df['range'] = (df['high'] - df['low']) * 0.5 # k=0.5

# target = 매수가, range 컬럼을 한칸씩 밑으로 내림(shift(1))
df['target'] = df['open'] + df['range'].shift(1)

fee = 0.0032 # 수수료

# ror = 수익률, np.where(조건문, 참 값, 거짓 값)
df['ror'] = np.where(df['high'] > df['target'],
                     df['close'] / df['target'] - fee,
                     1)

# 누적 수익률 곱 
df['hpr'] = df['ror'].cumprod()

# Draw Down (누적 최대값과 현재 hpr 차이 / 누적최대값 * 100)
df['dd'] = (df['hpr'].cummax() - df['hpr']) / df['hpr'].cummax() * 100

# Max Mraw Down 계산 > 긴 기간 작을수록 안정적
print("MDD(%): ", df['dd'].max())
df.to_excel("dd.xlsx")

 

  ● 최적 k값 찾기 (bestk.py) ch_11.py

import pyupbit
import numpy as np


def get_ror(k=0.5):
    df = pyupbit.get_ohlcv("KRW-BTC", count=100)
    df['range'] = (df['high'] - df['low']) * k
    df['target'] = df['open'] + df['range'].shift(1)

    fee = 0.0032
    df['ror'] = np.where(df['high'] > df['target'],
                         df['close'] / df['target'] - fee,
                         1)

    ror = df['ror'].cumprod()[-2]
    df['hpr'] = df['ror'].cumprod()
    df['dd'] = (df['hpr'].cummax() - df['hpr']) / df['hpr'].cummax() * 100  
    mdd = df['dd'].max()
    
    return ror, mdd

for k in np.arange(0.1, 1.0, 0.1):
    ror, mdd = get_ror(k)
    print("%.1f %f %f" % (k, ror, mdd))

■ auto-trade

https://github.com/youtube-jocoding/pyupbit-autotrade

> bitcoinAutoTradeWithSlack.py

> (수정사항) access/secret : upbit api 로그인

   (수정사항) myToken : slack 토큰

import time
import pyupbit
import datetime
import requests

access = "your-access"
secret = "your-secret"
myToken = "xoxb-your-token"

def post_message(token, channel, text):
    """슬랙 메시지 전송"""
    response = requests.post("https://slack.com/api/chat.postMessage",
        headers={"Authorization": "Bearer "+token},
        data={"channel": channel,"text": text}
    )

def get_target_price(ticker, k):
    """변동성 돌파 전략으로 매수 목표가 조회"""
    df = pyupbit.get_ohlcv(ticker, interval="day", count=2)
    target_price = df.iloc[0]['close'] + (df.iloc[0]['high'] - df.iloc[0]['low']) * k
    return target_price

def get_start_time(ticker):
    """시작 시간 조회"""
    df = pyupbit.get_ohlcv(ticker, interval="day", count=1)
    start_time = df.index[0]
    return start_time

def get_ma15(ticker):
    """15일 이동 평균선 조회"""
    df = pyupbit.get_ohlcv(ticker, interval="day", count=15)
    ma15 = df['close'].rolling(15).mean().iloc[-1]
    return ma15

def get_balance(ticker):
    """잔고 조회"""
    balances = upbit.get_balances()
    for b in balances:
        if b['currency'] == ticker:
            if b['balance'] is not None:
                return float(b['balance'])
            else:
                return 0
    return 0

def get_current_price(ticker):
    """현재가 조회"""
    return pyupbit.get_orderbook(ticker=ticker)["orderbook_units"][0]["ask_price"]

