いざ、python入門

MM bot試作品.py

import ccxt
import os
from time import sleep
from functools import reduce

LOT = 1
BTC_QUANTITY_PER_LOT = 0.01
MAX_OPEN_ORDERS = 2

SYMBOL = "FX_BTC_JPY"
SLEEP_INTERVAL = 15
ORDER_TIMEOUT_MINUTES = 3


def detect_middle_price(bf):
    book = bf.fetch_order_book(symbol=SYMBOL)

    highest_buy_price = book['bids'][0][0]
    lowest_sell_price = book['asks'][0][0]
    middle_price = round((highest_buy_price + lowest_sell_price) / 2, 0)

    return middle_price


def order_long(bf, btc_quantity, price):
    open_orders = bf.fetch_open_orders(symbol=SYMBOL)
    if len(open_orders) >= MAX_OPEN_ORDERS:
        # TODO: 例外投げるのがpythonぽいらしい
        print("open order limit reached.")
        return

    bf.create_limit_buy_order(SYMBOL, btc_quantity, price, {
        'minute_to_expire': ORDER_TIMEOUT_MINUTES,
    })

    print("long ordered.")


def order_short(bf, btc_quantity, price):
    open_orders = bf.fetch_open_orders(symbol=SYMBOL)
    if len(open_orders) >= MAX_OPEN_ORDERS:
        # TODO: 例外投げるのがpythonぽいらしい
        print("open order limit reached.")
        return

    bf.create_limit_sell_order(SYMBOL, btc_quantity, price, {
        'minute_to_expire': ORDER_TIMEOUT_MINUTES,
    })

    print("short ordered.")


def fetch_position(bf):
    positions = bf.private_get_getpositions(params={'product_code': SYMBOL})
    if not positions:
        return None, 0

    side = positions[0]['side']
    sizes = map(lambda p: p['size'], positions)
    quantity = reduce(lambda carry, size: carry + size, sizes)

    return side, quantity


def cancel_open_orders(bf):
    orders = bf.fetch_open_orders(symbol=SYMBOL)
    for o in orders:
        bf.cancel_order(symbol=SYMBOL, id=o['id'])


def main():
    bf = ccxt.bitflyer({
        'apiKey': os.environ.get("BF_API_KEY"),
        'secret': os.environ.get("BF_API_SECRET"),
    })

    while True:
        middle_price = detect_middle_price(bf)
        print("middle_price:", middle_price)

        target_offset_jpy = 200

        buy_price = middle_price - target_offset_jpy
        sell_price = middle_price + target_offset_jpy

        side, quantity = fetch_position(bf)
        if not side or quantity < BTC_QUANTITY_PER_LOT:
            print("no current position.")
            cancel_open_orders(bf)
            order_long(bf, BTC_QUANTITY_PER_LOT * LOT, buy_price)
            order_short(bf, BTC_QUANTITY_PER_LOT * LOT, sell_price)

            sleep(SLEEP_INTERVAL)
            continue

        if side == "BUY":
            print("current position is long.")
            order_short(bf, BTC_QUANTITY_PER_LOT * LOT, sell_price)
        else:
            print("current position is short.")
            order_long(bf, BTC_QUANTITY_PER_LOT * LOT, buy_price)

        sleep(SLEEP_INTERVAL)


main()