def roll_market_depth():
try:
while 1:
print Data.get_market_depth(limit=1)
time.sleep(0.25)
except:
roll_market_depth()
def top_bid(amount=0.01):
order = Order(access_id, secret_key)
market_depth = Data.get_market_depth(limit=1)
bid_price, bid_amount = map(float, market_depth["data"]["bids"][0])
ask_price, ask_amount = map(float, market_depth["data"]["asks"][0])
od = order.order_limit("buy", amount=amount, price=ask_price - 0.01)
od_price = float(od["data"]["price"])
od_id = od["data"]["id"]
time.sleep(2)
market_depth = Data.get_market_depth(limit=5)
bid_price1, bid_amount1 = map(float, market_depth["data"]["bids"][0])
ask_price1, ask_amount1 = map(float, market_depth["data"]["asks"][0])
bid_price2, bid_amount2 = map(float, market_depth["data"]["bids"][1])
ask_price2, ask_amount2 = map(float, market_depth["data"]["asks"][1])
if bid_price1 != od_price:
print "Shit, the deal has been eaten."
else:
if bid_amount1 != amount or bid_price2 == od_price - 0.01:
print "There is a follower, let's crush him!"
order.order_withdraw(order_id=od_id)
else:
print "There is no follower, peace."
order.order_withdraw(order_id=od_id)
def clean_ask(level=1):
order = Order(access_id, secret_key)
market_depth = Data.get_market_depth()
asks = market_depth["data"]["asks"][:level]
bids = market_depth["data"]["bids"][:level]
for i in asks:
order.order_limit("buy", float(i[1]), float(i[0]))
def self_deal(price, amount=0.01):
order = Order(access_id, secret_key)
market_depth = Data.get_market_depth(limit=1)
bid_price, bid_amount = map(float, market_depth["data"]["bids"][0])
ask_price, ask_amount = map(float, market_depth["data"]["asks"][0])
if price > ask_price or price < bid_price:
print "Shit, your deal is going to be eaten, change your price."
return 0
order.order_limit("buy", price=price, amount=amount)
order.order_limit("sell", price=price, amount=amount)
order.withdraw_all()
def store_data(data_type, market="BCCCNY"):
"""
:param data_type:
1min : 1分钟；
3min:3分钟；
5min : 5分钟;
15min:15分钟；
30min:30分钟；
1hour:1小时；
2hour:2小时；
4hour:4小时；
6hour:6小时；
12hour:12小时；
1day:1日；
3day:3日；
1week:1周；
:param market: one from market list
:return:
"""
target = "data/" + market + "_" + data_type + ".csv"
# 得到最新的从老到新排列的数据
candles = Data.get_candles(type=data_type, market=market).get("data")
candles_df = pd.DataFrame(
candles, columns=["time", "open", "close", "high", "low", "vol"])
# 得到过去从老到新排列的数据
try:
# 如果老数据存在
old_candles_df = pd.DataFrame.from_csv(target)
merge_candles = pd.concat([old_candles_df, candles_df])
csv = merge_candles.drop_duplicates(
"time", keep="first").reset_index(drop=True)
print len(csv)
csv.to_csv(target)
except:
# 如果老数据不存在
print "1st time to store data, just create one."
csv = candles_df
print len(csv)
csv.to_csv(target)
def pull_up(step=0.01, amount=0.01):
order = Order(access_id, secret_key)
last_id = ""
last_price = 0
while 1:
time.sleep(0.5)
print "0"
market_depth = Data.get_market_depth(limit=1)
bid_price, bid_amount = map(float, market_depth["data"]["bids"][0])
ask_price, ask_amount = map(float, market_depth["data"]["asks"][0])
# 先写一个追踪策略
if ask_price > bid_price + step:
if last_id != "":
print "1"
order.order_withdraw(last_id)
if last_price + step >= ask_price:
print "4"
break
buy1 = order.order_limit("buy",
price=max([bid_price, last_price]) +
step,
amount=amount)
print buy1
last_id = buy1["data"]["id"]
last_price = float(buy1["data"]["price"])
else:
print "2"
buy1 = order.order_limit("buy",
price=bid_price + step,
amount=amount)
print buy1
last_id = buy1["data"]["id"]
last_price = float(buy1["data"]["price"])
else:
print "3"
order.withdraw_all()
break
def butt_price():
market_depth = Data.get_market_depth(limit=1)
bid_price, bid_amount = map(float, market_depth["data"]["bids"][0])
ask_price, ask_amount = map(float, market_depth["data"]["asks"][0])
return bid_price + 0.01