# 로그인
upbit = pyupbit.Upbit(access, secret)
print("autotrade start")
# 시작 메세지 슬랙 전송
post_message(myToken,"#crypto", "autotrade start")

while True:
    try:
        now = datetime.datetime.now()
        start_time = get_start_time("KRW-BTC")
        end_time = start_time + datetime.timedelta(days=1)

        if start_time < now < end_time - datetime.timedelta(seconds=10):
            target_price = get_target_price("KRW-BTC", 0.5)
            ma15 = get_ma15("KRW-BTC")
            current_price = get_current_price("KRW-BTC")
            if target_price < current_price and ma15 < current_price:
                krw = get_balance("KRW")
                if krw > 5000:
                    buy_result = upbit.buy_market_order("KRW-BTC", krw*0.9995)
                    post_message(myToken,"#crypto", "BTC buy : " +str(buy_result))
        else:
            btc = get_balance("BTC")
            if btc > 0.00008:
                sell_result = upbit.sell_market_order("KRW-BTC", btc*0.9995)
                post_message(myToken,"#crypto", "BTC buy : " +str(sell_result))
        time.sleep(1)
    except Exception as e:
        print(e)
        post_message(myToken,"#crypto", e)
        time.sleep(1)

---

■ 조코딩 비트코인 3강

> bitcoinAutoTradeWithAI.py

> pip install schedule

> conda install -c conda-forge fbprophet

import time
import pyupbit
import datetime
import schedule
from fbprophet import Prophet

access = "your-access"
secret = "your-secret"

def get_target_price(ticker, k):
    """변동성 돌파 전략으로 매수 목표가 조회"""
    df = pyupbit.get_ohlcv(ticker, interval="day", count=2)
    target_price = df.iloc[0]['close'] + (df.iloc[0]['high'] - df.iloc[0]['low']) * k
    return target_price

def get_start_time(ticker):
    """시작 시간 조회"""
    df = pyupbit.get_ohlcv(ticker, interval="day", count=1)
    start_time = df.index[0]
    return start_time

def get_balance(ticker):
    """잔고 조회"""
    balances = upbit.get_balances()
    for b in balances:
        if b['currency'] == ticker:
            if b['balance'] is not None:
                return float(b['balance'])
            else:
                return 0
    return 0

def get_current_price(ticker):
    """현재가 조회"""
    return pyupbit.get_orderbook(ticker=ticker)["orderbook_units"][0]["ask_price"]

predicted_close_price = 0
def predict_price(ticker):
    """Prophet으로 당일 종가 가격 예측"""
    global predicted_close_price
    df = pyupbit.get_ohlcv(ticker, interval="minute60")
    df = df.reset_index()
    df['ds'] = df['index']
    df['y'] = df['close']
    data = df[['ds','y']]
    model = Prophet()
    model.fit(data)
    future = model.make_future_dataframe(periods=24, freq='H')
    forecast = model.predict(future)
    closeDf = forecast[forecast['ds'] == forecast.iloc[-1]['ds'].replace(hour=9)]
    if len(closeDf) == 0:
        closeDf = forecast[forecast['ds'] == data.iloc[-1]['ds'].replace(hour=9)]
    closeValue = closeDf['yhat'].values[0]
    predicted_close_price = closeValue
predict_price("KRW-BTC")
schedule.every().hour.do(lambda: predict_price("KRW-BTC"))

# 로그인
upbit = pyupbit.Upbit(access, secret)
print("autotrade start")

# 자동매매 시작
while True:
    try:
        now = datetime.datetime.now()
        start_time = get_start_time("KRW-BTC")
        end_time = start_time + datetime.timedelta(days=1)
        schedule.run_pending()

        if start_time < now < end_time - datetime.timedelta(seconds=10):
            target_price = get_target_price("KRW-BTC", 0.5)
            current_price = get_current_price("KRW-BTC")
            if target_price < current_price and current_price < predicted_close_price:
                krw = get_balance("KRW")
                if krw > 5000:
                    upbit.buy_market_order("KRW-BTC", krw*0.9995)
        else:
            btc = get_balance("BTC")
            if btc > 0.00008:
                upbit.sell_market_order("KRW-BTC", btc*0.9995)
        time.sleep(1)
    except Exception as e:
        print(e)
        time.sleep(1)