STOCK/비트코인
업비트 거래하기
BOTTLE6
2021. 12. 31. 23:37
■ 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
■ 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)